<Page>
-----------------------------
OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response....... 5.0
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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 Institutional Funds
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1295 State Street, Springfield, MA 01111
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Frederick C. Castellani
1295 State Street, Springfield, MA 01111
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-330-6027
----------------------------
Date of fiscal year end: 12/31/2003
--------------------------
Date of reporting period: 1/1/03 - 06/30/03
-------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
<Page>
ITEM 1 REPORTS TO STOCKHOLDERS.
(Semi-Annual Report for the period 1/1/03 through 6/30/03 is filed
herewith)
<Page>
TABLE OF CONTENTS
<Table>
LETTER TO SHAREHOLDERS 1
MASSMUTUAL MONEY MARKET FUND
Portfolio Manager Report 3
Portfolio of Investments 5
Financial Statements 7
MASSMUTUAL SHORT-DURATION BOND FUND
Portfolio Manager Report 12
Portfolio of Investments 16
Financial Statements 20
MASSMUTUAL CORE BOND FUND
Portfolio Manager Report 26
Portfolio of Investments 30
Financial Statements 37
MASSMUTUAL DIVERSIFIED BOND FUND
Portfolio Manager Report 43
Portfolio of Investments 46
Financial Statements 52
MASSMUTUAL BALANCED FUND
Portfolio Manager Report 58
Portfolio of Investments 62
Financial Statements 70
MASSMUTUAL CORE VALUE EQUITY FUND
Portfolio Manager Report 76
Portfolio of Investments 80
Financial Statements 86
MASSMUTUAL FUNDAMENTAL VALUE FUND
Portfolio Manager Report 92
Portfolio of Investments 94
Financial Statements 96
MASSMUTUAL VALUE EQUITY FUND
Portfolio Manager Report 101
Portfolio of Investments 103
Financial Statements 106
MASSMUTUAL LARGE CAP VALUE FUND
Portfolio Manager Report 111
Portfolio of Investments 113
Financial Statements 115
MASSMUTUAL INDEXED EQUITY FUND
Portfolio Manager Report 120
Portfolio of Investments 123
Financial Statements 129
MASSMUTUAL BLUE CHIP GROWTH FUND
Portfolio Manager Report 135
Portfolio of Investments 137
Financial Statements 140
MASSMUTUAL LARGE CAP GROWTH FUND
Portfolio Manager Report 145
Portfolio of Investments 147
Financial Statements 149
MASSMUTUAL GROWTH EQUITY FUND
Portfolio Manager Report 154
Portfolio of Investments 157
Financial Statements 159
</Table>
<Page>
<Table>
MASSMUTUAL AGGRESSIVE GROWTH FUND
Portfolio Manager Report 164
Portfolio of Investments 166
Financial Statements 168
MASSMUTUAL OTC 100 FUND
Portfolio Manager Report 173
Portfolio of Investments 175
Financial Statements 177
MASSMUTUAL FOCUSED VALUE FUND
Portfolio Manager Report 182
Portfolio of Investments 184
Financial Statements 185
MASSMUTUAL SMALL COMPANY VALUE FUND
Portfolio Manager Report 190
Portfolio of Investments 192
Financial Statements 196
MASSMUTUAL SMALL CAP EQUITY FUND
Portfolio Manager Report 201
Portfolio of Investments 205
Financial Statements 207
MASSMUTUAL MID CAP GROWTH EQUITY FUND
Portfolio Manager Report 213
Portfolio of Investments 215
Financial Statements 217
MASSMUTUAL MID CAP GROWTH EQUITY II FUND
Portfolio Manager Report 223
Portfolio of Investments 225
Financial Statements 228
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND
Portfolio Manager Report 233
Portfolio of Investments 235
Financial Statements 238
MASSMUTUAL SMALL COMPANY GROWTH FUND
Portfolio Manager Report 244
Portfolio of Investments 246
Financial Statements 249
MASSMUTUAL EMERGING GROWTH FUND
Portfolio Manager Report 254
Portfolio of Investments 256
Financial Statements 259
MASSMUTUAL INTERNATIONAL EQUITY FUND
Portfolio Manager Report 264
Portfolio of Investments 267
Financial Statements 269
MASSMUTUAL OVERSEAS FUND
Portfolio Manager Report 275
Portfolio of Investments 277
Financial Statements 280
NOTES TO FINANCIAL STATEMENTS 285
</Table>
<Page>
MASSMUTUAL INSTITUTIONAL FUNDS - LETTER TO SHAREHOLDERS
June 30, 2003
TO OUR SHAREHOLDERS
[PHOTO OF FREDERICK C. CASTELLANI]
"IT'S TIME IN THE MARKET AND NOT MARKET TIMING THAT HISTORICALLY HAS BEEN THE
MOST SUCCESSFUL WAY FOR INVESTORS TO ACHIEVE THEIR LONG-TERM INVESTMENT GOALS."
IS THE BULL HERE TO STAY?
For the first time in nearly three years, investors may be PLEASANTLY surprised
when they open their statements, as the second quarter's strong double-digit
returns translated into larger account balances for most investors. Overall,
investors have cheered this turnaround as a signal that there truly could be a
light at the end of the proverbial tunnel.
During the second quarter, the widely anticipated U.S.-led victory in the
relatively short-lived war in Iraq removed a significant amount of uncertainty
from the geopolitical landscape, helping markets rebound with impressive gains
in April, May and June. This contrasted sharply with the investment landscape of
the first quarter, when the run-up to war and the uncertainty of its results
added fuel to the already volatile capital markets. This environment affected
the behavior of both consumers and businesses, which curtailed their
expenditures until an indication of the outcome of the war became more evident.
STOCKS STAGE A STUNNING TURNAROUND
Whereas during the first quarter the market turned in mixed results, with
equities primarily in negative territory, the broad rally during the second
quarter was kind to all stock indexes. The market leaders during this time frame
were technology stocks, smaller-capitalization stocks and international stocks.
Also during the second quarter, value-oriented funds outperformed growth funds.
The widely watched S&P 500(R), an index of U.S. blue chip names, achieved its
best quarterly gain since the fourth quarter of 1998 (advancing 15.39% for the
second quarter), and finished in double-digit territory for the first half of
2003, with an 11.75% return. The NASDAQ, one proxy for technology stocks, gained
21% in the second quarter. During this period, small cap stocks of the Russell
2000 Index posted an impressive 23.42% gain. International stocks made a strong
comeback from an 8.2% loss in the first quarter to return 19.27% for the second
quarter.
THE BOND MARKET ALSO ADVANCED
Although the most stunning advances during the second quarter were most clearly
seen in the stock market, investors in the bond market also saw gains. The
Lehman Brothers Aggregate Bond Index, which tracks the activity of taxable
securities across the government, mortgage-backed and corporate sectors,
returned 2.5% for the three months ended June 30, 2003, following a first
quarter gain of 1.4%.
BUT CAN IT LAST?
Clearly, the conclusion to the war in Iraq, the President's economic stimulus
package, a quarter-point rate cut by the Federal Reserve (Fed) and the weakening
dollar all contributed to the stock market's second-quarter rally. But while the
second quarter proved to be one of significant turnaround, there continues to be
conflicting evidence as to the sustainability of this rally.
New legislation will reduce taxes for millions of U.S. citizens and the Fed's
quarter of one percent reduction in the federal funds rate (a key indicator of
short-term interest rates) will increase liquidity in the financial markets.
However, the success of the Bush administration and Federal Reserve policies
1
<Page>
remains to be seen. Gross Domestic Product (GDP)--a broad measure of U.S.
economic growth--increased by 1.4% in both the fourth quarter of 2002 and in the
first quarter of 2003, short of the 3% level that is largely thought to be the
minimum required to support a sustainable recovery.
Other contradictory signals also remain. In today's low interest rate
environment, borrowing costs are the lowest they have been in 45 years. This
continues to fuel consumer spending, which is largely evident by the continued
strength and growth in the U.S. housing market. Alternatively, however, low
interest rates and low inflation, coupled with Fed warnings concerning
disinflation and deflation, signal a lack of growth in the economy, as inflation
is often accompanied by periods of strong economic growth.
Also adding to the confusion is the corporate environment, where earnings per
share growth during the second quarter continued the upward trend that began in
the first quarter of this year, despite the fact that corporate profits have yet
to rebound significantly. As a result, corporations continued to exercise
caution in their hiring and capital expenditure plans in the second quarter,
signaling that over-capacity is still a concern. (Increased corporate spending
is a necessary ingredient for a sustainable, long-term economic recovery.)
LOOKING AHEAD
The economy is clearly sending investors mixed signals. While strong performance
across the board in the second quarter indicates some success with the forces at
play to stimulate the U.S. economy, the outlook for a sustainable economic
recovery remains somewhat unclear.
One thing remains certain, however: The mixed economic data highlighted here
underscores the importance for long-term investors to maintain a diversified mix
across investment styles and asset classes. Equally important are the benefits
of regularly reviewing your long-term retirement goals to ensure your portfolio
is properly aligned to help you achieve your financial objectives. In the final
analysis, remember that it's time in the market and not market timing that
historically has been the most successful way for investors to achieve their
long-term investment goals.
/s/Frederick C. Castellani
Frederick C. Castellani
PRESIDENT
MASSMUTUAL INSTITUTIONAL FUNDS
2
<Page>
MASSMUTUAL MONEY MARKET FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL MONEY MARKET
FUND?
The objectives and policies of the Fund are to:
- - achieve high current income, the preservation of capital, and liquidity
- - invest in a diversified portfolio of money market instruments
- - invest in high quality debt instruments with remaining maturity not to exceed
397 days
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares had a return
of 0.40%, trailing the 0.59% return of 91-day Treasury bills.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Geopolitics was the dominating concern in the initial months of 2003, as an
impending war with Iraq loomed and finally came to fruition in early March. This
backdrop of war muddied the economic waters, leading many to question whether
the war or some other factor was causing the weakness in the economy. Against
this backdrop, Treasuries rallied through the end of February and into the
beginning of March, and then substantially lost ground after the outbreak of
war. By the end of March, they had made no gains from their December levels,
despite the early rally.
In a dramatic turnaround, the second quarter of 2003 witnessed both the U.S.
equity and bond markets posting strong, positive returns. As the fighting in
Iraq drew to a swift close in April, a wave of optimism boosted the markets. The
Federal Reserve continued to stimulate the economy by cutting short-term rates
by an additional 25 basis points in June, the 13th rate cut since January 2001.
Short-term interest rates now stand at their lowest levels since 1958. It is
clear that the economy, in general, is improving, albeit at a slower rate than
many anticipated or hoped. Gross Domestic Product (GDP) for the first quarter of
2003 was a mere 1.4%. Labor statistics continued to remain weak, with
unemployment levels continuing to increase. Inflation remains under control, and
while there may be some concern about deflation, at this juncture, we think it
would be short-lived if it did materialize.
HOW IS THE FUND INVESTED?
The Fund is primarily invested in Treasury bills, with the balance of our
exposure in Commercial Paper and Agency Discount notes. Our top three industries
are Finance Companies, Publishing/Printing and Pharmaceuticals.
WHAT IS YOUR OUTLOOK?
Looking forward, we expect the Federal Reserve to continue to maintain a low
interest rate environment. They continue to follow a policy designed to
stimulate growth in the economy--and are likely to continue this accommodative
policy for some time to come. While it is yet to be determined whether or not
the recent economic turnaround can be sustained, we are optimistic for a
recovery, albeit a somewhat muted one.
3
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Money Market Fund Class S and 91-day
Treasury Bills
MASSMUTUAL MONEY MARKET FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 10/3/94 - 6/30/03
Class S 0.40% 1.03% 4.01% 4.62%
- ---------------------------------------------------------------------------------------------------
91-Day
Treasury
Bills 0.59% 1.41% 3.89% 4.53%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S T-BILLS
10/3/1994 $ 10,000 $ 10,000
Jun-95 $ 10,419 $ 10,420
Jun-96 $ 10,982 $ 10,987
Jun-97 $ 11,566 $ 11,565
Jun-98 $ 12,193 $ 12,172
Jun-99 $ 12,811 $ 12,746
Jun-00 $ 13,548 $ 13,422
Jun-01 $ 14,357 $ 14,179
Jun-02 $ 14,689 $ 14,527
Jun-03 $ 14,840 $ 14,732
</Table>
Hypothetical Investments in MassMutual Money Market Fund Class A, Class Y and
91-day Treasury Bills
MASSMUTUAL MONEY MARKET FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 1/1/98 - 6/30/03
Class A 0.15% 0.53% 3.46% 3.57%
Class Y 0.35% 0.93% 3.92% 4.03%
- ---------------------------------------------------------------------------------------------------
91-Day
Treasury
Bills 0.59% 1.41% 3.89% 4.01%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS Y T-BILLS
1/1/1998 $ 10,000 $ 10,000 $ 10,000
Jun-98 $ 10,230 $ 10,250 $ 10,258
Jun-99 $ 10,683 $ 10,767 $ 10,742
Jun-00 $ 11,239 $ 11,375 $ 11,311
Jun-01 $ 11,850 $ 12,041 $ 11,949
Jun-02 $ 12,065 $ 12,310 $ 12,243
Jun-03 $ 12,129 $ 12,424 $ 12,415
</Table>
Hypothetical Investments in MassMutual Money Market Fund Class L and 91-day
Treasury Bills
MASSMUTUAL MONEY MARKET FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class L 0.28% 0.78% 3.53%
- ----------------------------------------------------------------------------
91-Day
Treasury
Bills 0.59% 1.41% 3.72%
</Table>
[CHART]
<Table>
<Caption>
CLASS L T-BILLS
5/3/1999 $ 10,000 $ 10,000
Jun-99 $ 10,073 $ 10,076
Jun-00 $ 10,625 $ 10,610
Jun-01 $ 11,230 $ 11,208
Jun-02 $ 11,464 $ 11,484
Jun-03 $ 11,554 $ 11,645
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE 91-DAY TREASURY BILLS ARE UNMANAGED AND DO NOT INCUR
EXPENSES. TREASURY BILLS ARE BACKED BY THE U.S. GOVERNMENT AND OFFER A FIXED
RATE OF RETURN, WHILE THE FUND'S SHARES ARE NOT GUARANTEED. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
4
<Page>
MASSMUTUAL MONEY MARKET FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
SHORT-TERM INVESTMENTS--100.1%
COMMERCIAL PAPER--38.6%
Anheuser-Busch
Companies, Inc.
0.920% 07/22/2003 $ 10,945,000 $ 10,939,126
CIT Group, Inc.
1.050% 08/08/2003 5,855,000 5,848,511
The Clorox Co.
0.920% 07/29/2003 7,920,000 7,914,333
The Coca-Cola Co.
1.170% 07/15/2003 14,500,000 14,493,403
Dow Jones & Co., Inc.
1.120% 01/16/2004 1,250,000 1,242,261
Dow Jones & Co., Inc.
1.200% 07/07/2003 11,000,000 10,997,800
Emerson Electric Co.
1.000% 07/14/2003 9,500,000 9,496,569
Gannett Co., Inc.
0.960% 07/02/2003 7,400,000 7,399,803
Gannett Co., Inc.
1.020% 07/16/2003 6,500,000 6,497,238
General Electric
Capital Corp.
1.180% 08/21/2003 2,430,000 2,425,938
General Electric
Capital Corp.
1.200% 08/21/2003 1,660,000 1,657,178
General Electric Co.
1.200% 08/11/2003 10,300,000 10,285,923
The Goldman Sachs
Group, Inc.
1.180% 10/23/2003 14,615,000 14,560,389
Household Finance Corp.
1.030% 09/03/2003 5,085,000 5,075,689
Household Finance Corp.
1.170% 08/20/2003 7,795,000 7,782,333
Johnson & Johnson
0.950% 10/15/2003 14,250,000 14,210,140
Johnson Controls, Inc.
1.280% 07/01/2003 4,670,000 4,670,000
The McGraw-Hill
Companies, Inc.
1.030% 03/01/2004 4,500,000 4,468,585
The McGraw-Hill
Companies, Inc.
1.100% 08/08/2003 3,000,000 2,996,517
The McGraw-Hill
Companies, Inc.
1.180% 08/12/2003 6,780,000 6,770,666
Nestle Capital Corp.
1.180% 07/18/2003 10,000,000 9,994,428
Nestle Capital Corp.
1.180% 08/05/2003 $ 4,600,000 $ 4,594,723
PACCAR Financial Corp.
1.160% 08/18/2003 12,500,000 12,480,667
PACCAR Financial Corp.
1.220% 07/28/2003 2,200,000 2,197,987
Pfizer, Inc.
0.890% 08/15/2003 3,145,000 3,141,501
Pfizer, Inc.
0.950% 08/04/2003 9,090,000 9,081,844
Toyota Motor
Credit Corp.
0.950% 07/21/2003 12,355,000 12,348,479
Unilever Capital Corp.
1.000% 07/22/2003 2,220,000 2,218,705
Unilever Capital Corp.
1.200% 07/08/2003 10,000,000 9,997,667
--------------
215,788,403
--------------
DISCOUNT NOTES--20.9%
Federal Farm
Credit Bank
0.950% 01/28/2004 7,000,000 6,961,024
Federal Farm
Credit Bank
1.160% 09/29/2003 12,650,000 12,613,315
Federal Farm
Credit Bank
1.250% 02/27/2004 740,000 733,807
Federal Farm
Credit Bank
1.310% 07/25/2003 10,365,000 10,355,947
Federal Home
Loan Bank
0.960% 10/31/2003 1,857,000 1,850,959
Federal Home
Loan Bank
1.140% 07/09/2003 3,930,000 3,929,004
Federal Home
Loan Bank
1.140% 07/16/2003 1,410,000 1,409,330
Federal Home
Loan Bank
1.140% 07/30/2003 12,300,000 12,288,705
Federal Home
Loan Bank
1.160% 07/11/2003 12,770,000 12,765,885
Federal Home
Loan Bank
1.160% 08/01/2003 5,810,000 5,804,196
Federal Home
Loan Bank
1.170% 07/23/2003 $ 13,690,000 $ 13,680,212
Federal Home
Loan Bank
1.170% 10/24/2003 12,130,000 12,084,665
Federal Home
Loan Bank
1.200% 12/11/2003 9,625,000 9,572,704
Federal Home
Loan Bank
1.210% 10/08/2003 1,900,000 1,893,678
Federal Home
Loan Bank
1.220% 07/29/2003 8,525,000 8,516,910
Federal National
Mortgage Association
1.770% 08/22/2003 2,520,000 2,513,557
--------------
116,973,898
--------------
U.S. TREASURY BILLS--40.6%
U.S. Treasury Bill
0.790% 11/06/2003 14,125,000 14,085,324
U.S. Treasury Bill
0.905% 10/02/2003 15,325,000 15,289,171
U.S. Treasury Bill
0.945% 09/11/2003 11,300,000 11,278,643
U.S. Treasury Bill
0.990% 09/25/2003 9,695,000 9,672,071
U.S. Treasury Bill
1.000% 09/18/2003 10,490,000 10,466,980
U.S. Treasury Bill
1.010% 10/30/2003 10,140,000 10,105,577
U.S. Treasury Bill
1.090% 09/04/2003 17,040,000 17,006,464
U.S. Treasury Bill
1.094% 07/31/2003 12,625,000 12,613,490
U.S. Treasury Bill
1.095% 07/03/2003 4,400,000 4,399,732
U.S. Treasury Bill
1.100% 07/24/2003 15,860,000 15,848,854
U.S. Treasury Bill
1.100% 08/28/2003 13,590,000 13,565,916
U.S. Treasury Bill
1.105% 08/21/2003 11,250,000 11,232,389
U.S. Treasury Bill
1.120% 08/14/2003 7,245,000 7,235,082
U.S. Treasury Bill
1.130% 09/04/2003 13,750,000 13,721,946
U.S. Treasury Bill
1.135% 08/07/2003 20,645,000 20,620,917
</Table>
The accompanying notes are an integral part of the financial statements.
5
<Page>
MASSMUTUAL MONEY MARKET FUND - PORTFOLIO OF INVESTMENTS
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
U.S. Treasury Bill
1.150% 07/10/2003 $ 11,555,000 $ 11,551,678
U.S. Treasury Bill
1.160% 07/31/2003 13,575,000 13,561,878
U.S. Treasury Bill
1.175% 07/17/2003 15,175,000 15,167,076
--------------
227,423,188
--------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST)* 560,185,489
==============
TOTAL INVESTMENTS--100.1%
OTHER ASSETS/
(LIABILITIES)--(0.1%) (614,010)
--------------
NET ASSETS--100.0% $ 559,571,479
==============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Aggregate cost for Federal tax purposes. (NOTE 7).
The accompanying notes are an integral part of the financial statements.
6
<Page>
MASSMUTUAL MONEY MARKET FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Short-term investments, at amortized cost (NOTE 2) $ 560,185,489
Cash 1,265
---------------
Total assets 560,186,754
---------------
LIABILITIES:
Payables for:
Dividends (NOTE 2) 263,542
Directors' fees and expenses (NOTE 3) 12,047
Affiliates (NOTE 3):
Investment management fees 169,250
Administration fees 83,940
Service fees 66,521
Accrued expense and other liabilities 19,975
---------------
Total liabilities 615,275
---------------
NET ASSETS $ 559,571,479
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 559,584,456
Distributions in excess of net investment income (8,205)
Accumulated net realized loss on investments (4,772)
---------------
$ 559,571,479
===============
NET ASSETS:
Class A $ 100,911,532
===============
Class L $ 70,604,385
===============
Class Y $ 80,491,794
===============
Class S $ 307,563,768
===============
SHARES OUTSTANDING:
Class A 100,911,511
===============
Class L 70,604,368
===============
Class Y 80,491,756
===============
Class S 307,563,750
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 1.00
===============
Class L $ 1.00
===============
Class Y $ 1.00
===============
Class S $ 1.00
===============
</Table>
The accompanying notes are an integral part of the financial statements.
7
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
-----------------
INVESTMENT INCOME (NOTE 2):
Interest $ 3,701,212
-----------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 1,029,966
Custody fees 24,994
Audit and legal fees 11,869
Shareholder reporting fees 10,148
Directors' fees (NOTE 3) 6,394
Trustee reporting 2,609
-----------------
1,085,980
Administration fees (NOTE 3):
Class A 178,051
Class L 109,749
Class Y 80,018
Class S 134,786
Service fees (NOTE 3):
Class A 133,953
-----------------
Total expenses 1,722,537
-----------------
NET INVESTMENT INCOME 1,978,675
-----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investment transactions 457
-----------------
NET REALIZED AND UNREALIZED GAIN 457
-----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,979,132
=================
</Table>
The accompanying notes are an integral part of the financial statements.
8
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,978,675 $ 7,555,193
Net realized gain (loss) on investment transactions 457 (6,000)
Net change in unrealized appreciation (depreciation) on investments - 51,558
----------------- -----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 1,979,132 7,600,751
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A (164,869) (820,220)
Class L (182,995) (685,167)
Class Y (309,107) (1,379,443)
Class S (1,321,704) (4,672,606)
----------------- -----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME (1,978,675) (7,557,436)
----------------- -----------------
From net realized gains:
Class A (83) -
Class L (51) -
Class Y (68) -
Class S (255) -
----------------- -----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS (457) -
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 10,580,379 208,303
Class L 3,698,868 13,755,308
Class Y (26,597,426) 22,691,288
Class S (24,512,619) (60,635,208)
----------------- -----------------
DECREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS (36,830,798) (23,980,309)
----------------- -----------------
TOTAL DECREASE IN NET ASSETS (36,830,798) (23,936,994)
NET ASSETS:
Beginning of period 596,402,277 620,339,271
----------------- -----------------
End of period (including distributions in excess of net investment income of
$8,205 and $8,205, respectively) $ 559,571,479 $ 596,402,277
================= =================
</Table>
The accompanying notes are an integral part of the financial statements.
9
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02~ 12/31/01~ 12/31/00~ 12/31/99~ 12/31/98~~
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99 $ 4.55
--------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***~~~ 0.01*** 0.03*** 0.06*** 0.05*** 0.21***
Net realized and unrealized gain (loss)
on investments (0.00)~~~ 0.00~~~ 0.00~~~ (0.00)~~~ (0.00)~~~ (0.00)~~~
--------- -------- -------- -------- -------- --------
Total income from investment
operations 0.00 0.01 0.03 0.06 0.05 0.21
--------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.00)~~~~ (0.01) (0.03) (0.06) (0.04) (3.77)
From net realized gains (0.00)~~~~ - - - - -
--------- -------- -------- -------- -------- --------
Total distributions (0.00) (0.01) (0.03) (0.06) (0.04) (3.77)
--------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99
========= ======== ======== ======== ======== ========
TOTAL RETURN@ 0.15%** 0.92% 3.62% 5.84% 4.59% 4.60%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 100,912 $ 90,331 $ 90,121 $ 29,149 $ 3,548 $ 120
Net expenses to average daily net assets 0.95%* 0.95% 0.96% 0.95% 1.04% 1.20%
Net investment income to average daily
net assets 0.31%* 0.92% 3.28% 5.95% 4.89% 4.59%
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02~ 12/31/01~ 12/31/00~ 12/31/99+~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 0.99 $ 1.00
-------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***~~~ 0.01*** 0.04*** 0.07*** 0.04***
Net realized and unrealized gain (loss)
on investments 0.00~~~ 0.00~~~ 0.00~~~ (0.00)~~~ (0.01)
-------- -------- -------- -------- --------
Total income from investment
operations 0.00 0.01 0.04 0.07 0.03
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.00)~~~~ (0.01) (0.04) (0.06) (0.04)
From net realized gains (0.00)~~~~ - - - -
-------- -------- -------- -------- --------
Total distributions (0.00) (0.01) (0.04) (0.06) (0.04)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99
======== ======== ======== ======== ========
TOTAL RETURN@ 0.28%** 1.19% 3.88% 6.07% 3.34%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 70,604 $ 66,906 $ 53,151 $ 24,010 $ 9,842
Net expenses to average daily net assets 0.70%* 0.70% 0.71% 0.70% 0.76%*
Net investment income to average daily
net assets 0.55%* 1.17% 3.58% 6.25% 6.11%*
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ AMOUNTS HAVE BEEN RESTATED TO REFLECT STOCK SPLITS.
~~ AMOUNTS HAVE BEEN RESTATED TO REFLECT STOCK SPLITS AND REVERSE STOCK
SPLITS.
~~~ NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS ARE LESS THAN $0.01 PER SHARE.
~~~~ DISTRIBUTIONS FROM NET INVESTMENT INCOME AND NET REALIZED GAINS ARE
LESS THAN $0.01 PER SHARE.
+ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES
AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE
CHARGES.
The accompanying notes are an integral part of the financial statements.
10
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02~ 12/31/01~ 12/31/00~ 12/31/99~ 12/31/98~~
--------------- ---------- ---------- ---------- ---------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 0.99 $ 0.98 $ 4.51
--------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***~~~ 0.01*** 0.04*** 0.06*** 0.06*** 0.24***
Net realized and unrealized gain (loss)
on investments 0.00~~~ 0.01 0.00~~~ (0.00)~~~ (0.01) (0.01)
--------- -------- -------- -------- -------- --------
Total income from investment
operations 0.00 0.02 0.04 0.06 0.05 0.23
--------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.00)~~~~ (0.02) (0.04) (0.05) (0.04) (3.76)
From net realized gains (0.00)~~~~ - - - - -
--------- -------- -------- -------- -------- --------
Total distributions (0.00) (0.02) (0.04) (0.05) (0.04) (3.76)
--------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99 $ 0.98
========= ======== ======== ======== ======== ========
TOTAL RETURN@ 0.35%** 1.33% 4.04% 6.25% 5.13% 5.14%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 80,492 $107,089 $ 84,481 $ 62,858 $ 33,392 $ 556
Net expenses to average daily net
assets 0.55%* 0.55% 0.56% 0.55% 0.57% 0.74%
Net investment income to
average daily net assets 0.70%* 1.31% 3.87% 6.15% 5.60% 5.21%
</Table>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02~ 12/31/01~ 12/31/00~ 12/31/99~ 12/31/98(1)~
---------------- ---------- ---------- ---------- ---------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 0.99 $ 0.98 $ 0.98
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***~~~ 0.01*** 0.04*** 0.06*** 0.05*** 0.05***
Net realized and unrealized gain (loss)
on investments (0.00)~~~ 0.01 0.00~~~ (0.00)~~~ (0.00)~~~ 0.00~~~
--------- --------- --------- --------- --------- ---------
Total income from investment
operations 0.00 0.02 0.04 0.06 0.05 0.05
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.00)~~~~ (0.02) (0.04) (0.05) (0.04) (0.05)
From net realized gains (0.00)~~~~ - - - - -
--------- --------- --------- --------- --------- ---------
Total distributions (0.00) (0.02) (0.04) (0.05) (0.04) (0.05)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99 $ 0.98
========= ========= ========= ========= ========= =========
TOTAL RETURN@ 0.40%** 1.42% 4.14% 6.37% 5.10% 5.39%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 307,564 $ 332,076 $ 392,587 $ 389,011 $ 316,805 $ 251,757
Net expenses to average daily net
assets 0.45%* 0.45% 0.45% 0.45% 0.48% 0.55%
Net investment income to average daily
net assets 0.81%* 1.43% 4.03% 6.22% 5.06% 5.23%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ AMOUNTS HAVE BEEN RESTATED TO REFLECT STOCK SPLITS.
~~ AMOUNTS HAVE BEEN RESTATED TO REFLECT STOCK SPLITS AND REVERSE STOCK
SPLITS.
~~~ NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS ARE LESS THAN $0.01 PER SHARE.
~~~~ DISTRIBUTIONS FROM NET INVESTMENT INCOME AND NET REALIZED GAINS ARE
LESS THAN $0.01 PER SHARE.
(1) CLASS S SHARES WERE PREVIOUSLY DESIGNATED AS CLASS 4 SHARES.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES
AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE
CHARGES.
The accompanying notes are an integral part of the financial statements.
11
<Page>
MASSMUTUAL SHORT-DURATION BOND FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL
SHORT-DURATION BOND FUND?
The objectives and policies of the Fund are to:
- - achieve a high total return primarily from current income, while minimizing
fluctuations in capital values
- - invest primarily in a diversified portfolio of short-term, investment-grade,
fixed-income securities
- - maintain duration below three years
- - diversify investments among market sectors on the basis of relative merit
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
3.65%, outperforming the 1.44% return of the Lehman Brothers 1-3 Year Government
Bond Index, an unmanaged index of U.S. government bonds with 1-3 years to
scheduled payment of principal.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Geopolitics was the dominating concern during the first quarter, as an impending
war with Iraq loomed and, ultimately began, in early March. At the same time,
low consumer confidence and spending levels, higher unemployment figures and
government deficit issues all contributed to the further weakening of the
economy and the ongoing malaise in the markets. During the quarter, Corporate
America also began to take advantage of low interest rates to refinance debt and
put balance sheets in order. This trend has helped corporate bonds outperform
Treasuries since October 2002--and has improved investor sentiment toward
corporates. Mortgages joined corporates in outperforming Treasuries during the
quarter, but to a lesser extent. Mortgages' relative safety, along with their
higher yields, continued to attract investors.
During the first quarter, our near maximum duration of 2.97 years added
approximately 50 basis points (bps) of outperformance, as the 2- to 3-year
portion on the yield curve provided attractive returns. Our corporate bonds also
performed well during the performance period, and we continue to benefit from
our exposure to this sector. While we have maintained the portfolio's AA
quality, our exposure to the lower-rated BBB corporates added to the Fund's
outperformance, and given spread levels, we will continue to seek to add value
through lower-rated investment-grade corporates. Mortgages, on the other hand,
had a more volatile quarter as they sold off during the Treasury rally. We
increased our previous small exposure to mortgages in March, as they reached an
attractive entry point on this weakness.
In a dramatic turnaround, the second quarter of 2003 witnessed both the U.S.
equity and bond markets posting strong, positive returns. As the fighting in
Iraq drew to a swift close in April, a wave of optimism boosted the markets. The
Federal Reserve (Fed) continued to stimulate the economy by cutting short-term
rates by an additional 25 bps in June, the 13th rate cut since January 2001. It
is clear that the economy, in general, is improving, albeit at a slower rate
than many anticipated or hoped. Over the quarter, we saw a continuation of the
strong corporate bond performance that has been in play since October 2002.
Corporates, again, outperformed Treasuries and corporate spreads tightened
towards more conventional levels.
Similar to the first quarter, our near maximum duration of 2.95 years added
significantly to performance during the second quarter. The yield curve showed
signs of flattening during the quarter, but with the Fed interest rate cut in
June, the curve steepened again and we continued to maintain our near maximum
duration level. Also helping performance was our exposure to corporate bonds,
which posted strong returns over the reporting period as the economy showed
signs of recovery.
12
<Page>
WHAT IS YOUR OUTLOOK?
With the yield curve remaining steep, we have been structuring the portfolio in
a barbell style, with our exposure at either end of the duration
spectrum--commercial paper and 10-year bonds. Assuming an improving economy, we
expect this strategy to provide us with a yield advantage. While we have been
trimming our exposure to corporates, we will continue to remain overweight in
this sector, as we can benefit as an economic recovery continues. Although we
currently have an overweight exposure to mortgages, we may look to trim some
positions in the third quarter.
While it is yet to be established whether the recent economic turnaround can be
sustained, we are optimistic for a recovery--albeit a somewhat muted one.
[CHART]
DURATION DIVERSIFICATION (6/30/03)
MASSMUTUAL SHORT-DURATION
BOND FUND
AVERAGE DURATION=2.95 YEARS
<Table>
LESS THAN 1 YEAR 22.90%
1-3 YEARS 43.40%
3-5 YEARS 7.90%
5-10 YEARS 25.80%
</Table>
[CHART]
QUALITY STRUCTURE (6/30/03)
MASSMUTUAL SHORT-DURATION
BOND FUND
<Table>
U.S. GOVERNMENTS CASH EQUIVALENTS Aaa/AAA 75.20%
Aa/AA 1.20%
A/A 9.20%
Baa/BBB 13.10%
Ba/BB 0.70%
B/B 0.30%
NR 0.30%
</Table>
13
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Short-Duration Bond Fund Class S and the
Lehman Brothers 1-3 Year Government Bond Index
MASSMUTUAL SHORT-DURATION BOND FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 10/3/94 - 6/30/03
Class S 3.65% 8.88% 6.13% 6.62%
- -----------------------------------------------------------------------------------------------------
Lehman Brothers
1-3 Year
Government
Bond
Index 1.44% 4.88% 6.19% 6.45%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S LEHMAN 1-3 YR. GOVT.
10/3/1994 $ 10,000 $ 10,000
Jun-95 $ 10,816 $ 10,660
Jun-96 $ 11,380 $ 11,244
Jun-97 $ 12,120 $ 11,983
Jun-98 $ 13,006 $ 12,795
Jun-99 $ 13,613 $ 13,440
Jun-00 $ 14,251 $ 14,093
Jun-01 $ 15,231 $ 15,399
Jun-02 $ 16,081 $ 16,472
Jun-03 $ 17,509 $ 17,276
</Table>
Hypothetical Investments in MassMutual Short-Duration Bond Fund Class A, Class Y
and the Lehman Brothers 1-3 Year Government Bond Index
MASSMUTUAL SHORT-DURATION BOND FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 1/1/98 - 6/30/03
Class A 3.38% 8.34% 5.62% 5.61%
Class Y 3.47% 8.76% 6.02% 6.03%
- ----------------------------------------------------------------------------------------------------
Lehman Brothers
1-3 Year
Government
Bond
Index 1.44% 4.88% 6.19% 6.18%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS Y LEHMAN 1-3 YR. GOVT.
1/1/1998 $ 10,000 $ 10,000 $ 10,000
Jun-98 $ 10,270 $ 10,300 $ 10,300
Jun-99 $ 10,689 $ 10,762 $ 10,819
Jun-00 $ 11,144 $ 11,263 $ 11,345
Jun-01 $ 11,852 $ 12,010 $ 12,396
Jun-02 $ 12,457 $ 12,684 $ 13,259
Jun-03 $ 13,496 $ 13,796 $ 13,906
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS 1-3 YEAR GOVERNMENT BOND INDEX IS
UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY
INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET
FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE
TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD
PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
14
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Short-Duration Bond Fund Class L and the
Lehman Brothers 1-3 Year Government Bond Index
MASSMUTUAL SHORT-DURATION BOND FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class L 3.59% 8.61% 6.02%
- ----------------------------------------------------------------------------
Lehman Brothers
1-3 Year
Government
Bond
Index 1.44% 4.88% 6.27%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS L LEHMAN 1-3 YR. GOVT.
5/3/1999 $ 10,000 $ 10,000
Jun-99 $ 10,010 $ 10,022
Jun-00 $ 10,455 $ 10,509
Jun-01 $ 11,142 $ 11,483
Jun-02 $ 11,746 $ 12,283
Jun-03 $ 12,757 $ 12,882
</Table>
Hypothetical Investments in MassMutual Short-Duration Bond Fund Class N, Class N
(CDSC fees deducted) and the Lehman Brothers 1-3 Year Government Bond Index
MASSMUTUAL SHORT-DURATION BOND FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 3.30% 3.20%
Class N (CDSC fees deducted) 2.30% 2.20%
- -----------------------------------------------------------------------------
Lehman Brothers
1-3 Year
Government
Bond
Index 1.44% 1.45%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) LEHMAN 1-3 YR. GOVT.
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-03 $ 10,116 $ 10,016 $ 10,067
Jun-03 $ 10,320 $ 10,220 $ 10,144
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS 1-3 YEAR GOVERNMENT BOND INDEX IS
UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY
INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET
FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE
TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD
PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
15
<Page>
MASSMUTUAL SHORT-DURATION BOND FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
BONDS & NOTES--86.5%
ASSET BACKED SECURITIES--5.4%
America West
Airlines, Inc.
Series 1996-1, Class A
6.850% 07/02/2009 $ 1,648,244 $ 1,426,968
California
Infrastructure SCE-1
Series 1997-1, Class A5
6.280% 09/25/2005 51,042 51,648
California
Infrastructure SDG&E-1
Series 1997-1,
Class A5
6.190% 09/25/2005 63,698 64,481
Capital Auto Receivables
Asset Trust
Series 2003-1,
Class A2A
2.270% 01/17/2006 1,250,000 1,265,820
Delta Funding Home
Equity Loan Trust
Series 1999-2,
Class A5F
7.070% 11/15/2027 245,067 250,888
Ford Credit Auto
Owner Trust
Series 2002-B,
Class A3A
4.140% 12/15/2005 1,500,000 1,534,453
Ford Credit Auto
Owner Trust
Series 2003-A,
Class A3A
2.200% 07/17/2006 1,300,000 1,315,437
Massachusetts RRB
Special Purpose
Trust Series 1999-1,
Class A4
6.910% 09/15/2009 2,500,000 2,860,649
Metlife Capital
Equipment Loan Trust
Series 1997-A,
Class A
6.850% 05/20/2008 213,534 219,005
MMCA Automobile Trust
Series 2002-3,
Class A3
2.970% 03/15/2007 3,725,000 3,729,075
National City Auto
Receivables Trust
Series 2002-A,
Class A3
4.040% 07/15/2006 $ 3,500,000 $ 3,565,625
New Century Home
Equity Loan Trust
Series 1997-NC5,
Class A6
6.700% 10/25/2028 538,186 555,088
Oakwood Mortgage
Investors, Inc.
Series 2001-C, Class A2
5.920% 09/15/2017 1,792,039 1,648,676
Option One Mortgage
Securities Corp. Trust
Series 2002-2A,
Class CFTS~
8.830% 06/26/2032 82,577 82,552
Railcar Trust
Series 1992-1, Class A
7.750% 06/01/2004 214,710 221,722
Rental Car Finance Corp.
Series 1999-1A,
Class A~
5.900% 02/25/2007 1,000,000 1,035,469
--------------
TOTAL ASSET BACKED
SECURITIES
(COST $19,717,334) 19,827,556
==============
CORPORATE DEBT--63.5%
AOL Time Warner, Inc.
5.625% 05/01/2005 1,140,000 1,210,255
Apache Corp.
6.250% 04/15/2012 945,000 1,100,344
Aramark Services, Inc.
8.150% 05/01/2005 1,050,000 1,150,327
Arrow Electronics, Inc.
8.700% 10/01/2005 730,000 796,360
AT&T Wireless
Services, Inc.
7.500% 05/01/2007 235,000 270,889
Bank of America Corp.
5.250% 02/01/2007 500,000 549,393
Bear Stearns
Companies, Inc.
3.000% 03/30/2006 1,300,000 1,333,606
Bombardier Capital, Inc.~
7.500% 08/15/2004 410,000 423,325
Brascan Corp.
8.125% 12/15/2008 $ 500,000 $ 592,744
British Telecom PLC
8.375% 12/15/2010 1,125,000 1,422,764
Camden Property Trust
7.000% 11/15/2006 1,000,000 1,107,240
Capital One Bank
4.875% 05/15/2008 400,000 408,203
Cargill, Inc.~
4.375% 06/01/2013 1,250,000 1,246,434
CarrAmerica Realty Corp.
6.625% 03/01/2005 400,000 427,222
Cendant Corp.
7.375% 01/15/2013 1,650,000 1,942,880
Centerpoint Properties
Corp. Series MTNA
7.125% 03/15/2004 1,000,000 1,032,868
CenturyTel, Inc. Series E
6.150% 01/15/2005 1,000,000 1,062,890
Cinergy Corp.
6.250% 09/01/2004 1,000,000 1,049,974
CIT Group, Inc.
5.625% 05/17/2004 2,500,000 2,582,445
Citigroup, Inc.
4.875% 05/07/2015 665,000 683,921
Clear Channel
Communications, Inc.
4.250% 05/15/2009 885,000 896,062
CNF, Inc.
8.875% 05/01/2010 930,000 1,028,573
Comcast Corp.
5.850% 01/15/2010 625,000 687,686
Computer Associates
International, Inc.
6.375% 04/15/2005 750,000 795,000
Cox Enterprises, Inc.~
4.375% 05/01/2008 1,750,000 1,819,736
DaimlerChrysler NA
Holding Corp.
4.050% 06/04/2008 1,700,000 1,683,534
DaimlerChrysler NA
Holding Corp.
6.900% 09/01/2004 1,100,000 1,152,998
Dana Corp.
6.250% 03/01/2004 2,500,000 2,506,250
Dominion Resources, Inc.
2.800% 02/15/2005 500,000 506,597
Dominion Resources, Inc.
5.700% 09/17/2012 550,000 603,603
Dominion Resources, Inc.
7.820% 09/15/2004 1,000,000 1,071,904
</Table>
The accompanying notes are an integral part of the financial statements.
16
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
DPL, Inc.
8.250% 03/01/2007 $ 1,000,000 $ 1,134,030
Electronic Data
Systems Corp.~
6.000% 08/01/2013 650,000 633,685
Electronic Data
Systems Corp.
7.125% 10/15/2009 625,000 671,875
Emerald Investment
Grade CBO Limited~
1.967% 05/24/2011 1,989,568 1,865,220
Enbridge Energy
Partners LP~
4.750% 06/01/2013 425,000 425,649
Equifax, Inc.
4.950% 11/01/2007 500,000 529,402
ERAC USA Finance Co.~
8.250% 05/01/2005 1,000,000 1,103,808
FirstEnergy Corp.
Series A
5.500% 11/15/2006 300,000 321,597
Fiserv, Inc.~
4.000% 04/15/2008 500,000 514,901
FNMA (Benchmark Note)
5.500% 03/15/2011 55,500,000 62,948,710
FNMA (Benchmark Note)
6.000% 12/15/2005 35,000,000 38,666,950
FNMA (Benchmark Note)
6.500% 08/15/2004 32,500,000 34,437,767
Ford Motor Credit Co.
7.500% 03/15/2005 2,500,000 2,656,670
FPL Group Capital, Inc.
6.125% 05/15/2007 1,000,000 1,102,673
Franklin Resources, Inc.
3.700% 04/15/2008 400,000 409,330
GATX Financial Corp.
6.875% 12/15/2006 500,000 503,971
General American
Transportation Corp.
6.750% 03/01/2006 1,000,000 992,636
General Electric Co.
5.000% 02/01/2013 2,100,000 2,218,140
General Motors
Acceptance Corp.
6.125% 09/15/2006 1,000,000 1,052,803
General Motors Corp.
7.125% 07/15/2013 1,475,000 1,467,123
Goldman Sachs
Group, Inc.
4.125% 01/15/2008 725,000 761,868
Household Finance Corp.
6.375% 10/15/2011 650,000 739,091
Household Finance Corp.
6.375% 11/27/2012 1,500,000 1,708,689
Humana, Inc.
7.250% 08/01/2006 $ 500,000 $ 555,155
Idex Corp.
6.875% 02/15/2008 675,000 724,543
Ingersoll-Rand Co.
5.800% 06/01/2004 1,200,000 1,248,281
International
Game Technology
8.375% 05/15/2009 550,000 674,743
Jefferies Group, Inc.
7.500% 08/15/2007 250,000 279,423
Jefferies Group, Inc.
7.750% 03/15/2012 255,000 297,679
Jones Apparel Group, Inc.
7.875% 06/15/2006 1,000,000 1,145,532
Kinder Morgan Energy
Partners LP
5.350% 08/15/2007 1,000,000 1,089,930
Kreditanstalt
fuer Wiederaufbau
3.375% 01/23/2008 1,400,000 1,445,360
Lafarge Corp.
6.375% 07/15/2005 1,000,000 1,075,222
Mapco, Inc.
7.250% 03/01/2009 1,250,000 1,159,375
Merrill Lynch & Co., Inc.
Series MTNB
2.470% 03/10/2006 1,125,000 1,135,461
MGM Grand, Inc.
6.950% 02/01/2005 600,000 626,250
MidAmerican Energy
Holdings Co.~
3.500% 05/15/2008 1,270,000 1,276,831
National Rural
Utilities Cooperative
Finance Corp.
7.250% 03/01/2012 1,540,000 1,843,956
Newell Rubbermaid, Inc.
4.000% 05/01/2010 400,000 407,586
NiSource Finance Corp.
7.625% 11/15/2005 1,000,000 1,093,350
Norfolk Southern Corp.
7.350% 05/15/2007 1,000,000 1,165,238
Park Place
Entertainment Corp.
8.500% 11/15/2006 600,000 663,000
Raytheon Co.
6.300% 03/15/2005 500,000 534,017
Scholastic Corp.
5.750% 01/15/2007 1,000,000 1,093,414
Sealed Air Corp.~
5.625% 07/15/2013 350,000 353,059
Sony Capital Corp.~
4.950% 11/01/2006 650,000 703,516
SuperValu, Inc.
7.500% 05/15/2012 $ 1,500,000 $ 1,710,273
SuperValu, Inc.
7.625% 09/15/2004 1,000,000 1,054,491
Telefonica Europe BV
7.350% 09/15/2005 1,130,000 1,261,618
Textron Financial Corp.
7.125% 12/09/2004 3,500,000 3,737,762
TIAA Global Markets~
3.875% 01/22/2008 1,750,000 1,836,886
Tyson Foods, Inc.
8.250% 10/01/2011 175,000 207,204
Verizon Global
Funding Corp.
7.375% 09/01/2012 500,000 609,852
Verizon Global
Funding Corp.
Series MTNA
7.600% 03/15/2007 1,250,000 1,460,589
Verizon Virginia, Inc.
Series A
4.625% 03/15/2013 1,760,000 1,807,687
Vodafone Group PLC
5.375% 01/30/2015 800,000 854,392
Vulcan Materials Co.
5.750% 04/01/2004 5,000,000 5,128,054
Weyerhaeuser Co.
5.500% 03/15/2005 1,000,000 1,057,922
Williams Gas Pipelines
Central, Inc.~
7.375% 11/15/2006 500,000 537,500
WorldCom, Inc.*~~
6.500% 05/15/2004 2,000,000 590,000
--------------
TOTAL CORPORATE DEBT
(COST $216,639,455) 232,457,766
==============
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS--1.4%
COLLATERALIZED MORTGAGE OBLIGATIONS
Asset Securitization Corp.
Series 1995-MD4,
Class A1
7.100% 08/13/2029 1,362,974 1,484,521
CS First Boston Mortgage
Securities Corp.
Series 2002-H1N,
Class A~
8.000% 08/27/2032 259,205 254,021
GE Capital Commercial
Mortgage Corp.
Series 2002-1A,
Class A1
5.033% 12/10/2035 1,333,802 1,416,872
</Table>
The accompanying notes are an integral part of the financial statements.
17
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
Residential Funding
Mortgage Securities I
Series 1998-S12,
Class A8
6.750% 05/25/2028 $ 596,707 $ 596,707
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1~
5.323% 02/18/2034 1,479,289 1,561,992
--------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $5,134,697) 5,314,113
==============
U.S. GOVERNMENT AGENCY
OBLIGATIONS--7.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC)--1.5%
PASS-THROUGH SECURITIES
FHLMC
6.500% 08/01/2032 4,867,166 5,074,400
FHLMC
7.500% 06/01/2015 227,159 243,353
--------------
TOTAL PASS-THROUGH SECURITIES 5,317,753
==============
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA)--4.6%
PASS-THROUGH SECURITIES
FNMA
5.500% 09/01/2017-
05/01/2018 10,905,232 11,372,618
FNMA
6.420% 11/01/2008 1,088,974 1,243,363
FNMA
6.500% 05/01/2028-
09/01/2032 4,054,239 4,237,495
FNMA
8.000% 05/01/2013 6,948 7,275
FNMA
9.000% 10/01/2009 82,003 89,442
--------------
TOTAL PASS-THROUGH SECURITIES 16,950,193
==============
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA)--1.5%
PASS-THROUGH SECURITIES
GNMA
6.500% 09/15/2032 3,629,808 3,822,784
GNMA
7.500% 08/15/2029 1,419,668 1,518,102
GNMA
8.000% 01/15/2004-
11/15/2007 $ 213,522 $ 226,232
--------------
TOTAL PASS-THROUGH SECURITIES 5,567,118
--------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $27,453,192) 27,835,064
==============
U.S. TREASURY OBLIGATIONS--8.6%
U.S. Treasury Note
5.000% 02/15/2011 4,200,000 4,714,500
U.S. Treasury Note
6.500% 10/15/2006 23,275,000 26,740,792
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $29,827,272) 31,455,292
==============
TOTAL BONDS & NOTES
(COST $298,771,950) 316,889,791
==============
SHORT-TERM INVESTMENTS--14.3%
CASH EQUIVALENTS--1.2%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 98,908 98,908
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 77,566 77,566
Bayerische Hypo-und
Vereinsbank
Bank Note
1.530% 09/09/2003 494,539 494,539
Canadian Imperial Bank
of Commerce
Bank Note
1.500% 05/18/2004 494,539 494,539
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 98,908 98,908
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 299,881 299,881
Goldman Sachs Group,
Inc. Medium Term Note
1.130% 09/17/2003 49,454 49,454
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 385,741 385,741
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 74,181 74,181
Merrill Lynch Premier
Institutional Money
Market Fund $ 214,914 $ 214,914
Merrimac Money
Market Fund 808,572 808,572
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 247,270 247,270
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 197,816 197,816
National Bank
of Commerce
1.073% 11/19/2003 123,635 123,635
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 445,085 445,085
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 296,724 296,724
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 247,270 247,270
--------------
4,655,003
--------------
COMMERCIAL PAPER--12.5%
Autoliv ASP, Inc.
1.350% 08/20/2003 3,935,000 3,927,622
Boston Scientific Corp.
1.330% 07/25/2003 1,825,000 1,823,382
Carolina Power &
Light Co.
1.320% 08/26/2003 235,000 234,518
ConAgra Foods, Inc.
1.330% 07/01/2003 1,655,000 1,655,000
DaimlerChrysler NA
Holding Corp.
1.450% 08/22/2003 2,530,000 2,524,701
DaimlerChrysler NA
Holding Corp.
1.530% 07/21/2003 1,480,000 1,478,742
DaimlerChrysler NA
Holding Corp.
1.560% 07/15/2003 1,890,000 1,888,853
Florida Power Corp.
1.320% 07/28/2003 3,210,000 3,206,822
General Mills, Inc.
1.050% 07/24/2003 6,450,000 6,445,673
Honeywell
International, Inc.
1.050% 07/03/2003 3,255,000 3,254,810
Kinder Morgan, Inc.
1.050% 07/08/2003 455,000 454,907
</Table>
The accompanying notes are an integral part of the financial statements.
18
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
McCormick & Co., Inc.
1.250% 11/26/2003 $ 6,790,000 $ 6,755,107
McCormick & Co., Inc.
1.400% 08/26/2003 1,115,000 1,112,572
PACCAR Financial Corp.
1.190% 08/01/2003 1,450,000 1,448,514
Pearson Holdings, Inc.
1.350% 07/08/2003 110,000 109,971
Pearson Holdings, Inc.
1.380% 07/21/2003 3,035,000 3,032,673
Pearson, Inc.
1.150% 08/25/2003 2,610,000 2,605,414
Safeway, Inc.
1.070% 09/26/2003 3,765,000 3,753,035
--------------
45,712,316
--------------
DISCOUNT NOTES--0.6%
Federal Farm Credit Bank
1.300% 09/15/2003 2,125,000 2,120,182
--------------
TOTAL SHORT-TERM
INVESTMENTS
(Cost $52,488,716) 52,487,501
==============
TOTAL INVESTMENTS--100.8%
(Cost $351,260,666)*** 369,377,292
OTHER ASSETS/
(LIABILITIES)--(0.8%) (2,876,006)
==============
NET ASSETS--100.0% $ 366,501,286
==============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
~ 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.
~~ Security is currently in default.
The accompanying notes are an integral part of the financial statements.
19
<Page>
MASSMUTUAL SHORT-DURATION BOND FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $298,771,950) (NOTE 2) $ 316,889,791
Short-term investments (identified cost: $52,488,716) 52,487,501
---------------
Total Investments (including securities on loan with market
values of $4,550,994) 369,377,292
Cash 1,161
Receivables from:
Investments sold 62,384
Interest 3,762,336
---------------
Total assets 373,203,173
---------------
LIABILITIES:
Payables for:
Investments purchased 1,813,879
Securities on loan (NOTE 2) 4,655,003
Directors' fees and expenses (NOTE 3) 7,002
Affiliates (NOTE 3):
Investment management fees 124,207
Administration fees 70,073
Service fees 17,396
Accrued expense and other liabilities 14,327
---------------
Total liabilities 6,701,887
---------------
NET ASSETS $ 366,501,286
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 345,794,077
Undistributed net investment income 6,037,506
Accumulated net realized loss on investments (3,446,923)
Net unrealized appreciation on investments 18,116,626
---------------
$ 366,501,286
===============
NET ASSETS:
Class A $ 28,889,550
===============
Class L $ 162,135,250
===============
Class Y $ 36,791,907
===============
Class S $ 138,580,305
===============
Class N $ 104,274
===============
SHARES OUTSTANDING:
Class A 2,701,538
===============
Class L 15,164,245
===============
Class Y 3,427,983
===============
Class S 12,843,016
===============
Class N 9,796
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 10.69
===============
Class L $ 10.69
===============
Class Y $ 10.73
===============
Class S $ 10.79
===============
Class N $ 10.64
===============
</Table>
The accompanying notes are an integral part of the financial statements.
20
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Interest (including securities lending income of $276) $ 7,788,680
----------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 696,111
Custody fees 17,045
Audit and legal fees 10,839
Shareholder reporting fees 6,260
Directors' fees (NOTE 3) 3,717
Trustee reporting 2,609
----------------
736,581
Administration fees (NOTE 3):
Class A 40,358
Class L 231,273
Class Y 32,201
Class S 80,396
Class N 186
Service fees (NOTE 3):
Class A 31,858
Class N 127
Distribution fees (NOTE 3):
Class N 127
----------------
Total expenses 1,153,107
----------------
NET INVESTMENT INCOME 6,635,573
----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investment transactions (1,130,313)
Net change in unrealized appreciation (depreciation)
on investments 6,895,382
----------------
NET REALIZED AND UNREALIZED GAIN 5,765,069
----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 12,400,642
================
</Table>
The accompanying notes are an integral part of the financial statements.
21
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 6,635,573 $ 13,274,085
Net realized loss on investment transactions (1,130,313) (468,213)
Net change in unrealized appreciation (depreciation) on investments 6,895,382 10,466,777
----------------- -----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 12,400,642 23,272,649
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (811,483)
Class L - (5,682,472)
Class Y - (1,759,799)
Class S - (6,085,127)
----------------- -----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (14,338,881)
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 6,802,124 9,148,032
Class L 17,430,963 58,824,578
Class Y (7,331,992) 28,253,145
Class S (12,681,462) (21,362,713)
Class N - 101,000*
----------------- -----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 4,219,633 74,964,042
----------------- -----------------
TOTAL INCREASE IN NET ASSETS 16,620,275 83,897,810
NET ASSETS:
Beginning of period 349,881,011 265,983,201
----------------- -----------------
End of period (including undistributed net investment income of
$6,037,506 and distributions in excess of net investment income of
$598,067, respectively) $ 366,501,286 $ 349,881,011
================= =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
22
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99 12/31/98~
---------------- ---------- ----------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.34 $ 10.03 $ 9.98 $ 9.98 $ 10.31 $ 10.25
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.18*** 0.40*** 0.49*** 0.63*** 0.50*** 0.52***
Net realized and unrealized gain (loss)
on investments 0.17 0.32 0.10 (0.03) (0.24) 0.05
-------- -------- -------- -------- -------- --------
Total income from investment
operations 0.35 0.72 0.59 0.60 0.26 0.57
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.41) (0.54) (0.60) (0.58) (0.50)
From net realized gains - - - - (0.01) (0.01)
-------- -------- -------- -------- -------- --------
Total distributions - (0.41) (0.54) (0.60) (0.59) (0.51)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.69 $ 10.34 $ 10.03 $ 9.98 $ 9.98 $ 10.31
======== ======== ======== ======== ======== ========
TOTAL RETURN@ 3.38%** 7.19% 5.94% 6.04% 2.51% 5.75%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 28,890 $ 21,199 $ 11,473 $ 5,359 $ 134 $ 129
Net expenses to average daily net assets 0.99%* 0.99% 0.99% 0.99% 1.05% 1.20%
Net investment income to average daily
net assets 3.49%* 3.88% 4.67% 6.08% 4.81% 4.95%
Portfolio turnover rate 12%** 19% 24% 55% 59% 44%
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99+
---------------- ---------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.32 $ 10.01 $ 9.95 $ 9.92 $ 10.42
--------- --------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.19*** 0.43*** 0.51*** 0.63*** 0.38***
Net realized and unrealized gain (loss)
on investments 0.18 0.32 0.10 (0.00)++ (0.23)
--------- --------- -------- -------- --------
Total income from investment
operations 0.37 0.75 0.61 0.63 0.15
--------- --------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.44) (0.55) (0.60) (0.64)
From net realized gains - - - - (0.01)
--------- --------- -------- -------- --------
Total distributions - (0.44) (0.55) (0.60) (0.65)
--------- --------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.69 $ 10.32 $ 10.01 $ 9.95 $ 9.92
========= ========= ======== ======== ========
TOTAL RETURN@ 3.59%** 7.47% 6.16% 6.37% 1.48%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 162,135 $ 139,555 $ 77,789 $ 45,694 $ 1,524
Net expenses to average daily net assets 0.74%* 0.74% 0.74% 0.74% 0.75%*
Net investment income to average daily
net assets 3.74%* 4.13% 4.96% 6.14% 5.39%*
Portfolio turnover rate 12%** 19% 24% 55% 59%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
+ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
++ NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS IS LESS THAN $0.01 PER
SHARE.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES
AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE
CHARGES.
(a) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND
DISCOUNTS ON DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR
ENDED DECEMBER 31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME PER
SHARE OF $0.02, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND
LOSSES PER SHARE OF $0.02, AND A DECREASE OF THE RATIO OF NET
INVESTMENT INCOME TO AVERAGE NET ASSETS OF 0.20%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
23
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99 12/31/98~
---------------- ---------- ----------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.37 $ 10.05 $ 9.99 $ 9.96 $ 10.31 $ 10.24
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.20*** 0.44*** 0.53*** 0.65*** 0.57*** 0.57***
Net realized and unrealized gain (loss)
on investments 0.16 0.34 0.10 (0.01) (0.27) 0.06
-------- -------- -------- -------- -------- --------
Total income from investment
operations 0.36 0.78 0.63 0.64 0.30 0.63
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.46) (0.57) (0.61) (0.64) (0.55)
From net realized gains - - - - (0.01) (0.01)
-------- -------- -------- -------- -------- --------
Total distributions - (0.46) (0.57) (0.61) (0.65) (0.56)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.73 $ 10.37 $ 10.05 $ 9.99 $ 9.96 $ 10.31
======== ======== ======== ======== ======== ========
TOTAL RETURN@ 3.47%** 7.73% 6.35% 6.44% 3.04% 6.12%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 36,792 $ 42,750 $ 14,733 $ 6,644 $ 1,808 $ 269
Net expenses to average daily net assets 0.59%* 0.59% 0.59% 0.58% 0.61% 0.74%
Net investment income to average daily
net assets 3.89%* 4.24% 5.08% 6.26% 5.45% 5.40%
Portfolio turnover rate 12%** 19% 24% 55% 59% 44%
</Table>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99 12/31/98(1)
---------------- ---------- ----------- ---------- ---------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.41 $ 10.08 $ 10.01 $ 9.97 $ 10.30 $ 10.23
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.21*** 0.45*** 0.54*** 0.63*** 0.56*** 0.56
Net realized and unrealized gain (loss)
on investments 0.17 0.33 0.10 0.02 (0.24) 0.08
--------- --------- --------- --------- --------- ---------
Total income from investment
operations 0.38 0.78 0.64 0.65 0.32 0.64
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.45) (0.57) (0.61) (0.64) (0.56)
From net realized gains - - - - (0.01) (0.01)
--------- --------- --------- --------- --------- ---------
Total distributions - (0.45) (0.57) (0.61) (0.65) (0.57)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 10.79 $ 10.41 $ 10.08 $ 10.01 $ 9.97 $ 10.30
========= ========= ========= ========= ========= =========
TOTAL RETURN@ 3.65%** 7.75% 6.42% 6.48% 3.10% 6.29%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 138,580 $ 146,276 $ 161,988 $ 182,669 $ 211,137 $ 283,673
Net expenses to average daily net assets 0.54%* 0.54% 0.54% 0.54% 0.54% 0.55%
Net investment income to average daily
net assets 3.93%* 4.38% 5.19% 6.15% 5.34% 5.58%
Portfolio turnover rate 12%** 19% 24% 55% 59% 44%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
(1) CLASS S SHARES WERE PREVIOUSLY DESIGNATED AS CLASS 4 SHARES.
@ 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.
(a) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND
DISCOUNTS ON DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR
ENDED DECEMBER 31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME PER
SHARE OF $0.02, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND
LOSSES PER SHARE OF $0.02, AND A DECREASE OF THE RATIO OF NET
INVESTMENT INCOME TO AVERAGE NET ASSETS OF 0.20%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
24
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
----------------- -----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.30 $ 10.31
----------------- -----------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.17*** (0.00)***++
Net realized and unrealized gain (loss) on investments 0.17 (0.01)
----------------- -----------------
Total income (loss) from investment operations 0.34 (0.01)
----------------- -----------------
NET ASSET VALUE, END OF PERIOD $ 10.64 $ 10.30
================= =================
TOTAL RETURN@ 3.30%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 104 $ 101
Net expenses to average daily net assets 1.29%* -^
Net investment income to average daily net assets 3.19%* -^
Portfolio turnover rate 12%** 19%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
++ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES
AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE
CHARGES.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
25
<Page>
MASSMUTUAL CORE BOND FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL CORE BOND
FUND?
The objectives and policies of the Fund are to:
- - achieve a high total rate of return consistent with prudent investment risk
and the preservation of capital
- - invest primarily in a diversified portfolio of investment-grade, fixed
income securities
- - maintain duration that matches (within 10%) the duration of the Lehman
Brothers Aggregate Bond Index
- - diversify investments by industry, sector, maturity, issuer class, and
quality sectors to reduce risk of capital erosion
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
4.69%, outperforming the 3.93% return of the Lehman Brothers Aggregate Bond
Index, a proxy for taxable bond performance that primarily includes securities
from the Treasury, mortgage-backed, and corporate asset classes.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Geopolitics was the dominating concern during the first quarter, as an impending
war with Iraq loomed and, ultimately began, in early March. At the same time,
low consumer confidence and spending levels, higher unemployment figures and
government deficit issues all contributed to the further weakening of the
economy and the ongoing malaise in the markets. During the quarter, Corporate
America also began to take advantage of low interest rates to refinance debt and
put balance sheets in order.
In a dramatic turnaround, the second quarter of 2003 witnessed both the U.S.
equity and bond markets posting strong, positive returns. As the fighting in
Iraq drew to a swift close in April, a wave of optimism boosted the markets. The
Federal Reserve continued to stimulate the economy by cutting short-term rates
by an additional 25 basis points in June, the 13th rate cut since January 2001.
It is clear that the economy, in general, is improving, albeit at a slower rate
than many anticipated or hoped.
Over the quarter, we saw a continuation of the strong corporate bond performance
that has been in play since October 2002. Corporates, again, outperformed
Treasuries and corporate spreads tightened towards more conventional levels.
Treasuries and Agencies posted strong performance in May, but then declined
slightly in June as valuations may have become extended.
As has been the case for the last two quarters, the Fund's overweight position
in corporate bonds continued to be the primary factor driving our
outperformance. In another repeat from the first quarter of 2003, lower-rated
bonds continued to post strong returns and our higher-than-benchmark exposure to
triple-B rated bonds continued to serve the Fund well.
HOW DID YOU RESPOND TO THESE EVENTS?
During the first quarter, mortgages experienced some volatility, as investors'
flight to quality generated some relative cheapness versus Treasuries. We used
this opportunity to increase our previous underweight position in mortgages
during March, as they reached an attractive entry point on this short-term
weakness. At the same time, we took the opportunity to reduce our exposure to
cash and Treasuries.
During the second quarter, we maintained a significant overweight in corporates
(42.7%) as compared to the benchmark exposure (27.4%). We took this position in
anticipation of an improving economy. We also lightened up some of our corporate
bond exposures, where we saw spreads tighten and we feel the upside potential is
limited. With the proceeds from the sale of these bonds, we have increased our
Treasury exposure, where we continue to maintain an underweight position.
26
<Page>
WHAT IS YOUR OUTLOOK?
With the yield curve remaining steep, we have been structuring the portfolio in
a barbell style. Assuming an improving economy, we expect this strategy to
provide us with a yield advantage. We will continue to remain overweight in
corporates, as this sector should benefit in an ongoing recovery, and our
in-depth analysis identifies the abundant opportunities in this sector. Although
we currently have an overweight exposure to mortgages, we may look to trim some
positions in the third quarter.
While it is yet to be established whether the recent economic turnaround can be
sustained, we are optimistic for a recovery--albeit a somewhat muted one.
[CHART]
DURATION DIVERSIFICATION (6/30/03)
MASSMUTUAL CORE BOND FUND
AVERAGE DURATION = 3.85 YEARS
<Table>
LESS THAN 1 YEAR 31.20%
1-3 YEARS 27.90%
3-5 YEARS 13.90%
5-10 YEARS 15.50%
10-20 YEARS 11.50%
</Table>
[CHART]
QUALITY STRUCTURE (6/30/03)
MASSMUTUAL CORE BOND FUND
<Table>
U.S. GOVERNMENTS CASH EQUIVALENTS Aaa/AAA 58.10%
Aa/AA 4.40%
A/A 14.60%
Baa/BBB 21.60%
Ba/BB 0.60%
B/B 0.30%
Caa 0.40%
</Table>
27
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Core Bond Fund Class S and the Lehman
Brothers Aggregate Bond Index
MASSMUTUAL CORE BOND FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 10/3/94 - 6/30/03
Class S 4.69% 10.95% 6.80% 7.94%
- ------------------------------------------------------------------------------------------------------------------------
Lehman
Brothers
Aggregate
Bond Index 3.93% 10.40% 7.55% 8.37%
</Table>
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[CHART]
<Table>
<Caption>
CLASS S LEHMAN BROTHERS AGGREGATE
10/3/1994 $ 10,000 $ 10,000
Jun-95 $ 11,212 $ 11,186
Jun-96 $ 11,695 $ 11,748
Jun-97 $ 12,626 $ 12,705
Jun-98 $ 14,035 $ 14,044
Jun-99 $ 14,282 $ 14,486
Jun-00 $ 14,887 $ 15,148
Jun-01 $ 16,401 $ 16,849
Jun-02 $ 17,580 $ 18,303
Jun-03 $ 19,505 $ 20,206
</Table>
Hypothetical Investments in MassMutual Core Bond Fund Class A, Class Y and the
Lehman Brothers Aggregate Bond Index
MASSMUTUAL CORE BOND FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 1/1/98 - 6/30/03
Class A 4.47% 10.55% 6.34% 6.48%
Class Y 4.71% 10.96% 6.73% 6.89%
- ---------------------------------------------------------------------------------------------------------------------
Lehman
Brothers
Aggregate
Bond Index 3.93% 10.40% 7.55% 7.59%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS Y LEHMAN BROTHERS AGGREGATE
1/1/1998 $ 10,000 $ 10,000 $ 10,000
Jun-98 $ 10,380 $ 10,410 $ 10,393
Jun-99 $ 10,512 $ 10,575 $ 10,720
Jun-00 $ 10,918 $ 11,020 $ 11,209
Jun-01 $ 11,968 $ 12,132 $ 12,468
Jun-02 $ 12,770 $ 12,995 $ 13,544
Jun-03 $ 14,117 $ 14,419 $ 14,953
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS UNMANAGED AND
DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
28
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Core Bond Fund Class L and the Lehman
Brothers Aggregate Bond Index
MASSMUTUAL CORE BOND FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class L 4.63% 10.85% 7.16%
- ----------------------------------------------------------------------------------------------------
Lehman Brothers
Aggregate Bond
Index 3.93% 10.40% 8.00%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS L LEHMAN BROTHERS AGGREGATE
5/3/1999 $ 10,000 $ 10,000
Jun-99 $ 9,845 $ 9,881
Jun-00 $ 10,238 $ 10,332
Jun-01 $ 11,255 $ 11,493
Jun-02 $ 12,032 $ 12,484
Jun-03 $ 13,337 $ 13,782
</Table>
Hypothetical Investments in MassMutual Core Bond Fund Class N, Class N (CDSC
fees deducted) and the Lehman Brothers Aggregate Bond Index
MASSMUTUAL CORE BOND FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 4.30% 4.21%
Class N (CDSC fees deducted) 3.30% 3.21%
- --------------------------------------------------------------------------
Lehman Brothers
Aggregate Bond
Index 3.93% 3.84%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) LEHMAN BROTHERS AGGREGATE
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-03 $ 10,143 $ 10,043 $ 10,139
Jun-03 $ 10,421 $ 10,321 $ 10,393
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS UNMANAGED AND
DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
29
<Page>
MASSMUTUAL CORE BOND FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
-------------- --------------
EQUITIES -- 0.2%
AUTOMOTIVE & PARTS
General Motors Corp.
Series B
Convertible Preferred 125,000 $ 2,800,000
--------------
TOTAL EQUITIES
(COST $3,125,000) 2,800,000
==============
<Caption>
PRINCIPAL
AMOUNT
-----------
BONDS & NOTES -- 87.9%
ASSET BACKED SECURITIES -- 3.2%
America West
Airlines, Inc.
Series 1996-1, Class A
6.850% 07/02/2009 $ 3,708,550 3,210,677
Capital Auto Receivables
Asset Trust
Series 2003-1,
Class A2A
2.270% 01/17/2006 6,600,000 6,683,530
Community Program
Loan Trust
Series 1987-A,
Class A4
4.500% 10/01/2018 1,660,258 1,702,846
Conseco Finance
Securitizations Corp.
Series 2001-1,
Class A4
6.210% 07/01/2032 3,780,000 3,873,195
Conseco Finance
Securitizations Corp.
Series 2001-C,
Class AI4
6.190% 03/15/2030 4,000,000 4,209,892
Delta Funding Home
Equity Loan Trust
Series 1999-2,
Class A5F
7.070% 11/15/2027 1,345,769 1,377,731
Ford Credit Auto Owner
Trust Series 2001-B,
Class A5
5.360% 06/15/2005 7,759,000 7,989,349
Ford Credit Auto Owner
Trust Series 2003-A,
Class A3A
2.200% 07/17/2006 7,150,000 7,234,906
Metlife Capital
Equipment Loan Trust
Series 1997-A,
Class A
6.850% 05/20/2008 $ 533,834 $ 547,514
MMCA Automobile Trust
Series 2002-1,
Class A3
4.150% 05/15/2006 5,555,170 5,600,306
National City Auto
Receivables Trust
Series 2002-A,
Class A3
4.040% 07/15/2006 4,500,000 4,584,375
National City Auto
Receivables Trust
Series 2002-A,
Class A4
4.830% 08/15/2009 3,309,000 3,515,812
New Century Home
Equity Loan Trust
Series 1997-NC5,
Class A6
6.700% 10/25/2028 2,803,947 2,892,008
Oakwood Mortgage
Investors, Inc.
Series 2001-C,
Class A2
5.920% 09/15/2017 869,736 800,157
Option One Mortgage
Securities Corp. Trust
Series 2002-2A,
Class CFTS~
8.830% 06/26/2032 385,361 385,241
Railcar Trust
Series 1992-1,
Class A
7.750% 06/01/2004 250,495 258,675
Travelers Funding
Limited Series 1A,
Class A1~
6.300% 02/18/2014 2,953,520 2,953,520
Vanderbilt Mortgage
and Finance, Inc.
Series 2002-C,
Class A2
4.230% 02/07/2015 6,250,000 6,445,312
--------------
TOTAL ASSET BACKED SECURITIES
(COST $63,868,971) 64,265,046
==============
CORPORATE DEBT -- 42.4%
Albertson's, Inc.
7.750% 06/15/2026 $ 3,000,000 $ 3,519,933
Alcan
Aluminum Limited
6.250% 11/01/2008 2,500,000 2,882,260
Alliance Pipeline LP~
6.996% 12/31/2019 2,323,525 2,723,705
Amerada Hess Corp.
7.125% 03/15/2033 3,900,000 4,438,929
American General
Finance Corp.
5.875% 07/14/2006 2,800,000 3,089,584
Anheuser-Busch
Companies, Inc.*
6.800% 01/15/2031 5,000,000 6,063,120
AOL Time Warner, Inc.
7.700% 05/01/2032 2,455,000 2,866,046
Aramark Services, Inc.
6.750% 08/01/2004 1,600,000 1,678,795
Aramark Services, Inc.
7.000% 07/15/2006 625,000 694,018
Aramark Services, Inc.
8.150% 05/01/2005 1,895,000 2,076,067
Archer-Daniels-
Midland Co.*
7.000% 02/01/2031 5,030,000 6,077,890
Arrow Electronics, Inc.*
8.700% 10/01/2005 2,155,000 2,350,898
Arrow Electronics, Inc.
9.150% 10/01/2010 555,000 640,871
AT&T Broadband Corp.
8.375% 03/15/2013 163,000 204,769
AT&T Corp.
6.000% 03/15/2009 16,000 17,120
AT&T Corp.
8.500% 11/15/2031 1,290,000 1,462,717
AT&T Wireless
Services, Inc.
7.500% 05/01/2007 1,970,000 2,270,854
Avery-Dennison Corp.
6.000% 01/15/2033 2,145,000 2,284,335
Avnet, Inc.
8.000% 11/15/2006 95,000 101,175
Bank of America Corp.
5.250% 02/01/2007 2,155,000 2,367,884
Bank of America Corp.
7.400% 01/15/2011 6,075,000 7,463,818
Bank One Corp.
6.000% 08/01/2008 3,000,000 3,415,206
</Table>
The accompanying notes are an integral part of the financial statements.
30
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
Barrick Gold Corp.
7.500% 05/01/2007 $ 4,000,000 $ 4,682,664
Bear Stearns
Companies, Inc.*
3.000% 03/30/2006 5,595,000 5,739,636
Bemis Co., Inc.
6.500% 08/15/2008 2,485,000 2,855,881
BHP Finance
(USA) Limited
6.420% 03/01/2026 3,500,000 3,910,504
Boeing Capital Corp.
5.800% 01/15/2013 785,000 848,382
Boeing Capital Corp.
7.100% 09/27/2005 2,000,000 2,206,026
Bombardier
Capital, Inc.~
7.500% 08/15/2004 3,360,000 3,469,200
Boston Scientific Corp.*
6.625% 03/15/2005 6,300,000 6,780,526
Brascan Corp.
7.375% 03/01/2033 4,125,000 4,528,466
Brascan Corp.
8.125% 12/15/2008 2,540,000 3,011,142
BRE Properties, Inc.
7.450% 01/15/2011 2,500,000 2,961,480
British Telecom PLC
7.875% 12/15/2005 3,000,000 3,416,520
British Telecom PLC
8.875% 12/15/2030 6,150,000 8,392,081
Capital One Bank
4.875% 05/15/2008 2,040,000 2,081,836
Capital One Bank
Series BKNT
8.250% 06/15/2005 2,500,000 2,707,843
Capitol Records, Inc.~
8.375% 08/15/2009 5,500,000 5,523,369
Cargill, Inc.~
4.375% 06/01/2013 7,000,000 6,980,029
Carlisle Companies, Inc.
6.700% 05/15/2008 4,500,000 4,713,777
CarrAmerica Realty Corp.
6.625% 03/01/2005 2,135,000 2,280,297
Cendant Corp.
6.875% 08/15/2006 1,000,000 1,118,547
Cendant Corp.
7.375% 01/15/2013 5,460,000 6,429,166
CenturyTel, Inc. Series E
6.150% 01/15/2005 2,000,000 2,125,780
Champion
International Corp.
6.400% 02/15/2026 2,500,000 2,734,720
Chevron Phillips
Chemical Co. LLC
5.375% 06/15/2007 2,250,000 2,426,974
Cinergy Corp.
6.250% 09/01/2004 3,820,000 4,010,901
Cingular Wireless
5.625% 12/15/2006 $ 800,000 $ 876,896
CIT Group, Inc.
4.125% 02/21/2006 1,545,000 1,599,104
CIT Group, Inc.
6.875% 11/01/2009 5,000,000 5,671,685
CIT Group, Inc.
7.375% 04/02/2007 2,660,000 3,037,108
Citigroup, Inc.
4.875% 05/07/2015 3,700,000 3,805,272
Clear Channel
Communications, Inc.
6.875% 06/15/2018 1,000,000 1,157,799
CNF, Inc.
8.875% 05/01/2010 2,500,000 2,764,980
The Coca-Cola Co.
4.000% 06/01/2005 11,075,000 11,590,165
Colonial Pipeline Co.~
7.630% 04/15/2032 2,240,000 2,925,380
Comcast Cable
Communications, Inc.
6.375% 01/30/2006 2,860,000 3,120,952
Comcast Cable
Communications, Inc.
8.375% 05/01/2007 2,500,000 2,950,072
Comcast Corp.
5.850% 01/15/2010 1,545,000 1,699,960
Comcast Corp.
6.500% 01/15/2015 1,660,000 1,866,894
Cominco Limited
6.875% 02/15/2006 3,000,000 3,241,530
Commercial Credit Co.*
7.750% 03/01/2005 3,000,000 3,301,776
ConAgra Foods, Inc.
7.000% 10/01/2028 3,000,000 3,518,262
Conoco, Inc.
6.350% 04/15/2009 610,000 712,989
Conoco, Inc.*
6.950% 04/15/2029 4,015,000 4,830,667
Consolidated Natural
Gas Co. Series C
6.250% 11/01/2011 2,695,000 3,094,588
Continental Airlines,
Inc. Series 1996-2B
8.560% 07/02/2014 1,256,754 762,196
Cooper
Industries Limited
5.250% 07/01/2007 5,000,000 5,416,600
Countrywide Home
Loans, Inc.
3.500% 12/19/2005 5,000,000 5,160,660
Countrywide Home
Loans, Inc.
5.500% 08/01/2006 2,000,000 2,185,920
Countrywide Home
Loans, Inc.
5.500% 02/01/2007 $ 3,385,000 $ 3,705,939
Cox
Communications, Inc.
7.750% 08/15/2006 3,000,000 3,461,358
Cox
Communications, Inc.*
7.750% 11/01/2010 4,673,000 5,716,037
Cox Enterprises, Inc.~
4.375% 05/01/2008 4,450,000 4,627,328
CSX Corp.
7.250% 05/01/2027 4,000,000 4,761,412
DaimlerChrysler NA
Holding Corp.
4.050% 06/04/2008 5,660,000 5,605,177
DaimlerChrysler NA
Holding Corp.
6.900% 09/01/2004 5,800,000 6,079,444
DaimlerChrysler NA
Holding Corp.
7.300% 01/15/2012 1,250,000 1,409,739
Dana Corp.
6.250% 03/01/2004 2,500,000 2,506,250
Diageo Capital PLC
3.500% 11/19/2007 2,000,000 2,058,324
Dominion
Resources, Inc.
2.800% 02/15/2005 2,570,000 2,603,911
Dominion
Resources, Inc.
5.700% 09/17/2012 3,105,000 3,407,613
Dominion
Resources, Inc.
7.820% 09/15/2004 3,200,000 3,430,093
Donnelley (R.R.) &
Sons Co.
6.625% 04/15/2029 3,750,000 4,070,704
Dover Corp.
6.250% 06/01/2008 2,000,000 2,303,582
DPL, Inc.
8.250% 03/01/2007 3,120,000 3,538,174
Duke Energy Field
Services Corp.*
7.875% 08/16/2010 5,000,000 6,017,880
Electronic Data
Systems Corp.~
6.000% 08/01/2013 3,520,000 3,431,648
Electronic Data
Systems Corp.
7.125% 10/15/2009 3,200,000 3,440,000
Emerald Investment
Grade CBO Limited~
1.967% 05/24/2011 2,984,352 2,797,830
</Table>
The accompanying notes are an integral part of the financial statements.
31
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
Enbridge Energy
Partners LP~
4.750% 06/01/2013 $ 2,400,000 $ 2,403,665
Enterprise Products
Operating LP
7.500% 02/01/2011 4,995,000 5,987,217
Equifax, Inc.
4.950% 11/01/2007 2,090,000 2,212,902
ERAC USA Finance Co.~
6.750% 05/15/2007 4,500,000 5,039,136
ERAC USA Finance Co.~
6.625% 05/15/2006 1,800,000 1,985,310
FBG Finance Limited~
7.875% 06/01/2016 3,000,000 3,903,708
Federated Department
Stores, Inc.
7.450% 07/15/2017 1,500,000 1,839,978
FedEx Corp.
6.875% 02/15/2006 4,545,000 5,034,565
First Industrial LP
7.000% 12/01/2006 2,250,000 2,528,242
FirstEnergy Corp. Series A
5.500% 11/15/2006 1,340,000 1,436,465
Florida Gas
Transmission Co.~
8.630% 11/01/2004 2,000,000 2,128,108
Ford Motor Co.
6.375% 02/01/2029 4,320,000 3,492,919
Ford Motor Co.
7.450% 07/16/2031 5,684,000 5,206,913
Ford Motor Credit Co.*
5.750% 02/23/2004 11,650,000 11,893,182
Ford Motor Credit Co.*
7.375% 10/28/2009 5,000,000 5,241,560
Forte CDO (Cayman)
Limited Series A3-A~
7.011% 04/12/2013 1,500,000 1,402,500
France Telecom SA
10.000% 03/01/2031 11,850,000 2,559,910
Franklin Resources, Inc.
3.700% 04/15/2008 2,300,000 2,353,645
General American
Transportation Corp.
6.750% 03/01/2006 3,000,000 2,977,908
General American
Transportation Corp.
8.625% 12/01/2004 1,500,000 1,520,742
General Electric
Capital Corp.*
5.450% 01/15/2013 7,000,000 7,581,994
General Electric
Capital Corp.
5.875% 02/15/2012 3,040,000 3,400,568
General Electric Co.
5.000% 02/01/2013 5,375,000 5,677,381
General Mills, Inc.
8.900% 06/15/2006 $ 2,250,000 $ 2,659,383
General Motors
Acceptance Corp.*
6.125% 09/15/2006 9,780,000 10,296,413
General Motors
Acceptance Corp.*
6.875% 09/15/2011 5,000,000 5,016,685
General Motors Corp.
8.375% 07/15/2033 8,500,000 8,348,615
Goldman Sachs
Group, Inc.
4.125% 01/15/2008 3,715,000 3,903,915
Goodrich (B.F.) Co.
7.500% 04/15/2008 4,300,000 4,845,257
The Goodyear Tire &
Rubber Co.
8.500% 03/15/2007 2,735,000 2,311,075
Hearst-Argyle
Television, Inc.
7.000% 11/15/2007 2,000,000 2,236,388
Hershey Foods Corp.*
7.200% 08/15/2027 5,300,000 6,560,870\
Hilton Hotels Corp.
7.000% 07/15/2004 1,500,000 1,522,500
Household Finance Corp.
6.375% 10/15/2011 3,500,000 3,979,720
Household Finance Corp.
6.375% 11/27/2012 2,140,000 2,437,730
HSBC Holdings PLC
5.250% 12/12/2012 3,040,000 3,242,215
Humana, Inc.*
7.250% 08/01/2006 5,000,000 5,551,555
IBM Canada Credit
Services Corp.~
3.750% 11/30/2007 1,500,000 1,533,059
ICI Wilmington, Inc.
7.050% 09/15/2007 2,000,000 2,252,464
Idex Corp.
6.875% 02/15/2008 4,425,000 4,749,782
Imcera Group, Inc.*
6.000% 10/15/2003 1,000,000 1,001,250
International Flavors &
Fragrances, Inc.
6.450% 05/15/2006 3,500,000 3,907,586
International
Game Technology
8.375% 05/15/2009 3,135,000 3,846,037
Interpool, Inc.
7.350% 08/01/2007 2,000,000 1,975,000
Jefferies Group, Inc.
7.500% 08/15/2007 2,475,000 2,766,290
Jefferies Group, Inc.
7.750% 03/15/2012 2,200,000 2,568,212
Jones Apparel
Group, Inc.
7.875% 06/15/2006 $ 3,000,000 $ 3,436,596
Kern River
Funding Corp.~
4.893% 04/30/2018 5,125,000 5,273,113
KeySpan Corp.*
6.150% 06/01/2006 5,000,000 5,558,340
KeySpan Gas East Corp.
Series MTNA
6.900% 01/15/2008 649,000 748,821
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 3,757,000 4,464,496
Kinder Morgan Energy
Partners LP
5.350% 08/15/2007 4,440,000 4,839,289
Kreditanstalt
fuer Wiederaufbau
3.375% 01/23/2008 5,435,000 5,611,094
The Kroger Co.
7.000% 05/01/2018 1,800,000 2,095,141
Lafarge Corp.
6.375% 07/15/2005 2,000,000 2,150,444
Lehman Brothers
Holdings, Inc.
5.875% 11/15/2017 4,000,000 4,517,920
Leucadia National Corp.
7.750% 08/15/2013 2,500,000 2,678,125
Liberty Media Corp.*
8.250% 02/01/2030 5,300,000 6,117,408
Lockheed Martin Corp.
8.500% 12/01/2029 4,360,000 5,926,086
Marriott International,
Inc. Series E
7.000% 01/15/2008 4,950,000 5,658,231
Marsh & McLennan
Companies, Inc.
6.250% 03/15/2012 2,170,000 2,473,550
Marsh & McLennan
Companies, Inc.
7.125% 06/15/2009 2,000,000 2,399,152
Masco Corp.
6.750% 03/15/2006 5,000,000 5,569,645
MBNA America
Bank NA~
7.750% 09/15/2005 5,000,000 5,573,505
Meritor Automotive, Inc.
6.800% 02/15/2009 4,000,000 4,175,000
Merrill Lynch & Co., Inc.
Series MTNB
2.470% 03/10/2006 7,025,000 7,090,325
MidAmerican Energy
Holdings Co.~
3.500% 05/15/2008 7,100,000 7,138,191
</Table>
The accompanying notes are an integral part of the financial statements.
32
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
Miller (Herman), Inc.
7.125% 03/15/2011 $ 3,000,000 $ 3,211,581
Millipore Corp.
7.500% 04/01/2007 3,750,000 3,975,000
Mobil Corp.*
8.625% 08/15/2021 4,500,000 6,266,826
Mohawk Industries,
Inc. Series D
7.200% 04/15/2012 2,175,000 2,548,719
Morgan Stanley Dean
Witter & Co.*
5.625% 01/20/2004 5,500,000 5,579,062
Motorola, Inc.
6.500% 11/15/2028 2,650,000 2,689,750
Motorola, Inc.
6.750% 02/01/2006 3,000,000 3,270,000
National Rural
Utilities Cooperative
Finance Corp.
8.000% 03/01/2032 5,510,000 7,106,109
Newell Rubbermaid, Inc.
4.000% 05/01/2010 2,000,000 2,037,930
News America
Holdings, Inc.
9.250% 02/01/2013 3,000,000 4,006,083
News America, Inc.
6.750% 01/09/2038 2,000,000 2,221,916
Norfolk Southern Corp.*
7.050% 05/01/2037 5,000,000 5,823,655
Nortel Networks Limited
6.125% 02/15/2006 1,040,000 1,008,800
North Finance
(Bermuda) Limited~
7.000% 09/15/2005 2,000,000 2,178,186
Northern Natural
Gas Co.~
7.000% 06/01/2011 1,000,000 1,192,474
Nucor Corp.
4.875% 10/01/2012 2,000,000 2,074,466
Nucor Corp.~
6.000% 01/01/2009 775,000 860,968
Oak Hill Securities
Fund II~
8.920% 10/15/2006 2,800,000 3,042,080
Park Place
Entertainment Corp.~
7.000% 04/15/2013 2,000,000 2,140,000
Park Place
Entertainment Corp.
7.500% 09/01/2009 2,175,000 2,381,625
Park Place
Entertainment Corp.
8.500% 11/15/2006 550,000 607,750
Precision Castparts Corp.
8.750% 03/15/2005 4,951,000 5,308,358
ProLogis Trust
7.000% 10/01/2003 $ 1,025,000 $ 1,040,209
Qwest Capital
Funding, Inc.
7.750% 02/15/2031 3,840,000 2,995,200
Qwest Corp.~
8.875% 03/15/2012 2,455,000 2,743,463
Raytheon Co.
6.300% 03/15/2005 2,000,000 2,136,068
Raytheon Co.
6.500% 07/15/2005 3,000,000 3,261,207
Raytheon Co.
6.750% 08/15/2007 2,500,000 2,829,857
Reliant Energy Resources
Corp. Series B
8.125% 07/15/2005 4,750,000 5,145,077
Republic Services, Inc.
7.125% 05/15/2009 3,750,000 4,425,067
Rock-Teen Co.
8.200% 08/15/2011 2,500,000 3,041,220
Ryder System, Inc.
6.600% 11/15/2005 3,800,000 4,126,245
Scholastic Corp.
7.000% 12/15/2003 3,000,000 3,074,094
Sealed Air Corp.~
5.625% 07/15/2013 1,900,000 1,916,606
Simon Property Group LP
6.875% 11/15/2006 1,500,000 1,692,113
Simon Property Group LP
7.375% 01/20/2006 3,850,000 4,324,459
Solutia, Inc.
6.720% 10/15/2037 1,570,000 1,256,000
Sony Capital Corp.~
4.950% 11/01/2006 3,305,000 3,577,107
Southern Natural Gas Co.
7.350% 02/15/2031 2,250,000 2,289,375
Sprint Capital Corp.
6.900% 05/01/2019 2,000,000 2,094,896
Sprint Capital Corp.
7.125% 01/30/2006 1,000,000 1,094,427
Sprint Capital Corp.
8.375% 03/15/2012 2,655,000 3,178,877
SunTrust Banks, Inc.
5.545% 12/01/2017 2,500,000 2,741,910
SuperValu, Inc.*
7.875% 08/01/2009 7,000,000 8,161,265
Telefonica Europe BV
7.350% 09/15/2005 3,900,000 4,354,256
Temple-Inland, Inc.
Series MTND*
8.125% 12/15/2006 5,320,000 5,958,453
Tenet Healthcare Corp.
6.375% 12/01/2011 1,950,000 1,833,000
Tenet Healthcare Corp.
6.500% 06/01/2012 2,440,000 2,263,100
Textron Financial Corp.
Series MTNE
5.950% 03/15/2004 $ 4,985,000 $ 5,120,816
Thomas & Betts Corp.*
8.250% 01/15/2004 2,500,000 2,575,000
The Thomson Corp.
6.200% 01/05/2012 2,650,000 3,033,940
TIAA Global Markets~
3.875% 01/22/2008 5,820,000 6,108,957
Time Warner
Companies, Inc.*
7.570% 02/01/2024 1,500,000 1,697,790
Time Warner
Companies, Inc.
7.750% 06/15/2005 2,800,000 3,073,000
Times Mirror Co.
7.450% 10/15/2009 3,600,000 4,426,700
Toro Co.
7.800% 06/15/2027 4,070,000 4,475,677
Trains 5-2002~
5.936% 01/25/2007 4,580,000 5,017,976
Trains 10-2002~
6.961% 01/15/2012 4,380,000 5,078,636
Tyco International
Group SA
6.375% 02/15/2006 4,220,000 4,399,350
Tyco International
Group SA
6.375% 10/15/2011 3,065,000 3,233,575
Tyson Foods, Inc.
8.250% 10/01/2011 940,000 1,112,980
Union Tank Car Co.
6.790% 05/01/2010 4,800,000 5,544,859
United Air Lines, Inc.
Series 91B~~
10.110% 02/19/2006 561,918 56,192
UPM-Kymmene
OYJ Corp.~
7.450% 11/26/2027 5,000,000 5,874,140
US Airways, Inc.
Class B** ~~
7.500% 04/15/2008 1,304,522 26,090
Verizon Global
Funding Corp.
4.000% 01/15/2008 165,000 172,264
Verizon Global
Funding Corp.
7.375% 09/01/2012 3,490,000 4,256,770
Verizon Global
Funding Corp.
7.750% 12/01/2030 3,435,000 4,350,349
Verizon Global Funding
Corp. Series MTNA*
7.600% 03/15/2007 5,000,000 5,842,355
</Table>
The accompanying notes are an integral part of the financial statements.
33
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
Verizon Virginia, Inc.
Series A
4.625% 03/15/2013 $ 6,500,000 $ 6,676,118
VF Corp.
8.100% 10/01/2005 1,750,000 1,966,722
Vodafone Group PLC
5.375% 01/30/2015 4,115,000 4,394,779
Vulcan Materials Co.
6.000% 04/01/2009 4,000,000 4,520,776
Wells Fargo & Co.
5.125% 02/15/2007 5,305,000 5,803,543
Westvaco Corp.
7.650% 03/15/2027 2,780,000 3,334,026
Westvaco Corp.
8.400% 06/01/2007 970,000 1,138,889
Weyerhaeuser Co.
5.500% 03/15/2005 4,835,000 5,115,053
Weyerhaeuser Co.
5.950% 11/01/2008 4,000,000 4,475,360
Williams Gas Pipelines
Central, Inc.~
7.375% 11/15/2006 2,750,000 2,956,250
WorldCom, Inc.** ~~
6.500% 05/15/2004 1,500,000 442,500
WorldCom, Inc.** ~ ~~
7.375% 01/15/2006 5,000,000 1,475,000
WorldCom, Inc.** ~~
7.500% 05/15/2011 220,000 64,900
WorldCom, Inc.** ~~
8.000% 05/15/2006 200,000 59,000
WorldCom, Inc.** ~~
8.250% 05/15/2031 2,240,000 660,800
WPP Finance (USA) Corp.
6.625% 07/15/2005 3,275,000 3,458,105
York International Corp.
6.625% 08/15/2006 2,400,000 2,592,154
--------------
TOTAL CORPORATE DEBT
(COST $789,561,804) 849,400,910
==============
MUNICIPAL OBLIGATIONS -- 0.5%
GENERAL OBLIGATIONS
Illinois State
Taxable Pension
5.100% 06/01/2033 9,950,000 9,784,532
--------------
TOTAL MUNICIPAL
OBLIGATIONS
(COST $9,950,000) 9,784,532
==============
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 2.8%
COLLATERALIZED MORTGAGE OBLIGATIONS
Asset Securitization Corp.
Series 1995-MD4,
Class A1*
7.100% 08/13/2029 $ 3,576,940 $ 3,895,922
Bank of America Large
Loan Series 2001-FMA,
Class A2~
6.490% 12/13/2016 1,900,000 2,152,506
CS First Boston Mortgage
Securities Corp.
Series 1998-C2,
Class A1
5.960% 11/11/2030 1,899,118 2,048,032
CS First Boston Mortgage
Securities Corp.
Series 2002-H1N,
Class A~
8.000% 08/27/2032 1,181,670 1,158,036
GMAC Mortgage Corp.
Loan Trust
Series 2001-J5,
Class A7
6.750% 11/25/2031 3,150,000 3,211,655
GSR Mortgage Loan
Trust Series 2002-8F,
Class 3AA1
6.500% 09/25/2032 2,989,085 3,047,579
Master Asset
Securitization Trust
Series 2002-6,
Class 6A1
6.500% 10/25/2032 6,595,172 6,765,205
Merrill Lynch Mortgage
Investors, Inc.
Series 1998-C1,
Class A1
6.310% 11/15/2026 2,053,795 2,137,149
Morgan Stanley Dean
Witter Capital I
Series 2001-280,
Class A1~
6.148% 02/03/2011 3,328,649 3,684,303
Residential Accredit
Loans, Inc.
Series 1996-QS5,
Class M2
8.000% 09/25/2026 2,492,789 2,492,789
Residential Accredit
Loans, Inc.
Series 2000-QS8,
Class A4
8.000% 07/25/2030 4,511,083 4,559,176
Residential Funding
Mortgage Securities I
Series 1998-S9,
Class 1A1
6.500% 04/25/2013 $ 295,360 $ 295,294
Salomon Brothers
Mortgage Securities
Series 1997-TZH,
Class B~
7.491% 03/25/2022 3,000,000 3,285,907
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1~
5.323% 02/18/2034 6,497,193 6,860,432
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B~
6.920% 02/03/2014 3,000,000 3,331,781
Structured Asset
Securities Corp.
Series 1998-ALS2,
Class 1A
6.750% 03/25/2029 2,261,197 2,316,488
Vendee Mortgage Trust
Series 1992-1,
Class 2Z
7.750% 05/15/2022 4,410,204 5,048,410
--------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $54,629,401) 56,290,664
==============
SOVEREIGN DEBT OBLIGATIONS -- 0.6%
Chile Government
International Bond
5.500% 01/15/2013 2,910,000 3,078,780
Government of
Quebec Series PJ
6.125% 01/22/2011 5,000,000 5,817,525
United Mexican States
8.300% 08/15/2031 2,500,000 2,878,750
--------------
TOTAL SOVEREIGN DEBT
OBLIGATIONS
(COST $10,474,859) 11,775,055
==============
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 31.5%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 8.8%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.4%
FHLMC
Series 1337, Class D
6.000% 08/15/2007 369,119 382,833
</Table>
The accompanying notes are an integral part of the financial statements.
34
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
FHLMC
Series 1460, Class H
7.000% 05/15/2007 $ 116,772 $ 117,012
FHLMC
Series 2178, Class PB
7.000% 08/15/2029 5,600,000 6,063,030
FHLMC
Series B, Class 3
12.500% 09/30/2013 28,071 27,834
FHLMC
Series W067, Class A
6.420% 12/01/2005 727,859 799,849
--------------
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS 7,390,558
==============
PASS-THROUGH SECURITIES -- 8.4%
FHLMC
6.000% 06/01/2016-
06/01/2033 106,952,750 111,073,310
FHLMC
6.500% 05/01/2016-
08/01/2032 30,900,201 32,320,449
FHLMC
7.000% 07/01/2029-
10/01/2031 12,848,231 13,499,176
FHLMC
7.500% 06/01/2015-
01/01/2031 5,491,499 5,858,863
FHLMC
8.000% 03/01/2015-
08/01/2015 4,736,454 5,061,717
FHLMC
8.250% 05/01/2017 403,080 439,850
FHLMC
8.500% 11/01/2025 590,524 653,692
FHLMC
9.000% 03/01/2017 51,182 56,257
--------------
TOTAL PASS-THROUGH SECURITIES 168,963,314
==============
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) 176,353,872
==============
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 13.1%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.2%
FNMA Series 1989-20,
Class A
6.750% 04/25/2018 3,232,334 3,441,438
--------------
PASS-THROUGH SECURITIES -- 12.9%
FNMA
5.500% 04/01/2016-
03/01/2032 96,402,007 100,406,144
FNMA
6.000% 10/01/2028-
02/01/2029 $ 4,967,158 $ 5,174,576
FNMA
6.420% 11/01/2008 6,013,028 6,865,528
FNMA
6.500% 05/01/2017-
11/01/2032 125,876,533 131,621,119
FNMA
7.000% 07/01/2032 2,207,830 2,330,468
FNMA
7.500% 06/01/2031-
10/01/2031 2,854,114 3,040,858
FNMA
8.000% 05/01/2013-
09/01/2031 7,357,672 7,945,512
FNMA
8.500% 08/01/2026 818,778 904,235
--------------
TOTAL PASS-THROUGH SECURITIES 258,288,440
==============
TOTAL FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA) 261,729,878
==============
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 9.5%
PASS-THROUGH SECURITIES
GNMA
6.000% 08/15/2028-
03/15/2033 92,983,932 97,709,476
GNMA
6.500% 09/15/2023-
09/15/2032 57,073,168 60,177,759
GNMA
7.000% 08/15/2023-
07/15/2032 19,784,833 20,984,194
GNMA
7.250% 07/20/2021-
07/20/2022 5,216,422 5,585,884
GNMA
7.500% 01/15/2017-
06/15/2017 1,498,657 1,604,521
GNMA
8.000% 02/15/2004-
11/15/2030 3,923,902 4,211,593
GNMA
9.000% 12/15/2004-
10/15/2009 24,854 26,480
--------------
TOTAL PASS-THROUGH SECURITIES 190,299,907
==============
OTHER AGENCIES -- 0.1%
PASS-THROUGH SECURITIES
New Valley Generation IV
4.687% 01/15/2022 $ 2,675,000 $ 2,777,693
--------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $622,559,603) 631,161,350
==============
U.S. TREASURY OBLIGATIONS -- 6.9%
U.S. TREASURY BONDS -- 6.8%
U.S. Treasury Bond
3.000% 11/15/2007 5,510,000 5,683,048
U.S. Treasury Bond
4.375% 08/15/2012 7,640,000 8,191,513
U.S. Treasury Bond
6.125% 11/15/2027 16,000,000 19,480,000
U.S. Treasury Bond
6.125% 08/15/2029 32,460,000 39,656,992
U.S. Treasury Bond*
7.125% 02/15/2023 4,350,000 5,831,719
U.S. Treasury Bond*
7.500% 11/15/2016 17,690,000 24,027,994
U.S. Treasury Bond*
8.875% 08/15/2017 21,800,000 32,989,530
--------------
TOTAL U.S. TREASURY BONDS 135,860,796
==============
U.S. TREASURY NOTES -- 0.1%
U.S. Treasury Note
5.500% 05/15/2009 1,640,000 1,889,075
--------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $126,405,057) 137,749,871
--------------
TOTAL BONDS & NOTES
(COST $1,677,449,695) 1,760,427,428
==============
TOTAL LONG TERM INVESTMENTS
(COST $1,680,574,695) 1,763,227,428
==============
SHORT-TERM INVESTMENTS -- 14.3%
CASH EQUIVALENTS -- 3.4%***
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 1,438,041 1,438,041
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 1,127,744 1,127,744
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 7,190,203 7,190,203
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 7,190,203 7,190,203
</Table>
35
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 $ 1,438,041 $ 1,438,041
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 4,360,029 4,360,029
Goldman Sachs
Group, Inc. Medium
Term Note
1.130% 09/17/2003 719,020 719,020
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 5,608,359 5,608,359
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 1,078,531 1,078,531
Merrill Lynch Premier
Institutional Money
Market Fund 3,124,676 3,124,676
Merrimac Money
Market Fund 11,755,983 11,755,983
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 3,595,102 3,595,102
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 2,876,081 2,876,081
National Bank
of Commerce
1.073% 11/19/2003 1,797,551 1,797,551
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 6,471,183 6,471,183
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 4,314,122 4,314,122
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 3,595,102 3,595,102
---------------
67,679,971
---------------
COMMERCIAL PAPER -- 9.9%
Boston Scientific Corp.
1.130% 08/19/2003 4,665,000 4,657,825
Boston Scientific Corp.
1.330% 07/25/2003 4,270,000 4,266,214
Burlington Northern
Santa Fe Corp.
1.310% 07/02/2003 10,000,000 9,999,636
Campbell Soup Co.
1.060% 07/24/2003 6,000,000 5,995,937
Carolina Power &
Light Co.
1.320% 08/26/2003 6,265,000 6,252,136
CIT Group, Inc.
1.250% 07/28/2003 $ 9,675,000 $ 9,665,930
CIT Group, Inc.
1.250% 07/30/2003 6,785,000 6,778,168
Coca-Cola
Enterprises, Inc.*
1.210% 07/14/2003 5,780,000 5,777,474
DaimlerChrysler NA
Holding Corp.
1.210% 08/15/2003 3,995,000 3,988,958
DaimlerChrysler NA
Holding Corp.
1.450% 08/11/2003 8,470,000 8,456,013
DaimlerChrysler NA
Holding Corp.
1.480% 07/08/2003 225,000 224,935
Elsevier Finance SA
1.100% 07/03/2003 7,130,000 7,129,564
General Electric
Capital Corp.
1.200% 08/21/2003 8,000,000 7,986,400
General Mills, Inc.
1.130% 08/08/2003 5,395,000 5,388,565
General Mills, Inc.
1.320% 07/21/2003 5,150,000 5,146,223
Johnson & Johnson
1.200% 07/15/2003 7,085,000 7,081,694
Kellogg Co.
1.320% 07/29/2003 10,000,000 9,989,733
KeySpan Corp.
1.290% 07/18/2003 10,000,000 9,993,908
KeySpan Corp.
1.290% 08/14/2003 8,400,000 8,386,756
KeySpan Corp.
1.300% 07/07/2003 5,200,000 5,198,873
Kinder Morgan, Inc.
1.200% 07/22/2003 4,200,000 4,197,060
Marsh & McLennan
Companies, Inc.
1.220% 07/01/2003 7,000,000 7,000,000
McCormick & Co., Inc.
1.000% 11/26/2003 8,900,000 8,852,113
McCormick & Co., Inc.
1.320% 08/18/2003 5,000,000 4,991,200
The McGraw-Hill
Companies, Inc.
1.180% 08/12/2003 8,510,000 8,498,285
MeadWestvaco Corp.
1.170% 07/16/2003 8,000,000 7,996,100
Newell Rubbermaid, Inc.
1.100% 09/18/2003 8,000,000 7,976,889
Pearson Holdings, Inc.
1.150% 07/17/2003 6,000,000 5,996,933
Pearson Holdings, Inc.
1.370% 07/08/2003 3,275,000 3,274,127
Wisconsin Electric
Power Co.
1.000% 07/10/2003 $ 8,000,000 $ 7,998,000
---------------
199,145,649
---------------
DISCOUNT NOTES -- 0.9%
Federal Home Loan Bank
1.135% 08/20/2003 6,165,000 6,155,282
Federal Home Loan Bank
1.140% 07/09/2003 4,855,000 4,853,770
Federal Home Loan Bank
1.140% 08/01/2003 530,000 529,480
Federal Home Loan Bank
1.160% 07/16/2003 905,000 904,562
Federal Home Loan Bank
1.175% 07/23/2003 4,875,000 4,871,499
---------------
17,314,593
---------------
U.S. TREASURY BILLS -- 0.1%
U.S. Treasury Bill
1.090% 07/10/2003 2,250,000 2,249,386
---------------
TOTAL SHORT-TERM
INVESTMENTS
(COST $286,404,697) 286,389,599
===============
TOTAL INVESTMENTS -- 102.4%
(COST $1,966,979,392)**** 2,049,617,027
OTHER ASSETS/
(LIABILITIES) -- (2.4%) (47,436,851)
===============
NET ASSETS -- 100.0% $ 2,002,180,176
===============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* All or a portion of this security is segregated to cover forward purchase
commitments. (NOTE 2).
** Non-income producing security.
*** Represents investments of security lending collateral. (NOTE 2).
**** Aggregate cost for Federal tax purposes. (NOTE 7).
~ 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.
~~ Security is currently in default.
The accompanying notes are an integral part of the financial statements.
36
<Page>
MASSMUTUAL CORE BOND FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $1,680,574,695) (NOTE 2) $ 1,763,227,428
Short-term investments, at value (cost $286,404,697) (NOTE 2) 286,389,599
---------------
Total Investments (including securities on loan with market values of $66,032,901) 2,049,617,027
Cash 12,233
Receivables from:
Investments sold 24,311,545
Interest and dividends 20,535,374
Settlement of investments purchased on a commitment basis (NOTE 2) 211,911
---------------
Total assets 2,094,688,090
---------------
LIABILITIES:
Payables for:
Investments purchased 23,553,610
Securities on loan (NOTE 2) 67,679,971
Directors' fees and expenses (NOTE 3) 28,700
Affiliates (NOTE 3):
Investment management fees 820,423
Administration fees 261,819
Service fees 125,958
Accrued expense and other liabilities 37,433
---------------
Total liabilities 92,507,914
---------------
NET ASSETS $ 2,002,180,176
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 1,857,679,753
Undistributed net investment income 35,048,460
Accumulated net realized gain on investments and forward commitments 26,602,417
Net unrealized appreciation on investments and forward commitments 82,849,546
---------------
$ 2,002,180,176
===============
NET ASSETS:
Class A $ 206,907,667
===============
Class L $ 356,710,345
===============
Class Y $ 160,601,460
===============
Class S $ 1,277,854,845
===============
Class N $ 105,859
===============
SHARES OUTSTANDING:
Class A 17,715,499
===============
Class L 30,386,907
===============
Class Y 13,635,183
===============
Class S 108,083,087
===============
Class N 9,101
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 11.68
===============
Class L $ 11.74
===============
Class Y $ 11.78
===============
Class S $ 11.82
===============
Class N $ 11.63
===============
</Table>
The accompanying notes are an integral part of the financial statements.
37
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends $ 82,031
Interest (including securities lending income of $69,591) 43,207,484
---------------
Total investment income 43,289,515
---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 4,665,785
Custody fees 101,158
Shareholder reporting fees 34,752
Directors' fees (NOTE 3) 20,270
Audit and legal fees 17,654
Trustee reporting 2,609
---------------
4,842,228
Administration fees (NOTE 3):
Class A 276,421
Class L 485,907
Class Y 118,428
Class S 586,493
Class N 175
Service fees (NOTE 3):
Class A 235,693
Class N 128
Distribution fees (NOTE 3):
Class N 128
---------------
Total expenses 6,545,601
---------------
NET INVESTMENT INCOME 36,743,914
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investment transactions and forward commitments 27,361,678
Net change in unrealized appreciation (depreciation) on investments and forward
commitments 26,015,155
---------------
NET REALIZED AND UNREALIZED GAIN 53,376,833
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 90,120,747
===============
</Table>
The accompanying notes are an integral part of the financial statements.
38
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 36,743,914 $ 69,607,395
Net realized gain on investment transactions and forward commitments 27,361,678 8,602,681
Net change in unrealized appreciation (depreciation) on investments
and forward commitments 26,015,155 47,655,900
----------------- -----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 90,120,747 125,865,976
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (5,928,124)
Class L - (11,402,171)
Class Y - (6,944,459)
Class S - (50,695,976)
----------------- -----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (74,970,730)
----------------- -----------------
From net realized gains:
Class A - (346,562)
Class L - (644,172)
Class Y - (379,696)
Class S - (2,750,659)
----------------- -----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - (4,121,089)
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 41,623,847 92,670,603
Class L 51,737,675 106,633,057
Class Y (19,939,523) 61,253,835
Class S (33,255,947) 332,349,191
Class N 589 101,000*
----------------- -----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 40,166,641 593,007,686
----------------- -----------------
TOTAL INCREASE IN NET ASSETS 130,287,388 639,781,843
NET ASSETS:
Beginning of period 1,871,892,788 1,232,110,945
----------------- -----------------
End of period (including undistributed net investment income of
$35,048,460 and distributions in excess of net investment income of
$1,695,454, respectively) $ 2,002,180,176 $ 1,871,892,788
================= =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
39
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99 12/31/98~
---------------- ---------- ----------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.18 $ 10.76 $ 10.65 $ 10.12 $ 11.06 $ 10.85
---------- --------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.19*** 0.48*** 0.56*** 0.65*** 0.62*** 0.59***
Net realized and unrealized gain (loss)
on investments 0.31 0.42 0.21 0.42 (0.89) 0.25
---------- --------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.50 0.90 0.77 1.07 (0.27) 0.84
---------- --------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.45) (0.57) (0.54) (0.66) (0.52)
From net realized gains - (0.03) (0.09) - (0.01) (0.11)
---------- --------- -------- -------- -------- --------
Total distributions - (0.48) (0.66) (0.54) (0.67) (0.63)
---------- --------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 11.68 $ 11.18 $ 10.76 $ 10.65 $ 10.12 $ 11.06
========== ========= ======== ======== ======== ========
TOTAL RETURN@ 4.47%** 8.28% 7.32% 10.62% (2.43)% 7.75%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 206,908 $ 156,727 $ 61,179 $ 13,435 $ 576 $ 141
Net expenses to average daily net
assets 1.04%* 1.04% 1.05% 1.04% 1.07% 1.20%
Net investment income to average daily
net assets 3.41%* 4.34% 5.03% 6.02% 5.70% 5.26%
Portfolio turnover rate 61%** 187% 68% 39% 61% 51%
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99+
---------------- ---------- ----------- ---------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.22 $ 10.79 $ 10.66 $ 10.11 $ 10.97
---------- --------- --------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.21*** 0.52*** 0.60*** 0.66*** 0.44***
Net realized and unrealized gain (loss)
on investments 0.31 0.40 0.21 0.44 (0.61)
---------- --------- --------- -------- --------
Total income (loss) from investment
operations 0.52 0.92 0.81 1.10 (0.17)
---------- --------- --------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.46) (0.59) (0.55) (0.68)
From net realized gains - (0.03) (0.09) - (0.01)
---------- --------- --------- -------- --------
Total distributions - (0.49) (0.68) (0.55) (0.69)
---------- --------- --------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 11.74 $ 11.22 $ 10.79 $ 10.66 $ 10.11
========== ========= ========= ======== ========
TOTAL RETURN@ 4.63%** 8.49% 7.62% 10.85% (1.52)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 356,710 $ 289,553 $ 174,896 $ 66,686 $ 2,361
Net expenses to average daily net assets 0.79%* 0.79% 0.80% 0.79% 0.80%*
Net investment income to average daily
net assets 3.66%* 4.62% 5.32% 6.21% 6.11%*
Portfolio turnover rate 61%** 187% 68% 39% 61%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
+ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
@ 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.
(a) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND
DISCOUNT ON DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR
ENDED DECEMBER 31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME OF
$0.01 PER SHARE, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND
LOSSES OF $0.01 PER SHARE AND A DECREASE OF THE RATIO OF NET
INVESTMENT INCOME TO AVERAGE NET ASSETS OF 0.09%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
40
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99 12/31/98~
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.25 $ 10.82 $ 10.68 $ 10.12 $ 11.06 $ 10.86
---------------- ---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.22*** 0.54*** 0.62*** 0.68*** 0.68*** 0.65***
Net realized and unrealized gain (loss)
on investments 0.31 0.40 0.21 0.43 (0.92) 0.25
---------------- ---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.53 0.94 0.83 1.11 (0.24) 0.90
---------------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.48) (0.60) (0.55) (0.69) (0.59)
From net realized gains - (0.03) (0.09) - (0.01) (0.11)
---------------- ---------- ---------- ---------- ---------- ----------
Total distributions - (0.51) (0.69) (0.55) (0.70) (0.70)
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 11.78 $ 11.25 $ 10.82 $ 10.68 $ 10.12 $ 11.06
================ ========== ========== ========== ========== ==========
TOTAL RETURN@ 4.71%** 8.61% 7.84% 11.01% (2.16)% 8.25%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 160,601 $ 172,997 $ 108,395 $ 49,579 $ 19,471 $ 400
Net expenses to average daily net assets 0.64%* 0.64% 0.65% 0.64% 0.65% 0.74%
Net investment income to average daily
net assets 3.83%* 4.79% 5.49% 6.37% 6.29% 5.73%
Portfolio turnover rate 61%** 187% 68% 39% 61% 51%
</Table>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99 12/31/98(1)
---------------- ------------ ----------- ---------- ---------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.29 $ 10.85 $ 10.70 $ 10.14 $ 11.06 $ 10.81
------------ ------------ --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income 0.22*** 0.54*** 0.63*** 0.68*** 0.66*** 0.67***
Net realized and unrealized gain
(loss) on investments 0.31 0.41 0.21 0.43 (0.89) 0.24
------------ ------------ --------- --------- --------- ---------
Total income (loss) from
investment operations 0.53 0.95 0.84 1.11 (0.23) 0.91
------------ ------------ --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.48) (0.60) (0.55) (0.68) 0.56)
From net realized gains - (0.03) (0.09) - (0.01) (0.10)
------------ ------------ --------- --------- --------- ---------
Total distributions - (0.51) (0.69) (0.55) (0.69) (0.66)
------------ ------------ --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 11.82 $ 11.29 $ 10.85 $ 10.70 $ 10.14 $ 11.06
============ ============ ========= ========= ========= =========
TOTAL RETURN@ 4.69%** 8.71% 7.92% 10.99% (2.08)% 8.44%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,277,855 $ 1,252,515 $ 887,641 $ 758,554 $ 594,002 $ 709,459
Net expenses to average daily net
assets 0.59%* 0.59% 0.60% 0.59% 0.57% 0.55%
Net investment income to average
daily net assets 3.86%* 4.83% 5.61% 6.38% 6.07% 5.92%
Portfolio turnover rate 61%** 187% 68% 39% 61% 51%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
(1) CLASS S SHARES WERE PREVIOUSLY DESIGNATED AS CLASS 4 SHARES.
@ 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.
(a) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND
DISCOUNT ON DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR
ENDED DECEMBER 31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME OF
$0.01 PER SHARE, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND
LOSSES OF $0.01 PER SHARE AND A DECREASE OF THE RATIO OF NET
INVESTMENT INCOME TO AVERAGE NET ASSETS OF 0.09%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
41
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02+
---------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.15 $ 11.16
--------------- -------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.18*** (0.00)***++
Net realized and unrealized gain (loss) on investments 0.30 (0.01)
--------------- -------------
Total income (loss) from investment operations 0.48 (0.01)
--------------- -------------
NET ASSET VALUE, END OF PERIOD $ 11.63 $ 11.15
=============== =============
TOTAL RETURN@ 4.30%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 106 $ 101
Net expenses to average daily net assets 1.34%* -^
Net investment income to average daily net assets 3.11%* -^
Portfolio turnover rate 61%** 187%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
+ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
++ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
@ 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.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
42
<Page>
MASSMUTUAL DIVERSIFIED BOND FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL DIVERSIFIED
BOND FUND?
The objectives and policies of the Fund are to:
- - achieve a superior total rate of return by investing in fixed-income
instruments
- - invest in a diversified portfolio of fixed-income securities across the
credit quality spectrum, including investment-grade and high-yield issues
- - maintain duration within 10% of the duration of the Lehman Brothers
Aggregate Bond Index, with an average credit quality of at least BBB-
- - diversify investments by industry, sector, maturity, issuer class, and
quality sectors to reduce risk of capital erosion
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
5.94%, well ahead of the 3.93% return of the Lehman Brothers Aggregate Bond
Index, a proxy for taxable bond performance that primarily includes securities
from the Treasury, mortgage-backed, and corporate asset classes.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Geopolitics was the dominating concern during the first quarter, as an impending
war with Iraq loomed and, ultimately began, in early March. At the same time,
low consumer confidence and spending levels, higher unemployment figures and
government deficit issues all contributed to the further weakening of the
economy and the ongoing malaise in the markets. Against this backdrop,
Treasuries rallied through the end of February and the beginning of March, and
then substantially lost ground after the outbreak of war. By the end of the
quarter, they had made no gains from December levels, despite the rally.
As the economy's problems persisted, Corporate America began to take advantage
of low interest rates to refinance debt and put balance sheets in order. This
trend has helped corporate bonds outperform Treasuries since October 2002--and
has improved investor sentiment toward corporates. Mortgages joined corporates
in outperforming Treasuries during the quarter, but to a lesser extent than
corporates.
During the first quarter, corporate bonds, which were overweighted in the
portfolio, performed strongly. In addition, our overweight exposure to the
lower-rated BBB corporates provided positive returns. High-yield securities,
those rated below BBB, also performed well, and we increased our exposure to
this asset class. Mortgages, on the other hand, had a more volatile quarter, as
investors' flight to quality generated some relative cheapness versus
Treasuries. We used this opportunity to increase our previous underweight
position in mortgages, as they reached an attractive entry point on this
short-term weakness.
In a dramatic turnaround, the second quarter of 2003 witnessed both the U.S.
equity and bond markets posting strong returns. As the fighting in Iraq drew to
a swift close in April, a wave of optimism boosted the markets. The Federal
Reserve continued to stimulate the economy by cutting short-term rates by an
additional 25 basis points in June, the 13th rate cut since January 2001. Over
the quarter, we saw a continuation of the strong corporate bond performance that
has been in play since October 2002. Corporates, again, outperformed Treasuries
and corporate spreads tightened towards more conventional levels.
As has been the case for the previous two quarters, the Fund's overweight
position in corporate bonds continued to be the primary factor driving our
outperformance. Since the quarter's end, we have been reducing some of our
corporate bond exposure where we have seen spreads tighten and where we feel
upside potential is limited.
In another repeat from the first quarter of 2003, lower-rated bonds continued to
post strong performance and our junk bond exposure also served us well, as that
sector of the market posted very strong returns. It is unlikely we will increase
this exposure much more, as we seek to maintain a minimum BBB rating for the
overall portfolio.
43
<Page>
Mortgage-backed securities also posted positive returns for the second quarter.
We took this opportunity to increase our exposure to higher-coupon mortgages,
which had become undervalued by the end of the second quarter.
WHAT IS YOUR OUTLOOK?
With the yield curve remaining steep, we have been structuring the portfolio in
a barbell style. Given an improving economy, this strategy should provide us
with a yield advantage. We will continue to remain overweight in corporates, as
this sector should benefit as a recovery continues.
While it is yet to be established whether the recent economic turnaround can be
sustained, we are optimistic for a recovery--albeit a somewhat muted one.
[CHART]
DURATION DIVERSIFICATION (6/30/03)
MASSMUTUAL DIVERSIFIED
BOND FUND
AVERAGE DURATION=3.82 YEARS
<Table>
< 1 YEAR 26.60%
1-3 YEARS 26.30%
3-5 YEARS 18.30%
5-10 YEARS 19.00%
10-20 YEARS 9.80%
</Table>
[CHART]
QUALITY STRUCTURE (6/30/03)
MASSMUTUAL DIVERSIFIED
BOND FUND
<Table>
U.S. Governments Cash Equivalents Aaa/AAA 47.30%
Aa/AA 1.90%
A/A 11.10%
Baa/BBB 19.90%
Ba/BB 6.70%
B/B 9.70%
Caa 2.50%
NR 0.90%
</Table>
44
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Diversified Bond Fund Class S, Class A,
Class Y, Class L and the Lehman Brothers Aggregate Bond Index
MASSMUTUAL DIVERSIFIED BOND FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class S 5.94% 12.20% 6.81%
Class A 5.78% 11.70% 6.35%
Class Y 5.95% 12.20% 6.74%
Class L 5.88% 12.01% 6.58%
- -----------------------------------------------------------------------
Lehman Brothers
Aggregate
Bond Index 3.93% 10.40% 8.00%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
LEHMAN BROTHERS
CLASS S CLASS A CLASS Y CLASS L AGGREGATE
5/3/1999 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/1999 $ 9,890 $ 9,880 $ 9,890 $ 9,890 $ 9,881
6/30/2000 $ 10,226 $ 10,175 $ 10,214 $ 10,202 $ 10,332
6/30/2001 $ 11,073 $ 10,967 $ 11,044 $ 11,014 $ 11,493
6/30/2002 $ 11,725 $ 11,568 $ 11,690 $ 11,638 $ 12,484
6/30/2003 $ 13,155 $ 12,921 $ 13,116 $ 13,036 $ 13,782
</Table>
Hypothetical Investments in MassMutual Diversified Bond Fund Class N, Class N
(CDSC fees deducted) and the Lehman Brothers Aggregate Bond Index
MASSMUTUAL DIVERSIFIED BOND FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 5.59% 5.48%
Class N (CDSC
fees deducted) 4.59% 4.48%
- ------------------------------------------------------------------------------
Lehman Brothers
Aggregate
Bond Index 3.93% 3.84%
</Table>
<Table>
<Caption>
LEHMAN BROTHERS
CLASS N CLASS N (CDSC FEES DEDUCTED) AGGREGATE
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 10,150 $ 10,050 $ 10,139
6/30/2003 $ 10,548 $ 10,448 $ 10,393
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS UNMANAGED AND
DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
45
<Page>
MASSMUTUAL DIVERSIFIED BOND FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
-------------- --------------
EQUITIES -- 0.3%
AUTOMOTIVE & PARTS -- 0.2%
General Motors Corp.
Series B
Convertible Preferred 6,250 $ 140,000
--------------
COMMUNICATIONS -- 0.1%
Allstream, Inc. Cl. A
Voting Shares* 31 1,054
Allstream, Inc. Cl. B
Limited Voting Shares* 1,719 58,276
--------------
59,330
--------------
FINANCIAL SERVICES -- 0.0%
Contifinancial Corp.
Liquidating Trust 114,845 2,297
--------------
TOTAL EQUITIES
(COST $473,237) 201,627
==============
<Caption>
PRINCIPAL
AMOUNT
--------------
BONDS & NOTES -- 96.7%
ASSET BACKED SECURITIES -- 4.2%
Capital Auto Receivables
Asset Trust
Series 2003-1, Class A2A
2.270% 01/17/2006 $ 225,000 227,848
Conseco Finance
Securitizations Corp.
Series 2001-1, Class A4
6.210% 07/01/2032 110,000 112,712
Ford Credit Auto Owner
Trust Series 2003-A,
Class A3A
2.200% 07/17/2006 250,000 252,969
MMCA Automobile Trust
Series 2002-3, Class A3
2.970% 03/15/2007 800,000 800,875
National City Auto
Receivables Trust
Series 2002-A, Class A4
4.830% 08/15/2009 400,000 425,000
New Century Home
Equity Loan Trust
Series 1997-NC5,
Class A6
6.700% 10/25/2028 94,182 97,140
Oakwood Mortgage
Investors, Inc.
Series 2001-C, Class A2
5.920% 09/15/2017 $ 286,726 $ 263,788
Travelers Funding Limited
Series 1A, Class A1~
6.300% 02/18/2014 476,374 476,374
Vanderbilt Mortgage and
Finance, Inc.
Series 2002-C, Class A2
4.230% 02/07/2015 300,000 309,375
--------------
TOTAL ASSET BACKED
SECURITIES
(COST $2,980,291) 2,966,081
==============
CORPORATE DEBT -- 54.1%
AEP Industries, Inc.
9.875% 11/15/2007 200,000 184,000
AES Corp.~
8.750% 05/15/2013 175,000 182,000
AES Corp.
8.875% 02/15/2011 41,000 40,077
AES Corp.~
8.875% 11/01/2027 250,000 205,000
AES Corp.~
9.000% 05/15/2015 55,000 57,475
Ahold Finance USA, Inc.
6.250% 05/01/2009 225,000 209,812
Airgas, Inc. Series MTN
7.140% 03/08/2004 20,000 20,275
Airgas, Inc. Series MTN
7.750% 09/15/2006 105,000 109,200
Alamosa Delaware, Inc.
12.500% 02/01/2011 200,000 164,000
ALARIS Medical
Systems, Inc.
7.250% 07/01/2011 45,000 45,563
Albertson's, Inc.
7.500% 02/15/2011 250,000 292,065
Allied Waste
North America,
Inc. Series B
10.000% 08/01/2009 200,000 212,500
Amerada Hess Corp.
7.125% 03/15/2033 110,000 125,201
American Greetings Corp.
6.100% 08/01/2028 110,000 112,200
American Media, Inc.~
8.875% 01/15/2011 75,000 81,187
American Standard, Inc.
7.375% 02/01/2008 140,000 154,700
Ametek, Inc.
7.200% 07/15/2008 $ 110,000 $ 121,137
AOL Time Warner, Inc.
5.625% 05/01/2005 50,000 53,081
AOL Time Warner, Inc.
7.700% 05/01/2032 100,000 116,743
Aramark Services, Inc.
7.000% 07/15/2006 200,000 222,086
Aramark Services, Inc.
8.150% 05/01/2005 55,000 60,255
Archer-Daniels-Midland Co.
7.000% 02/01/2031 200,000 241,666
Arrow Electronics, Inc.
8.700% 10/01/2005 85,000 92,727
AT&T Corp.
8.500% 11/15/2031 30,000 34,017
AT&T Wireless
Services, Inc.
7.500% 05/01/2007 30,000 34,582
Avery-Dennison Corp.
6.000% 01/15/2033 70,000 74,547
Avnet, Inc.
8.000% 11/15/2006 20,000 21,300
Ball Corp.
6.875% 12/15/2012 75,000 79,500
Bally Total Fitness
Holding Corp. Series D
9.875% 10/15/2007 250,000 228,125
Bausch & Lomb, Inc.
6.950% 11/15/2007 135,000 142,594
Bear Stearns
Companies, Inc.
3.000% 03/30/2006 210,000 215,429
Bergen Brunswig Corp.
7.250% 06/01/2005 100,000 106,250
Boeing Capital Corp.
5.800% 01/15/2013 150,000 162,111
Boeing Capital Corp.
7.100% 09/27/2005 50,000 55,151
Bombardier Capital, Inc.~
7.500% 08/15/2004 60,000 61,950
Bombardier, Inc.~
6.750% 05/01/2012 200,000 205,000
Boston Scientific Corp.
6.625% 03/15/2005 250,000 269,068
Brascan Corp.
7.375% 03/01/2033 125,000 137,226
Brascan Corp.
8.125% 12/15/2008 75,000 88,912
Briggs & Stratton Corp.
8.875% 03/15/2011 100,000 115,500
</Table>
The accompanying notes are an integral part of the financial statements.
46
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
British Sky
Broadcasting PLC
8.200% 07/15/2009 $ 100,000 $ 118,500
British Telecom PLC
8.875% 12/15/2030 250,000 341,142
Calpine Corp.
7.750% 04/15/2009 75,000 55,500
CanWest Media, Inc.~
7.625% 04/15/2013 50,000 53,125
Capital One Bank
4.875% 05/15/2008 75,000 76,538
Capitol Records, Inc.~
8.375% 08/15/2009 250,000 251,062
Cargill, Inc.~
4.375% 06/01/2013 250,000 249,287
CarrAmerica Realty Corp.
6.625% 03/01/2005 70,000 74,764
Cendant Corp.
6.875% 08/15/2006 75,000 83,891
Cendant Corp.
7.375% 01/15/2013 150,000 176,625
CenterPoint Energy, Inc.~
3.750% 05/15/2023 50,000 51,750
Cincinnati Milacron, Inc.
8.375% 03/15/2004 75,000 73,125
Cinergy Corp.
6.250% 09/01/2004 150,000 157,496
CIT Group, Inc.
4.125% 02/21/2006 275,000 284,630
CIT Group, Inc.
7.375% 04/02/2007 75,000 85,633
Citigroup, Inc.
4.875% 05/07/2015 130,000 133,699
CNF, Inc.
8.875% 05/01/2010 85,000 94,009
The Coca-Cola Co.
4.000% 06/01/2005 100,000 104,652
Coca-Cola
Enterprises, Inc.
6.950% 11/15/2026 75,000 90,323
Collins & Aikman Products
10.750% 12/31/2011 125,000 110,000
Collins & Aikman Products
11.500% 04/15/2006 125,000 98,125
Colonial Pipeline Co.~
7.630% 04/15/2032 65,000 84,888
Comcast Cable
Communications, Inc.
6.375% 01/30/2006 140,000 152,774
Comcast Corp.
5.850% 01/15/2010 50,000 55,015
Comcast Corp.
6.500% 01/15/2015 160,000 179,942
Computer Associates
International, Inc.
6.375% 04/15/2005 $ 75,000 $ 79,500
Conoco, Inc.
6.950% 04/15/2029 120,000 144,379
Consolidated Natural Gas
Co. Series C
6.250% 11/01/2011 75,000 86,120
Constellation Brands, Inc.
8.000% 02/15/2008 200,000 219,500
Cooperative
Computing, Inc.~
10.500% 06/15/2011 475,000 486,875
Countrywide Home
Loans, Inc.
5.500% 02/01/2007 275,000 301,073
Cox Communications, Inc.
7.750% 11/01/2010 135,000 165,133
Cox Enterprises, Inc.~
4.375% 05/01/2008 450,000 467,932
CSC Holdings, Inc.
7.625% 04/01/2011 500,000 505,000
CSC Holdings,
Inc. Series B
8.125% 08/15/2009 100,000 102,500
CSX Corp.
6.250% 10/15/2008 250,000 285,478
DaimlerChrysler NA
Holding Corp.
4.050% 06/04/2008 100,000 99,031
DaimlerChrysler NA
Holding Corp.
6.900% 09/01/2004 150,000 157,227
DaimlerChrysler NA
Holding Corp.
7.300% 01/15/2012 100,000 112,779
Dana Corp.
6.250% 03/01/2004 250,000 250,625
Dean Foods Co.
6.625% 05/15/2009 250,000 260,000
Del Monte Corp.~
8.625% 12/15/2012 25,000 26,500
Delhaize America, Inc.
8.125% 04/15/2011 150,000 164,250
Dominion Resources, Inc.
2.800% 02/15/2005 100,000 101,319
Dominion Resources, Inc.
5.700% 09/17/2012 125,000 137,182
Dominion Resources, Inc.
7.820% 09/15/2004 120,000 128,628
Dominos, Inc.~
8.250% 07/01/2011 125,000 129,063
DPL, Inc.
8.250% 03/01/2007 140,000 158,764
Duke Energy Corp.
1.750% 05/15/2023 $ 100,000 $ 104,375
Duke Energy Field
Services Corp.
7.875% 08/16/2010 255,000 306,912
Ecolab, Inc.
6.875% 02/01/2011 135,000 158,519
Electronic Data
Systems Corp.~
6.000% 08/01/2013 125,000 124,557
Electronic Data
Systems Corp.
7.125% 10/15/2009 105,000 112,875
Elgin National Industries,
Inc. Series B
11.000% 11/01/2007 125,000 53,750
Enbridge Energy
Partners LP~
4.750% 06/01/2013 75,000 75,115
Enterprise Products
Operating LP
7.500% 02/01/2011 140,000 167,810
Equifax, Inc.
4.950% 11/01/2007 75,000 79,410
ERAC USA Finance Co.~
6.800% 02/15/2008 100,000 114,074
Esterline
Technologies Corp.~
7.750% 06/15/2013 50,000 51,250
FairPoint
Communications, Inc.~
11.875% 03/01/2010 175,000 203,000
FedEx Corp.
6.875% 02/15/2006 150,000 166,157
FirstEnergy Corp. Series A
5.500% 11/15/2006 35,000 37,520
Fiserv, Inc.~
4.000% 04/15/2008 100,000 102,980
Flextronics
International Limited~
6.500% 05/15/2013 250,000 240,625
Florida Power & Light Co.
5.850% 02/01/2033 150,000 160,698
Ford Motor Co.
6.375% 02/01/2029 165,000 133,410
Ford Motor Co.
7.450% 07/16/2031 145,000 132,829
Ford Motor Credit Co.
6.875% 02/01/2006 150,000 159,090
Ford Motor Credit Co.
7.250% 10/25/2011 150,000 154,211
Ford Motor Credit Co.
7.375% 10/28/2009 100,000 104,831
</Table>
The accompanying notes are an integral part of the financial statements.
47
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
Foster's Finance Corp.~
6.875% 06/15/2011 $ 160,000 $ 189,195
France Telecom SA
10.000% 03/01/2031 60,000 83,024
Franklin Resources, Inc.
3.700% 04/15/2008 75,000 76,749
General American
Transportation Corp.
8.625% 12/01/2004 140,000 141,936
General Electric
Capital Corp.
5.875% 02/15/2012 160,000 178,977
General Electric Co.
5.000% 02/01/2013 320,000 338,002
General Motors
Acceptance Corp.
6.125% 09/15/2006 400,000 421,121
General Motors Corp.
7.200% 01/15/2011 150,000 151,189
General Motors Corp.
8.375% 07/15/2033 120,000 117,863
Georgia Gulf Corp.
7.625% 11/15/2005 110,000 114,400
Global Crossing
Holding Limited*~~
9.500% 11/15/2009 100,000 4,500
Goldman Sachs Group, Inc.
4.125% 01/15/2008 145,000 152,374
Goodrich (B.F.) Co.
7.500% 04/15/2008 100,000 112,680
Healthsouth Corp.*~~
7.625% 06/01/2012 125,000 96,875
Hearst-Argyle
Television, Inc.
7.000% 11/15/2007 50,000 55,910
Hercules, Inc.
11.125% 11/15/2007 60,000 69,600
Hershey Foods Corp.
7.200% 08/15/2027 160,000 198,064
Highwoods Properties, Inc.
7.000% 12/01/2006 250,000 268,765
Home Depot
Exchangeable Trust~
1.000% 02/14/2006 100,000 98,000
Host Marriott LP Series E
8.375% 02/15/2006 100,000 103,500
Houghton Mifflin Co.~
8.250% 02/01/2011 100,000 105,500
Houghton Mifflin Co.~
9.875% 02/01/2013 50,000 54,250
Household Finance Corp.
6.375% 10/15/2011 180,000 204,671
Household Finance Corp.
6.375% 11/27/2012 70,000 79,739
HSBC Holdings PLC
5.250% 12/12/2012 $ 100,000 $ 106,652
Humana, Inc.
7.250% 08/01/2006 100,000 111,031
Idex Corp.
6.875% 02/15/2008 135,000 144,909
Imax Corp.
7.875% 12/01/2005 400,000 396,000
Ingersoll-Rand Co.
5.800% 06/01/2004 150,000 156,035
Insight Midwest LP/Insight
Capital, Inc.~
9.750% 10/01/2009 125,000 132,188
International Flavors &
Fragrances, Inc.
6.450% 05/15/2006 125,000 139,557
International
Game Technology
7.875% 05/15/2004 150,000 156,750
International
Game Technology
8.375% 05/15/2009 95,000 116,547
Interpool, Inc.
7.350% 08/01/2007 100,000 98,750
Intrawest Corp.
9.750% 08/15/2008 250,000 260,938
Jefferies Group, Inc.
7.500% 08/15/2007 50,000 55,885
Jefferies Group, Inc.
7.750% 03/15/2012 200,000 233,474
JL French Automotive
Casting Series B*~~
11.500% 06/01/2009 125,000 72,500
Kansas City
Southern Railway
9.500% 10/01/2008 125,000 139,688
Kansas Gas & Electric Co.
7.600% 12/15/2003 100,000 101,125
Kennametal, Inc.
7.200% 06/15/2012 100,000 109,444
Kern River Funding Corp.~
4.893% 04/30/2018 175,000 180,057
KeySpan Gas East
Corp. Series MTNA
6.900% 01/15/2008 125,000 144,226
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 130,000 154,481
Kinder Morgan
Energy Partners LP
5.350% 08/15/2007 150,000 163,489
Kinder Morgan
Energy Partners LP
7.400% 03/15/2031 100,000 120,803
The Kroger Co.
7.650% 04/15/2007 $ 250,000 $ 286,795
LaBranche & Co., Inc.
12.000% 03/02/2007 150,000 171,000
Land O' Lakes, Inc.
8.750% 11/15/2011 250,000 200,000
Lear Corp. Series B
7.960% 05/15/2005 150,000 160,875
Leucadia National Corp.~
7.000% 08/15/2013 200,000 201,500
Liberty Media Corp.
5.700% 05/15/2013 200,000 203,304
Lockheed Martin Corp.
8.500% 12/01/2029 110,000 149,511
LodgeNet
Entertainment Corp.
9.500% 06/15/2013 100,000 102,500
Mail-Well, Inc.
9.625% 03/15/2012 100,000 105,250
Marriott International,
Inc. Series E
7.000% 01/15/2008 150,000 171,462
Marsh & McLennan
Companies, Inc.
6.250% 03/15/2012 60,000 68,393
Masco Corp.
6.000% 05/03/2004 130,000 134,568
Masco Corp.
6.750% 03/15/2006 155,000 172,659
Merisant Co.~
9.500% 07/15/2013 20,000 20,700
Merrill Lynch & Co.,
Inc. Series MTNB
2.470% 03/10/2006 250,000 252,325
MGM Grand, Inc.
6.950% 02/01/2005 150,000 156,563
MidAmerican Energy
Holdings Co.~
3.500% 05/15/2008 275,000 276,479
Mohawk Industries,
Inc. Series D
7.200% 04/15/2012 60,000 70,309
Morton's Restaurant
Group, Inc.~
7.500% 07/01/2010 300,000 255,000
MSX International, Inc.
11.375% 01/15/2008 400,000 248,000
National Rural Utilities
Cooperative Finance Corp.
8.000% 03/01/2032 165,000 212,796
Newell Rubbermaid, Inc.
4.000% 05/01/2010 75,000 76,422
</Table>
The accompanying notes are an integral part of the financial statements.
48
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
News America, Inc.
Zero Coupon~
0.000% 02/28/2021 $ 100,000 $ 54,875
Nextel Partners, Inc.~
8.125% 07/01/2011 200,000 199,500
Nextel Partners, Inc.
11.000% 03/15/2010 150,000 162,000
Niagara Mohawk Power
Corp. Series G
7.750% 10/01/2008 150,000 179,710
Norfolk Southern Corp.
7.250% 02/15/2031 140,000 167,193
Nortel Networks Limited
6.125% 02/15/2006 55,000 53,350
North America United
Rentals, Inc.~
10.750% 04/15/2008 100,000 109,250
Northwest Airlines Corp.
7.875% 03/15/2008 250,000 190,000
Nova Chemicals Corp.
7.000% 05/15/2006 200,000 211,000
Nucor Corp.
4.875% 10/01/2012 125,000 129,654
Nucor Corp.~
6.000% 01/01/2009 50,000 55,546
Offshore Logistics, Inc.~
6.125% 06/15/2013 75,000 75,187
OM Group, Inc.
9.250% 12/15/2011 200,000 195,000
Park Place
Entertainment Corp.
8.500% 11/15/2006 80,000 88,400
Park Place
Entertainment Corp.
8.875% 09/15/2008 100,000 110,250
Petroleos
Mexicanos Series P
9.500% 09/15/2027 125,000 153,253
PG&E Corp.~
6.875% 07/15/2008 575,000 575,000
Precision Castparts Corp.
8.750% 03/15/2005 100,000 107,218
Pride Petroleum
Services, Inc.
9.375% 05/01/2007 100,000 103,250
Progress Energy, Inc.
6.550% 03/01/2004 90,000 92,848
ProLogis Trust
7.000% 10/01/2003 30,000 30,445
PSEG Energy
Holdings, Inc.
8.625% 02/15/2008 150,000 161,250
Qwest Capital
Funding, Inc.
7.000% 08/03/2009 $ 250,000 $ 205,625
Qwest Capital
Funding, Inc.
7.750% 02/15/2031 70,000 54,600
Qwest Corp.~
8.875% 03/15/2012 70,000 78,225
Raytheon Co.
6.500% 07/15/2005 250,000 271,767
Reliant Energy Resources
Corp. Series B
8.125% 07/15/2005 185,000 200,387
Remington Arms
Co., Inc.~
10.500% 02/01/2011 75,000 78,375
Rent-A-Center, Inc.~
7.500% 05/01/2010 150,000 157,500
Rent-Way, Inc.~
11.875% 06/15/2010 175,000 180,250
Rhodia SA~
8.875% 06/01/2011 175,000 181,125
Rogers Cantel, Inc.
9.375% 06/01/2008 100,000 104,250
SCG Holding Corp.
12.000% 08/01/2009 200,000 172,000
Sealed Air Corp.~
5.625% 07/15/2013 55,000 55,481
Servicemaster Co.
8.450% 04/15/2005 61,000 65,868
Simon Property Group LP
7.375% 01/20/2006 100,000 112,324
Sonat, Inc.
7.625% 07/15/2011 200,000 182,000
Sony Capital Corp.~
4.950% 11/01/2006 75,000 81,175
Southern Natural Gas Co.
7.350% 02/15/2031 65,000 66,138
Sprint Capital Corp.
7.900% 03/15/2005 125,000 135,578
Sprint Capital Corp.
8.375% 03/15/2012 75,000 89,799
SPX Corp.
6.250% 06/15/2011 125,000 127,500
Stoneridge, Inc.
11.500% 05/01/2012 125,000 140,000
SuperValu, Inc.
7.500% 05/15/2012 100,000 114,018
SuperValu, Inc.
7.875% 08/01/2009 250,000 291,474
Tekni-Plex, Inc. Series B
12.750% 06/15/2010 310,000 302,250
Telefonica Europe BV
7.350% 09/15/2005 $ 125,000 $ 139,560
Tembec Industries, Inc.
8.625% 06/30/2009 100,000 98,750
Temple-Inland, Inc.
Series MTND
8.125% 12/15/2006 100,000 112,001
Tenet Healthcare Corp.
6.375% 12/01/2011 180,000 169,200
Tenneco Automotive, Inc.~
10.250% 07/15/2013 125,000 126,562
Tenneco Automotive, Inc.
11.625% 10/15/2009 200,000 177,000
Textron Financial Corp.
Series MTNE
5.950% 03/15/2004 155,000 159,223
The Thomson Corp.
6.200% 01/05/2012 70,000 80,142
TIAA Global Markets~
3.875% 01/22/2008 310,000 325,391
Time Warner
Companies, Inc.
7.570% 02/01/2024 65,000 73,571
Toro Co.
7.800% 06/15/2027 100,000 109,967
Triton PCS, Inc.~
8.500% 06/01/2013 125,000 134,375
TRW Automotive, Inc.~
11.000% 02/15/2013 425,000 463,250
Tyco International
Group SA
6.375% 02/15/2006 135,000 140,738
Tyco International
Group SA
6.375% 10/15/2011 30,000 31,650
Tyco International
Group SA
6.875% 01/15/2029 75,000 75,750
Tyson Foods, Inc.
8.250% 10/01/2011 35,000 41,441
Union Pacific Corp.
6.625% 02/01/2029 75,000 84,646
Unisys Corp.
7.875% 04/01/2008 125,000 129,062
Verizon Global
Funding Corp.
7.375% 09/01/2012 510,000 622,050
Verizon Global
Funding Corp.
7.750% 12/01/2030 175,000 221,633
Vodafone Group PLC
5.375% 01/30/2015 175,000 186,898
</Table>
The accompanying notes are an integral part of the financial statements.
49
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
Von Hoffmann Press, Inc.
10.375% 05/15/2007 $ 50,000 $ 50,187
Vought Aircraft
Industries, Inc.~
8.000% 07/15/2011 525,000 525,000
Wells Fargo & Co.
5.125% 02/15/2007 280,000 306,313
Weyerhaeuser Co.
5.500% 03/15/2005 125,000 132,240
The Williams
Companies, Inc.
8.125% 03/15/2012 150,000 153,750
The Williams
Companies, Inc.
8.625% 06/01/2010 125,000 130,625
Williams Gas Pipelines
Central, Inc.~
7.375% 11/15/2006 70,000 75,250
WorldCom, Inc.*~~
6.500% 05/15/2004 175,000 51,625
WorldCom, Inc.*~~
8.250% 05/15/2031 90,000 26,550
WPP Finance (USA) Corp.
6.625% 07/15/2005 135,000 142,548
XTO Energy, Inc.~
6.250% 04/15/2013 125,000 132,812
--------------
TOTAL CORPORATE DEBT
(COST $36,385,281) 38,373,035
==============
MUNICIPAL OBLIGATIONS -- 0.5%
GENERAL OBLIGATIONS
Illinois State
Taxable Pension
5.100% 06/01/2033 350,000 344,180
--------------
TOTAL MUNICIPAL
OBLIGATIONS
(COST $350,000) 344,180
==============
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 1.9%
COLLATERALIZED MORTGAGE OBLIGATIONS
CS First Boston Mortgage
Securities Corp.
Series 2002-H1N,
Class A~
8.000% 08/27/2032 76,237 74,712
GE Capital Commercial
Mortgage Corp.
Series 2002-1A, Class A1
5.033% 12/10/2035 291,769 309,941
GMAC Mortgage Corp.
Loan Trust
Series 2001-J5, Class A7
6.750% 11/25/2031 $ 250,000 $ 254,893
GSR Mortgage Loan Trust
Series 2002-8F,
Class 3AA1
6.500% 09/25/2032 102,718 104,728
Master Asset Securitization
Trust Series 2002-6,
Class 6A1
6.500% 10/25/2032 164,879 169,130
Residential Funding
Mortgage Securities I
Series 1998-S12,
Class A8
6.750% 05/25/2028 95,473 95,473
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1~
5.323% 02/18/2034 194,643 205,525
Vendee Mortgage Trust
Series 1992-1, Class 2Z
7.750% 05/15/2022 132,306 151,452
--------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $1,335,594) 1,365,854
==============
SOVEREIGN DEBT OBLIGATIONS -- 0.2%
Chile Government
International Bond
5.500% 01/15/2013 100,000 105,800
--------------
TOTAL SOVEREIGN
DEBT OBLIGATIONS
(COST $99,123) 105,800
==============
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 31.7%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 3.9%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.4%
FHLMC Series 2178,
Class PB
7.000% 08/15/2029 250,000 270,671
--------------
PASS-THROUGH SECURITIES -- 3.5%
FHLMC
5.500% 06/01/2017-
11/01/2031 714,408 740,695
FHLMC
6.000% 04/01/2017 227,710 237,245
FHLMC
6.500% 08/01/2031-
08/01/2032 $ 923,213 $ 962,522
FHLMC
7.000% 09/01/2031 100,217 105,286
FHLMC
7.500% 06/01/2024-
02/01/2030 433,258 463,739
--------------
TOTAL PASS-THROUGH SECURITIES 2,509,487
==============
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) 2,780,158
==============
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 17.3%
PASS-THROUGH SECURITIES
FNMA
5.000% 03/01/2018 681,554 705,328
FNMA
5.500% 03/01/2017-
01/01/2032 3,307,424 3,447,680
FNMA
6.000% 03/01/2028-
11/01/2032 3,098,923 3,227,132
FNMA
6.420% 11/01/2008 213,060 243,267
FNMA
6.500% 07/01/2016-
11/01/2032 4,281,104 4,475,349
FNMA
7.500% 04/01/2031-
06/01/2031 197,497 210,420
--------------
TOTAL PASS-THROUGH SECURITIES 12,309,176
==============
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 10.4%
PASS-THROUGH SECURITIES
GNMA
5.500% 04/15/2033 691,828 721,988
GNMA
6.000% 02/15/2032-
05/01/2033 3,810,227 3,997,278
GNMA
6.500% 03/15/2031-
09/15/2032 1,420,090 1,495,795
GNMA
7.000% 10/15/2027-
07/15/2032 924,925 981,600
GNMA
8.000% 08/15/2026-
03/15/2027 183,335 199,421
--------------
TOTAL PASS-THROUGH SECURITIES 7,396,082
==============
</Table>
The accompanying notes are an integral part of the financial statements.
50
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
-------------- --------------
OTHER AGENCIES -- 0.1%
PASS-THROUGH SECURITIES
New Valley Generation IV
4.687% 01/15/2022 $ 100,000 $ 103,839
--------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $22,136,614) 22,589,255
==============
U.S. TREASURY OBLIGATIONS -- 4.1%
U.S. TREASURY BONDS
U.S. Treasury Bond
4.375% 08/15/2012 65,000 69,692
U.S. Treasury Bond
6.125% 11/15/2027 225,000 273,938
U.S. Treasury Bond
6.125% 08/15/2029 475,000 580,316
U.S. Treasury Bond
7.125% 02/15/2023 1,500,000 2,010,938
--------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $2,717,709) 2,934,884
==============
TOTAL BONDS & NOTES
(COST $66,004,612) 68,679,089
==============
TOTAL LONG TERM INVESTMENTS
(COST $66,477,849) 68,880,716
==============
SHORT-TERM INVESTMENTS -- 2.0%
COMMERCIAL PAPER
MeadWestvaco Corp.
1.180% 07/07/2003 575,000 574,887
OGE Energy Corp.
1.050% 07/03/2003 825,000 824,952
--------------
1,399,839
--------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 1,399,839
==============
TOTAL INVESTMENTS -- 99.0%
(COST $67,877,688)** 70,280,555
OTHER ASSETS/
(LIABILITIES) -- 1.0% 736,781
==============
NET ASSETS -- 100.0% $ 71,017,336
==============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Aggregate cost for Federal tax purposes. (NOTE 7).
~ 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.
~~ Security is currently in default.
The accompanying notes are an integral part of the financial statements.
51
<Page>
MASSMUTUAL DIVERSIFIED BOND FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $66,477,849) (NOTE 2) $ 68,880,716
Short-term investments, at amortized cost (NOTE 2) 1,399,839
---------------
Total Investments 70,280,555
Cash 143,920
Receivables from:
Investments sold 2,320,628
Interest and dividends 874,616
---------------
Total assets 73,619,719
---------------
LIABILITIES:
Payables for:
Investments purchased 2,532,935
Directors' fees and expenses (NOTE 3) 2,135
Affiliates (NOTE 3):
Investment management fees 29,792
Administration fees 11,541
Service fees 14,630
Accrued expense and other liabilities 11,350
---------------
Total liabilities 2,602,383
---------------
NET ASSETS $ 71,017,336
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 66,637,194
Undistributed net investment income 1,530,323
Accumulated net realized gain on investments and forward commitments 446,952
Net unrealized appreciation on investments 2,402,867
---------------
$ 71,017,336
===============
NET ASSETS:
Class A $ 23,754,805
===============
Class L $ 645,860
===============
Class Y $ 1,480,961
===============
Class S $ 45,029,217
===============
Class N $ 106,493
===============
SHARES OUTSTANDING:
Class A 2,237,155
===============
Class L 60,734
===============
Class Y 138,700
===============
Class S 4,209,374
===============
Class N 10,070
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 10.62
===============
Class L $ 10.63
===============
Class Y $ 10.68
===============
Class S $ 10.70
===============
Class N $ 10.58
===============
</Table>
The accompanying notes are an integral part of the financial statements.
52
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends $ 4,854
Interest 1,853,354
---------------
Total investment income 1,858,208
---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 170,095
Audit and legal fees 9,985
Custody fees 9,885
Trustee reporting 2,609
Shareholder reporting fees 1,203
Directors' fees (NOTE 3) 700
---------------
194,477
Administration fees (NOTE 3):
Class A 36,454
Class L 1,065
Class Y 2,395
Class S 25,842
Class N 191
Service fees (NOTE 3):
Class A 28,198
Class N 128
Distribution fees (NOTE 3):
Class N 128
---------------
Total expenses 288,878
---------------
NET INVESTMENT INCOME 1,569,330
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investment transactions 961,091
Net change in unrealized appreciation (depreciation) on investments 1,393,724
---------------
NET REALIZED AND UNREALIZED GAIN 2,354,815
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 3,924,145
===============
</Table>
The accompanying notes are an integral part of the financial statements.
53
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,569,330 $ 2,325,908
Net realized gain (loss) on investment transactions and
forward commitments 961,091 (8,530)
Net change in unrealized appreciation (depreciation) on investments
and forward commitments 1,393,724 1,572,282
----------------- -----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 3,924,145 3,889,660
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (711,439)
Class L - (134,405)
Class Y - (61,252)
Class S - (1,566,360)
----------------- -----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (2,473,456)
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 4,067,784 14,040,932
Class L (18,727) (3,543,048)
Class Y (2,624,324) 3,647,815
Class S 3,408,192 9,109,988
Class N - 101,000*
----------------- -----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 4,832,925 23,356,687
----------------- -----------------
TOTAL INCREASE IN NET ASSETS 8,757,070 24,772,891
NET ASSETS:
Beginning of period 62,260,266 37,487,375
----------------- -----------------
End of period (including undistributed net investment income of
$1,530,323 and distributions in excess of net investment income of
$39,007, respectively) $ 71,017,336 $ 62,260,266
================= =================
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
</Table>
The accompanying notes are an integral part of the financial statements.
54
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99~
---------------- ----------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.04 $ 9.69 $ 9.57 $ 9.56 $ 10.00
-------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.22*** 0.46*** 0.57*** 0.62*** 0.39***
Net realized and unrealized gain (loss)
on investments 0.36 0.29 0.08 0.02 (0.44)
-------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.58 0.75 0.65 0.64 (0.05)
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.40) (0.53) (0.63) (0.39)
Tax return of capital - - - (0.00)+ -
-------- -------- -------- -------- --------
Total distributions - (0.40) (0.53) (0.63) (0.39)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.62 $ 10.04 $ 9.69 $ 9.57 $ 9.56
======== ======== ======== ======== ========
TOTAL RETURN@ 5.78%** 7.78% 6.69% 6.81% (0.54)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 23,755 $ 18,401 $ 4,094 $ 312 $ 100
Ratio of expenses to average daily net
assets:
Before expense waiver 1.15%* 1.16% 1.11% 1.12% 1.19%*
After expense waiver# N/A 1.15% 1.09% 1.11% N/A
Net investment income to average daily
net assets 4.33%* 4.61% 5.70% 6.27% 5.92%*
Portfolio turnover rate 55%** 76% 62% 15% 32%**
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99~
---------------- ----------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.10 $ 9.66 $ 9.57 $ 9.56 $ 10.00
---------- ------- -------- -------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.22*** 0.51*** 0.58*** 0.64*** 0.41***
Net realized and unrealized gain (loss)
on investments 0.31 0.33 0.07 0.03 (0.45)
---------- ------- -------- -------- ----------
Total income (loss) from investment
operations 0.53 0.84 0.65 0.67 (0.04)
---------- ------- -------- -------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.40) (0.56) (0.66) (0.40)
Tax return of capital - - - (0.00)+ -
---------- ------- -------- -------- ----------
Total distributions - (0.40) (0.56) (0.66) (0.40)
---------- ------- -------- -------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.63 $ 10.10 $ 9.66 $ 9.57 $ 9.56
========== ======= ======== ======== ==========
TOTAL RETURN@ 5.88%** 8.09% 6.87% 6.99% (0.38)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 646 $ 632 $ 4,026 $ 283 $ 101
Ratio of expenses to average daily net
assets:
Before expense waiver 0.87%* 0.90% 0.86% 0.88% 0.94%*
After expense waiver# N/A 0.90% 0.84% 0.88% N/A
Net investment income to average daily
net assets 4.31%* 5.17% 5.75% 6.53% 6.17%*
Portfolio turnover rate 55%** 76% 62% 15% 32%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
+ TAX RETURN OF CAPITAL IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000
THROUGH DECEMBER 31, 2000, THE YEAR ENDED DECEMBER 31, 2001 AND THE
PERIOD JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ 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.
(a) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUM AND
DISCOUNT ON DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR
ENDED DECEMBER 31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME OF
$0.01 PER SHARE, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND
LOSSES OF $0.01 PER SHARE AND A DECREASE OF THE RATIO OF NET
INVESTMENT INCOME TO AVERAGE NET ASSETS OF 0.07%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
55
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99~
---------------- ---------- ------------ ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.07 $ 9.70 $ 9.58 $ 9.56 $ 10.00
--------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.23*** 0.50*** 0.61*** 0.65*** 0.42***
Net realized and unrealized gain (loss)
on investments 0.38 0.30 0.06 0.02 (0.45)
--------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.61 0.80 0.67 0.67 (0.03)
--------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.43) (0.55) (0.65) (0.41)
Tax return of capital - - - (0.00)+ -
--------- -------- -------- -------- --------
Total distributions - (0.43) S (0.55) (0.65) (0.41)
--------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.68 $ 10.07 $ 9.70 $ 9.58 $ 9.56
========= ======== ======== ======== ========
TOTAL RETURN@ 5.95%** 8.30% 6.96% 7.15% (0.26)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,481 $ 3,979 $ 313 $ 231 $ 146
Ratio of expenses to average daily net
assets:
Before expense waiver 0.75%* 0.75% 0.71% 0.73% 0.80%*
After expense waiver# N/A 0.74% 0.69% S 0.72% N/A
Net investment income to average daily
net assets 4.62%* 4.99% 6.10% 6.64% 6.35%*
Portfolio turnover rate 55%** 76% 62% 15S% 32%**
</Table>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99~
---------------- ----------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.10 $ 9.71 $ 9.59 $ 9.56 $ 10.00
--------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income 0.24*** 0.53*** 0.61*** 0.66*** 0.42***
Net realized and unrealized gain (loss)
on investments 0.36 0.29 0.07 0.03 (0.44)
--------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.60 0.82 0.68 0.69 (0.02)
--------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.43) (0.56) (0.66) (0.42)
Tax return of capital - - - (0.00)+ -
--------- -------- -------- -------- --------
Total distributions - (0.43) (0.56) (0.66) (0.42)
--------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.70 $ 10.10 $ 9.71 $ 9.59 $ 9.56
========= ======== ======== ======== ========
TOTAL RETURN@ 5.94%** 8.41% 7.11% 7.19% (0.25)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 45,029 $ 39,147 $ 29,054 $ 26,790 $ 24,975
Ratio of expenses to average daily net
assets:
Before expense waiver 0.69%* 0.70% 0.66% 0.69% 0.74%*
After expense waiver# N/A 0.70% 0.64% 0.68% N/A
Net investment income to average daily
net assets 4.77%* 5.31% 6.13% 6.71% 6.33%*
Portfolio turnover rate 55%** 76% 62% 15% 32%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
+ NET INVESTMENT INCOME AND TAX RETURN OF CAPITAL ARE LESS THAN $0.01 PER
SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000
THROUGH DECEMBER 31, 2000, THE YEAR ENDED DECEMBER 31, 2001 AND THE
PERIOD JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ 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.
(a) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUM AND
DISCOUNT ON DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR
ENDED DECEMBER 31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME OF
$0.01 PER SHARE, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND
LOSSES OF $0.01 PER SHARE AND A DECREASE OF THE RATIO OF NET
INVESTMENT INCOME TO AVERAGE NET ASSETS OF 0.07%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
56
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02++
---------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.02 $ 10.03
-------------- --------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.20*** 0.00***+
Net realized and unrealized gain (loss) on investments 0.36 (0.01)
-------------- --------------
Total income (loss) from investment operations 0.56 (0.01)
-------------- --------------
NET ASSET VALUE, END OF PERIOD $ 10.58 $ 10.02
============== ==============
TOTAL RETURN@ 5.59%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 106 $ 101
Net expenses to average daily net assets 1.44%* -^
Net investment income to average daily net assets 4.02%* -^
Portfolio turnover rate 55%** 76%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES
AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE
CHARGES.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
57
<Page>
MASSMUTUAL BALANCED FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL BALANCED
FUND?
The objectives and policies of the Fund are to:
- - achieve a high total rate of return over an extended period of time
consistent with the preservation of capital
- - invest in a diversified portfolio of equity securities, fixed-income
securities and money market instruments
- - manage the allocation of investments, under normal circumstances, in three
segments with the following ranges:
- Money Market segment: no more than 30% of total assets
- Core Bond segment: at least 20% and no more than 40% of total assets
- Core Value Equity segment: at least 50% and no more than 70% of total
assets
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
8.42%, trailing the 8.87% return of the Lipper Balanced Fund Index, an unmanaged
index of stock and bond portfolios.
Most of the Fund's underperformance came from the equity component of the
portfolio, where investors' clear preference for small capitalization
stocks--and those issues that were both low quality and speculative--detracted
from our results, especially during the second quarter. The fixed-income portion
of the Fund outperformed the Lehman Brothers Aggregate Bond Index during both
the first and second quarters, largely due to the Fund's overweight position in
corporate bonds.
WHAT ASSET ALLOCATION DECISIONS WERE MADE?
During the first quarter, despite our bearish view on the equity market (based
on historically high valuations), we opportunistically overweighted equities to
take advantage of a counter-trend rally that emerged. This move proved
beneficial, as the stock portion of the Fund outperformed slightly for the three
months ending March 31. During the second quarter, we maintained an overweight
position in equities relative to bonds to capitalize on the rally that occurred
as investors gained greater confidence in the stock market during the period.
Renewed investor confidence resulted from a quick resolution to the Iraqi war
and continued fiscal stimulus, as the U.S. Government enacted tax cuts and a tax
rebate designed to stimulate the economy.
During the beginning of the second quarter, we peaked at a position of
approximately 66% equities. While we moderated that allocation somewhat over the
course of the performance period, we remained positioned approximately 60% in
equities on June 30.
WHAT DROVE THE FUND'S STOCK SELECTION MODEL DURING THE PERIOD?
During the first quarter, the Fund's equity portfolio modestly outperformed the
S&P 500 Index--primarily due to the portfolio's strategy of underweighting
financial services companies, including State Street and Fifth Third Bancorp.
During this time frame, the model favored rather mundane companies that are
relatively inexpensive and are performing well within niche businesses.
Detracting from results during the first quarter was the portfolio's
underweighting in the semiconductor component of the technology sector, which
strongly outperformed during the first three months of 2003.
In the second quarter, the portfolio's core model, like the market, was driven
by small size and market volitility factors. As a result, the Fund's equity
component modestly trailed the S&P 500 Index for the period. Working favorably
in the model, however, were high volatility and low stock price factors.
Conversely, the portfolio's underweight in the health care sector detracted from
results, as this sector advanced considerably in June. Our model has favored an
underweight position in health care companies for some time on valuation
concerns.
58
<Page>
WHAT ABOUT THE BOND PORTFOLIO?
The Fund's bond portfolio outperformed the Lehman Brothers Aggregate Index
during the first half of 2003, primarily due to our overweight position in
corporate bonds--which we are maintaining in anticipation of continued economic
improvement. However, we trimmed some exposure in the second quarter in areas
where spreads have tightened and upside potential has become more limited. As a
result, we increased the Fund's Treasury exposure, but continue to maintain an
underweight position.
Mortgage-backed securities also posted positive returns during the second
quarter, following a volatile first quarter. With interest rates falling,
investors became uncertain as to the mortgage pre-payment pattern. With the
yield curve remaining steep, the Fund is structured in a barbell fashion--which
we anticipate should provide a yield advantage in an improving economy.
WHAT IS YOUR OUTLOOK?
Despite our cautionary views on the more speculative sectors of the stock market
that have advanced considerably in 2003, we are maintaining a fairly
constructive view on the economy and the stock market for the second half of
2003 and 2004. We expect the economy to gain some GRADUAL momentum in the second
half of the year, driven by the massive amounts of monetary stimulus present
today and the additional fiscal stimulus coming from Washington in 2004.
Further, portions of the investing community have also begun to anticipate a
gradual recovery. This is evidenced by the four consecutive months, March
through June, during the first half of 2003 when we witnessed net inflows into
equity mutual funds totaling $40 billion. This follows almost a full year of
consecutive monthly net outflows.
We do caution, however, that by many measures, such as historical earnings and
sales, the market remains overvalued. Therefore, even if stimulus lifts the
economy and the markets, we are launching from a point in the market where
outsized gains may not be sustainable.
[CHART]
MASSMUTUAL BALANCED FUND
ASSET ALLOCATION
(% OF INVESTMENTS) ON 6/30/03
<Table>
COMMON STOCKS 59.20%
BONDS 24.70%
SHORT-TERM ISSUES 16.10%
</Table>
MASSMUTUAL BALANCED FUND
LARGEST STOCK HOLDINGS (6/30/03)
General Electric Co.
Microsoft Corp.
Exxon Mobil Corp.
Pfizer, Inc.
Citigroup, Inc.
Wal-Mart Stores, Inc.
Johnson & Johnson
Bank of America Corp.
American International Group, Inc.
International Business Machines Corp.
59
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Balanced Fund Class S, the Lipper
Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500
Index
MASSMUTUAL BALANCED FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 10/3/94 - 6/30/03
- -------------------------------------------------------------------------------------------
Class S 8.42% 3.09% -1.12% 5.83%
- -------------------------------------------------------------------------------------------
Lipper Balanced
Fund
Index 8.87% 3.49% 1.98% 8.38%
Lehman Brothers
Aggregate
Bond
Index 3.93% 10.40% 7.55% 8.37%
S&P 500
Index 11.75% 0.25% -1.61% 10.77%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
LEHMAN BROTHERS
CLASS S LIPPER BALANCED AGGREGATE S&P 500 Index
------- --------------- --------------- -------------
10/3/1994 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-95 $ 11,179 $ 11,203 $ 11,186 $ 12,017
Jun-96 $ 12,788 $ 12,860 $ 11,748 $ 15,139
Jun-97 $ 15,126 $ 15,455 $ 12,705 $ 20,389
Jun-98 $ 17,361 $ 18,328 $ 14,044 $ 26,535
Jun-99 $ 19,223 $ 20,448 $ 14,486 $ 32,575
Jun-00 $ 18,119 $ 21,354 $ 15,148 $ 34,939
Jun-01 $ 17,391 $ 21,146 $ 16,849 $ 29,760
Jun-02 $ 15,918 $ 19,538 $ 18,303 $ 24,411
Jun-03 $ 16,410 $ 20,220 $ 20,206 $ 24,471
</Table>
Hypothetical Investments in MassMutual Balanced Fund Class A, Class Y, the
Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P
500 Index
MASSMUTUAL BALANCED FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 1/1/98 - 6/30/03
- -------------------------------------------------------------------------------------------
Class A 8.09% 2.49% -1.68% -0.45%
Class Y 8.31% 2.94% -1.30% -0.06%
- -------------------------------------------------------------------------------------------
Lipper Balanced
Fund
Index 8.87% 3.49% 1.98% 3.55%
Lehman Brothers
Aggregate
Bond
Index 3.93% 10.40% 7.55% 7.59%
S&P 500
Index 11.75% 0.25% -1.61% 1.50%
</Table>
[CHART]
<Table>
<Caption>
LEHMAN BROTHERS
CLASS A CLASS Y LIPPER BALANCED AGGREGATE S&P 500 Index
------- ------- --------------- --------- -------------
1/1/1998 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-98 $ 10,620 $ 10,640 $ 10,979 $ 10,393 $ 11,770
Jun-99 $ 11,681 $ 11,756 $ 12,249 $ 10,720 $ 14,449
Jun-00 $ 10,958 $ 11,073 $ 12,791 $ 11,209 $ 15,497
Jun-01 $ 10,455 $ 10,595 $ 12,667 $ 12,468 $ 13,200
Jun-02 $ 9,520 $ 9,680 $ 11,703 $ 13,544 $ 10,828
Jun-03 $ 9,757 $ 9,965 $ 12,112 $ 14,953 $ 10,854
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LIPPER BALANCED FUND INDEX, THE LEHMAN BROTHERS AGGREGATE
BOND INDEX AND THE S&P 500 INDEX ARE UNMANAGED AND DO NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
60
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Balanced Fund Class L, the Lipper
Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P 500
Index
MASSMUTUAL BALANCED FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class L 8.17% 2.75% -3.82%
- ---------------------------------------------------------------------------
Lipper Balanced
Fund Index 8.87% 3.49% 0.01%
Lehman Brothers
Aggregate Bond Index 3.93% 10.40% 8.00%
S&P 500 Index 11.75% 0.25% -5.96%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
LEHMAN BROTHERS
CLASS L LIPPER BALANCED AGGREGATE S&P 500 Index
5/3/1999 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-99 $ 10,082 $ 10,118 $ 9,881 $ 10,306
Jun-00 $ 9,481 $ 10,566 $ 10,332 $ 11,053
Jun-01 $ 9,064 $ 10,463 $ 11,493 $ 9,415
Jun-02 $ 8,274 $ 9,668 $ 12,484 $ 7,723
Jun-03 $ 8,502 $ 10,005 $ 13,782 $ 7,742
</Table>
Hypothetical Investments in MassMutual Balanced Fund Class N, Class N (CDSC fees
deducted), the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond
Index and the S&P 500 Index
MASSMUTUAL BALANCED FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 7.86% 7.86%
Class N (CDSC fees deducted) 6.86% 6.86%
- ------------------------------------------------------------------------
Lipper Balanced
Fund Index 8.87% 9.02%
Lehman Brothers
Aggregate Bond Index 3.93% 3.84%
S&P 500 Index 11.75% 11.83%
</Table>
[CHART]
<Table>
<Caption>
CLASS N LIPPER LEHMAN BROTHERS
CLASS N (CDSC FEES DEDUCTED) BALANCED AGGREGATE S&P 500 Index
12/31/2002 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Mar-03 $ 9,817 $ 9,717 $ 9,816 $ 10,139 $ 9,684
Jun-03 $ 10,786 $ 10,686 $ 10,887 $ 10,393 $ 11,175
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LIPPER BALANCED FUND INDEX, THE LEHMAN BROTHERS AGGREGATE
BOND INDEX AND THE S&P 500 INDEX ARE UNMANAGED AND DO NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
61
<Page>
MASSMUTUAL BALANCED FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 61.8%
ADVERTISING -- 0.1%
Monster Worldwide, Inc.* 7,100 $ 140,083
Omnicom Group, Inc. 3,100 222,270
-------------
362,353
-------------
AEROSPACE & DEFENSE -- 1.0%
General Dynamics Corp. 5,000 362,500
Honeywell
International, Inc. 16,250 436,312
Lockheed Martin Corp. 14,400 685,008
Northrop Grumman Corp. 4,700 405,563
Rockwell Collins, Inc. 9,800 241,374
United Technologies Corp. 8,700 616,221
-------------
2,746,978
-------------
AIR TRANSPORTATION -- 0.0%
Delta Air Lines, Inc. 2,400 35,232
-------------
APPAREL, TEXTILES & SHOES -- 0.4%
The Gap, Inc. 17,000 318,920
Jones Apparel Group, Inc.* 2,400 70,224
Limited Brands 12,900 199,950
Liz Claiborne, Inc. 4,700 165,675
Nike, Inc. Cl. B 5,200 278,148
Nordstrom, Inc. 2,800 54,656
Reebok
International Limited* 676 22,734
VF Corp. 2,100 71,505
-------------
1,181,812
-------------
AUTOMOTIVE & PARTS -- 0.7%
AutoNation, Inc.* 6,000 94,320
Cooper Tire & Rubber Co. 1,300 22,867
Dana Corp. 3,000 34,680
Delphi Corp. 37,000 319,310
Ford Motor Co. 46,418 510,134
General Motors Corp. 9,500 342,000
Harley-Davidson, Inc. 3,100 123,566
Paccar, Inc. 4,850 326,987
-------------
1,773,864
-------------
BANKING, SAVINGS & LOANS -- 7.7%
AmSouth Bancorp 7,200 157,249
Bank of America Corp. 34,500 2,726,535
Bank One Corp. 12,500 464,750
BB&T Corp. 5,200 178,360
Capital One Financial Corp. 6,200 304,916
Charter One Financial, Inc. 4,382 136,631
Citigroup, Inc. 95,648 4,093,734
Comerica, Inc. 3,400 158,100
Fannie Mae 27,000 1,820,880
First Tennessee
National Corp. 7,200 $ 316,152
FleetBoston Financial Corp. 19,700 585,287
Freddie Mac 12,700 644,779
Golden West
Financial Corp. 3,600 288,036
J.P. Morgan Chase & Co. 55,228 1,887,693
KeyCorp 4,700 118,769
Marshall and Ilsley Corp. 4,100 125,378
National City Corp. 16,700 546,257
North Fork
Bancorporation, Inc. 1,900 64,714
Providian Financial Corp.* 5,600 51,856
Regions Financial Corp. 4,200 141,876
SLM Corp. 8,400 329,028
SouthTrust Corp. 6,800 184,960
State Street Corp. 3,800 149,720
SunTrust Banks, Inc. 5,400 320,436
U.S. Bancorp 35,000 857,500
Union Planters Corp. 3,750 116,362
Wachovia Corp. 31,500 1,258,740
Washington Mutual, Inc. 26,100 1,077,930
Wells Fargo & Co. 30,900 1,557,360
Zions Bancorp 3,300 167,013
-------------
20,831,001
-------------
BEVERAGES -- 1.7%
Anheuser-Busch
Companies, Inc. 15,600 796,380
The Coca-Cola Co. 46,000 2,134,860
Coca-Cola Enterprises, Inc. 4,900 88,935
Coors (Adolph) Co. Cl. B 700 34,286
The Pepsi Bottling
Group, Inc. 5,700 114,114
PepsiCo, Inc. 31,630 1,407,535
-------------
4,576,110
-------------
BROADCASTING, PUBLISHING & PRINTING -- 1.9%
American Greetings
Corp. Cl. A* 1,400 27,496
AOL Time Warner, Inc.* 83,261 1,339,669
Clear Channel
Communications, Inc.* 11,700 495,963
Comcast Corp. Cl. A* 25,703 775,717
Dow Jones & Co., Inc. 1,700 73,151
Gannett Co., Inc. 5,000 384,050
The McGraw-Hill
Companies, Inc. 3,000 186,000
Meredith Corp. 900 39,600
New York Times Co. Cl. A 1,700 77,350
Tribune Co. 5,800 280,140
Univision Communications,
Inc. Cl. A* 2,600 $ 79,040
Viacom, Inc. Cl. B* 32,700 1,427,682
-------------
5,185,858
-------------
BUILDING MATERIALS & CONSTRUCTION -- 0.1%
Louisiana-Pacific Corp.* 2,100 22,764
Masco Corp. 9,200 219,420
Vulcan Materials Co. 1,800 66,726
-------------
308,910
-------------
CHEMICALS -- 0.8%
Ashland, Inc. 1,500 46,020
Dow Chemical Co. 17,200 532,512
Du Pont (E.I.)
de Nemours & Co. 11,400 474,696
Eastman Chemical Co. 1,800 57,006
Engelhard Corp. 1,500 37,155
International Flavors &
Fragrances, Inc. 1,200 38,316
Monsanto Co. 16,800 363,552
PPG Industries, Inc. 3,400 172,516
Praxair, Inc. 3,300 198,330
Rohm & Haas Co. 4,300 133,429
-------------
2,053,532
-------------
COMMERCIAL SERVICES -- 1.3%
Allied Waste
Industries, Inc.* 5,700 57,285
Apollo Group, Inc. Cl. A* 5,600 345,856
Block (H&R), Inc. 7,600 328,700
Cendant Corp.* 11,200 205,184
Concord EFS, Inc.* 9,500 139,840
Convergys Corp.* 20,800 332,800
Donnelley (R.R.) &
Sons Co. 5,700 148,998
eBay, Inc.* 7,200 750,096
Equifax, Inc. 2,500 65,000
Fluor Corp. 3,700 124,468
Moody's Corp. 2,400 126,504
Paychex, Inc. 7,400 216,894
PerkinElmer, Inc. 2,200 30,382
Quest Diagnostics, Inc.* 1,800 114,840
Quintiles
Transnational Corp.* 11,500 163,185
Ryder System, Inc. 12,100 310,002
Waste Management, Inc. 6,500 156,585
-------------
3,616,619
-------------
COMMUNICATIONS -- 1.5%
ADC
Telecommunications, Inc.* 121,700 283,318
</Table>
The accompanying notes are an integral part of the financial statements.
62
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
Andrew Corp.* 1,900 $ 17,480
Avaya, Inc.* 43,500 281,010
Ciena Corp.* 8,400 43,596
Citizens
Communications Co.* 26,100 336,429
Lucent Technologies, Inc.* 48,100 97,643
Network Appliance, Inc.* 6,000 97,260
Nextel Communications,
Inc. Cl. A* 19,000 343,520
Qualcomm, Inc. 14,500 518,375
SBC Communications, Inc. 60,859 1,554,947
Scientific-Atlanta, Inc. 15,400 367,136
Tellabs, Inc.* 8,000 52,560
-------------
3,993,274
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.2%
Autodesk, Inc. 2,400 38,784
Computer Sciences Corp.* 2,100 80,052
Sun Microsystems, Inc.* 60,600 278,760
Teradyne, Inc.* 3,400 58,854
Unisys Corp.* 6,300 77,364
-------------
533,814
-------------
COMPUTER PROGRAMMING SERVICES -- 0.0%
Mercury Interactive Corp.* 1,800 69,498
-------------
COMPUTERS & INFORMATION -- 2.0%
Apple Computer, Inc.* 7,000 133,840
Cisco Systems, Inc.* 129,704 2,151,789
Comverse Technology, Inc.* 21,200 318,636
Dell Computer Corp.* 47,300 1,511,708
EMC Corp.* 60,100 629,247
International Game
Technology* 1,600 163,728
Jabil Circuit, Inc.* 3,800 83,980
Lexmark International, Inc.* 2,400 169,848
Solectron Corp.* 16,000 59,840
Symbol Technologies, Inc. 4,500 58,545
-------------
5,281,161
-------------
COMPUTERS & OFFICE EQUIPMENT -- 1.6%
Hewlett-Packard Co. 70,357 1,498,604
International Business
Machines Corp. 31,500 2,598,750
Pitney Bowes, Inc. 4,300 165,163
Xerox Corp.* 14,400 152,496
-------------
4,415,013
-------------
CONTAINERS -- 0.1%
Ball Corp. 1,100 50,061
Bemis Co., Inc. 1,100 51,480
Pactiv Corp.* 3,700 72,927
Sealed Air Corp.* 1,600 76,256
Temple-Inland, Inc. 900 38,619
-------------
289,343
-------------
COSMETICS & PERSONAL CARE -- 1.6%
Alberto-Culver Co. Cl. B 1,200 $ 61,320
Avon Products, Inc. 4,400 273,680
Colgate-Palmolive Co. 9,800 567,910
The Gillette Co. 24,000 764,640
Kimberly-Clark Corp. 9,500 495,330
The Procter & Gamble Co. 24,104 2,149,595
-------------
4,312,475
-------------
DATA PROCESSING & PREPARATION -- 0.5%
Automatic Data
Processing, Inc. 11,100 375,846
Deluxe Corp. 5,600 250,880
First Data Corp. 13,600 563,584
Fiserv, Inc.* 3,600 128,196
IMS Health, Inc. 2,700 48,573
NCR Corp.* 1,900 48,678
-------------
1,415,757
-------------
ELECTRIC UTILITIES -- 1.6%
AES Corp.* 10,600 67,310
Ameren Corp. 1,800 79,380
American Electric
Power Co. 7,600 226,708
CenterPoint Energy, Inc. 13,900 113,285
Cinergy Corp. 3,300 121,407
CMS Energy Corp. 2,600 21,060
Constellation Energy
Group, Inc. 3,200 109,760
Dominion Resources, Inc. 7,000 449,890
DTE Energy Co. 3,000 115,920
Duke Energy Corp. 9,900 197,505
Edison International* 6,300 103,509
Entergy Corp. 5,900 311,402
Exelon Corp. 8,800 526,328
FirstEnergy Corp. 5,700 219,165
FPL Group, Inc. 3,200 213,920
Mirant Corp.* 7,500 21,750
NiSource, Inc. 4,600 87,400
PG&E Corp.* 7,600 160,740
Pinnacle West
Capital Corp. 1,000 37,450
PPL Corp. 3,300 141,900
Progress Energy, Inc. 4,100 179,990
Public Service Enterprise
Group, Inc. 5,000 211,250
Southern Co. 13,100 408,196
TXU Corp. 6,200 139,190
-------------
4,264,415
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 4.3%
Advanced Micro
Devices, Inc.* 6,300 40,383
Altera Corp.* 7,800 127,920
American Power
Conversion Corp.* 9,500 $ 148,105
Analog Devices, Inc.* 7,100 247,222
Applied Micro
Circuits Corp.* 30,100 182,105
Broadcom Corp. Cl. A* 5,400 134,514
Emerson Electric Co. 7,900 403,690
General Electric Co. 184,500 5,291,460
Intel Corp. 122,100 2,537,726
JDS Uniphase Corp.* 42,700 149,877
Johnson Controls, Inc. 1,900 162,640
Kla-Tencor Corp.* 3,700 172,013
Linear Technology Corp. 5,900 190,039
LSI Logic Corp.* 6,900 48,852
Maxim Integrated
Products, Inc. 6,100 208,559
Molex, Inc. 3,700 99,863
National
Semiconductor Corp.* 6,900 136,068
Nvidia Corp.* 3,000 69,030
PMC-Sierra, Inc.* 3,100 36,363
Power-One, Inc.* 1,700 12,155
Qlogic Corp.* 6,700 323,811
Rockwell Automation, Inc. 3,800 90,592
Sanmina-SCI Corp.* 10,200 64,362
Texas Instruments, Inc. 31,700 557,920
Xilinx, Inc.* 6,500 164,515
-------------
11,599,784
-------------
ENERGY -- 3.9%
Amerada Hess Corp. 3,100 152,458
Anadarko Petroleum Corp. 4,500 200,115
Apache Corp. 3,019 196,416
BJ Services Co.* 3,000 112,080
Burlington Resources, Inc. 3,900 210,873
ChevronTexaco Corp. 19,594 1,414,687
ConocoPhillips 15,753 863,264
Devon Energy Corp. 4,100 218,940
Dynegy, Inc. Cl. A 7,200 30,240
El Paso Corp. 11,103 89,712
Exxon Mobil Corp. 125,338 4,500,888
Halliburton Co. 8,100 186,300
Kerr-McGee Corp. 1,800 80,640
KeySpan Corp. 3,000 106,350
Kinder Morgan, Inc. 2,300 125,695
Marathon Oil Corp. 12,900 339,915
Nabors Industries Limited* 2,700 106,785
Nicor, Inc. 800 29,688
Occidental
Petroleum Corp. 6,900 231,495
Peoples Energy Corp. 600 25,734
Schlumberger Limited 10,900 518,513
Sempra Energy 3,800 108,414
Sunoco, Inc. 9,000 339,660
</Table>
The accompanying notes are an integral part of the financial statements.
63
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
Transocean, Inc.* 3,700 $ 81,289
Unocal Corp. 4,700 134,843
The Williams
Companies, Inc. 9,600 75,840
Xcel Energy, Inc. 7,700 115,808
-------------
10,596,642
-------------
ENTERTAINMENT & LEISURE -- 0.2%
Brunswick Corp. 1,200 30,024
Harrah's
Entertainment, Inc.* 2,100 84,504
The Walt Disney Co. 23,700 468,075
-------------
582,603
-------------
FINANCIAL SERVICES -- 1.9%
American Express Co. 24,900 1,041,069
Bear Stearns
Companies, Inc. 3,700 267,954
Countrywide
Financial Corp. 3,800 264,366
The Goldman Sachs
Group, Inc. 8,700 728,625
Huntington
Bancshares, Inc. 4,600 89,792
Janus Capital Group, Inc. 2,500 41,000
Lehman Brothers
Holdings, Inc. 5,500 365,640
MBNA Corp. 23,350 486,614
Merrill Lynch & Co., Inc. 17,100 798,228
Morgan Stanley 19,800 846,450
Price (T. Rowe) Group, Inc. 1,500 56,625
Simon Property Group, Inc. 4,300 167,829
-------------
5,154,192
-------------
FOODS -- 1.2%
Archer-Daniels-Midland Co. 12,885 165,830
Campbell Soup Co. 9,400 230,300
ConAgra Foods, Inc. 10,600 250,160
General Mills, Inc. 6,800 322,388
Heinz (H. J.) Co. 6,800 224,264
Hershey Foods Corp. 2,600 181,116
Kellogg Co. 7,900 271,523
The Kroger Co.* 14,700 245,196
McCormick & Co., Inc. 2,400 65,280
Safeway, Inc.* 9,200 188,232
Sara Lee Corp. 15,100 284,031
Starbucks Corp.* 7,500 183,900
SuperValu, Inc. 16,900 360,308
Wrigley (Wm.) Jr. Co. 4,300 241,789
-------------
3,214,317
-------------
FOREST PRODUCTS & PAPER -- 0.3%
Boise Cascade Corp. 1,100 26,290
Georgia-Pacific Corp. 4,900 92,855
International Paper Co. 9,200 328,716
MeadWestvaco Corp. 4,000 $ 98,800
Weyerhaeuser Co. 4,000 216,000
-------------
762,661
-------------
HEALTHCARE -- 0.4%
Humana, Inc.* 12,200 184,220
Tenet Healthcare Corp.* 8,450 98,443
UnitedHealth Group, Inc. 11,400 572,850
Wellpoint Health
Networks, Inc.* 3,400 286,620
-------------
1,142,133
-------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.3%
Centex Corp. 1,900 147,801
KB Home 2,500 154,950
Maytag Corp. 1,600 39,072
Pulte Homes, Inc. 4,400 271,304
Whirlpool Corp. 1,200 76,440
-------------
689,567
-------------
HOUSEHOLD PRODUCTS -- 0.3%
Black & Decker Corp. 1,700 73,865
The Clorox Co. 7,300 311,345
Corning, Inc.* 22,300 164,797
Fortune Brands, Inc. 2,500 130,500
Newell Rubbermaid, Inc. 3,100 86,800
Sherwin-Williams Co. 3,000 80,640
Snap-On, Inc. 500 14,515
The Stanley Works 1,600 44,160
-------------
906,622
-------------
INDUSTRIAL - DISTRIBUTION -- 0.0%
Grainger (W.W.), Inc. 1,800 84,168
-------------
INDUSTRIAL - DIVERSIFIED -- 1.1%
3M Co. 7,300 941,554
Cooper Industries
Limited Cl. A 1,800 74,340
Danaher Corp. 2,700 183,735
Eaton Corp. 4,000 314,440
Illinois Tool Works, Inc. 5,800 381,930
ITT Industries, Inc. 1,900 124,374
McDermott
International, Inc.* 1,300 8,229
Textron, Inc. 2,700 105,354
Tyco International Limited 36,489 692,561
-------------
2,826,517
-------------
INFORMATION RETRIEVAL SERVICES -- 0.1%
Yahoo!, Inc.* 11,400 373,464
-------------
INSURANCE -- 3.5%
ACE Limited 9,300 318,897
Aetna, Inc. 5,700 343,140
AFLAC, Inc. 9,400 289,050
Allstate Corp. 19,300 $ 688,045
Ambac Financial
Group, Inc. 2,400 159,000
American International
Group, Inc. 48,585 2,680,920
Anthem, Inc.* 4,700 362,605
Aon Corp. 5,400 130,032
Chubb Corp. 5,600 336,000
Cigna Corp. 2,500 117,350
Cincinnati Financial Corp. 3,300 122,397
Jefferson-Pilot Corp. 3,150 130,599
John Hancock Financial
Services, Inc. 5,700 175,161
Lincoln National Corp. 3,400 121,142
Loews Corp. 3,300 156,057
Marsh & McLennan
Companies, Inc. 9,800 500,486
MBIA, Inc. 2,800 136,500
Metlife, Inc. 14,200 402,144
MGIC Investment Corp. 1,900 88,616
Principal Financial
Group, Inc. 9,400 303,150
Progressive Corp. 5,600 409,360
Prudential Financial, Inc. 15,700 528,305
Safeco Corp. 4,700 165,816
The St. Paul
Companies, Inc. 4,300 156,993
Torchmark Corp. 2,300 85,675
Travelers Property
Casualty Corp. Cl. B 19,500 307,515
UnumProvident Corp. 4,700 63,027
XL Capital Limited Cl. A 2,500 207,500
-------------
9,485,482
-------------
LODGING -- 0.0%
Hilton Hotels Corp. 7,300 93,367
-------------
MACHINERY & COMPONENTS -- 0.4%
Baker Hughes, Inc. 6,300 211,491
Caterpillar, Inc. 6,200 345,092
Deere & Co. 4,600 210,220
Dover Corp. 5,200 155,792
Ingersoll-Rand Co. Cl. A 3,400 160,888
Pall Corp. 2,400 54,000
Parker-Hannifin Corp. 1,300 54,587
-------------
1,192,070
-------------
MANUFACTURING -- 0.3%
American Standard
Companies, Inc.* 1,500 110,895
Applied Materials, Inc.* 31,100 493,246
Avery Dennison Corp. 2,100 105,420
Millipore Corp.* 800 35,496
-------------
745,057
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
64
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
MEDICAL SUPPLIES -- 1.0%
Agilent Technologies, Inc.* 5,300 $ 103,615
Allergan, Inc. 1,400 107,940
Applied Biosystems
Group-Applera Corp. 4,000 76,120
Bard (C.R.), Inc. 4,500 320,895
Bausch & Lomb, Inc. 1,100 41,250
Baxter International, Inc. 6,300 163,800
Becton, Dickinson & Co. 5,700 221,445
Biomet, Inc. 5,400 154,764
Guidant Corp. 7,700 341,803
Medtronic, Inc. 8,500 407,745
St. Jude Medical, Inc.* 4,100 235,750
Stryker Corp. 2,100 145,677
Tektronix, Inc.* 6,400 138,240
Thermo Electron Corp.* 1,900 39,938
Waters Corp.* 2,500 72,825
Zimmer Holdings, Inc.* 3,700 166,685
-------------
2,738,492
-------------
METALS & MINING -- 0.3%
Alcoa, Inc. 15,400 392,700
Crane Co. 1,300 29,419
Freeport-McMoRan
Copper & Gold, Inc. Cl. B 2,800 68,600
Newmont Mining Corp. 7,700 249,942
Nucor Corp. 1,000 48,850
Phelps Dodge Corp.* 1,100 42,174
United States Steel Corp. 1,900 31,103
-------------
862,788
-------------
PHARMACEUTICALS -- 6.7%
Abbott Laboratories 28,500 1,247,160
AmerisourceBergen Corp. 1,100 76,285
Amgen, Inc.* 23,824 1,595,732
Biogen, Inc.* 3,600 136,800
Bristol-Myers Squibb Co. 35,500 963,825
Cardinal Health, Inc. 8,500 546,550
Chiron Corp.* 3,400 148,648
Eli Lilly & Co. 12,000 827,640
Forest Laboratories, Inc.* 6,600 361,350
Genzyme Corp.* 4,000 167,200
Johnson & Johnson 55,192 2,853,426
King
Pharmaceuticals, Inc.* 4,600 67,896
McKesson Corp. 10,700 382,418
Medimmune, Inc.* 4,900 178,213
Merck & Co., Inc. 41,700 2,524,935
Pfizer, Inc. 127,025 4,337,904
Schering-Plough Corp. 26,800 498,480
Sigma-Aldrich Corp. 1,300 70,434
Watson
Pharmaceutical, Inc.* 4,300 173,591
Wyeth 24,300 $ 1,106,865
-------------
18,265,352
-------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.1%
Eastman Kodak Co. 5,700 155,895
-------------
PREPACKAGED SOFTWARE -- 3.0%
Adobe Systems, Inc. 4,200 134,694
BMC Software, Inc.* 4,600 75,118
Citrix Systems, Inc.* 3,400 69,224
Computer Associates
International, Inc. 11,200 249,536
Compuware Corp.* 7,300 42,121
Electronic Arts, Inc.* 2,600 192,374
Intuit, Inc.* 7,000 311,710
Microsoft Corp. 197,434 5,056,285
Novell, Inc.* 7,200 22,176
Oracle Corp.* 96,444 1,159,257
Peoplesoft, Inc.* 6,000 105,540
Siebel Systems, Inc.* 9,100 86,814
SunGard Data
Systems, Inc.* 5,100 132,141
Symantec Corp.* 2,800 122,808
Veritas Software Corp.* 7,877 225,834
-------------
7,985,632
-------------
REAL ESTATE -- 0.1%
Equity Office
Properties Trust 8,000 216,080
Equity Residential 5,300 137,535
-------------
353,615
-------------
RESTAURANTS -- 0.3%
Darden Restaurants, Inc. 3,450 65,481
McDonald's Corp. 23,200 511,792
Wendy's International, Inc. 2,300 66,631
Yum! Brands, Inc.* 5,700 168,492
-------------
812,396
-------------
RETAIL -- 3.4%
AutoZone, Inc.* 2,000 151,940
Bed Bath & Beyond, Inc.* 3,300 128,073
Best Buy Co., Inc.* 6,200 272,304
Big Lots, Inc.* 2,200 33,088
Circuit City Stores, Inc. 3,900 34,320
Costco Wholesale Corp.* 8,900 325,740
CVS Corp. 7,600 213,028
Dollar General Corp. 7,000 127,820
Family Dollar Stores, Inc. 2,100 80,115
Federated Department
Stores, Inc. 10,200 375,870
The Home Depot, Inc. 46,400 1,536,768
J.C. Penney Company, Inc. 10,200 171,870
Lowe's Companies, Inc. 15,000 644,250
The May Department
Stores Co. 5,800 $ 129,108
Office Depot, Inc.* 13,300 192,983
RadioShack Corp. 3,600 94,716
Sears, Roebuck and Co. 6,100 205,204
Staples, Inc.* 18,300 335,805
Tiffany & Co. 1,800 58,824
TJX Companies, Inc. 10,700 201,588
Toys R Us, Inc.* 3,700 44,844
Wal-Mart Stores, Inc. 73,800 3,960,846
-------------
9,319,104
-------------
RETAIL - GROCERY -- 0.1%
Albertson's, Inc. 7,700 147,840
Winn-Dixie Stores, Inc. 2,700 33,237
-------------
181,077
-------------
TELEPHONE UTILITIES -- 1.6%
Alltel Corp. 5,600 270,032
AT&T Corp. 14,080 271,040
AT&T Wireless
Services, Inc.* 49,500 406,395
BellSouth Corp. 34,100 908,083
CenturyTel, Inc. 2,600 90,610
Sprint Corp. (FON Group) 20,800 299,520
Sprint Corp. (PCS Group)* 11,700 67,275
Verizon
Communications, Inc. 50,968 2,010,688
-------------
4,323,643
-------------
TOBACCO -- 1.0%
Altria Group, Inc. 53,800 2,444,672
Reynolds (R.J.) Tobacco
Holdings, Inc. 1,800 66,978
UST, Inc. 3,300 115,599
-------------
2,627,249
-------------
TOYS, GAMES -- 0.1%
Hasbro, Inc. 9,400 164,406
Mattel, Inc. 9,500 179,740
-------------
344,146
-------------
TRANSPORTATION -- 1.1%
Burlington Northern
Santa Fe Corp. 10,000 284,400
Carnival Corp. 12,200 396,622
CSX Corp. 4,116 123,850
FedEx Corp. 5,700 353,571
Norfolk Southern Corp. 7,500 144,000
Union Pacific Corp. 5,000 290,100
United Parcel
Service, Inc. Cl. B 20,600 1,312,219
-------------
2,904,762
-------------
TOTAL EQUITIES
(COST $165,030,620) 167,569,816
=============
</Table>
The accompanying notes are an integral part of the financial statements.
65
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
RIGHTS -- 0.0%
COMPUTERS & INFORMATION
Seagate Technology*~ 5,100 $ -
=============
TOTAL RIGHTS
(COST $0) -
-------------
<Caption>
PRINCIPAL
AMOUNT
-------------
BONDS & NOTES -- 25.9%
ASSET BACKED SECURITIES -- 0.9%
America West Airlines, Inc.
Series 1996-1, Class A
6.850% 07/02/2009 $ 824,122 713,484
Conseco Finance
Securitizations Corp.
Series 2001-1, Class A4
6.210% 07/01/2032 500,000 512,327
Metlife Capital Equipment
Loan Trust
Series 1997-A, Class A
6.850% 05/20/2008 160,150 164,254
Option One Mortgage
Securities Corp. Trust
Series 2002-2A,
Class CFTS~~
8.830% 06/26/2032 45,876 45,862
Railcar Trust
Series 1992-1, Class A
7.750% 06/01/2004 71,570 73,907
Travelers Funding Limited
Series 1A, Class A1~~
6.300% 02/18/2014 666,924 666,924
Vanderbilt Mortgage and
Finance, Inc.
Series 2002-C, Class A2
4.230% 02/07/2015 300,000 309,375
-------------
TOTAL ASSET BACKED
SECURITIES
(COST $2,566,494) 2,486,133
=============
CORPORATE DEBT -- 12.5%
Amerada Hess Corp.
7.125% 03/15/2033 250,000 284,547
AOL Time Warner, Inc.
5.625% 05/01/2005 400,000 424,651
AOL Time Warner, Inc.
7.700% 05/01/2032 100,000 116,743
Aramark Services, Inc.
8.150% 05/01/2005 175,000 191,721
Arrow Electronics, Inc.
8.700% 10/01/2005 420,000 458,180
AT&T Corp.
8.500% 11/15/2031 $ 75,000 $ 85,042
AT&T Wireless
Services, Inc.
7.500% 05/01/2007 90,000 103,745
Avnet, Inc.
8.000% 11/15/2006 160,000 170,400
Brascan Corp.
8.125% 12/15/2008 225,000 266,735
Capital One Bank
4.875% 05/15/2008 80,000 81,641
Cargill, Inc.~~
4.375% 06/01/2013 250,000 249,287
Cendant Corp.
7.375% 01/15/2013 200,000 235,501
Champion
International Corp.
6.400% 02/15/2026 500,000 546,944
Cinergy Corp.
6.250% 09/01/2004 500,000 524,987
CIT Group, Inc.
7.375% 04/02/2007 250,000 285,443
Citigroup, Inc.
4.875% 05/07/2015 135,000 138,841
Colonial Pipeline Co.~~
7.630% 04/15/2032 200,000 261,195
Comcast Cable
Communications, Inc.
8.375% 05/01/2007 750,000 885,022
Conoco, Inc.
6.950% 04/15/2029 400,000 481,262
Continental Airlines, Inc.
Series 1996-2B
8.560% 07/02/2014 359,073 217,770
Cox Communications, Inc.
7.750% 11/01/2010 450,000 550,442
CSX Corp.
7.250% 05/01/2027 500,000 595,176
DaimlerChrysler NA
Holding Corp.
4.050% 06/04/2008 530,000 524,866
Dominion Resources, Inc.
5.700% 09/17/2012 100,000 109,746
Dominion Resources, Inc.
7.820% 09/15/2004 700,000 750,333
Donnelley (R.R.) &
Sons Co.
6.625% 04/15/2029 500,000 542,760
Duke Energy Field
Services Corp.
7.875% 08/16/2010 550,000 661,967
Electronic Data
Systems Corp.~~
6.000% 08/01/2013 125,000 121,862
Electronic Data
Systems Corp.
7.125% 10/15/2009 $ 115,000 $ 123,625
Emerald Investment
Grade CBO Limited~~
1.967% 05/24/2011 994,784 932,610
Enbridge Energy
Partners LP~~
4.750% 06/01/2013 75,000 75,115
ERAC USA Finance Co.~~
6.750% 05/15/2007 250,000 279,952
FirstEnergy Corp. Series A
5.500% 11/15/2006 140,000 150,078
Ford Motor Co.
6.375% 02/01/2029 165,000 133,410
Ford Motor Co.
7.450% 07/16/2031 250,000 229,016
Ford Motor Credit Co.
6.875% 02/01/2006 375,000 397,725
France Telecom SA
9.250% 03/01/2011 240,000 302,056
General American
Transportation Corp.
6.750% 03/01/2006 300,000 297,791
General Mills, Inc.
8.900% 06/15/2006 500,000 590,974
General Motors Corp.
7.200% 01/15/2011 500,000 503,963
General Motors Corp.
8.375% 07/15/2033 120,000 117,863
The Goodyear Tire &
Rubber Co.
8.500% 03/15/2007 410,000 346,450
Hearst-Argyle
Television, Inc.
7.000% 11/15/2007 300,000 335,458
Household Finance Corp.
6.375% 10/15/2011 300,000 341,119
Household Finance Corp.
6.375% 11/27/2012 105,000 119,608
ICI Wilmington, Inc.
7.050% 09/15/2007 150,000 168,935
International
Game Technology
8.375% 05/15/2009 110,000 134,949
Interpool, Inc.
7.350% 08/01/2007 500,000 493,750
Jefferies Group, Inc.
7.750% 03/15/2012 100,000 116,737
Kern River
Funding Corp.~~
4.893% 04/30/2018 200,000 205,780
</Table>
The accompanying notes are an integral part of the financial statements.
66
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 $ 350,000 $ 415,910
Leucadia National Corp.
7.750% 08/15/2013 350,000 374,937
Liberty Media Corp.
8.250% 02/01/2030 800,000 923,382
Lockheed Martin Corp.
8.500% 12/01/2029 350,000 475,718
Meritor Automotive, Inc.
6.800% 02/15/2009 500,000 521,875
Merrill Lynch & Co., Inc.
Series MTNB
2.470% 03/10/2006 250,000 252,325
MidAmerican Energy
Holdings Co.~~
3.500% 05/15/2008 275,000 276,479
Millipore Corp.
7.500% 04/01/2007 1,000,000 1,060,000
Mobil Corp.
8.625% 08/15/2021 1,000,000 1,392,628
Mohawk Industries, Inc.
Series D
7.200% 04/15/2012 175,000 205,069
National Rural
Utilities Cooperative
Finance Corp.
8.000% 03/01/2032 500,000 644,838
Newell Rubbermaid, Inc.
4.000% 05/01/2010 100,000 101,897
News America
Holdings, Inc.
9.250% 02/01/2013 500,000 667,680
North Finance
(Bermuda) Limited~~
7.000% 09/15/2005 1,000,000 1,089,093
Progress Energy, Inc.
6.550% 03/01/2004 400,000 412,658
Qwest Corp.~~
8.875% 03/15/2012 225,000 251,438
Raytheon Co.
6.750% 08/15/2007 250,000 282,986
Ryder System, Inc.
6.600% 11/15/2005 750,000 814,390
Scholastic Corp.
7.000% 12/15/2003 750,000 768,524
Sealed Air Corp.~~
5.625% 07/15/2013 70,000 70,612
Sprint Capital Corp.
6.900% 05/01/2019 500,000 523,724
SuperValu, Inc.
7.875% 08/01/2009 500,000 582,948
Telefonica Europe BV
7.350% 09/15/2005 $ 700,000 $ 781,533
Tenet Healthcare Corp.
6.375% 12/01/2011 175,000 164,500
Textron Financial Corp.
Series MTNE
5.950% 03/15/2004 495,000 508,486
Thomas & Betts Corp.
8.250% 01/15/2004 500,000 515,000
Toro Co.
7.800% 06/15/2027 325,000 357,394
Tyco International
Group SA
6.375% 02/15/2006 375,000 390,938
Tyco International
Group SA
6.375% 10/15/2011 325,000 342,875
Tyson Foods, Inc.
8.250% 10/01/2011 35,000 41,441
US Airways,
Inc. Class B*~~~
7.500% 04/15/2008 434,841 8,697
Verizon Global
Funding Corp.
7.375% 09/01/2012 175,000 213,448
Verizon Global
Funding Corp.
7.750% 12/01/2030 350,000 443,267
Vodafone Group PLC
5.375% 01/30/2015 175,000 186,898
Vulcan Materials Co.
6.000% 04/01/2009 250,000 282,549
WorldCom, Inc.*~~~
6.500% 05/15/2004 500,000 147,500
WorldCom, Inc.*~~~
8.250% 05/15/2031 155,000 45,725
WPP Finance (USA) Corp.
6.625% 07/15/2005 675,000 712,739
-------------
TOTAL CORPORATE DEBT
(COST $31,668,309) 33,515,874
=============
MUNICIPAL OBLIGATIONS -- 0.1%
GENERAL OBLIGATIONS
Illinois State
Taxable Pension
5.100% 06/01/2033 365,000 358,930
-------------
TOTAL MUNICIPAL
OBLIGATIONS
(COST $365,000) 358,930
=============
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 2.0%
COLLATERALIZED MORTGAGE OBLIGATIONS
Asset Securitization Corp.
Series 1995-MD4,
Class A1
7.100% 08/13/2029 $ 800,807 $ 872,221
CS First Boston Mortgage
Securities Corp.
Series 1998-C2, Class A1
5.960% 11/11/2030 470,665 507,571
CS First Boston Mortgage
Securities Corp.
Series 2002-H1N,
Class A~~
8.000% 08/27/2032 99,108 97,126
GSR Mortgage Loan Trust
Series 2002-8F,
Class 3AA1
6.500% 09/25/2032 205,435 209,456
Merrill Lynch Mortgage
Investors, Inc.
Series 1998-C1, Class A1
6.310% 11/15/2026 456,399 474,922
Salomon Brothers
Mortgage Securities
Series 1997-TZH,
Class B~~
7.491% 03/25/2022 750,000 821,477
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1~~
5.323% 02/18/2034 583,930 616,576
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B~~
6.920% 02/03/2014 1,000,000 1,110,594
Structured Asset
Securities Corp.
Series 1998-ALS2,
Class 1A
6.750% 03/25/2029 376,866 386,081
Vendee Mortgage Trust
Series 1992-1, Class 2Z
7.750% 05/15/2022 385,893 441,736
-------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $5,246,853) 5,537,760
=============
</Table>
The accompanying notes are an integral part of the financial statements.
67
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 8.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 1.3%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.1%
FHLMC
Series W067, Class A
6.420% 12/01/2005 $ 189,243 $ 207,961
-------------
PASS-THROUGH SECURITIES -- 1.2%
FHLMC
6.000% 09/01/2016-
10/01/2032 1,455,587 1,512,984
FHLMC
6.500% 08/01/2016-
08/01/2032 1,195,139 1,248,129
FHLMC
8.000% 06/01/2027 289,015 315,376
FHLMC
9.000% 03/01/2017 25,591 28,129
-------------
TOTAL PASS-THROUGH SECURITIES 3,104,618
-------------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) 3,312,579
=============
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 4.9%
PASS-THROUGH SECURITIES
FNMA
4.500% 06/01/2018-
07/01/2018 1,149,887 1,174,816
FNMA
5.500% 12/01/2016-
03/01/2033 4,706,950 4,897,004
FNMA
6.000% 05/01/2016-
01/01/2032 2,075,014 2,161,618
FNMA
6.500% 10/01/2031-
09/01/2032 2,634,531 2,752,467
FNMA
7.000% 01/01/2031-
05/01/2031 670,804 708,838
FNMA
7.500% 10/01/2029-
05/01/2030 1,037,142 1,105,335
FNMA
8.000% 05/01/2013-
10/01/2031 474,511 512,301
-------------
TOTAL PASS-THROUGH SECURITIES 13,312,379
=============
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 2.2%
PASS-THROUGH SECURITIES
GNMA
6.000% 01/15/2032-
08/15/2032 $ 1,146,457 $ 1,204,362
GNMA
6.500% 06/15/2023-
03/15/2029 3,139,789 3,317,686
GNMA
7.000% 08/15/2023-
07/15/2032 674,449 717,183
GNMA
7.500% 10/15/2006-
06/15/2017 455,887 484,991
GNMA
8.000% 11/15/2004-
07/15/2008 198,031 207,931
GNMA
9.000% 12/15/2008-
05/15/2009 93,685 102,877
-------------
TOTAL PASS-THROUGH SECURITIES 6,035,030
-------------
OTHER AGENCIES -- 0.0%
PASS-THROUGH SECURITIES
New Valley Generation IV
4.687% 01/15/2022 100,000 103,839
-------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $21,668,745) 22,763,827
=============
U.S. TREASURY OBLIGATIONS -- 2.0%
U.S. TREASURY BONDS -- 1.6%
U.S. Treasury Bond
6.125% 08/15/2029 355,000 433,710
U.S. Treasury Bond
8.750% 05/15/2017 2,625,000 3,929,707
-------------
TOTAL U.S. TREASURY BONDS 4,363,417
-------------
U.S. TREASURY NOTES -- 0.4%
U.S. Treasury Note
5.750% 08/15/2010 905,000 1,059,274
-------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $4,493,200) 5,422,691
=============
TOTAL BONDS & NOTES
(COST $66,008,601) 70,085,215
=============
TOTAL LONG TERM INVESTMENTS
(COST $231,039,221) 237,655,031
=============
SHORT-TERM INVESTMENTS -- 16.8%
CASH EQUIVALENTS -- 4.7%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 270,731 $ 270,731
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 212,313 212,313
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 1,353,656 1,353,656
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 1,353,656 1,353,656
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 270,731 270,731
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 820,836 820,836
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 135,366 135,366
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 1,055,852 1,055,852
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 203,048 203,048
Merrill Lynch Premier
Institutional Money
Market Fund 588,264 588,264
Merrimac Money
Market Fund 2,213,228 2,213,228
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 676,828 676,828
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 541,462 541,462
National Bank
of Commerce
1.073% 11/19/2003 338,414 338,414
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 1,218,290 1,218,290
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 812,194 812,194
</Table>
The accompanying notes are an integral part of the financial statements.
68
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 $ 676,828 $ 676,828
-------------
12,741,697
-------------
COMMERCIAL PAPER -- 12.1%
ConAgra Foods, Inc.
1.330% 07/01/2003 2,895,000 2,895,000
ITT Industries, Inc.
1.180% 07/14/2003 6,525,000 6,522,220
Kinder Morgan, Inc.
1.150% 07/07/2003 3,705,000 3,704,290
Kinder Morgan, Inc.
1.200% 07/16/2003 1,700,000 1,699,150
National Fuel Gas Co.
1.200% 07/02/2003 4,085,000 4,084,864
OGE Engergy Corp.
1.100% 07/08/2003 3,170,000 3,169,322
Praxair, Inc.
1.000% 07/03/2003 3,630,000 3,629,798
Textron Financial Corp.
1.160% 07/09/2003 4,070,000 4,068,951
Washington Mutual
Financial Corp.
1.070% 07/15/2003 2,995,000 2,993,754
-------------
32,767,349
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 45,509,046
=============
TOTAL INVESTMENTS -- 104.5%
(COST $276,548,267)*** 283,164,077
OTHER ASSETS/
(LIABILITIES) -- (4.5%) (12,069,740)
=============
NET ASSETS -- 100.0% $ 271,094,337
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
~ This security is valued in good faith under procedures established by the
board of directors.
~~ 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.
~~~ Security is currently in default.
The accompanying notes are an integral part of the financial statements.
69
<Page>
MASSMUTUAL BALANCED FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
--------------
ASSETS:
Investments, at value (cost $231,039,221) (NOTE 2) $ 237,655,031
Short-term investments, at amortized cost (NOTE 2) 45,509,046
--------------
Total Investments (including securities on loan with market values of $12,194,551) 283,164,077
Receivables from:
Investments sold 716,218
Interest and dividends 1,096,717
--------------
Total assets 284,977,012
--------------
LIABILITIES:
Payables for:
Investments purchased 889,624
Securities on loan (NOTE 2) 12,741,697
Directors' fees and expenses (NOTE 3) 7,207
Affiliates (NOTE 3):
Investment management fees 111,317
Administration fees 22,245
Service fees 3,598
Due to custodian 91,634
Accrued expense and other liabilities 15,353
--------------
Total liabilities 13,882,675
--------------
NET ASSETS $ 271,094,337
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 328,898,304
Undistributed net investment income 2,991,734
Accumulated net realized loss on investments and futures contracts (67,411,511)
Net unrealized appreciation on investments 6,615,810
--------------
$ 271,094,337
==============
NET ASSETS:
Class A $ 5,924,057
==============
Class L $ 2,319,701
==============
Class Y $ 1,711,594
==============
Class S $ 261,030,044
==============
Class N $ 108,941
==============
SHARES OUTSTANDING:
Class A 715,589
==============
Class L 278,219
==============
Class Y 199,007
==============
Class S 31,189,215
==============
Class N 13,237
==============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 8.28
==============
Class L $ 8.34
==============
Class Y $ 8.60
==============
Class S $ 8.37
==============
Class N $ 8.23
==============
</Table>
The accompanying notes are an integral part of the financial statements.
70
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
--------------
INVESTMENT INCOME (NOTE 2):
Dividends $ 1,488,040
Interest (including securities lending income of $5,619) 2,387,213
--------------
Total investment income 3,875,253
--------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 623,859
Custody fees 22,913
Audit and legal fees 10,718
Shareholder reporting fees 4,696
Directors' fees (NOTE 3) 2,870
Trustee reporting 2,609
--------------
667,665
Administration fees (NOTE 3):
Class A 10,873
Class L 5,973
Class Y 2,117
Class S 106,324
Class N 227
Service fees (NOTE 3):
Class A 6,878
Class N 127
Distribution fees (NOTE 3):
Class N 127
--------------
Total expenses 800,311
--------------
NET INVESTMENT INCOME 3,074,942
--------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions (7,561,629)
Closed futures contracts 21,450
--------------
Net realized loss (7,540,179)
--------------
Net change in unrealized appreciation (depreciation) on investments 25,503,958
--------------
NET REALIZED AND UNREALIZED GAIN 17,963,779
--------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 21,038,721
==============
</Table>
The accompanying notes are an integral part of the financial statements.
71
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 3,074,942 $ 8,234,302
Net realized loss on investment transactions and futures contracts (7,540,179) (27,100,022)
Net change in unrealized appreciation (depreciation) on investments
and futures contracts 25,503,958 (20,865,715)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 21,038,721 (39,731,435)
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (139,540)
Class L - (91,598)
Class Y - (69,654)
Class S - (8,181,156)
-------------- --------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (8,481,948)
-------------- --------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 2,674 (760,826)
Class L (1,208,909) (148,401)
Class Y (868,082) (233,937)
Class S (20,315,640) (42,716,745)
Class N - 101,000*
-------------- --------------
DECREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS (22,389,957) (43,758,909)
-------------- --------------
TOTAL DECREASE IN NET ASSETS (1,351,236) (91,972,292)
NET ASSETS:
Beginning of period 272,445,573 364,417,865
-------------- --------------
End of period (including undistributed net investment income of
$2,991,734 and accumulated net investment loss of
$83,208, respectively) $ 271,094,337 $ 272,445,573
============== ==============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
72
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00
---------------- ---------- ----------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.66 $ 8.93 $ 9.81 $ 13.21
-------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.07*** 0.17*** 0.20*** 0.35***
Net realized and unrealized gain (loss)
on investments 0.55 (1.24) (0.84) (0.41)
-------- -------- -------- --------
Total income (loss) from investment
operations 0.62 (1.07) (0.64) (0.06)
-------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.20) (0.24) (0.49)
Tax return of capital - - - -
From net realized gains - - (0.00)**** (2.85)
-------- -------- -------- --------
Total distributions - (0.20) (0.24) (3.34)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.28 $ 7.66 $ 8.93 $ 9.81
======== ======== ======== ========
TOTAL RETURN@ 8.09%** (11.98)% (6.51)% (0.58)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 5,924 $ 5,490 $ 7,168 $ 4,095
Net expenses to average daily net assets 1.16%* 1.16% 1.16% 1.15%
Net investment income to average daily net assets 1.83%* 2.08% 2.20% 2.64%
Portfolio turnover rate 35%** 94% 85% 100%
<Caption>
CLASS A
-------
YEAR ENDED YEAR ENDED
12/31/99 12/31/98+
---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.20 $ 14.03
-------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.40*** 0.41***
Net realized and unrealized gain (loss)
on investments (0.70) 1.36
-------- --------
Total income (loss) from investment
operations (0.30) 1.77
-------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.47) (0.58)
Tax return of capital (0.00)**** -
From net realized gains (0.22) (1.02)
-------- --------
Total distributions (0.69) (1.60)
-------- --------
NET ASSET VALUE, END OF PERIOD $ 13.21 $ 14.20
======== ========
TOTAL RETURN@ (2.17)% 12.78%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 573 $ 177
Net expenses to average daily net assets 1.15% 1.20%
Net investment income to average daily net assets 2.87% 2.76%
Portfolio turnover rate 19% 30%
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00 12/31/99~
---------------- ---------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.71 $ 8.98 $ 9.85 $ 13.22 $ 14.62
--------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.08*** 0.20*** 0.23*** 0.39*** 0.47***
Net realized and unrealized gain (loss)
on investments 0.55 (1.25) (0.85) (0.42) (1.15)
-------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.63 (1.05) (0.62) (0.03) (0.68)
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.22) (0.25) (0.49) (0.50)
Tax return of capital - - - - (0.00)****
From net realized gains - - (0.00)**** (2.85) (0.22)
-------- -------- -------- -------- --------
Total distributions - (0.22) (0.25) (3.34) (0.72)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.34 $ 7.71 $ 8.98 $ 9.85 $ 13.22
======== ======== ======== ======== ========
TOTAL RETURN@ 8.17%** (11.67)% (6.31)% (0.35)% (4.69)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,320 $ 3,280 $ 3,976 $ 4,721 $ 173
Net expenses to average daily net assets 0.91%* 0.91% 0.91% 0.90% 0.89%*
Net investment income to average daily net assets 2.07%* 2.33% 2.47% 2.97% 4.97%*
Portfolio turnover rate 35%** 94% 85% 100% 19%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
**** TAX RETURN OF CAPITAL AND DISTRIBUTIONS FROM NET REALIZED GAINS ARE LESS
THAN $0.01 PER SHARE.
~ FOR THE PERIOD MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER
31, 1999.
+ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
@ 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.
(a) THE FUND ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING GUIDE
FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND DISCOUNTS ON
DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR ENDED DECEMBER
31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME OF LESS THAN $0.01 PER
SHARE, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND LOSSES OF
LESS THAN $0.01 PER SHARE AND A DECREASE OF THE RATIO OF NET INVESTMENT
INCOME TO AVERAGE NET ASSETS OF 0.01%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
73
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a)
---------------- ---------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.94 $ 9.25 $ 10.14
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.09*** 0.21*** 0.25***
Net realized and unrealized gain (loss)
on investments 0.57 (1.29) (0.88)
-------- -------- --------
Total income (loss) from investment
operations 0.66 (1.08) (0.63)
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.23) (0.26)
Tax return of capital - - -
From net realized gains - - (0.00)****
-------- -------- --------
Total distributions - (0.23) (0.26)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.60 $ 7.94 $ 9.25
======== ======== ========
TOTAL RETURN@ 8.31%** (11.64)% (6.19)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,712 $ 2,438 $ 3,087
Net expenses to average daily net assets 0.76%* 0.76% 0.76%
Net investment income to average daily net assets 2.21%* 2.48% 2.62%
Portfolio turnover rate 35%** 94% 85%
<Caption>
CLASS Y
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/00 12/31/99 12/31/98+
---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.24 $ 14.20 $ 14.06
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.42*** 0.46*** 0.48***
Net realized and unrealized gain (loss)
on investments (0.44) (0.71) 1.36
-------- -------- --------
Total income (loss) from investment
operations (0.02) (0.25) 1.84
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.23) (0.49) (0.67)
Tax return of capital - (0.00)**** -
From net realized gains (2.85) (0.22) (1.03)
-------- -------- --------
Total distributions (3.08) (0.71) (1.70)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.14 $ 13.24 $ 14.20
======== ======== ========
TOTAL RETURN@ (0.22)% (1.77)% 13.23%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 3,587 $ 59,381 $ 1,051
Net expenses to average daily net assets 0.74% 0.75% 0.76%
Net investment income to average daily net asset 3.20% 3.23% 3.21%
Portfolio turnover rate 100% 19% 30%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01(a)
----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.72 $ 9.00 $ 9.88
----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.09*** 0.22*** 0.26***
Net realized and unrealized gain (loss)
on investments 0.56 (1.25) (0.86)
----------- ----------- -----------
Total income (loss) from investment
operations 0.65 (1.03) (0.60)
----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.25) (0.28)
Tax return of capital - - -
From net realized gains - - (0.00)****
----------- ----------- -----------
Total distributions - (0.25) (0.28)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 8.37 $ 7.72 $ 9.00
=========== =========== ===========
TOTAL RETURN@ 8.42%** (11.47)% (6.07)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 261,030 $ 261,137 $ 350,187
Net expenses to average daily net assets 0.60%* 0.60% 0.60%
Net investment income to average daily net assets 2.38%* 2.64% 2.78%
Portfolio turnover rate 35%** 94% 85%
<Caption>
CLASS S
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/00 12/31/99 12/31/98(1)
----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.25 $ 14.20 $ 13.59
----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.43*** 0.48*** 0.49***
Net realized and unrealized gain (loss)
on investments (0.41) (0.70) 1.33
----------- ----------- -----------
Total income (loss) from investment
operations 0.02 (0.22) 1.82
----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.54) (0.51) (0.48)
Tax return of capital - (0.00)**** -
From net realized gains (2.85) (0.22) (0.73)
----------- ----------- -----------
Total distributions (3.39) (0.73) (1.21)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 9.88 $ 13.25 $ 14.20
=========== =========== ===========
TOTAL RETURN@ 0.00% (1.58)% 13.50%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 432,619 $ 655,478 $ 771,763
Net expenses to average daily net assets 0.59% 0.57% 0.54%
Net investment income to average daily net ass 3.28% 3.36% 3.42%
Portfolio turnover rate 100% 19% 30%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
**** TAX RETURN OF CAPITAL AND DISTRIBUTIONS FROM NET REALIZED GAINS ARE LESS
THAN $0.01 PER SHARE.
+ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
(1) CLASS S SHARES WERE PREVIOUSLY DESIGNATED AS CLASS 4 SHARES.
@ 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.
(a) THE FUND ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING GUIDE
FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND DISCOUNTS ON
DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR ENDED DECEMBER
31, 2001 WAS A DECREASE TO NET INVESTMENT INCOME OF LESS THAN $0.01 PER
SHARE, AN INCREASE TO NET REALIZED AND UNREALIZED GAINS AND LOSSES OF
LESS THAN $0.01 PER SHARE AND A DECREASE OF THE RATIO OF NET INVESTMENT
INCOME TO AVERAGE NET ASSETS OF 0.01%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
74
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~
---------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.63 $ 7.63
-------------- --------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.06*** (0.00)***~~
Net realized and unrealized gain (loss) on investments 0.54 (0.00)~~
-------------- --------------
Total income (loss) from investment operations 0.60 (0.00)
-------------- --------------
NET ASSET VALUE, END OF PERIOD $ 8.23 $ 7.63
============== ==============
TOTAL RETURN@ 7.86%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 109 $ 101
Net expenses to average daily net assets 1.46%* -^
Net investment income to average daily net assets 1.52%* -^
Portfolio turnover rate 35%** 94%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
~~ NET INVESTMENT LOSS AND NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
ARE LESS THAN $0.01 PER SHARE.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
@ 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.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
75
<Page>
MASSMUTUAL CORE VALUE EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL CORE VALUE
EQUITY FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital and income
- - utilize a value-oriented portfolio strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- have competitive advantages, management stability and financial strength
- are attractively valued based on various financial ratios
- have earnings growth potential that may not be recognized by the market at
large
- - invest in a diversified portfolio of equity securities of larger, well
established firms (generally with market capitalizations exceeding $2
billion)
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
10.24%, underperforming both the 11.75% return of the Standard & Poor's 500
Index and the 11.57% return of the Russell 1000 Value Index.
The Russell 1000 Value Index measures the performance of those companies in the
Russell 1000 Index with attributes common to the value universe. The Russell
1000 Index tracks the performance of the 1,000 largest U.S. companies based on
total market capitalization. The S&P 500 is a market capitalization-weighted,
unmanaged index of 500 common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
First quarter 2003 equity market performance rotated around war with Iraq,
creating a heightened atmosphere of uncertainty that affected all areas of the
market. The quarter also featured a continuation of generally downward economic
data. For the period, large cap stocks performed slightly better than the
broader market and small- and mid cap stocks declined the most. During this
time, the portfolio experienced weakness in the producer durables, integrated
oils and financial services sectors. In addition, stock selection in the
consumer staples sector detracted from relative returns, largely because of
litigation concerns tied to our position in Altria, the parent company of Philip
Morris USA. Conversely, areas that were favorable and proved to be relative safe
havens during the quarter were the health care, materials and processing, and
utilities sectors. In addition, against the backdrop of a surprisingly resilient
housing market, the homebuilders that we emphasize--Pulte and KB Home--also
fared well. On the other hand, defense contractors, such as Boeing and Lockheed
Martin, fell during the quarter, so our avoidance of these shares also helped.
The second quarter witnessed a remarkable turnaround. After three years of a
bear market that took no prisoners, the S&P 500 Index posted a 15.4% gain. The
rally, which began in March during the early stages of the war in Iraq, gained
momentum as investors became more confident about the outlook for the economy
and corporate profits. During the quarter, small cap stocks outperformed large
caps by a wide margin. Within large caps, value companies outperformed their
growth counterparts and all economic sectors advanced, led by the performance of
producer durables, consumer discretionary, technology and utility companies.
While equity market performance was strong during the period, it was led by the
areas of the market that to date have exhibited the weakest fundamentals and
highest-risk profiles. This worked against portfolio strategy and resulted in
relative underperformance, although the portfolio turned in impressive results
on an absolute basis. Also working against our strategy during the second
quarter was the market's favoring of small cap stocks over large cap stocks by a
significant margin.
Our underperformance relative to the benchmark resulted in part from our
emphasis on railways. CSX and Norfolk Southern underperformed, reflecting
weakened demand for coal and industrial shipments. In the financial services
sector, CIGNA lagged the market, reflecting investors' anxiety over management's
ability to successfully negotiate new contracts with HMO customers. Freddie Mac
also declined after disclosing accounting issues that resulted in the
overstatement of past years' earnings; Fannie Mae fell in sympathy. We remain
confident in the prospects for Freddie Mac, however, and
76
<Page>
added slightly to our position based on our belief that the recent management
shake-up will ultimately strengthen the company.
Areas of relative strength for the portfolio during the second quarter were the
consumer discretionary and consumer staples sectors. Stock selection among the
consumer sectors was highly favorable, highlighted by strong results from
companies including McDonald's Corp. and Rite-Aid Corp. Another bright spot was
Altria, which rose almost 54% this quarter as a result of the dismissal of a
class action suit in Florida that had far-reaching implications for future
tobacco class action lawsuits. Additionally, performance was very favorable in
the utility sector; the portfolio's health care and oil-related companies
advanced as well.
WHAT IS YOUR OUTLOOK?
The market's rally over the past four months has brought valuations to levels
somewhat above their long-term averages based on traditional measures such as
price-to-sales and price-to-forward earnings. However, the spread in return
expectations between stocks and bonds remains wide by historic standards; with
interest rates so low, we continue to find equities more attractive than bonds.
We currently have a fairly constructive view on the economy and the stock market
for the second half of 2003 and going into 2004. We expect the economy to pick
up some GRADUAL momentum in the second half of the year, driven by the massive
amounts of monetary stimulus present today and the fiscal stimulus coming from
Washington in 2004. Additionally, portions of the investing community have also
begun to anticipate a gradual recovery. For four consecutive months we have seen
net inflows into equity mutual funds totaling $40 billion. This follows almost a
full year of consecutive monthly net outflows.
We caution, however, that we are heading into "earnings season"--the time when
many U.S. companies report their second quarter operating results and their
near-term outlooks. Expectations for a second-half recovery have begun to get
priced into the market, but they are predicated on encouraging earnings news. If
that fails to materialize, it could be a long summer for many investors.
MASSMUTUAL CORE VALUE EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/03)
Citigroup, Inc.
Exxon Mobil Corp.
Bank of America Corp.
Verizon Communications, Inc.
McDonald's Corp.
American International Group, Inc.
Wells Fargo & Co.
Rockwell Collins, Inc.
Weyerhaeuser Co.
Pfizer, Inc.
77
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Core Value Equity Fund Class S and the
S&P 500 Index
MASSMUTUAL CORE VALUE EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 10/3/94 - 6/30/03
Class S 10.24% -3.16% -3.72% 7.20%
- ------------------------------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -1.61% 10.77%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S S&P 500 INDEX
10/3/1994 $ 10,000 $ 10,000
Jun-95 $ 11,613 $ 12,017
Jun-96 $ 14,276 $ 15,139
Jun-97 $ 18,435 $ 20,389
Jun-98 $ 22,196 $ 26,535
Jun-99 $ 25,584 $ 32,575
Jun-00 $ 22,247 $ 34,939
Jun-01 $ 21,913 $ 29,760
Jun-02 $ 18,963 $ 24,411
Jun-03 $ 18,364 $ 24,471
</Table>
Hypothetical Investments in MassMutual Core Value Equity Fund Class A, Class Y
and S&P 500 Index
MASSMUTUAL CORE VALUE EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 1/1/98 - 6/30/03
Class A 10.00% -3.59% -4.23% -2.40%
Class Y 10.28% -3.29% -3.83% -1.99%
- ------------------------------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -1.61% 1.50%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS Y S&P 500 INDEX
1/1/1998 $ 10,000 $ 10,000 $ 10,000
Jun-98 $ 10,860 $ 10,880 $ 11,770
Jun-99 $ 12,431 $ 12,517 $ 14,449
Jun-00 $ 10,751 $ 10,868 $ 15,497
Jun-01 $ 10,537 $ 10,702 $ 13,200
Jun-02 $ 9,076 $ 9,257 $ 10,828
Jun-03 $ 8,750 $ 8,952 $ 10,854
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
78
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Core Value Equity Fund Class L and S&P
500 Index
MASSMUTUAL CORE VALUE EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class L 10.18% -3.43% -7.41%
- -------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -5.96%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS L S&P 500 INDEX
5/3/1999 $ 10,000 $ 10,000
Jun-99 $ 10,207 $ 10,306
Jun-00 $ 8,859 $ 11,053
Jun-01 $ 8,704 $ 9,415
Jun-02 $ 7,516 $ 7,723
Jun-03 $ 7,258 $ 7,742
</Table>
Hypothetical Investments in MassMutual Core Value Equity Fund Class N, Class N
(CDSC fees deducted) and S&P 500 Index
MASSMUTUAL CORE VALUE EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 9.76% 9.91%
Class N (CDSC fees deducted) 8.76% 8.91%
- ----------------------------------------------------------------------------
S&P 500 Index 11.75% 11.83%
</Table>
[CHART]
<Table>
<Caption>
CLASS N
CLASS N (CDSC FEES DEXUCTED) S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 9,512 $ 9,412 $ 9,684
6/30/2003 $ 10,991 $ 10,891 $ 11,175
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
79
<Page>
MASSMUTUAL CORE VALUE EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 99.0%
ADVERTISING -- 0.0%
Getty Images, Inc.* 200 $ 8,260
Harte-Hanks, Inc. 1,200 22,800
-------------
31,060
-------------
AEROSPACE & DEFENSE -- 4.2%
Boeing Co. 9,100 312,312
General Dynamics Corp. 4,300 311,750
Honeywell
International, Inc. 23,200 622,920
Lockheed Martin Corp. 297,700 14,161,589
Northrop Grumman Corp. 4,900 422,821
Rockwell Collins, Inc. 931,500 22,942,845
United Technologies Corp. 9,500 672,885
-------------
39,447,122
-------------
AIR TRANSPORTATION -- 0.0%
JetBlue Airways Corp.* 300 12,687
SkyWest, Inc. 700 13,342
-------------
26,029
-------------
APPAREL, TEXTILES & SHOES -- 1.9%
Columbia Sportswear Co.* 2,400 123,384
Jones Apparel Group, Inc.* 4,100 119,966
Limited Brands 1,018,700 15,789,850
Liz Claiborne, Inc. 37,200 1,311,300
Nike, Inc. Cl. B 1,300 69,537
Polo Ralph Lauren Corp. 1,000 25,790
Reebok
International Limited* 3,200 107,616
VF Corp. 3,500 118,895
-------------
17,666,338
-------------
AUTOMOTIVE & PARTS -- 0.9%
American Axle &
Manufacturing
Holdings, Inc.* 900 21,510
ArvinMeritor, Inc. 2,000 40,360
Autoliv, Inc. 36,700 993,836
AutoNation, Inc.* 5,700 89,604
BorgWarner, Inc. 900 57,960
Cooper Tire & Rubber Co. 2,000 35,180
Dana Corp. 53,900 623,084
Delphi Corp. 93,700 808,631
Ford Motor Co. 66,600 731,934
General Motors Corp. 32,700 1,177,200
General Motors
Corp. Cl. H* 14,500 185,745
Genuine Parts Co. 26,300 841,863
Lear Corp.* 23,900 1,099,878
Magna International,
Inc. Cl. A 11,800 $ 793,786
Paccar, Inc. 7,700 520,212
Sonic Automotive, Inc.* 300 6,573
SPX Corp.* 1,400 61,684
Visteon Corp. 4,100 28,167
-------------
8,117,207
-------------
BANKING, SAVINGS & LOANS -- 19.1%
AmSouth Bancorp. 61,500 1,343,160
Associated Banc-Corp 3,260 120,229
Astoria Financial Corp. 4,500 125,685
BancorpSouth, Inc. 2,500 52,125
Bank of America Corp. 347,900 27,494,537
Bank of Hawaii Corp. 2,000 66,300
Bank One Corp. 90,100 3,349,918
Banknorth Group, Inc. 4,300 109,736
BB&T Corp. 15,100 517,930
BOK Financial Corp.* 2,717 104,795
Capitol Federal Financial 800 22,488
Charter One
Financial, Inc. 8,115 253,026
Citigroup, Inc. 866,300 37,077,640
City National Corp. 1,300 57,928
The Colonial
BancGroup, Inc. 3,500 48,545
Comerica, Inc. 23,940 1,113,210
Commerce Bancshares, Inc. 1,890 73,615
Compass Bancshares, Inc. 5,000 174,650
Cullen/Frost Bankers, Inc. 1,000 32,100
Downey Financial Corp. 700 28,910
F.N.B. Corp. 1,365 41,305
Fannie Mae 9,900 667,656
Fifth Third Bancorp 211,900 12,150,346
First Midwest
Bancorp, Inc. 1,500 43,215
First Tennessee
National Corp. 4,600 201,986
First Virginia Banks, Inc. 3,000 129,360
FirstMerit Corp. 2,600 59,436
FleetBoston
Financial Corp. 95,900 2,849,189
Freddie Mac 319,200 16,205,784
Fulton Financial Corp. 2,887 57,365
Golden West Financial Corp. 19,800 1,584,198
Greater Bay Bancorp 1,200 24,504
Greenpoint Financial Corp. 3,200 163,008
Hibernia Corp. Cl. A 5,100 92,616
Hudson City Bancorp, Inc. 2,400 61,368
Hudson United Bancorp 1,100 $ 37,565
Independence Community
Bank Corp. 1,700 47,974
J.P. Morgan Chase & Co. 110,300 3,770,054
KeyCorp 56,400 1,425,228
M&T Bank Corp. 3,200 269,504
Marshall and Ilsley Corp. 7,600 232,408
National City Corp. 325,400 10,643,834
National Commerce
Financial Corp. 5,800 128,702
New York Community
Bancorp, Inc. 5,066 147,370
North Fork
Bancorporation, Inc. 3,800 129,428
Old National Bancorp 1,995 45,885
Park National Corp. 300 34,275
Popular, Inc. 5,200 200,668
Provident Financial
Group, Inc. 700 17,941
Providian Financial Corp.* 5,100 47,226
Regions Financial Corp. 39,000 1,317,420
Roslyn Bancorp, Inc. 5,500 118,195
Silicon Valley Bancshares* 1,100 26,191
Sky Financial Group, Inc. 2,300 49,956
SLM Corp. 404,800 15,856,016
SouthTrust Corp. 10,900 296,480
Sovereign Bancorp, Inc. 9,700 151,805
State Street Corp. 3,300 130,020
SunTrust Banks, Inc. 24,000 1,424,160
TCF Financial Corp. 900 35,856
Trustmark Corp. 1,400 35,658
U.S. Bancorp 153,200 3,753,400
Union Planters Corp. 39,050 1,211,721
UnionBanCal Corp. 1,700 70,329
Valley National Bancorp 3,150 83,002
Wachovia Corp. 113,500 4,535,460
Washington Federal, Inc. 2,277 52,667
Washington Mutual, Inc. 85,600 3,535,280
Webster Financial Corp. 1,500 56,700
Wells Fargo & Co. 473,000 23,839,200
Westamerica Bancorp. 800 34,464
Whitney Holding Corp. 1,300 41,561
Zions Bancorp 2,800 141,708
-------------
180,473,174
-------------
BEVERAGES -- 1.6%
Anheuser-Busch
Companies, Inc. 9,200 469,660
The Coca-Cola Co. 9,500 440,895
Coca-Cola Enterprises, Inc. 500 9,075
</Table>
The accompanying notes are an integral part of the financial statements.
80
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
Constellation Brands, Inc.* 1,300 $ 40,820
Diageo PLC
Sponsored ADR 330,600 14,467,056
PepsiAmericas, Inc. 2,600 32,656
-------------
15,460,162
-------------
BROADCASTING, PUBLISHING & PRINTING -- 2.8%
American Greetings
Corp. Cl. A* 2,100 41,244
AOL Time Warner, Inc.* 99,300 1,597,737
Belo Corp. Cl. A 2,800 62,608
Cablevision Systems
Corp. Cl. A* 4,200 87,192
Clear Channel
Communications, Inc.* 8,000 339,120
Comcast Corp. Cl. A* 101,920 3,075,946
Cox Communications, Inc. Cl. A* 6,200 197,780
Dow Jones & Co., Inc. 600 25,818
Emmis
Communications Corp.* 1,000 22,950
Entercom
Communications Corp.* 200 9,802
Fox Entertainment Group,
Inc. Cl. A* 3,900 112,242
Gannett Co., Inc. 217,000 16,667,770
Hearst-Argyle
Television, Inc.* 600 15,540
InterActiveCorp* 1,284 50,808
Knight Ridder, Inc. 2,600 179,218
Lee Enterprises, Inc. 1,500 56,295
Liberty Media Corp. Cl. A* 99,600 1,151,376
McClatchy Co. Cl. A 900 51,858
The McGraw-Hill
Companies, Inc. 900 55,800
Media General, Inc. Cl. A 400 22,880
Meredith Corp. 1,200 52,800
New York Times Co. Cl. A 15,700 714,350
Reader's Digest Association 3,200 43,136
Tribune Co. 6,400 309,120
Viacom, Inc. Cl. B* 39,100 1,707,106
Washington Post Co. Cl. B 200 146,580
-------------
26,797,076
-------------
BUILDING MATERIALS & CONSTRUCTION -- 0.2%
Lafarge North America, Inc. 1,000 30,900
Martin Marietta
Materials, Inc. 8,500 285,685
Masco Corp. 31,300 746,505
Vulcan Materials Co. 12,500 463,375
-------------
1,526,465
-------------
CHEMICALS -- 5.0%
Air Products &
Chemicals, Inc. 7,200 299,520
Albemarle Corp. 900 $ 25,173
Ashland, Inc. 21,100 647,348
Cabot Corp. 1,700 48,790
Dow Chemical Co. 434,000 13,436,640
Du Pont (E.I.)
de Nemours & Co. 336,600 14,016,024
Eastman Chemical Co. 2,400 76,008
Engelhard Corp. 3,500 86,695
FMC Corp.* 11,500 260,245
International Flavors &
Fragrances, Inc. 800 25,544
The Lubrizol Corp. 18,800 582,612
Lyondell Chemical Co. 46,600 630,498
Monsanto Co. 10,300 222,892
PPG Industries, Inc. 328,200 16,652,868
Praxair, Inc. 5,400 324,540
Rohm & Haas Co. 5,000 155,150
-------------
47,490,547
-------------
COMMERCIAL SERVICES -- 1.8%
Cendant Corp.* 34,400 630,208
Donnelley (R.R.) & Sons Co. 1,800 47,052
Dun & Bradstreet Corp.* 500 20,550
Fluor Corp. 2,200 74,008
Global Payments, Inc. 100 3,550
Ikon Office Solutions, Inc. 4,600 40,940
Jacobs Engineering
Group, Inc.* 1,000 42,150
Rent-A-Center, Inc.* 100 7,581
Republic Services, Inc.* 5,100 115,617
Ribapharm, Inc.* 200 1,290
Ryder System, Inc. 1,900 48,678
Servicemaster Co. 12,600 134,820
Valassis
Communications, Inc.* 1,200 30,864
Viad Corp. 600 13,434
Waste Management, Inc. 649,700 15,651,273
-------------
16,862,015
-------------
COMMUNICATIONS -- 1.6%
ADC
Telecommunications, Inc.* 261,400 608,539
Advanced Fibre
Communications, Inc.* 6,000 97,620
Andrew Corp.* 3,200 29,440
Avaya, Inc.* 11,100 71,706
BCE, Inc. 309,200 7,145,612
Ciena Corp.* 6,800 35,292
Citizens Communications Co.* 9,200 118,588
Harris Corp. 1,000 30,050
IDT Corp.* 1,500 26,850
Nortel Networks Corp.* 418,300 1,129,410
Polycom, Inc.* 200 2,772
SBC Communications, Inc. 190,200 4,859,610
Scientific-Atlanta, Inc. 7,400 $ 176,416
Tellabs, Inc.* 85,000 558,450
-------------
14,890,355
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.1%
3Com Corp.* 11,200 52,415
Autodesk, Inc. 3,200 51,712
Computer Sciences Corp.* 4,600 175,352
Sun Microsystems, Inc.* 53,100 244,260
Unisys Corp.* 8,400 103,152
-------------
626,891
-------------
COMPUTER PROGRAMMING SERVICES -- 0.0%
Ceridian Corp.* 2,800 47,516
Macromedia, Inc.* 5,900 124,136
VeriSign, Inc.* 3,400 47,022
-------------
218,674
-------------
COMPUTER RELATED SERVICES - 0.0%
Ingram Micro, Inc. Cl. A* 42,200 464,200
-------------
COMPUTERS & INFORMATION -- 2.1%
Apple Computer, Inc.* 972,400 18,592,288
Comverse Technology, Inc.* 2,900 43,587
Diebold, Inc. 2,200 95,150
EMC Corp.* 31,500 329,805
Emulex Corp.* 600 13,662
Jabil Circuit, Inc.* 500 11,050
Quantum Corp.* 51,900 210,195
Solectron Corp.* 67,775 253,478
Storage Technology Corp.* 4,600 118,404
Symbol Technologies, Inc. 3,700 48,137
Tech Data Corp.* 18,500 494,135
Zebra Technologies
Corp. Cl. A* 100 7,519
-------------
20,217,410
-------------
COMPUTERS & OFFICE EQUIPMENT -- 2.7%
Hewlett-Packard Co. 236,703 5,041,774
International Business
Machines Corp. 234,000 19,305,000
Pitney Bowes, Inc. 20,700 795,087
Xerox Corp.* 25,200 266,868
-------------
25,408,729
-------------
CONTAINERS -- 0.1%
Ball Corp. 1,500 68,265
Bemis Co., Inc. 1,800 84,240
Owens-Illinois, Inc.* 4,100 56,457
Pactiv Corp.* 6,600 130,086
Sealed Air Corp.* 100 4,766
Smurfit-Stone
Container Corp.* 58,000 755,740
Temple-Inland, Inc. 1,400 60,074
-------------
1,159,628
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
81
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
COSMETICS & PERSONAL CARE -- 0.4%
Alberto-Culver Co. Cl. B 1,200 $ 61,320
Avon Products, Inc. 7,300 454,060
Colgate-Palmolive Co. 1,900 110,105
Dial Corp. 4,700 91,415
Estee Lauder Companies,
Inc. Cl. A 1,000 33,530
The Gillette Co. 13,700 436,482
Kimberly-Clark Corp. 8,200 427,548
The Procter & Gamble Co. 25,500 2,274,090
-------------
3,888,550
-------------
DATA PROCESSING & PREPARATION - 0.9%
Automatic Data
Processing, Inc. 219,900 7,445,814
Deluxe Corp. 15,100 676,480
NCR Corp.* 2,600 66,612
WebMD Corp.* 3,600 38,988
-------------
8,227,894
-------------
ELECTRIC UTILITIES -- 4.9%
AES Corp.* 8,200 52,070
Allegheny Energy, Inc. 3,900 32,955
Allete, Inc. 2,400 63,720
Alliant Energy Corp. 25,100 477,653
Ameren Corp. 23,400 1,031,940
American Electric
Power Co. 43,000 1,282,690
CenterPoint Energy, Inc. 10,800 88,020
Cinergy Corp. 33,975 1,249,940
CMS Energy Corp. 4,300 34,830
Consolidated Edison, Inc. 31,400 1,358,992
Constellation Energy
Group, Inc. 38,200 1,310,260
Dominion Resources, Inc. 10,100 649,127
DPL, Inc. 4,000 63,760
DTE Energy Co. 5,400 208,656
Duke Energy Corp. 28,100 560,595
Edison International* 59,900 984,157
Entergy Corp. 328,900 17,359,342
Exelon Corp. 126,900 7,589,889
FirstEnergy Corp. 9,100 349,895
FPL Group, Inc. 5,600 374,360
Great Plains Energy, Inc. 2,200 63,536
Hawaiian Electric
Industries, Inc. 1,100 50,435
MDU Resources Group, Inc. 2,200 73,678
Mirant Corp.* 10,700 31,030
NiSource, Inc. 8,000 152,000
Northeast Utilities 43,100 721,494
NSTAR 127,800 5,821,290
OGE Energy Corp. 2,400 51,288
Pepco Holdings, Inc. 4,800 91,968
PG&E Corp.* 14,100 298,215
PPL Corp. 30,200 $ 1,298,600
Progress Energy, Inc. 7,500 329,250
Public Service Enterprise
Group, Inc. 7,300 308,425
Puget Energy, Inc. 12,500 298,375
Reliant Resources, Inc.* 21,716 133,119
SCANA Corp. 3,400 116,552
Southern Co. 23,200 722,912
Wisconsin Energy Corp. 3,700 107,300
-------------
45,792,318
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 0.3%
Advanced Micro
Devices, Inc.* 7,500 48,075
American Power
Conversion Corp.* 6,900 107,571
Arrow Electronics, Inc.* 3,900 59,436
Avnet, Inc.* 3,500 44,380
Broadcom Corp. Cl. A* 3,200 79,712
Emerson Electric Co. 13,300 679,630
Energizer Holdings, Inc.* 4,000 125,600
Hubbell, Inc. Cl. B 16,300 539,530
Intersil Corp. Cl. A* 1,300 34,593
JDS Uniphase Corp.* 20,400 71,604
Johnson Controls, Inc. 2,700 231,120
Kemet Corp.* 2,700 27,270
LSI Logic Corp.* 5,900 41,772
Micron Technology, Inc.* 8,600 100,018
Rockwell Automation, Inc. 6,700 159,728
Sanmina-SCI Corp.* 50,700 319,917
Vishay Intertechnology, Inc.* 3,900 51,480
-------------
2,721,436
-------------
ENERGY -- 9.6%
Amerada Hess Corp. 14,600 718,028
Anadarko Petroleum Corp. 4,200 186,774
Apache Corp. 93,684 6,095,081
BP PLC Sponsored ADR 367,700 15,450,754
Burlington Resources, Inc. 5,500 297,385
ChevronTexaco Corp. 68,800 4,967,360
Cimarex Energy Co.* 744 17,670
ConocoPhillips 56,667 3,105,352
Devon Energy Corp. 5,428 289,855
Dynegy, Inc. Cl. A 8,500 35,700
El Paso Corp. 16,800 135,744
EOG Resources, Inc. 3,600 150,624
Equitable Resources, Inc. 2,100 85,554
Exxon Mobil Corp. 1,014,100 36,416,331
Forest Oil Corp.* 500 12,560
Halliburton Co. 8,300 190,900
Helmerich & Payne, Inc. 1,500 43,800
Kerr-McGee Corp. 3,100 138,880
KeySpan Corp. 5,600 198,520
Kinder Morgan, Inc. 1,900 103,835
Marathon Oil Corp. 54,000 $ 1,422,900
National Fuel Gas Co. 2,200 57,310
Newfield Exploration Co.* 2,600 97,630
Nicor, Inc. 1,400 51,954
Noble Energy, Inc. 700 26,460
Occidental Petroleum Corp. 50,400 1,690,920
Peoples Energy Corp. 1,200 51,468
Pioneer Natural Resources Co.* 3,100 80,910
Pogo Producing Co. 1,600 68,400
Premcor, Inc.* 800 17,240
Pride International, Inc.* 1,700 31,994
Questar Corp. 3,600 120,492
Royal Dutch Petroleum Co. NY Shares 327,300 15,258,726
Sempra Energy 38,300 1,092,699
Sunoco, Inc. 3,000 113,220
Tidewater, Inc. 1,200 35,244
Unocal Corp. 8,000 229,520
Valero Energy Corp. 24,500 890,085
Vectren Corp. 2,100 52,605
The Williams Companies, Inc. 12,400 97,960
XTO Energy, Inc. 4,533 91,159
-------------
90,219,603
-------------
ENTERTAINMENT & LEISURE -- 0.9%
Brunswick Corp. 4,000 100,080
GTECH Holdings Corp.* 2,900 109,185
Harrah's Entertainment, Inc.* 200 8,048
International Speedway Corp. Cl. A 800 31,608
Park Place Entertainment Corp.* 8,500 77,265
Regal Entertainment Group Cl. A 4,400 103,752
The Walt Disney Co. 429,300 8,478,675
-------------
8,908,613
-------------
FINANCIAL SERVICES -- 4.4%
Affiliated Managers Group, Inc.* 200 12,190
AG Edwards, Inc. 2,500 85,500
Allied Capital Corp. 400 9,240
AMB Property Corp. 2,600 73,242
American Express Co. 406,800 17,008,308
Annaly Mortgage Management, Inc. 5,400 107,514
Archstone-Smith Trust 5,500 132,000
Arden Realty, Inc. 4,100 106,395
AvalonBay Communities, Inc. 1,800 76,752
Bear Stearns Companies, Inc. 15,500 1,122,510
Boston Properties, Inc. 2,800 122,640
</Table>
The accompanying notes are an integral part of the financial statements.
82
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
BRE Properties, Inc. Cl. A 1,400 $ 46,480
Camden Property Trust 900 31,455
CarrAmerica Realty Corp. 3,700 102,897
Countrywide Financial Corp. 15,700 1,092,249
Cousins Properties, Inc. 1,100 30,690
Crescent Real Estate Equities Co. 2,500 41,525
Developers Diversified Realty Corp. 1,700 48,348
Doral Financial Corp. 2,900 129,485
Duke Realty Corp. 3,500 96,425
E*TRADE Group, Inc.* 4,800 40,800
First Industrial Realty Trust, Inc. 1,300 41,080
General Growth Properties, Inc. 2,000 124,880
The Goldman Sachs Group, Inc. 15,000 1,256,250
Health Care Property Investors, Inc. 1,600 67,760
Highwoods Properties, Inc. 1,400 31,220
Hospitalities Properties Trust 2,900 90,625
Huntington Bancshares, Inc. 59,700 1,165,344
IndyMac Bancorp, Inc. 5,200 132,184
iStar Financial, Inc. 1,600 58,400
Janus Capital Group, Inc. 6,600 108,240
Kimco Realty Corp. 2,600 98,540
Legg Mason, Inc. 900 58,455
Lehman Brothers Holdings, Inc. 25,800 1,715,184
Liberty Property Trust 3,500 121,100
Mack-Cali Realty Corp. 1,400 50,932
Mercantile Bankshares Corp. 2,100 82,698
Merrill Lynch & Co., Inc. 42,000 1,960,560
Morgan Stanley 280,600 11,995,650
New Plan Excel Realty Trust 3,000 64,050
PNC Financial Services Group, Inc. 8,900 434,409
Price (T. Rowe) Group, Inc. 2,200 83,050
ProLogis Trust 4,199 114,633
Public Storage, Inc. 3,100 104,997
Raymond James Financial, Inc. 1,300 42,965
Reckson Associates Realty Corp. 1,400 29,204
Regency Centers Corp. 800 27,984
The Rouse Co. 2,000 76,200
Simon Property Group, Inc. 4,100 160,023
Trizec Properties, Inc. 9,700 110,289
United Dominion Realty Trust, Inc. 3,300 56,826
Vornado Realty Trust 2,300 100,280
Weingarten Realty Investors 1,200 50,280
-------------
41,130,937
-------------
FOODS -- 4.0%
Archer-Daniels-Midland Co. 90,600 $ 1,166,022
Campbell Soup Co. 7,000 171,500
ConAgra Foods, Inc. 63,800 1,505,680
Dean Foods Co.* 4,200 132,300
General Mills, Inc. 3,300 156,453
Heinz (H. J.) Co. 514,300 16,961,614
Hershey Foods Corp. 1,400 97,524
Hormel Foods Corp. 1,400 33,180
Kellogg Co. 403,500 13,868,295
Kraft Foods, Inc. Cl. A 6,500 211,575
The Kroger Co.* 5,700 95,076
McCormick & Co., Inc. 2,000 54,400
Safeway, Inc.* 44,200 904,332
Sara Lee Corp. 61,900 1,164,339
SuperValu, Inc. 6,800 144,976
Tyson Foods, Inc. Cl. A 77,800 826,236
Wrigley (Wm.) Jr. Co. 1,600 89,968
-------------
37,583,470
-------------
FOREST PRODUCTS & PAPER -- 2.6%
Boise Cascade Corp. 21,000 501,900
Georgia-Pacific Corp. 52,100 987,295
International Paper Co. 15,300 546,669
MeadWestvaco Corp. 42,100 1,039,870
Packaging Corp. of America* 1,800 33,174
Plum Creek Timber Co., Inc. 5,800 150,510
Rayonier, Inc. 1,350 44,550
Sonoco Products Co. 3,200 76,864
Weyerhaeuser Co. 400,200 21,610,800
-------------
24,991,632
-------------
HEALTHCARE -- 0.4%
Coventry Health Care, Inc.* 2,900 133,864
GlaxoSmithKline PLC ADR 18,700 758,098
Health Net, Inc.* 39,300 1,294,935
Human Genome Sciences, Inc.* 2,200 27,984
Humana, Inc.* 57,500 868,250
Manor Care, Inc.* 2,100 52,521
Oxford Health Plans, Inc.* 18,300 769,149
Triad Hospitals, Inc.* 1,200 29,784
-------------
3,934,585
-------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 0.5%
Centex Corp. 2,300 178,917
Clayton Homes, Inc. 2,900 36,395
D.R. Horton, Inc. 2,600 73,060
Hillenbrand Industries, Inc. 2,000 100,900
HON Industries, Inc. 1,700 51,850
KB Home 16,900 1,047,462
La-Z-Boy, Inc. 1,400 31,332
Leggett & Platt, Inc. 39,000 799,500
Lennar Corp. 2,100 $ 150,150
Pulte Homes, Inc. 21,600 1,331,856
The Ryland Group, Inc. 2,400 166,560
Toll Brothers, Inc.* 1,400 39,634
Whirlpool Corp. 5,400 343,980
-------------
4,351,596
-------------
HOUSEHOLD PRODUCTS -- 0.6%
Black & Decker Corp. 18,300 795,135
The Clorox Co. 3,000 127,950
Corning, Inc.* 250,900 1,854,151
Fortune Brands, Inc. 25,200 1,315,440
Newell Rubbermaid, Inc. 7,500 210,000
RPM, Inc. 4,200 57,750
Sherwin-Williams Co. 31,800 854,784
Snap-On, Inc. 1,400 40,642
-------------
5,255,852
-------------
INDUSTRIAL - DISTRIBUTION -- 0.0%
Grainger (W.W.), Inc. 3,100 144,956
-------------
INDUSTRIAL - DIVERSIFIED -- 0.3%
3M Co. 3,300 425,634
Cooper Industries Limited Cl. A 17,200 710,360
Eaton Corp. 14,600 1,147,706
Harsco Corp. 1,200 43,260
Illinois Tool Works, Inc. 3,600 237,060
ITT Industries, Inc. 2,700 176,742
Lancaster Colony Corp. 900 34,794
Textron, Inc. 4,300 167,786
-------------
2,943,342
-------------
INSURANCE -- 8.2%
ACE Limited 11,000 377,190
Aetna, Inc. 30,100 1,812,020
AFLAC, Inc. 154,500 4,750,875
Alleghany Corp.* 104 19,864
Allmerica Financial Corp.* 1,700 30,583
Allstate Corp. 368,000 13,119,200
Ambac Financial Group, Inc. 2,500 165,625
American Financial Group, Inc. 1,000 22,800
American International Group, Inc. 448,000 24,720,640
American National Insurance Co. 300 25,918
AmerUs Group Co. 1,300 36,647
Anthem, Inc.* 855 65,963
Aon Corp. 8,500 204,680
Berkley (W.R.) Corp. 1,250 65,875
Chubb Corp. 21,300 1,278,000
Cigna Corp. 24,400 1,145,336
Cincinnati Financial Corp. 4,300 159,487
</Table>
The accompanying notes are an integral part of the financial statements.
83
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
CNA Financial Corp.* 800 $ 19,680
Everest Re Group Limited 116,200 8,889,300
Fidelity National Financial, Inc. 4,537 139,558
First American Corp. 4,500 118,575
The Hartford Financial Services Group, Inc. 7,800 392,808
HCC Insurance Holdings, Inc. 1,600 47,312
Jefferson-Pilot Corp. 4,700 194,862
John Hancock Financial Services, Inc. 9,400 288,862
Leucadia National Corp. 1,000 37,120
Lincoln National Corp. 5,500 195,965
Loews Corp. 4,300 203,347
Markel Corp.* 200 51,200
Marsh & McLennan Companies, Inc. 900 45,963
MBIA, Inc. 4,700 229,125
Mercury General Corp. 800 36,520
Metlife, Inc. 42,700 1,209,264
MGIC Investment Corp. 16,900 788,216
Nationwide Financial Services, Inc. Cl. A 800 26,000
Old Republic International Corp. 4,700 161,069
PartnerRe Limited 6,500 332,215
The PMI Group, Inc. 3,600 96,624
Principal Financial Group, Inc. 10,500 338,625
Progressive Corp. 2,400 175,440
Protective Life Corp. 2,200 58,850
Prudential Financial, Inc. 18,300 615,795
Radian Group, Inc. 335,500 12,296,075
Reinsurance Group of America, Inc. 3,500 112,350
RenaissanceRe Holdings Limited 3,600 163,872
Safeco Corp. 5,100 179,928
The St. Paul Companies, Inc. 14,400 525,744
StanCorp Financial Group, Inc. 1,000 52,220
Torchmark Corp. 3,600 134,100
Transatlantic Holdings, Inc. 600 41,490
Travelers Property Casualty Corp. Cl. A 48,750 775,125
Travelers Property Casualty Corp. Cl. B 40,276 635,153
UnumProvident Corp. 8,800 118,008
Wesco Financial Corp. 100 31,200
-------------
77,758,263
-------------
LODGING -- 0.0%
Hilton Hotels Corp. 8,300 106,157
Mandalay Resort Group 1,200 38,220
Marriott International, Inc. Cl. A 2,800 $ 107,576
MGM Mirage, Inc.* 2,100 71,778
-------------
323,731
-------------
MACHINERY & COMPONENTS -- 0.8%
Agco Corp.* 1,200 20,496
Caterpillar, Inc. 10,800 601,128
Deere & Co. 7,600 347,320
Dover Corp. 6,400 191,744
FMC Technologies, Inc.* 1,700 35,785
Pall Corp. 3,300 74,250
Parker-Hannifin Corp. 157,000 6,592,430
York International Corp. 1,300 30,420
-------------
7,893,573
-------------
MANUFACTURING -- 0.0%
American Standard Companies, Inc.* 100 7,393
AptarGroup, Inc. 1,200 43,200
Avery Dennison Corp. 500 25,100
Pentair, Inc. 1,600 62,496
-------------
138,189
-------------
MEDICAL SUPPLIES -- 0.1%
Agilent Technologies, Inc.* 7,700 150,535
Bard (C.R.), Inc. 2,100 149,751
Bausch & Lomb, Inc. 2,200 82,500
Becton, Dickinson & Co. 7,000 271,950
Steris Corp.* 200 4,618
Tektronix, Inc.* 2,100 45,360
Thermo Electron Corp.* 5,400 113,508
-------------
818,222
-------------
METALS & MINING -- 0.2%
AK Steel Holding Corp.* 4,900 17,738
Alcoa, Inc. 22,800 581,400
Crane Co. 18,200 411,866
Newmont Mining Corp. 1,400 45,444
Nucor Corp. 2,500 122,125
Phelps Dodge Corp.* 2,600 99,684
Precision Castparts Corp. 1,700 52,870
The Shaw Group, Inc.* 9,400 113,270
United States Steel Corp. 3,200 52,384
-------------
1,496,781
-------------
PHARMACEUTICALS -- 4.6%
Abbott Laboratories 4,800 210,048
AmerisourceBergen Corp. 700 48,545
Bristol-Myers Squibb Co. 665,100 18,057,465
Eli Lilly & Co. 3,100 213,807
Genzyme Corp.* 800 33,440
Henry Schein, Inc.* 700 36,638
ICN Pharmaceuticals, Inc. 2,000 33,520
ICOS Corp.* 1,600 58,800
Invitrogen Corp.* 2,900 $ 111,273
McKesson Corp. 1,400 50,036
Medicis Pharmaceutical Corp. Cl. A 500 28,350
Merck & Co., Inc. 50,400 3,051,720
Millennium Pharmaceuticals, Inc.* 2,300 36,179
Mylan Laboratories, Inc. 450 15,646
Omnicare, Inc. 1,000 33,790
Pfizer, Inc. 597,700 20,411,455
Schering-Plough Corp. 27,800 517,080
Sigma-Aldrich Corp. 1,800 97,524
Watson Pharmaceutical, Inc.* 2,000 80,740
-------------
43,126,056
-------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.1%
Eastman Kodak Co. 38,800 1,061,180
-------------
PREPACKAGED SOFTWARE -- 0.1%
BMC Software, Inc.* 5,300 86,549
Citrix Systems, Inc.* 4,700 95,692
Computer Associates International, Inc. 12,600 280,728
Compuware Corp.* 20,100 115,977
Sybase, Inc.* 1,600 22,256
Veritas Software Corp.* 4,200 120,414
-------------
721,616
-------------
REAL ESTATE -- 0.1%
Equity Office Properties Trust 13,200 356,532
Equity Residential 8,600 223,170
Forest City Enterprises, Inc. Cl. A 700 29,015
-------------
608,717
-------------
RESTAURANTS -- 2.8%
Brinker International, Inc.* 300 10,806
CBRL Group, Inc. 3,600 139,896
McDonald's Corp. 1,137,200 25,086,632
Outback Steakhouse, Inc. 1,000 39,000
Wendy's International, Inc. 25,100 727,147
Yum! Brands, Inc.* 1,900 56,164
-------------
26,059,645
-------------
RETAIL -- 1.6%
Barnes & Noble, Inc.* 900 20,745
Big Lots, Inc.* 1,700 25,568
Borders Group, Inc.* 1,900 33,459
Circuit City Stores, Inc. 5,800 51,040
Costco Wholesale Corp.* 7,000 256,200
CVS Corp. 12,500 350,375
Dillards, Inc. Cl. A 2,200 29,634
</Table>
The accompanying notes are an integral part of the financial statements.
84
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
Federated Department Stores, Inc. 29,700 $ 1,094,445
Foot Locker, Inc. 3,500 46,375
GameStop Corp.* 200 2,584
J.C. Penney Company, Inc. 8,000 134,800
The May Department Stores Co. 34,300 763,518
Neiman Marcus Group, Inc. Cl. A* 600 21,960
Office Depot, Inc.* 10,500 152,355
Pier 1 Imports, Inc. 2,000 40,800
Rite Aid Corp.* 2,346,600 10,442,370
Saks, Inc.* 3,700 35,890
Sears, Roebuck and Co. 50,100 1,685,364
TJX Companies, Inc. 11,700 220,428
Toys R Us, Inc.* 5,100 61,812
Zale Corp.* 800 32,000
-------------
15,501,722
-------------
RETAIL - GROCERY -- 0.1%
Albertson's, Inc. 22,900 439,680
Winn-Dixie Stores, Inc. 2,100 25,851
-------------
465,531
-------------
TELEPHONE UTILITIES -- 3.7%
Alltel Corp. 11,400 549,708
AT&T Corp. 77,580 1,493,415
AT&T Wireless Services, Inc.* 202,100 1,659,241
BellSouth Corp. 112,200 2,987,886
CenturyTel, Inc. 4,400 153,340
Qwest Communications International, Inc.* 141,700 677,326
Sprint Corp. (FON Group) 112,900 1,625,760
Sprint Corp. (PCS Group)* 54,100 311,075
Telephone & Data Systems, Inc. 1,300 64,610
Verizon Communications, Inc. 653,500 25,780,575
-------------
35,302,936
-------------
TOBACCO -- 0.5%
Altria Group, Inc. 84,900 3,857,856
Loews Corp. - Carolina Group 900 24,300
Reynolds (R.J.) Tobacco Holdings, Inc. 2,900 107,909
UST, Inc. 24,700 865,241
-------------
4,855,306
-------------
TOYS, GAMES -- 0.0%
Hasbro, Inc. 3,700 64,713
Mattel, Inc. 900 17,028
-------------
81,741
-------------
TRANSPORTATION -- 2.2%
Burlington Northern Santa Fe Corp. 52,900 $ 1,504,476
CNF, Inc. 1,500 38,070
CSX Corp. 37,100 1,116,339
FedEx Corp. 9,400 583,082
Norfolk Southern Corp. 57,700 1,107,840
Union Pacific Corp. 285,700 16,576,314
-------------
20,926,121
-------------
TOTAL EQUITIES
(COST $901,125,386) 934,117,196
=============
<Caption>
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS -- 5.4%
CASH EQUIVALENTS -- 4.3%**
Bank of Montreal Eurodollar Time Deposit
1.080% 07/02/2003 $ 853,234 853,234
Bank of Montreal Eurodollar Time Deposit
1.150% 07/09/2003 669,125 669,125
Bayerische Hypo-und Vereinsbank Bank Note
1.530% 09/09/2003 4,266,174 4,266,174
Canadian Imperial Bank of Commerce Bank Note
1.500% 05/18/2004 4,266,175 4,266,175
Den Danske Bank Eurodollar Time Deposit
1.040% 07/28/2003 853,235 853,235
Dreyfus Cash Management Plus, Inc.
Money Market Fund 2,586,943 2,586,943
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 426,618 426,618
Keybank Eurodollar Time Deposit
1.250% 07/01/2003 3,327,617 3,327,617
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 639,927 639,927
Merrill Lynch Premier Institutional Money
Market Fund 1,853,969 1,853,969
Merrimac Money Market Fund 6,975,196 6,975,196
Metropolitan Life Insurance Co.
Funding Agreement
1.350% 11/03/2003 2,133,087 2,133,087
Morgan Stanley Dean Witter & Co.
1.455% 01/29/2004 $ 1,706,470 $ 1,706,470
National Bank of Commerce
1.073% 11/19/2003 1,066,544 1,066,544
Royal Bank of Canada Eurodollar Time Deposit
1.031% 07/07/2003 3,839,558 3,839,558
Royal Bank of Canada Eurodollar Time Deposit
1.300% 07/01/2003 2,559,705 2,559,705
Royal Bank of Scotland Eurodollar Time Deposit
1.050% 07/28/2003 2,133,088 2,133,088
-------------
40,156,665
-------------
REPURCHASE AGREEMENT -- 1.1%
Investors Bank & Trust Company Repurchase
Agreement, dated 06/30/2003, 0.75%,
due 07/01/2003(a) 10,416,212 10,416,212
-------------
TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST) 50,572,877
=============
TOTAL INVESTMENTS -- 104.4%
(COST $951,698,263)*** 984,690,073
OTHER ASSETS/
(LIABILITIES) -- (4.4%) (41,274,717)
=============
NET ASSETS -- 100.0% $ 943,415,356
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $10,416,428. Collateralized by U.S. Government Agency
obligation with a rate of 2.73%, maturity date of 08/25/2022, and an
aggregate market value, including accrued interest, of $10,937,022.
The accompanying notes are an integral part of the financial statements.
85
<Page>
MASSMUTUAL CORE VALUE EQUITY FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
-----------------
ASSETS:
Investments, at value (cost $901,125,386) (NOTE 2) $ 934,117,196
Short-term investments, at amortized cost (NOTE 2) 50,572,877
-----------------
Total Investments (including securities on loan with market
values of $38,117,376) 984,690,073
Cash 4,160
Receivables from:
Investments sold 2,629,665
Interest and dividends 1,335,047
Foreign taxes withheld 6,827
-----------------
Total assets 988,665,772
-----------------
LIABILITIES:
Payables for:
Investments purchased 4,554,531
Securities on loan (NOTE 2) 40,156,665
Directors' fees and expenses (NOTE 3) 24,407
Affiliates (NOTE 3):
Investment management fees 403,707
Administration fees 75,342
Service fees 11,392
Accrued expense and other liabilities 24,372
-----------------
Total liabilities 45,250,416
-----------------
NET ASSETS $ 943,415,356
=================
NET ASSETS CONSIST OF:
Paid-in capital $ 1,119,779,013
Undistributed net investment income 20,811,360
Accumulated net realized loss on investments (230,166,509)
Net unrealized appreciation on investments, foreign currency
and other assets and liabilities 32,991,492
-----------------
$ 943,415,356
=================
NET ASSETS:
Class A $ 18,783,171
=================
Class L $ 77,894,979
=================
Class Y $ 5,264,478
=================
Class S $ 841,361,675
=================
Class N $ 111,053
=================
SHARES OUTSTANDING:
Class A 2,440,739
=================
Class L 9,999,854
=================
Class Y 672,513
=================
Class S 107,029,420
=================
Class N 14,511
=================
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 7.70
=================
Class L $ 7.79
=================
Class Y $ 7.83
=================
Class S $ 7.86
=================
Class N $ 7.65
=================
</Table>
The accompanying notes are an integral part of the financial statements.
86
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
-----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $132,628) $ 9,493,660
Interest (including securities lending income of $26,682) 53,567
-----------------
Total investment income 9,547,227
-----------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 2,205,960
Custody fees 52,142
Shareholder reporting fees 15,304
Audit and legal fees 13,312
Directors' fees (NOTE 3) 9,590
Trustee reporting 2,609
-----------------
2,298,917
Administration fees (NOTE 3):
Class A 26,695
Class L 102,016
Class Y 6,220
Class S 267,900
Class N 187
Service fees (NOTE 3):
Class A 21,020
Class N 127
Distribution fees (NOTE 3):
Class N 127
-----------------
Total expenses 2,723,209
-----------------
NET INVESTMENT INCOME 6,824,018
-----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investment transactions (79,175,188)
Net change in unrealized appreciation (depreciation) on:
Investments 159,785,709
Translation of assets and liabilities in foreign currencies (318)
-----------------
Net unrealized gain 159,785,391
-----------------
NET REALIZED AND UNREALIZED GAIN 80,610,203
-----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 87,434,221
=================
</Table>
The accompanying notes are an integral part of the financial statements.
87
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 6,824,018 $ 13,952,126
Net realized loss on investment transactions (79,175,188) (147,265,010)
Net change in unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in foreign currencies 159,785,391 (99,117,493)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 87,434,221 (232,430,377)
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net realized gains:
Class A - (261,614)
Class L - (843,645)
Class Y - (140,183)
Class S - (13,996,694)
----------------- -----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - (15,242,136)
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 1,256,882 (1,817,076)
Class L 14,524,796 17,933,537
Class Y (4,221,571) (3,119,721)
Class S (69,811,353) (359,854,964)
Class N - 101,000*
----------------- -----------------
DECREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS (58,251,246) (346,757,224)
----------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 29,182,975 (594,429,737)
NET ASSETS:
Beginning of period 914,232,381 1,508,662,118
----------------- -----------------
End of period (including undistributed net investment income of
$20,811,360 and $13,987,342, respectively) $ 943,415,356 $ 914,232,381
================= =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
88
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.00 $ 8.75 $ 12.73
----------- ----------- -----------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income 0.04*** 0.06*** 0.06***
Net realized and unrealized gain (loss)
on investments 0.66 (1.70) (1.94)
----------- ----------- -----------
Total income (loss) from investment
operations 0.70 (1.64) (1.88)
----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.09)
From net realized gains - (0.11) (2.01)
----------- ----------- -----------
Total distributions - (0.11) (2.10)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 7.70 $ 7.00 $ 8.75
=========== =========== ===========
TOTAL RETURN@ 10.00% ** (18.76)% (14.88)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 18,783 $ 15,722 $ 21,649
Net expenses to average daily net assets 1.09%* 1.09% 1.10%
Net investment income to average daily net assets 1.09%* 0.76% 0.54%
Portfolio turnover rate 48%** 62% 99%
<Caption>
CLASS A
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/00 12/31/99 12/31/98+
----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 16.31 $ 18.40 $ 18.02
----------- ----------- -----------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income 0.09*** 0.17*** 0.19***
Net realized and unrealized gain (loss)
on investments 0.28 (0.75) 2.60
----------- ----------- -----------
Total income (loss) from investment
operations 0.37 (0.58) 2.79
----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.19) (0.28) (0.43)
From net realized gains (3.76) (1.23) (1.98)
----------- ----------- -----------
Total distributions (3.95) (1.51) (2.41)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 12.73 $ 16.31 $ 18.40
=========== =========== ===========
TOTAL RETURN@ 2.42% (3.13)% 15.96%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 12,084 $ 1,841 $ 227
Net expenses to average daily net assets 1.09% 1.10% 1.20%
Net investment income to average daily net ass 0.56% 0.92% 1.01%
Portfolio turnover rate 69% 10% 12%
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99&
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.07 $ 8.82 $ 12.80 $ 16.35 $ 19.36
---------- ---------- ---------- ---------- ----------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.08*** 0.09*** 0.13*** 0.20***
Net realized and unrealized gain (loss)
on investments 0.67 (1.72) (1.96) 0.29 (1.68)
---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.72 (1.64) (1.87) 0.42 (1.48)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.10) (0.21) (0.30)
From net realized gains - (0.11) (2.01) (3.76) (1.23)
---------- ---------- ---------- ---------- ----------
Total distributions - (0.11) (2.11) (3.97) (1.53)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.79 $ 7.07 $ 8.82 $ 12.80 $ 16.35
========== ========== ========== ========== ==========
TOTAL RETURN@ 10.18%** (18.61)% (14.71)% 2.74% (7.63)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 77,895 $ 56,616 $ 51,480 $ 41,293 $ 2,380
Net expenses to average daily net assets 0.84%* 0.84% 0.85% 0.84% 0.84%*
Net investment income to average daily net assets 1.34%* 1.04% 0.77% 0.82% 1.68%*
Portfolio turnover rate 48%** 62% 99% 69% 10%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARES AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
+ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
89
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01
----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.10 $ 8.84 $ 12.82
----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.09*** 0.10***
Net realized and unrealized gain (loss)
on investments 0.68 (1.72) (1.96)
----------- ----------- -----------
Total income (loss) from investment
operations 0.73 (1.63) (1.86)
----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.11)
From net realized gains - (0.11) (2.01)
----------- ----------- -----------
Total distributions - (0.11) (2.12)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 7.83 $ 7.10 $ 8.84
=========== =========== ===========
TOTAL RETURN@ 10.28%** (18.46)% (14.59)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 5,264 $ 8,755 $ 14,066
Net expenses to average daily net assets 0.69%* 0.69% 0.69%
Net investment income to average daily
net assets 1.47%* 1.14% 0.92%
Portfolio turnover rate 48%** 62% 99%
<Caption>
CLASS Y
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/00 12/31/99 12/31/98+
----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 16.35 $ 18.39 $ 18.03
----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.18*** 0.23*** 0.27***
Net realized and unrealized gain (loss)
on investments 0.26 (0.73) 2.63
----------- ----------- -----------
Total income (loss) from investment
operations 0.44 (0.50) 2.90
----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.21) (0.31) (0.56)
From net realized gains (3.76) (1.23) (1.98)
----------- ----------- -----------
Total distributions (3.97) (1.54) (2.54)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 12.82 $ 16.35 $ 18.39
=========== =========== ===========
TOTAL RETURN@ 2.85% (2.71)% 16.49%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 19,340 $ 20,262 $ 754
Net expenses to average daily net assets 0.69% 0.69% 0.75%
Net investment income to average daily
net assets 1.16% 1.26% 1.43%
Portfolio turnover rate 69% 10% 12%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01
----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.13 $ 8.87 $ 12.85
----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.10*** 0.11***
Net realized and unrealized gain (loss)
on investments 0.67 (1.73) (1.96)
----------- ----------- -----------
Total income (loss) from investment
operations 0.73 (1.63) (1.85)
----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.12)
From net realized gains - (0.11) (2.01)
----------- ----------- -----------
Total distributions - (0.11) (2.13)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 7.86 $ 7.13 $ 8.87
=========== =========== ===========
TOTAL RETURN@ 10.24%** (18.39)% (14.45)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 841,362 $ 833,038 $ 1,421,467
Net expenses to average daily net assets 0.59%* 0.59% 0.59%
Net investment income to average daily
net assets 1.57%* 1.23% 1.01%
Portfolio turnover rate 48%** 62% 99%
<Caption>
CLASS S
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/00 12/31/99 12/31/98(1)
----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 16.38 $ 18.39 $ 17.00
----------- ----------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.20*** 0.27*** 0.31
Net realized and unrealized gain (loss)
on investments 0.26 (0.75) 2.49
----------- ----------- -----------
Total income (loss) from investment
operations 0.46 (0.48) 2.80
----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.23) (0.30) (0.31)
From net realized gains (3.76) (1.23) (1.10)
----------- ----------- -----------
Total distributions (3.99) (1.53) (1.41)
----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $ 12.85 $ 16.38 $ 18.39
=========== =========== ===========
TOTAL RETURN@ 2.94% (2.60)% 16.75%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,068,557 $ 2,854,390 $ 3,586,177
Net expenses to average daily net assets 0.59% 0.57% 0.54%
Net investment income to average daily
net assets 1.28% 1.45% 1.67%
Portfolio turnover rate 69% 10% 12%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
+ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
(1) CLASS S SHARES WERE PREVIOUSLY DESIGNATED AS CLASS 4 SHARES.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
90
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.97 $ 6.96
---------- ----------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income 0.03*** 0.00***++
Net realized and unrealized gain on investments 0.65 0.01
---------- ----------
Total income from investment operations 0.68 0.01
---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.65 $ 6.97
========== ==========
TOTAL RETURN@ 9.76%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 111 $ 101
Net expenses to average daily net assets 1.39%* -^
Net investment income to average daily net assets 0.78%* -^
Portfolio turnover rate 48%** 62%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
++ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
91
<Page>
MASSMUTUAL FUNDAMENTAL VALUE FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL FUNDAMENTAL
VALUE FUND?
The objectives and policies of the Fund are to:
- - achieve long-term total return
- - invest primarily in a diversified portfolio of equity securities of larger,
well-established companies (generally companies with market capitalizations
over $3.0 billion)
- - utilize a value-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market position
or operating characteristics
- offer above-average levels of profitability or superior growth potential
- are attractively valued in the marketplace
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
11.78%, in line with the 11.75% return of the S&P 500 Index, a market
capitalization-weighted, unmanaged index of 500 common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
War anxiety and stalling U.S. and global economies drove the market back toward
July and October 2002 lows in the first quarter. When it became apparent that
the war might be shorter than some of the more dire forecasts, the market
rallied toward the end of March. In this environment, growth outperformed value.
During the three months ending March 31, our stock selection in seven of ten
broad industry sectors impacted our performance. These sectors included
financials, health care and consumer discretionary, which were the largest
contributors; energy, telecommunications and information technology detracted
the most from our relative results.
During the first quarter, we boosted our positions in telecommunications, energy
and special situations, while we trimmed our chemical holdings and a few stocks
with eroding fundamentals.
Turning to the second quarter, the rally that began in March continued
throughout the performance period against a backdrop of aggressively stimulative
fiscal, monetary and dollar policies. Hints of an economic rebound bolstered
confidence that the worst was behind us, and the markets advanced. When risk
premiums declined and time horizons expanded, many of the worst-performing
stocks of 2002 rebounded significantly--and dividend tax legislation seemed to
nudge holders of low-yielding fixed instruments toward better alternatives. The
convergence of these forces produced a pop in both the equity and high-yield
bond markets.
During the second quarter, our stock selection in six of ten broad industry
sectors influenced our returns. Holdings in materials, information technology
and energy were the largest contributors to our results; conversely, our health
care, financial and utilities stocks were the greatest detractors from relative
returns.
In the three months ending June 30, we added some higher-yielding names, such as
ChevronTexaco, and Dominion Resources, due to the change in dividend tax law. We
also trimmed certain stocks that approached our target prices, including Intel
and Dollar General.
WHAT IS YOUR OUTLOOK?
We anticipate a shift to a higher economic growth rate in the 3% range sometime
during the second half of 2003. The recent surge in the markets probably
confirms the end of the bear market. Over the next few years, we expect the
equity market to resume an upward trajectory, with lots of noise along the way.
92
<Page>
MASSMUTUAL FUNDAMENTAL VALUE FUND
LARGEST STOCK HOLDINGS (6/30/03)
Citigroup, Inc.
Exxon Mobil Corp.
SBC Communications, Inc.
Bank of America Corp.
Wells Fargo & Co.
Washington Mutual, Inc.
Verizon Communications, Inc.
National City Corp.
Pfizer, Inc.
ChevronTexaco Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Fundamental Value Fund Class S, Class A,
Class Y, Class L and the S&P 500 Index
MASSMUTUAL FUNDAMENTAL VALUE FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 12/31/01 - 6/30/03
Class S 11.78% -4.44% -8.23%
Class A 11.55% -4.82% -8.61%
Class Y 11.79% -4.39% -8.27%
Class L 11.65% -4.50% -8.34%
- ---------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -8.82%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
S&P 500
CLASS S CLASS A CLASS Y CLASS L INDEX
12/31/2001 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/2002 $ 9,200 $ 9,180 $ 9,190 $ 9,190 $ 8,685
12/31/2002 $ 7,865 $ 7,833 $ 7,859 $ 7,860 $ 7,791
6/30/2003 $ 8,792 $ 8,738 $ 8,786 $ 8,776 $ 8,706
</Table>
Hypothetical Investments in MassMutual Fundamental Value Fund Class N, Class N
(CDSC fees deducted) and the S&P 500 Index
MASSMUTUAL FUNDAMENTAL VALUE FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 11.47% 11.47%
Class N (CDSC fees deducted) 10.47% 10.47%
- ----------------------------------------------------------------------
S&P 500 Index 11.75% 11.83%
</Table>
[CHART]
<Table>
<Caption>
S&P 500
CLASS N CLASS N (CDSC FEES DEDUCTED) INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 9,523 $ 9,423 $ 9,684
6/30/2003 $ 11,147 $ 11,047 $ 11,175
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
93
<Page>
MASSMUTUAL FUNDAMENTAL VALUE FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 99.6%
AIR TRANSPORTATION -- 0.8%
Southwest Airlines Co. 159,000 $ 2,734,800
-------------
APPAREL, TEXTILES & SHOES -- 0.9%
Nike, Inc. Cl. B 55,500 2,968,695
-------------
AUTOMOTIVE & PARTS -- 1.0%
AutoNation, Inc.* 196,900 3,095,268
-------------
BANKING, SAVINGS & LOANS -- 19.6%
Bank of America Corp. 131,900 10,424,057
Bank One Corp. 73,100 2,717,858
Citigroup, Inc. 372,200 15,930,160
Comerica, Inc. 48,000 2,232,000
Fannie Mae 70,300 4,741,032
National City Corp. 261,900 8,566,749
Washington Mutual, Inc. 222,400 9,185,120
Wells Fargo & Co. 188,000 9,475,200
-------------
63,272,176
-------------
BEVERAGES -- 1.1%
PepsiCo, Inc. 77,300 3,439,850
-------------
BROADCASTING, PUBLISHING & PRINTING -- 4.5%
AOL Time Warner, Inc.* 351,800 5,660,462
Comcast Corp.
Special Cl. A* 195,700 5,642,031
Gannett Co., Inc. 40,100 3,080,081
-------------
14,382,574
-------------
CHEMICALS -- 2.9%
Ashland, Inc. 121,100 3,715,348
Du Pont (E.I.) de
Nemours & Co. 133,100 5,542,284
-------------
9,257,632
-------------
COMMERCIAL SERVICES -- 1.0%
BearingPoint, Inc.* 60,600 584,790
Republic Services, Inc.* 122,200 2,770,274
-------------
3,355,064
-------------
COMMUNICATIONS -- 5.7%
Nokia Oyj Sponsored ADR 318,100 5,226,383
SBC Communications, Inc. 519,500 13,273,225
-------------
18,499,608
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 2.0%
Teradyne, Inc.* 379,300 6,565,683
-------------
COMPUTERS & OFFICE EQUIPMENT -- 2.2%
Hewlett-Packard Co. 331,800 7,067,340
-------------
COSMETICS & PERSONAL CARE -- 0.8%
Kimberly-Clark Corp. 50,800 $ 2,648,712
-------------
ELECTRIC UTILITIES -- 5.8%
Dominion Resources, Inc. 68,950 4,431,416
Exelon Corp. 104,800 6,268,088
PPL Corp. 73,600 3,164,800
Progress Energy, Inc. 71,600 3,143,240
SCANA Corp. 50,100 1,717,428
-------------
18,724,972
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 3.2%
Emerson Electric Co. 68,500 3,500,350
Intel Corp. 263,200 5,470,349
Rockwell Automation, Inc. 62,000 1,478,080
-------------
10,448,779
-------------
ENERGY -- 11.6%
ChevronTexaco Corp. 111,700 8,064,740
Exxon Mobil Corp. 398,300 14,302,953
GlobalSantaFe Corp. 199,600 4,658,664
National Fuel Gas Co. 101,200 2,636,260
Shell Transport &
Trading Co. PLC 193,600 7,714,960
-------------
37,377,577
-------------
FINANCIAL SERVICES -- 4.1%
Archstone-Smith Trust 30,100 722,400
The Goldman Sachs
Group, Inc. 76,700 6,423,625
Morgan Stanley 42,600 1,821,150
PNC Financial Services
Group, Inc. 84,800 4,139,088
-------------
13,106,263
-------------
FOODS -- 1.2%
Kellogg Co. 110,900 3,811,633
-------------
FOREST PRODUCTS & PAPER -- 2.0%
Weyerhaeuser Co. 122,700 6,625,800
-------------
INDUSTRIAL - DIVERSIFIED -- 2.6%
Illinois Tool Works, Inc. 49,100 3,233,235
Tyco International Limited 280,200 5,318,196
-------------
8,551,431
-------------
INSURANCE -- 6.4%
ACE Limited 100,000 3,429,000
Chubb Corp. 24,900 1,494,000
Cigna Corp. 59,100 2,774,154
The Hartford Financial
Services Group, Inc. 60,200 3,031,672
Marsh & McLennan
Companies, Inc. 54,500 $ 2,783,315
The St. Paul
Companies, Inc. 108,600 3,964,986
StanCorp Financial
Group, Inc. 62,400 3,258,528
-------------
20,735,655
-------------
MACHINERY & COMPONENTS -- 1.8%
Caterpillar, Inc. 105,100 5,849,866
-------------
MANUFACTURING -- 1.1%
Applied Materials, Inc.* 224,700 3,563,742
-------------
MEDICAL SUPPLIES -- 2.7%
Bard (C.R.), Inc. 55,400 3,950,574
Beckman Coulter, Inc. 115,200 4,681,728
-------------
8,632,302
-------------
METALS & MINING -- 2.6%
Alcoa, Inc. 126,000 3,213,000
Nucor Corp. 107,600 5,256,260
-------------
8,469,260
-------------
PHARMACEUTICALS -- 2.8%
Pfizer, Inc. 242,720 8,288,888
Schering-Plough Corp. 39,200 729,120
-------------
9,018,008
-------------
RESTAURANTS -- 1.3%
McDonald's Corp. 186,800 4,120,808
-------------
RETAIL -- 1.9%
CVS Corp. 145,800 4,086,774
Dollar General Corp. 105,800 1,931,908
-------------
6,018,682
-------------
TELEPHONE UTILITIES -- 5.4%
AT&T Corp. 142,040 2,734,270
BellSouth Corp. 208,700 5,557,681
Verizon
Communications, Inc. 229,400 9,049,830
-------------
17,341,781
-------------
TRANSPORTATION -- 0.6%
CSX Corp. 67,200 2,022,048
-------------
TOTAL EQUITIES
(COST $307,065,595) 321,706,009
=============
</Table>
The accompanying notes are an integral part of the financial statements.
94
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
SHORT-TERM INVESTMENTS -- 5.8%
CASH EQUIVALENTS -- 4.3%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 298,991 $ 298,991
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 234,476 234,476
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 1,494,957 1,494,957
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 1,494,957 1,494,957
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 298,991 298,991
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 906,519 906,519
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 149,496 149,496
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 1,166,066 1,166,066
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 224,244 224,244
Merrill Lynch Premier
Institutional Money
Market Fund 649,670 649,670
Merrimac Money
Market Fund 2,444,255 2,444,255
Metropolitan
Life Insurance Co.
Funding Agreement
1.350% 11/03/2003 747,478 747,478
Morgan Stanley
Dean Witter & Co.
1.455% 01/29/2004 597,983 597,983
National Bank of Commerce
1.073% 11/19/2003 373,739 373,739
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 1,345,461 1,345,461
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 896,974 896,974
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 $ 747,478 $ 747,478
-------------
14,071,735
-------------
REPURCHASE AGREEMENT -- 1.5%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 4,825,548 4,825,548
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 18,897,283
=============
TOTAL INVESTMENTS -- 105.4%
(COST $325,962,878)*** 340,603,292
OTHER ASSETS/
(LIABILITIES) -- (5.4%) (17,496,717)
-------------
NET ASSETS -- 100.0% $ 323,106,575
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $4,825,648. Collateralized by U.S. Government Agency
obligation with a rate of 2.86%, maturity date of 10/15/2008, and aggregate
market value, including accrued interest, of $5,066,825.
The accompanying notes are an integral part of the financial statements.
95
<Page>
MASSMUTUAL FUNDAMENTAL VALUE FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
--------------
ASSETS:
Investments, at value (cost $307,065,595) (NOTE 2) $ 321,706,009
Short-term investments, at amortized cost (NOTE 2) 18,897,283
--------------
Total Investments (including securities on loan with market values of $13,624,394) 340,603,292
Cash 496
Receivables from:
Interest and dividends 366,607
Miscellaneous 1,453
--------------
Total assets 340,971,848
--------------
LIABILITIES:
Payables for:
Investments purchased 3,504,105
Securities on loan (NOTE 2) 14,071,735
Directors' fees and expenses (NOTE 3) 2,199
Affiliates (NOTE 3):
Investment management fees 177,223
Administration fees 57,610
Service fees 39,902
Accrued expense and other liabilities 12,499
--------------
Total liabilities 17,865,273
--------------
NET ASSETS $ 323,106,575
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 322,984,798
Undistributed net investment income 2,088,942
Accumulated net realized loss on investments (16,607,579)
Net unrealized appreciation on investments 14,640,414
--------------
$ 323,106,575
==============
NET ASSETS:
Class A $ 74,265,584
==============
Class L $ 64,229,386
==============
Class Y $ 52,964,749
==============
Class S $ 131,534,304
==============
Class N $ 112,552
==============
SHARES OUTSTANDING:
Class A 8,541,818
==============
Class L 7,367,085
==============
Class Y 6,073,662
==============
Class S 15,059,396
==============
Class N 13,015
==============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 8.69
==============
Class L $ 8.72
==============
Class Y $ 8.72
==============
Class S $ 8.73
==============
Class N $ 8.65
==============
</Table>
The accompanying notes are an integral part of the financial statements.
96
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $17,478) $ 3,279,817
Interest (including securities lending income of $7,478) 33,181
--------------
Total investment income 3,312,998
--------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 862,811
Custody fees 12,652
Audit and legal fees 10,373
Shareholder reporting fees 4,430
Trustee reporting 2,609
Directors' fees (NOTE 3) 2,514
--------------
895,389
Administration fees (NOTE 3):
Class A 88,858
Class L 86,567
Class Y 35,267
Class S 67,565
Class N 185
Service fees (NOTE 3):
Class A 70,995
Class N 127
Distribution fees (NOTE 3):
Class N 127
--------------
Total expenses 1,245,080
Fees paid indirectly (NOTE 3) (7,934)
--------------
Net expenses 1,237,146
--------------
NET INVESTMENT INCOME 2,075,852
--------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investment transactions (4,943,297)
Net change in unrealized appreciation (depreciation) on investments 34,324,445
--------------
NET REALIZED AND UNREALIZED GAIN 29,381,148
--------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 31,457,000
==============
</Table>
The accompanying notes are an integral part of the financial statements.
97
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 2,075,852 $ 1,504,404
Net realized loss on investment transactions (4,943,297) (11,664,282)
Net change in unrealized appreciation (depreciation) on investments 34,324,445 (19,684,031)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 31,457,000 (29,843,909)
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (207,636)
Class L - (281,189)
Class Y - (306,288)
Class S - (696,201)
----------------- -----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (1,491,314)
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 29,867,416 42,180,977
Class L 13,104,870 50,526,460
Class Y 7,318,582 41,546,365
Class S 17,310,448 111,024,680
Class N - 101,000*
----------------- -----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 67,601,316 245,379,482
----------------- -----------------
TOTAL INCREASE IN NET ASSETS 99,058,316 214,044,259
NET ASSETS:
Beginning of period 224,048,259 10,004,000
----------------- -----------------
End of period (including undistributed net investment income of
$2,088,942 and $13,090, respectively) $ 323,106,575 $ 224,048,259
================= =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
98
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.79 $ 10.00 $ 10.00
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.08*** -
Net realized and unrealized gain (loss)
on investments 0.85 (2.25) -
-------- -------- --------
Total income (loss) from investment
operations 0.90 (2.17) -
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) -
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.69 $ 7.79 $ 10.00
======== ======== ========
TOTAL RETURN@ 11.55%** (21.67)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 74,266 $ 37,973 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.24%* 1.27% -
After expense waiver# 1.23%*(a) 1.20%(a) -
Net investment income to average daily net assets 1.25%* 1.00% -
Portfolio turnover rate 12%** 38% N/A
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.81 $ 10.00 $ 10.00
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.10*** -
Net realized and unrealized gain (loss)
on investments 0.85 (2.24) -
-------- -------- --------
Total income (loss) from investment
operations 0.91 (2.14) -
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.05) -
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.72 $ 7.81 $ 10.00
======== ======== ========
TOTAL RETURN@ 11.65%** (21.40)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 64,229 $ 44,235 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 0.99%* 1.02% -
After expense waiver# 0.98%*(a) 0.95%(a) -
Net investment income to average daily net assets 1.52%* 1.24% -
Portfolio turnover rate 12%** 38% N/A
</Table>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.80 $ 10.00 $ 10.00
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.07*** 0.12*** -
Net realized and unrealized gain (loss)
on investments 0.85 (2.26) -
-------- -------- --------
Total income (loss) from investment
operations 0.92 (2.14) -
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.06) -
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.72 $ 7.80 $ 10.00
======== ======== ========
TOTAL RETURN@ 11.79%** (21.41)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 52,965 $ 40,511 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 0.84%* 0.87% -
After expense waiver# 0.83%*(a) 0.81%(a) -
Net investment income to average daily net assets 1.66%* 1.44% -
Portfolio turnover rate 12%** 38% N/A
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.81 $ 10.00 $ 10.00
--------- --------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.07*** 0.12*** -
Net realized and unrealized gain (loss)
on investments 0.85 (2.25) -
-------- --------- --------
Total income (loss) from investment
operations 0.92 (2.13) -
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.06) -
-------- --------- --------
NET ASSET VALUE, END OF PERIOD $ 8.73 $ 7.81 $ 10.00
======== ========= ========
TOTAL RETURN@ 11.78%** (21.35)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 131,534 $ 101,228 $ 10,001
Ratio of expenses to average daily net assets:
Before expense waiver 0.80%* 0.83% -
After expense waiver# 0.79%*(a) 0.77%(a) -
Net investment income to average daily net ass 1.71%* 1.36% -
Portfolio turnover rate 12%** 38% N/A
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ THE FUND COMMENCED OPERATIONS ON DECEMBER 31, 2001.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31,
2002.
@ EMPLOYEE BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
99
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.76 $ 7.76
-------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.04*** (0.00)***+
Net realized and unrealized gain (loss) on investments 0.85 (0.00)+
-------- --------
Total income (loss) from investment operations 0.89 (0.00)
-------- --------
NET ASSET VALUE, END OF PERIOD $ 8.65 $ 7.76
======== ========
TOTAL RETURN@ 11.47%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 113 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.54%* -^
After expense waiver 1.53%*(a) -^
Net investment income to average daily net assets 0.98%* -^
Portfolio turnover rate 12%** 38%
</Table>
* ANNUALIZED.
** PERCENTAGE RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT LOSS AND NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
ARE LESS THAN $0.01 PER SHARE.
@ EMPLOYEE BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
100
<Page>
MASSMUTUAL VALUE EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL VALUE EQUITY
FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital
- - invest primarily in a diversified portfolio of equity securities of the type
found in the Russell 1000 Value Index
- - utilize a value-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market position
or operating characteristics
- offer above-average levels of profitability or superior growth potential
- are attractively valued in the marketplace
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
9.24%, trailing the 11.57% return of the Russell 1000 Value Index, which
measures the performance of those companies in the Russell 1000 Index with
attributes common to the value universe. The Russell 1000 Index is an unmanaged
index of the 1000 largest U.S. common stocks based on market capitalization.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
The first quarter of 2003 was dominated by news surrounding the military
conflict in Iraq, with trading largely driven by war-related sentiment. The
decision to go to war with Iraq initially lifted equity markets, but they sold
off sharply as investors became concerned about the potential for a prolonged
conflict. A gloomy mood pervaded much of January and February, as the market
traded down on several factors, including concerns about a possible war, rising
oil prices, data intimating stalling economic activity and less-than-favorable
company reports. With the U.S. decision to go to war in mid-March and promising
news about progress in the opening days of battle, the market wiped out the
quarter's losses within a few trading days, but subsequently retreated as
expectations of a quick victory dissipated.
During the first quarter, unfavorable security selection in financials and
consumer discretionary detracted from performance. Conversely, favorable
security selection in utilities and materials bolstered our relative
performance. Specifically, our overweighting in several of the more regulated
utilities with stable business outlooks contributed positively to the Fund's
relative return.
In the second quarter, a relatively swift conclusion to the military campaign in
Iraq and increasing investor optimism sent equity funds sprinting to one of
their best closings ever, as investors began to anticipate that a possible end
to the economic storm might be in sight. Stocks received a further boost when
Congress unexpectedly passed a federal tax plan that cut rates on capital gains
and dividends. Also contributing to the market's strength were comments made by
Federal Reserve Board Chairman Alan Greenspan in May regarding the Fed's intent
to quell the ominous threat of deflation, which drove down interest rates to
fresh 45-year lows. This signaling not only triggered the sixth round of
mortgage refinancing this cycle--which put more money into the pockets of
consumers--but it also made alternative investments, such as bonds and money
market instruments, less attractive than equities. As a result of these factors,
risk tolerance began to rise. Overall, investors opted for companies with more
debt and shakier balance sheets over seemingly more stable choices.
During the performance period, our overweighting major aerospace & defense names
and underweighting stronger-performing information technology stocks proved to
be a drag on performance, as investors shed conservative holdings for more
aggressive names. Also detracting from second quarter returns was security
selection and an overweight in materials. On the other hand, security selection
in the consumer discretionary sector aided results. In particular, against the
backdrop of the Federal Communications Commission's decision to relax the rules
governing media ownership, media stocks rallied. Also contributing to relative
performance was an underweight and favorable security selection within the
energy sector, as natural resources stocks rose during the quarter, but
generally trailed the broader market.
WHAT IS YOUR OUTLOOK?
Our strategy remains focused on identifying stocks with improving fundamentals
that offer high quality earnings at reasonable prices. The valuation level, as
well as short- and long-term earnings growth, will be considered. Stock-by-stock
portfolio construction using our extensive research capabilities will continue
to drive investment decisions.
101
<Page>
MASSMUTUAL VALUE EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/03)
Exxon Mobil Corp.
Citigroup, Inc.
Bank of America Corp.
iShares Russell 1000 Value Index Fund
Verizon Communications, Inc.
American International Group, Inc.
ChevronTexaco Corp.
SBC Communications, Inc.
J.P. Morgan Chase & Co.
Wachovia Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Value Equity Fund Class S, Class A, Class
Y, Class L and the Russell 1000 Value Index
MASSMUTUAL VALUE EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/1/01 - 6/30/03
Class S 9.24% -3.79% -7.06%
Class A 9.01% -4.29% -7.47%
Class Y 9.24% -3.83% -7.10%
Class L 9.13% -4.04% -7.23%
- --------------------------------------------------------------------------
Russell 1000
Value Index 11.57% -1.02% -1.32%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
RUSSELL 1000
CLASS S CLASS A CLASS Y CLASS L VALUE INDEX
5/1/2001 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/2001 $ 9,880 $ 9,880 $ 9,880 $ 9,880 $ 9,998
6/30/2002 $ 8,868 $ 8,830 $ 8,866 $ 8,857 $ 9,103
6/30/2003 $ 8,532 $ 8,451 $ 8,526 $ 8,499 $ 9,010
</Table>
Hypothetical Investments in MassMutual Value Equity Fund, Class N, Class N (CDSC
fees deducted) and the Russell 1000 Value Index
MASSMUTUAL VALUE EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 8.78% 8.92%
Class N (CDSC fees deducted) 7.78% 7.92%
- ----------------------------------------------------------------------
Russell 1000
Value Index 11.57% 11.77%
</Table>
[CHART]
<Table>
<Caption>
RUSSELL 1000
CLASS N CLASS N (CDSC FEES DEDUCTED) VALUE INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 9,449 $ 9,349 $ 9,514
6/30/2003 $ 10,892 $ 10,792 $ 11,157
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 1000 VALUE INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
102
<Page>
MASSMUTUAL VALUE EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 96.5%
ADVERTISING -- 0.7%
Getty Images, Inc.* 4,400 $ 181,720
Lamar Advertising Co.* 5,500 193,655
Omnicom Group, Inc. 4,400 315,480
-------------
690,855
-------------
AEROSPACE & DEFENSE -- 2.1%
Honeywell International, Inc. 1,500 40,275
Lockheed Martin Corp. 18,100 861,017
Northrop Grumman Corp. 8,700 750,723
Raytheon Co. 7,100 233,164
United Technologies Corp. 3,500 247,905
-------------
2,133,084
-------------
AIR TRANSPORTATION -- 0.4%
Delta Air Lines, Inc. 2,300 33,764
JetBlue Airways Corp.* 5,700 241,053
Southwest Airlines Co. 5,300 91,160
-------------
365,977
-------------
APPAREL, TEXTILES & SHOES -- 0.6%
Albany International
Corp. Cl. A 10,000 274,000
Limited Brands 23,400 362,700
-------------
636,700
-------------
AUTOMOTIVE & PARTS -- 0.3%
General Motors Corp. 6,000 216,000
Keystone Automotive
Industries, Inc.* 7,000 127,820
-------------
343,820
-------------
BANKING, SAVINGS & LOANS -- 19.3%
Bank of America Corp. 42,900 3,390,387
Bank of New York Co., Inc. 29,600 851,000
Bank One Corp. 44,800 1,665,664
Citigroup, Inc. 106,300 4,549,640
Commerce Bancorp, Inc. 3,700 137,270
Federal Agricultural
Mortgage Corp. Cl. C* 1,000 22,350
Fifth Third Bancorp 8,100 464,454
FleetBoston Financial Corp. 32,000 950,720
Golden West Financial Corp. 5,800 464,058
J.P. Morgan Chase & Co. 54,200 1,852,556
M&T Bank Corp. 3,900 328,458
SouthTrust Corp. 12,800 348,160
Sovereign Bancorp, Inc. 52,900 827,885
Synovus Financial Corp. 8,800 189,200
U.S. Bancorp 28,700 703,150
Wachovia Corp. 44,600 1,782,216
Wells Fargo & Co. 23,700 1,194,480
-------------
19,721,648
-------------
BROADCASTING, PUBLISHING & PRINTING -- 6.0%
AOL Time Warner, Inc.* 66,600 $ 1,071,594
Cablevision Systems
Corp. Cl. A* 16,700 346,692
Clear Channel
Communications, Inc.* 19,600 830,844
Comcast Corp. Cl. A* 31,120 939,202
Comcast Corp.
Special Cl. A* 8,000 230,640
Fox Entertainment
Group, Inc. Cl. A* 16,700 480,626
Liberty Media
Corp. Cl. A* 22,900 264,724
The Scripps (E.W.) Co. 2,500 221,800
Tribune Co. 9,400 454,020
Univision Communications,
Inc. Cl. A* 7,100 215,840
Viacom, Inc. Cl. B* 25,300 1,104,598
-------------
6,160,580
-------------
BUILDING MATERIALS & CONSTRUCTION -- 0.2%
Masco Corp. 8,900 212,265
-------------
CHEMICALS -- 2.9%
Cytec Industries, Inc.* 5,600 189,280
Dow Chemical Co. 34,300 1,061,928
Du Pont (E.I.) de
Nemours & Co. 4,500 187,380
Engelhard Corp. 4,900 121,373
Georgia Gulf Corp. 3,500 69,300
Lyondell Chemical Co. 20,900 282,777
Millennium Chemicals, Inc. 31,000 294,810
Praxair, Inc. 11,800 709,180
-------------
2,916,028
-------------
COMMERCIAL SERVICES -- 1.1%
Paychex, Inc. 7,100 208,101
Republic Services, Inc.* 24,400 553,148
Waste Management, Inc. 14,600 351,714
-------------
1,112,963
-------------
COMMUNICATIONS -- 1.9%
SBC Communications, Inc. 76,500 1,954,575
-------------
COMMUNICATIONS EQUIPMENT -- 0.3%
Motorola, Inc. 32,500 306,475
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.4%
Sun Microsystems, Inc.* 93,900 431,940
-------------
COMPUTERS & INFORMATION -- 1.0%
Apple Computer, Inc.* 12,000 229,440
Dell Computer Corp.* 8,100 258,876
EMC Corp.* 24,800 $ 259,656
Storage Technology Corp.* 9,400 241,956
-------------
989,928
-------------
COMPUTERS & OFFICE EQUIPMENT -- 1.9%
Hewlett-Packard Co. 31,300 666,690
International Business
Machines Corp. 14,900 1,229,250
-------------
1,895,940
-------------
CONTAINERS -- 0.7%
Pactiv Corp.* 38,300 754,893
-------------
COSMETICS & PERSONAL CARE -- 2.0%
Colgate-Palmolive Co. 4,800 278,160
The Gillette Co. 18,100 576,666
The Procter & Gamble Co. 13,800 1,230,684
-------------
2,085,510
-------------
DATA PROCESSING & PREPARATION -- 0.3%
First Data Corp. 6,200 256,928
-------------
ELECTRIC UTILITIES -- 5.3%
Ameren Corp. 14,400 635,040
Dominion Resources, Inc. 10,600 681,262
Entergy Corp. 5,000 263,900
FirstEnergy Corp. 27,200 1,045,840
FPL Group, Inc. 11,400 762,090
NiSource, Inc. 15,700 298,300
PG&E Corp.* 17,700 374,355
SCANA Corp. 7,000 239,960
Southern Co. 23,100 719,796
TXU Corp. 17,000 381,650
-------------
5,402,193
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 1.4%
Avnet, Inc.* 22,000 278,960
Broadcom Corp. Cl. A* 2,500 62,275
Emerson Electric Co. 10,800 551,880
Texas Instruments, Inc. 27,500 484,000
-------------
1,377,115
-------------
ENERGY -- 11.0%
Apache Corp. 5,500 357,830
Burlington Resources, Inc. 6,100 329,827
ChevronTexaco Corp. 27,508 1,986,078
ConocoPhillips 18,345 1,005,306
Devon Energy Corp. 6,600 352,440
Equitable Resources, Inc. 7,400 301,476
Exxon Mobil Corp. 145,700 5,232,087
KeySpan Corp. 7,400 262,330
Kinder Morgan, Inc. 5,500 300,575
Occidental Petroleum Corp. 14,100 473,055
</Table>
The accompanying notes are an integral part of the financial statements.
103
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
Royal Dutch Petroleum
Co. NY Shares 6,500 $ 303,030
Schlumberger Limited 4,300 204,551
Suncor Energy, Inc. 5,000 93,247
-------------
11,201,832
-------------
ENTERTAINMENT & LEISURE -- 0.9%
SCP Pool Corp.* 7,300 251,120
The Walt Disney Co. 32,200 635,950
-------------
887,070
-------------
FINANCIAL SERVICES -- 5.5%
Apartment Investment &
Management Co. Cl. A 11,200 387,520
Bear Stearns
Companies, Inc. 4,300 311,406
Boston Properties, Inc. 7,200 315,360
The Goldman Sachs
Group, Inc. 5,300 443,875
Huntington Bancshares, Inc. 18,500 361,120
Janus Capital Group, Inc. 7,100 116,440
Lehman Brothers
Holdings, Inc. 9,000 598,320
MBNA Corp. 8,700 181,308
Merrill Lynch & Co., Inc. 30,100 1,405,068
Morgan Stanley 33,800 1,444,950
-------------
5,565,367
-------------
FOODS -- 1.3%
Dean Foods Co.* 9,000 283,500
Hershey Foods Corp. 1,000 69,660
Hormel Foods Corp. 2,000 47,400
The J.M. Smucker Co. 6,200 247,318
Kellogg Co. 5,300 182,161
Safeway, Inc.* 15,200 310,992
Sysco Corp. 7,100 213,284
-------------
1,354,315
-------------
HEALTHCARE -- 1.1%
Coventry Health Care, Inc.* 5,100 235,416
Humana, Inc.* 20,700 312,570
UnitedHealth Group, Inc. 11,000 552,750
-------------
1,100,736
-------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.9%
Applica, Inc.* 8,900 75,650
Centex Corp. 7,400 575,646
Pulte Homes, Inc. 5,000 308,300
-------------
959,596
-------------
HOUSEHOLD PRODUCTS -- 0.3%
Snap-On, Inc. 10,600 307,718
-------------
INDUSTRIAL - DIVERSIFIED -- 1.3%
3M Co. 4,200 $ 541,716
Illinois Tool Works, Inc. 8,400 553,140
ITT Industries, Inc. 4,200 274,932
-------------
1,369,788
-------------
INFORMATION RETRIEVAL SERVICES -- 0.2%
ChoicePoint, Inc.* 6,900 238,188
-------------
INSURANCE -- 7.6%
Allstate Corp. 31,600 1,126,540
Ambac Financial
Group, Inc. 6,600 437,250
American International
Group, Inc. 41,800 2,306,524
Fidelity National
Financial, Inc. 7,700 236,852
The Hartford Financial
Services Group, Inc. 5,900 297,124
Lincoln National Corp. 10,000 356,300
MBIA, Inc. 15,500 755,625
Metlife, Inc. 14,800 419,136
Nationwide Financial
Services, Inc. Cl. A 7,400 240,500
Old Republic
International Corp. 13,800 472,926
Radian Group, Inc. 12,200 447,130
The St. Paul
Companies, Inc. 9,200 335,892
Travelers Property
Casualty Corp. Cl. A 7,899 125,594
Travelers Property
Casualty Corp. Cl. B 8,628 136,063
-------------
7,693,456
-------------
MACHINERY & COMPONENTS -- 1.0%
Agco Corp.* 8,500 145,180
Baker Hughes, Inc. 6,800 228,276
Kennametal, Inc. 4,200 142,128
Parker-Hannifin Corp. 9,500 398,905
Smith International, Inc.* 1,800 66,132
-------------
980,621
-------------
MANUFACTURING -- 1.3%
American Standard
Companies, Inc.* 6,300 465,759
Avery Dennison Corp. 5,300 266,060
Millipore Corp.* 1,700 75,429
Pentair, Inc. 13,900 542,934
-------------
1,350,182
-------------
MEDICAL SUPPLIES -- 0.4%
Becton, Dickinson & Co. 10,000 388,500
-------------
METALS & MINING -- 1.7%
Alcan, Inc. 5,700 $ 178,353
Alcan, Inc. (CAD) 9,600 296,814
Alcoa, Inc. 14,400 367,200
Freeport-McMoRan
Copper & Gold, Inc. Cl. B 7,900 193,550
Phelps Dodge Corp.* 17,900 686,286
-------------
1,722,203
-------------
PHARMACEUTICALS -- 3.8%
Abbott Laboratories 7,000 306,320
Angiotech
Pharmaceuticals, Inc.* 8,200 334,068
Biovail Corp.* 6,700 315,302
Bristol-Myers Squibb Co. 21,500 583,725
McKesson Corp. 6,500 232,310
Merck & Co., Inc. 25,300 1,531,915
Schering-Plough Corp. 28,400 528,240
Wyeth 1,800 81,990
-------------
3,913,870
-------------
REAL ESTATE -- 0.6%
Equity Office
Properties Trust 14,100 380,841
Equity Residential 8,800 228,360
-------------
609,201
-------------
RESTAURANTS -- 1.0%
McDonald's Corp. 45,000 992,700
-------------
RETAIL -- 1.7%
Big Lots, Inc.* 11,000 165,440
Borders Group, Inc.* 11,200 197,232
CVS Corp. 32,200 902,566
Office Depot, Inc.* 15,800 229,258
PETCO Animal
Supplies, Inc.* 5,100 110,874
Saks, Inc.* 15,200 147,440
-------------
1,752,810
-------------
TELEPHONE UTILITIES -- 4.8%
Alltel Corp. 8,400 405,048
AT&T Corp. 19,240 370,370
AT&T Wireless Services, Inc.* 55,000 451,550
BellSouth Corp. 31,900 849,497
Qwest Communications
International, Inc.* 38,100 182,118
Verizon
Communications, Inc. 67,400 2,658,930
-------------
4,917,513
-------------
TOBACCO -- 0.6%
Altria Group, Inc. 12,700 577,088
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
104
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
TRANSPORTATION -- 0.7%
CSX Corp. 1,700 $ 51,153
FedEx Corp. 4,300 266,729
Union Pacific Corp. 7,200 417,744
-------------
735,626
-------------
TOTAL EQUITIES
(COST $98,476,508) 98,367,797
-------------
MUTUAL FUND -- 3.1%
FINANCIAL SERVICES
iShares Russell 1000
Value Index Fund 62,300 3,150,511
-------------
TOTAL MUTUAL FUND
(COST $3,017,273) 3,150,511
-------------
TOTAL LONG TERM INVESTMENTS
(COST $101,493,781) 101,518,308
=============
<Caption>
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS -- 7.8%
CASH EQUIVALENTS -- 7.6%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 165,088 165,088
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 129,466 129,466
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 825,442 825,442
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 825,441 825,441
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 165,088 165,088
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 500,535 500,535
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 82,544 82,544
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 643,844 643,844
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 123,816 123,816
Merrill Lynch Premier
Institutional Money
Market Fund $ 358,716 $ 358,716
Merrimac Money
Market Fund 1,349,597 1,349,597
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 412,721 412,721
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 330,177 330,177
National Bank
of Commerce
1.073% 11/19/2003 206,360 206,360
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 742,897 742,897
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 495,265 495,265
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 412,721 412,721
-------------
7,769,718
-------------
REPURCHASE AGREEMENT -- 0.2%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 141,542 141,542
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 7,911,260
=============
TOTAL INVESTMENTS -- 107.4%
(COST $109,405,041)*** 109,429,568
OTHER ASSETS/
(LIABILITIES) -- (7.4%) (7,493,365)
-------------
NET ASSETS -- 100.0% $ 101,936,203
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $141,545. Collateralized by U.S. Government Agency
obligation with a rate of 3.625%, maturity date of 07/25/2026, and
aggregate market value, including accrued interest, of $148,620.
The accompanying notes are an integral part of the financial statements.
105
<Page>
MASSMUTUAL VALUE EQUITY FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
--------------
ASSETS:
Investments, at value (cost $101,493,781) (NOTE 2) $ 101,518,308
Short-term investments, at amortized cost (NOTE 2) 7,911,260
--------------
Total Investments (including securities on loan with market values of $7,487,409) 109,429,568
Cash 970
Receivables from:
Investments sold 273,200
Interest and dividends 153,337
--------------
Total assets 109,857,075
--------------
LIABILITIES:
Payables for:
Investments purchased 53,408
Securities on loan (NOTE 2) 7,769,718
Directors' fees and expenses (NOTE 3) 1,346
Affiliates (NOTE 3):
Investment management fees 61,377
Administration fees 11,370
Service fees 10,994
Accrued expense and other liabilities 12,659
--------------
Total liabilities 7,920,872
--------------
NET ASSETS $ 101,936,203
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 112,458,605
Undistributed net investment income 658,869
Accumulated net realized loss on investments and foreign currency translations (11,205,798)
Net unrealized appreciation on investments 24,527
--------------
$ 101,936,203
==============
NET ASSETS:
Class A $ 18,508,951
==============
Class L $ 5,178,946
==============
Class Y $ 8,747,888
==============
Class S $ 69,390,357
==============
Class N $ 110,061
==============
SHARES OUTSTANDING:
Class A 2,215,721
==============
Class L 618,676
==============
Class Y 1,042,680
==============
Class S 8,268,343
==============
Class N 13,254
==============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 8.35
==============
Class L $ 8.37
==============
Class Y $ 8.39
==============
Class S $ 8.39
==============
Class N $ 8.30
==============
</Table>
The accompanying notes are an integral part of the financial statements.
106
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $737) $ 1,062,888
Interest (including securities lending income of $3,936) 11,349
--------------
Total investment income 1,074,237
--------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 320,498
Custody fees 10,450
Audit and legal fees 9,827
Trustee reporting 2,610
Shareholder reporting fees 1,564
Directors' fees (NOTE 3) 946
--------------
345,895
Administration fees (NOTE 3):
Class A 22,751
Class L 6,650
Class Y 5,047
Class S 24,531
Class N 166
Service fees (NOTE 3):
Class A 20,423
Class N 126
Distribution fees (NOTE 3):
Class N 126
--------------
Total expenses 425,715
Fees paid indirectly (NOTE 3) (3,704)
--------------
Net expenses 422,011
--------------
NET INVESTMENT INCOME 652,226
--------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions (3,188,369)
Foreign currency transactions 3
--------------
Net realized loss (3,188,366)
--------------
Net change in unrealized appreciation (depreciation) on investments 11,248,422
--------------
NET REALIZED AND UNREALIZED GAIN 8,060,056
--------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 8,712,282
==============
</Table>
The accompanying notes are an integral part of the financial statements.
107
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 652,226 $ 1,032,149
Net realized loss on investment transactions, futures contracts and
foreign currency translations (3,188,366) (5,670,643)
Net change in unrealized appreciation (depreciation) on investments,
futures contracts and translation of assets and liabilities in
foreign currencies 11,248,422 (12,691,881)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 8,712,282 (17,330,375)
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (135,508)
Class L - (52,201)
Class Y - (89,774)
Class S - (748,274)
-------------- --------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (1,025,757)
-------------- --------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 1,087,640 9,929,233
Class L 11,050 2,715,385
Class Y 462,121 3,056,901
Class S 2,940,580 22,157,733
Class N - 101,000 *
-------------- --------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 4,501,391 37,960,252
-------------- --------------
TOTAL INCREASE IN NET ASSETS 13,213,673 19,604,120
NET ASSETS:
Beginning of period 88,722,530 69,118,410
-------------- --------------
End of period (including undistributed net investment income of
$658,869 and $6,643, respectively) $ 101,936,203 $ 88,722,530
============== ==============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
108
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.66 $ 9.34 $ 10.00
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.04*** 0.07*** 0.04***
Net realized and unrealized gain (loss)
on investments 0.65 (1.68) (0.67)
-------- -------- --------
Total income (loss) from investment
operations 0.69 (1.61) (0.63)
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.07) (0.03)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.35 $ 7.66 $ 9.34
======== ======== ========
TOTAL RETURN@ 9.01%** (17.28)% (6.29)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 18,509 $ 15,852 $ 8,881
Ratio of expenses to average daily net assets:
Before expense waiver 1.28%* 1.30% 1.29%*
After expense waiver# 1.28%*(a) 1.29% 1.29%*
Net investment income to average daily
net assets 1.07%* 0.79% 0.65%*
Portfolio turnover rate 24%** 105% 62%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.67 $ 9.34 $ 10.00
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.09*** 0.05***
Net realized and unrealized gain (loss)
on investments 0.65 (1.67) (0.67)
-------- -------- --------
Total income (loss) from investment
operations 0.70 (1.58) (0.62)
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.09) (0.04)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.37 $ 7.67 $ 9.34
======== ======== ========
TOTAL RETURN@ 9.13%** (16.97)% (6.21)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 5,179 $ 4,727 $ 2,658
Ratio of expenses to average daily net assets:
Before expense waiver 1.03%* 1.05% 1.05%*
After expense waiver# 1.03%*(a) 1.04% 1.04%*
Net investment income to average daily
net assets 1.32%* 1.07% 0.87%*
Portfolio turnover rate 24%** 105% 62%**
</Table>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.68 $ 9.35 $ 10.00
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.10*** 0.06***
Net realized and unrealized gain (loss)
on investments 0.65 (1.67) (0.67)
-------- -------- --------
Total income (loss) from investment
operations 0.71 (1.57) (0.61)
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.10) (0.04)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.39 $ 7.68 $ 9.35
======== ======== ========
TOTAL RETURN@ 9.24%** (16.87)% (6.12)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 8,748 $ 7,543 $ 5,977
Ratio of expenses to average daily net assets:
Before expense waiver 0.88%* 0.90% 0.90%*
After expense waiver# 0.88%*(a) 0.89% 0.90%*
Net investment income to average daily
net assets 1.47%* 1.18% 0.93%*
Portfolio turnover rate 24%** 105% 62%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.68 $ 9.35 $ 10.00
-------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.10*** 0.07***
Net realized and unrealized gain (loss)
on investments 0.65 (1.68) (0.68)
-------- -------- --------
Total income (loss) from investment
operations 0.71 (1.58) (0.61)
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.09) (0.04)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.39 $ 7.68 $ 9.35
======== ======== ========
TOTAL RETURN@ 9.24%** (16.83)% (6.09)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 69,390 $ 60,499 $ 51,604
Ratio of expenses to average daily net assets:
Before expense waiver 0.83%* 0.85% 0.87%*
After expense waiver# 0.83%*(a) 0.84% 0.86%*
Net investment income to average daily
net assets 1.52%* 1.22% 1.05%*
Portfolio turnover rate 24%** 105% 62%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 1, 2001 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2001.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD OCTOBER 1, 2001
THROUGH DECEMBER 31, 2001 AND FOR THE YEAR ENDED DECEMBER 31, 2002.
@ EMPLOYEE RETIRMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
109
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.63 $ 7.62
-------- -------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.03*** 0.00***+
Net realized and unrealized gain on investments 0.64 0.01
-------- -------
Total income from investment operations 0.67 0.01
-------- -------
NET ASSET VALUE, END OF PERIOD $ 8.30 $ 7.63
======== =======
TOTAL RETURN@ 8.78%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 110 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.58%* -^
After expense waiver 1.58%*(a) -^
Net investment income to average daily net assets 0.77%* -^
Portfolio turnover rate 24%** 105%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
110
<Page>
MASSMUTUAL LARGE CAP VALUE FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL LARGE CAP
VALUE FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital and income
- - invest primarily in a diversified portfolio of equity securities of larger,
well-established companies (generally companies with market capitalizations
over $5.0 billion)
- - utilize a value-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market position
or operating characteristics
- offer above-average levels of profitability or superior growth potential
- are attractively valued in the marketplace
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
11.83%, in line with the 11.75% return of the S&P 500 Index, a market
capitalization-weighted, unmanaged index of 500 common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE--AND HOW DID YOU RESPOND?
During the first quarter, although overall portfolio performance was negative, a
number of our holdings performed well. Among our financial holdings, Progressive
Corp. and Moody's were top performers.
Detractors from performance in the first quarter included American International
Group (AIG) and Tyco. AIG's shares declined on the company's announcement of a
$1.8 billion increase in reserves related to excess casualty and Directors and
Officers ("D&O") liability insurance. This marked the first time that AIG had
ever taken an extraordinary reserve adjustment, attesting to management's strong
underwriting abilities. We took advantage of the share price drop to add to our
position in this high quality franchise. Tyco's shares also declined, following
an announcement that the company had found additional accounting irregularities
attributable to its previous management. This development appears to reflect
more on former management than on current leadership, but we continue to monitor
developments at the company closely.
In the second quarter, with respect to contribution by sector, the portfolio's
holdings in the financial, consumer staples and industrial sectors were the top
contributors to performance. While most positions contributed during the period,
which was kind to stocks of all market capitalizations, the relatively weaker
performers were from stocks in the information technology and energy sectors.
From the perspective of specific holdings, American Express was the largest and
best-performing financial holding in the second quarter. The top-performing
consumer staples holding was Altria Group, which returned 54% after declining in
the first quarter. We believe that Altria's dominant consumer brands (through
the company's 84% ownership of Kraft), strong growth in overseas markets, very
modest valuation and high dividend yield currently make it a compelling
investment. Our largest and best-performing industrial holdings at the end of
the quarter were Tyco International and United Parcel Service (UPS). Tyco's
shares advanced 48% as the company overcame its first quarter announcement of
historical accounting discoveries with better operating results. At its current
valuation, we believe Tyco still represents a favorable risk-reward proposition.
One of the best-managed companies in our portfolio, UPS commands a 60% market
share of the U.S. ground delivery business and generates a very high return on
capital for any business. Despite our deep admiration for UPS, we have pared
some of our position over the last nine months on account of valuation.
WHAT IS YOUR OUTLOOK?
We anticipate that the U.S. stock market will remain in a trading range for a
number of years and believe that stock selection will be the key to generating
above-average performance.
111
<Page>
MASSMUTUAL LARGE CAP VALUE FUND
LARGEST STOCK HOLDINGS (6/30/03)
American Express Co.
Altria Group, Inc.
American International Group, Inc.
Citigroup, Inc.
Berkshire Hathaway, Inc. Cl. A
Wells Fargo & Co.
Sealed Air Corp.
Costco Wholesale Corp.
HSBC Holdings PLC
Progressive Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Large Cap Value Fund Class S, Class A,
Class Y, Class L and the S&P 500 Index.
MASSMUTUAL LARGE CAP VALUE FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/1/00 - 6/30/03
Class S 11.83% 4.01% -5.77%
Class A 11.46% 3.45% -6.26%
Class Y 11.69% 3.90% -5.86%
Class L 11.57% 3.65% -6.03%
- --------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -10.53%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
S&P 500
CLASS S CLASS A CLASS Y CLASS L INDEX
5/1/2000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/2000 $ 9,790 $ 9,780 $ 9,790 $ 9,780 $ 10,037
6/30/2001 $ 9,278 $ 9,231 $ 9,268 $ 9,241 $ 8,549
6/30/2002 $ 7,964 $ 7,878 $ 7,949 $ 7,923 $ 7,012
6/30/2003 $ 8,283 $ 8,150 $ 8,259 $ 8,212 $ 7,030
</Table>
Hypothetical Investments in MassMutual Large Cap Value Fund Class N, Class N
(CDSC fees deducted) and the S&P 500 Index.
MASSMUTUAL LARGE CAP VALUE FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 11.37% 11.68%
Class N (CDSC fees deducted) 10.37% 10.68%
- --------------------------------------------------------------------------
S&P 500 Index 11.75% 11.83%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 9,541 $ 9,441 $ 9,684
6/30/2003 $ 11,168 $ 11,068 $ 11,175
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
112
<Page>
MASSMUTUAL LARGE CAP VALUE FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
EQUITIES -- 94.7%
ADVERTISING -- 0.4%
WPP Group PLC
Sponsored ADR 53,700 $ 2,151,759
---------------
BANKING, SAVINGS & LOANS -- 20.1%
Bank One Corp. 552,900 20,556,822
Citigroup, Inc. 590,300 25,264,840
Golden West
Financial Corp. 228,300 18,266,283
HSBC Holdings PLC 1,809,102 21,374,933
Lloyds TSB Group PLC
Sponsored ADR 180,500 5,236,305
Providian Financial Corp.* 146,700 1,358,442
State Street Corp. 40,800 1,607,520
Wells Fargo & Co. 463,900 23,380,560
---------------
117,045,705
---------------
BEVERAGES -- 1.6%
Diageo PLC
Sponsored ADR 214,700 9,395,272
---------------
BROADCASTING, PUBLISHING & PRINTING -- 0.8%
Gannett Co., Inc. 59,700 4,585,557
---------------
BUILDING MATERIALS & CONSTRUCTION -- 1.4%
Martin Marietta
Materials, Inc. 117,200 3,939,092
Vulcan Materials Co. 116,400 4,314,948
---------------
8,254,040
---------------
COMMERCIAL SERVICES -- 2.3%
Dun & Bradstreet Corp.* 143,050 5,879,355
Moody's Corp. 142,300 7,500,633
---------------
13,379,988
---------------
COMPUTERS & INFORMATION -- 2.1%
Lexmark
International, Inc.* 175,500 12,420,135
---------------
CONTAINERS -- 3.9%
Sealed Air Corp.* 475,200 22,648,032
---------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 0.4%
Agere Systems, Inc. Cl. A* 1,075,500 2,505,915
---------------
ENERGY -- 5.8%
ConocoPhillips 259,946 14,245,041
Devon Energy Corp. 234,000 12,495,600
EOG Resources, Inc. 164,900 6,899,416
---------------
33,640,057
---------------
FINANCIAL SERVICES -- 15.6%
American Express Co. 1,084,300 $ 45,334,583
AvalonBay
Communities, Inc. 9,500 405,080
Berkshire Hathaway,
Inc. Cl. A* 337 24,432,500
Centerpoint
Properties Corp. 175,099 10,724,814
Janus Capital Group, Inc. 115,600 1,895,840
Morgan Stanley 183,900 7,861,725
---------------
90,654,542
---------------
FOODS -- 2.6%
Hershey Foods Corp. 82,300 5,733,018
Kraft Foods, Inc. Cl. A 125,700 4,091,535
Safeway, Inc.* 258,900 5,297,094
---------------
15,121,647
---------------
INDUSTRIAL - DIVERSIFIED -- 3.6%
Tyco International Limited 1,114,124 21,146,073
---------------
INSURANCE -- 15.1%
American International
Group, Inc. 591,900 32,661,042
Aon Corp. 265,300 6,388,424
Chubb Corp. 36,400 2,184,000
Loews Corp. 230,500 10,900,345
Markel Corp.* 2,600 665,600
Principal Financial
Group, Inc. 82,900 2,673,525
Progressive Corp. 290,500 21,235,550
Sun Life Financial Services
of Canada, Inc. 50,600 1,050,962
Transatlantic Holdings, Inc. 136,150 9,414,772
Travelers Property
Casualty Corp. Cl. A 21,459 341,198
Travelers Property
Casualty Corp. Cl. B 44,089 695,284
---------------
88,210,702
---------------
LODGING -- 0.8%
Marriott International,
Inc. Cl. A 124,400 4,779,448
---------------
MACHINERY & COMPONENTS -- 1.0%
Dover Corp. 201,700 6,042,932
---------------
MANUFACTURING -- 0.4%
Applied Materials, Inc.* 136,300 2,161,718
---------------
PHARMACEUTICALS -- 3.4%
Eli Lilly & Co. 145,600 10,042,032
Merck & Co., Inc. 52,900 3,203,095
Pfizer, Inc. 186,400 $ 6,365,560
---------------
19,610,687
---------------
PREPACKAGED SOFTWARE -- 1.5%
BMC Software, Inc.* 165,400 2,700,982
Microsoft Corp. 231,900 5,938,959
---------------
8,639,941
---------------
RETAIL -- 4.6%
Costco Wholesale Corp.* 604,200 22,113,720
RadioShack Corp. 168,700 4,438,497
---------------
26,552,217
---------------
TOBACCO -- 6.2%
Altria Group, Inc. 791,200 35,952,128
---------------
TRANSPORTATION -- 1.1%
United Parcel Service,
Inc. Cl. B 99,800 6,357,260
---------------
TOTAL EQUITIES
(COST $565,654,971) 551,255,755
===============
<Caption>
PRINCIPAL
AMOUNT
---------------
SHORT-TERM INVESTMENTS -- 12.3%
CASH EQUIVALENTS -- 7.0%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 875,482 875,482
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 686,573 686,573
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 4,377,411 4,377,411
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 4,377,411 4,377,411
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 875,482 875,482
Dreyfus Cash
Management
Plus, Inc. Money
Market Fund 2,654,395 2,654,395
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 437,741 437,741
</Table>
The accompanying notes are an integral part of the financial statements.
113
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
--------------- ---------------
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 $ 3,414,380 $ 3,414,380
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 656,612 656,612
Merrill Lynch Premier
Institutional Money
Market Fund 1,902,310 1,902,310
Merrimac Money
Market Fund 7,157,067 7,157,067
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 2,188,705 2,188,705
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 1,750,964 1,750,964
National Bank
of Commerce
1.073% 11/19/2003 1,094,353 1,094,353
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 3,939,670 3,939,670
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 2,626,447 2,626,447
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 2,188,705 2,188,705
---------------
41,203,708
---------------
REPURCHASE AGREEMENT -- 5.3%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 30,723,442 30,723,442
---------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 71,927,150
===============
TOTAL INVESTMENTS -- 107.0%
(COST $637,582,121)*** $ 623,182,905
OTHER ASSETS/
(LIABILITIES) -- (7.0%) (40,933,396)
===============
NET ASSETS -- 100.0% $ 582,249,509
===============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $30,724,082. Collateralized by U.S. Government Agency
obligations with rates of 2.680% - 4.094%, maturity dates of 06/25/2023 -
02/01/2033, and an aggregate market value, including accrued interest, of
$32,259,614.
The accompanying notes are an integral part of the financial statements.
114
<Page>
MASSMUTUAL LARGE CAP VALUE FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $565,654,971) (NOTE 2) $ 551,255,755
Short-term investments, at amortized cost (NOTE 2) 71,927,150
---------------
Total Investments (including securities on loan with market values
of $39,705,121) 623,182,905
Cash 2,091
Receivables from:
Interest and dividends 770,871
Foreign taxes withheld 809
Miscellaneous 8,417
---------------
Total assets 623,965,093
---------------
LIABILITIES:
Payables for:
Securities on loan (NOTE 2) 41,203,708
Directors' fees and expenses (NOTE 3) 9,598
Affiliates (NOTE 3):
Investment management fees 320,099
Administration fees 98,498
Service fees 66,977
Accrued expense and other liabilities 16,704
---------------
Total liabilities 41,715,584
---------------
NET ASSETS $ 582,249,509
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 667,178,343
Undistributed net investment income 2,026,340
Accumulated net realized loss on investments (72,555,958)
Net unrealized depreciation on investments (14,399,216)
---------------
$ 582,249,509
===============
NET ASSETS:
Class A $ 115,081,761
===============
Class L $ 145,602,728
===============
Class Y $ 52,577,707
===============
Class S $ 268,874,577
===============
Class N $ 112,736
===============
SHARES OUTSTANDING:
Class A 14,254,788
===============
Class L 17,979,032
===============
Class Y 6,476,384
===============
Class S 33,085,372
===============
Class N 14,047
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 8.07
===============
Class L $ 8.10
===============
Class Y $ 8.12
===============
Class S $ 8.13
===============
Class N $ 8.03
===============
</Table>
The accompanying notes are an integral part of the financial statements.
115
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
-----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $46,148) $ 4,236,155
Interest (including securities lending income of $17,466) 82,734
-----------------
Total investment income 4,318,889
-----------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 1,637,521
Custody fees 28,523
Audit and legal fees 11,581
Shareholder reporting fees 8,430
Directors' fees (NOTE 3) 5,121
Trustee reporting 2,609
-----------------
1,693,785
Administration fees (NOTE 3):
Class A 161,338
Class L 201,979
Class Y 38,446
Class S 99,452
Class N 191
Service fees (NOTE 3):
Class A 124,335
Class N 128
Distribution fees (NOTE 3):
Class N 128
-----------------
Total expenses 2,319,782
Fees paid indirectly (NOTE 3) (18,978)
-----------------
Net expenses 2,300,804
-----------------
NET INVESTMENT INCOME 2,018,085
-----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investment transactions (8,729,121)
Net change in unrealized appreciation (depreciation) on investments 65,599,546
-----------------
NET REALIZED AND UNREALIZED GAIN 56,870,425
-----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 58,888,510
=================
</Table>
The accompanying notes are an integral part of the financial statements.
116
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 2,018,085 $ 3,130,244
Net realized loss on investment transactions (8,729,121) (37,917,588)
Net change in unrealized appreciation (depreciation) on investments 65,599,546 (57,098,982)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 58,888,510 (91,886,326)
----------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (313,566)
Class L - (659,016)
Class Y - (272,257)
Class S - (1,874,921)
----------------- -----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (3,119,760)
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 11,379,835 34,285,780
Class L 16,509,297 30,527,631
Class Y 7,450,594 (4,775,046)
Class S 8,229,252 5,746,199
Class N - 101,000*
----------------- -----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 43,568,978 65,885,564
----------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 102,457,488 (29,120,522)
NET ASSETS:
Beginning of period 479,792,021 508,912,543
----------------- -----------------
End of period (including undistributed net investment income of
$2,026,340 and $8,255, respectively) $ 582,249,509 $ 479,792,021
================= =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
117
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.24 $ 8.74 $ 9.92 $ 10.00
--------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.02*** 0.02*** 0.01*** 0.03***
Net realized and unrealized gain (loss) on investments 0.81 (1.49) (1.18) (0.06)
--------- -------- -------- --------
Total income (loss) from investment operations 0.83 (1.47) (1.17) (0.03)
--------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.03) (0.01) (0.04)
From net realized gains - - - (0.01)
--------- -------- -------- --------
Total distributions - (0.03) (0.01) (0.05)
--------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.07 $ 7.24 $ 8.74 $ 9.92
========= ======== ======== ========
TOTAL RETURN@ 11.46%** (16.86)% (11.75)% (0.36)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 115,082 $ 92,001 $ 73,431 $ 15,926
Ratio of expenses to average daily net assets:
Before expense waiver 1.25%* 1.24% 1.25% 1.25%*
After expense waiver# 1.24%*(a) 1.23%(a) 1.24% N/A
Net investment income to average daily net assets 0.48%* 0.29% 0.12% 0.53%*
Portfolio turnover rate 2%** 25% 20% 11%**
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.26 $ 8.76 $ 9.93 $ 10.00
--------- --------- --------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.03*** 0.04*** 0.03*** 0.05***
Net realized and unrealized gain (loss) on investments 0.81 (1.50) (1.17) (0.07)
--------- --------- --------- --------
Total income (loss) from investment operations 0.84 (1.46) (1.14) (0.02)
--------- --------- --------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) (0.03) (0.04)
From net realized gains - - - (0.01)
--------- --------- --------- --------
Total distributions - (0.04) (0.03) (0.05)
--------- --------- --------- --------
NET ASSET VALUE, END OF PERIOD $ 8.10 $ 7.26 $ 8.76 $ 9.93
========= ========= ========= ========
TOTAL RETURN@ 11.57%** (16.64)% (11.47)% (0.26)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 145,603 $ 114,417 $ 105,322 $ 44,167
Ratio of expenses to average daily net assets:
Before expense waiver 1.00%* 1.00% 1.00% 1.00%*
After expense waiver# 0.99%*(a) 0.98%(a) 0.99% N/A
Net investment income to average daily net assets 0.73%* 0.53% 0.37% 0.72%*
Portfolio turnover rate 2%** 25% 20% 11%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER
31, 2000.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001
THROUGH DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD
BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
118
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.27 $ 8.77 $ 9.94 $ 10.00
-------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.03*** 0.05*** 0.05*** 0.06***
Net realized and unrealized gain (loss) on investments 0.82 (1.50) (1.18) (0.07)
-------- -------- -------- --------
Total income (loss) from investment operations 0.85 (1.45) (1.13) (0.01)
-------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.05) (0.04) (0.04)
From net realized gains - - - (0.01)
-------- -------- -------- --------
Total distributions - (0.05) (0.04) (0.05)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.12 $ 7.27 $ 8.77 $ 9.94
======== ======== ======== ========
TOTAL RETURN@ 11.69%** (16.52)% (11.34)% (0.08)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 52,578 $ 39,762 $ 52,286 $ 10,076
Ratio of expenses to average daily net assets:
Before expense waiver 0.85%* 0.84% 0.85% 0.84%*
After expense waiver# 0.84%*(a) 0.83%(a) 0.84% N/A
Net investment income to average daily net assets 0.88%* 0.66% 0.52% 0.93%*
Portfolio turnover rate 2%** 25% 20% 11%**
</Table>
<Table>
<Caption>
CLASS S CLASS N
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED 6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~ (UNAUDITED) 12/31/02~~
---------------- ---------- ---------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.27 $ 8.78 $ 9.94 $ 10.00 $ 7.21 $ 7.19
--------- --------- --------- --------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.04*** 0.06*** 0.06*** 0.06*** 0.01*** 0.00***+
Net realized and unrealized gain (loss)
on investments 0.82 (1.51) (1.17) (0.07) 0.81 0.02
--------- --------- --------- --------- -------- --------
Total income (loss) from
investment operations 0.86 (1.45) (1.11) (0.01) 0.82 0.02
--------- --------- --------- --------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.06) (0.05) (0.04) - -
From net realized gains - - - (0.01) - -
--------- --------- --------- --------- -------- --------
Total distributions - (0.06) (0.05) (0.05) - -
--------- --------- --------- --------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 8.13 $ 7.27 $ 8.78 $ 9.94 $ 8.03 $ 7.21
========= ========= ========= ========= ======== ========
TOTAL RETURN@ 11.83%** (16.53)% (11.20)% (0.08)%** 11.37%**(b) -%^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 268,875 $ 233,510 $ 277,873 $ 225,913 $ 113 $ 101
Ratio of expenses to average daily net
assets:
Before expense waiver 0.76%* 0.75% 0.76% 0.76%* 1.55%* -^
After expense waiver# 0.75%*(a) 0.74%(a) 0.75% N/A 1.54%*(a) -^
Net investment income to average daily
net assets 0.96%* 0.76% 0.62% 0.91%* 0.18%* -^
Portfolio turnover rate 2%** 25% 20% 11%** 2%** 25%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER
31, 2000.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001
THROUGH DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD
BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
119
<Page>
MASSMUTUAL INDEXED EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL INDEXED
EQUITY FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital through performance that closely tracks
that of the S&P 500 Index
- - invest in a portfolio of equity securities mirroring the sector and stock
weightings of the S&P 500 Index
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
11.48%, in line with the 11.75% return of the S&P 500 Index, a market
capitalization-weighted, unmanaged index of 500 common stocks.
WHAT WAS THE INVESTMENT BACKDROP DURING THE PERIOD?
After starting off the New Year on a positive note, equity markets peaked during
the second week of January and then started a sustained decline, as fears
surrounding the likely war with Iraq impacted markets globally. By the beginning
of March a "war relief" rally took place, erasing much of the quarter's decline,
as investors turned optimistic that any war would not last very long. Overall,
the market saw significant volatility, as the S&P 500 Index traded in a broad
range between 790 and 935 during the quarter. By the close of the quarter,
economic activity slowed as investors' geopolitical concerns reverberated
throughout the economy. Virtually every major indicator proved weaker than
expected as full-year GDP (Gross Domestic Product) growth estimates continued to
be reduced.
All capitalization and style segments were down for the first quarter, with
large cap growth stocks outpacing large cap value stocks. Growth stocks also
outperformed value issues over the prior 12-month period. The small- and mid cap
segments of the market also posted results in negative territory.
Economic and political conditions continued to improve during the second
quarter, leading investors to favor equities. Additionally, the low interest
rate environment and yields on bond investments drew more attention to equities
in the quest for returns. Add to the mix a boost from both a $350 billion U.S.
tax cut and the declining value of the dollar (which benefits U.S. companies
selling products and services overseas), and the case for owning equities became
stronger. While the road to resolution in Iraq is by no means resolved, the
conclusion of active military operations provided the markets with greater
stability not seen in the last two years.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Sector performance during the first quarter was generally negative, with only
the health care and energy sectors posting gains. Telecommunications services
was the worst-performing sector during this time frame. Financials remained the
largest weight in the index, accounting for 20.4% of the market's
capitalization.
The second quarter saw all sectors generating positive performance, with
business equipment and services, technology and utilities leading the pack.
Energy was the weakest-performing of the sectors.
WHAT IS YOUR OUTLOOK?
Economic conditions are expected to continue improving due to newly initiated
fiscal and monetary policy stimuli. A second-half economic rebound, evidenced by
improved economic and earnings forecasts, should translate to sustained equity
performance. Large cap, high-quality stocks, which have lagged so far this year,
should regain favor. While stocks may consolidate recent gains, the
intermediate-term outlook remains constructive.
120
<Page>
MASSMUTUAL INDEXED EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/03)
General Electric Co.
Microsoft Corp.
Pfizer, Inc.
Exxon Mobil Corp.
Wal-Mart Stores, Inc.
Citigroup, Inc.
Johnson & Johnson
American International Group, Inc.
International Business Machines Corp.
Merck & Co., Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Indexed Equity Fund Class S, Class A,
Class Y and the S&P 500 Index
MASSMUTUAL INDEXED EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 3/1/98 - 6/30/03
Class S 11.48% -0.13% -2.03% -0.41%
Class A 11.25% -0.57% -2.48% -0.88%
Class Y 11.58% -0.11% -2.09% -0.46%
- --------------------------------------------------------------------------------------------
S&P 500
Index 11.75% 0.25% -1.61% 0.03%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS Y S&P 500 INDEX
3/1/98 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-98 $ 10,840 $ 10,820 $ 10,840 $ 10,859
Jun-99 $ 13,254 $ 13,144 $ 13,230 $ 13,330
Jun-00 $ 14,147 $ 13,974 $ 14,120 $ 14,297
Jun-2001 $ 12,008 $ 11,805 $ 11,972 $ 12,178
Jun-2002 $ 9,796 $ 9,596 $ 9,766 $ 9,989
Jun-2003 $ 9,783 $ 9,541 $ 9,754 $ 10,014
</Table>
Hypothetical Investments in MassMutual Indexed Equity Fund Class L and the S&P
500 Index
MASSMUTUAL INDEXED EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/99 - 6/30/03
Class L 11.47% -0.26% -7.45%
- --------------------------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -6.90%
</Table>
[CHART]
<Table>
<Caption>
CLASS L S&P 500 INDEX
7/1/99 $ 10,000 $ 10,000
Jun-2000 $ 10,660 $ 10,725
Jun-2001 $ 9,028 $ 9,136
Jun-2002 $ 7,356 $ 7,494
Jun-2003 $ 7,337 $ 7,512
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
121
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Indexed Equity Fund Class Z and the S&P
500 Index
MASSMUTUAL INDEXED EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/1/01 - 6/30/03
Class Z 11.72% 0.21% -9.52%
- ---------------------------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -9.39%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS Z S&P 500 INDEX
5/1/2001 $ 10,000 $ 10,000
Jun-2001 $ 9,820 $ 9,822
Jun-2002 $ 8,034 $ 8,057
Jun-2003 $ 8,051 $ 8,076
</Table>
Hypothetical Investments in MassMutual Indexed Equity Fund Class N, Class N
(CDSC fees deducted) and the S&P 500 Index
MASSMUTUAL INDEXED EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 11.30% 11.30%
Class N (CDSC fees deducted) 10.30% 10.30%
- ----------------------------------------------------------------------------------------------
S&P 500 Index 11.75% 11.83%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-2003 $ 9,665 $ 9,565 $ 9,684
Jun-2003 $ 11,130 $ 11,030 $ 11,175
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
122
<Page>
MASSMUTUAL INDEXED EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
EQUITIES -- 98.6%
ADVERTISING -- 0.2%
Interpublic Group of
Companies, Inc. 45,833 $ 613,246
Monster
Worldwide, Inc.* 13,418 264,737
Omnicom Group, Inc. 22,214 1,592,744
---------------
2,470,727
---------------
AEROSPACE & DEFENSE -- 1.7%
Boeing Co. 101,640 3,488,285
General Dynamics Corp. 23,554 1,707,665
Goodrich Corp. 13,690 287,490
Honeywell
International, Inc. 100,410 2,696,009
Lockheed Martin Corp. 53,507 2,545,328
Northrop Grumman Corp. 21,339 1,841,342
Raytheon Co. 47,500 1,559,900
Rockwell Collins, Inc. 20,632 508,166
United Technologies Corp. 55,231 3,912,012
---------------
18,546,197
---------------
AIR TRANSPORTATION -- 0.2%
Delta Air Lines, Inc. 15,116 221,903
Southwest Airlines Co. 90,665 1,559,438
---------------
1,781,341
---------------
APPAREL, TEXTILES & SHOES -- 0.6%
The Gap, Inc. 104,103 1,952,972
Jones Apparel
Group, Inc.* 15,389 450,282
Limited Brands 61,659 955,714
Liz Claiborne, Inc. 12,792 450,918
Nike, Inc. Cl. B 31,183 1,667,979
Nordstrom, Inc. 15,938 311,110
Reebok
International Limited* 7,300 245,499
VF Corp. 13,002 441,678
---------------
6,476,152
---------------
AUTOMOTIVE & PARTS -- 0.9%
AutoNation, Inc.* 35,100 551,772
Cooper Tire & Rubber Co. 7,930 139,489
Dana Corp. 16,369 189,226
Delphi Corp. 64,594 557,446
Ford Motor Co. 219,114 2,408,063
General Motors Corp. 65,745 2,366,820
Genuine Parts Co. 20,212 646,986
The Goodyear Tire &
Rubber Co. 20,676 108,549
Harley-Davidson, Inc. 35,536 1,416,465
Navistar
International Corp.* 8,409 $ 274,386
Paccar, Inc. 13,603 919,019
Visteon Corp. 13,453 92,422
---------------
9,670,643
---------------
BANKING, SAVINGS & LOANS -- 11.8%
AmSouth Bancorp 41,894 914,965
Bank of America Corp. 179,227 14,164,310
Bank of
New York Co., Inc. 90,003 2,587,586
Bank One Corp. 137,026 5,094,627
BB&T Corp. 55,416 1,900,769
Capital One
Financial Corp. 26,046 1,280,942
Charter One
Financial, Inc. 26,845 837,027
Citigroup, Inc. 608,341 26,036,995
Comerica, Inc. 20,376 947,484
Fannie Mae 117,179 7,902,552
Fifth Third Bancorp 69,888 4,007,378
First Tennessee
National Corp. 14,600 641,086
FleetBoston
Financial Corp. 125,515 3,729,051
Freddie Mac 81,828 4,154,408
Golden West
Financial Corp. 18,079 1,446,501
J.P. Morgan Chase & Co. 239,626 8,190,417
KeyCorp 49,768 1,257,637
Marshall and Ilsley Corp. 25,500 779,790
Mellon Financial Corp. 50,468 1,400,487
National City Corp. 71,871 2,350,900
North Fork
Bancorporation, Inc. 18,800 640,328
Northern Trust Corp. 25,493 1,065,352
Providian Financial Corp.* 33,404 309,321
Regions Financial Corp. 25,790 871,186
SLM Corp. 54,231 2,124,228
SouthTrust Corp. 40,394 1,098,717
State Street Corp. 38,968 1,535,339
SunTrust Banks, Inc. 33,134 1,966,172
Synovus Financial Corp. 35,499 763,228
U.S. Bancorp 227,034 5,562,333
Union Planters Corp. 23,108 717,041
Wachovia Corp. 160,148 6,399,514
Washington Mutual, Inc. 111,552 4,607,098
Wells Fargo & Co. 199,246 10,041,998
Zions Bancorp 11,800 597,198
---------------
127,923,965
---------------
BEVERAGES -- 2.8%
Anheuser-Busch
Companies, Inc. 99,596 $ 5,084,376
Brown-Forman
Corp. Cl. B 7,121 559,853
The Coca-Cola Co. 292,172 13,559,703
Coca-Cola
Enterprises, Inc. 53,043 962,730
Coors (Adolph) Co. Cl. B 4,465 218,696
The Pepsi Bottling
Group, Inc. 33,082 662,302
PepsiCo, Inc. 203,566 9,058,687
---------------
30,106,347
---------------
BROADCASTING, PUBLISHING & PRINTING -- 3.5%
American Greetings
Corp. Cl. A* 8,814 173,107
AOL Time Warner, Inc.* 537,194 8,643,451
Clear Channel
Communications, Inc.* 74,421 3,154,706
Comcast Corp. Cl. A* 269,496 8,133,389
Dow Jones & Co., Inc. 10,857 467,177
Gannett Co., Inc. 31,371 2,409,607
Knight Ridder, Inc. 9,437 650,492
The McGraw-Hill
Companies, Inc. 22,644 1,403,928
Meredith Corp. 5,589 245,916
New York Times Co. Cl. A 17,600 800,800
Tribune Co. 35,695 1,724,068
Univision
Communications,
Inc. Cl. A* 26,800 814,720
Viacom, Inc. Cl. B* 207,718 9,068,968
---------------
37,690,329
---------------
BUILDING MATERIALS & CONSTRUCTION -- 0.2%
Louisiana-Pacific Corp.* 12,484 135,327
Masco Corp. 57,292 1,366,414
Vulcan Materials Co. 11,678 432,903
---------------
1,934,644
---------------
CHEMICALS -- 1.4%
Air Products &
Chemicals, Inc. 26,705 1,110,928
Ashland, Inc. 8,025 246,207
Dow Chemical Co. 111,520 3,452,659
Du Pont (E.I.)
de Nemours & Co. 117,150 4,878,126
Eastman Chemical Co. 9,135 289,305
Engelhard Corp. 14,925 369,692
Great Lakes
Chemical Corp. 5,896 120,278
</Table>
The accompanying notes are an integral part of the financial statements.
123
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
Hercules, Inc.* 12,889 $ 127,601
International Flavors &
Fragrances, Inc. 11,082 353,848
Monsanto Co. 31,424 680,015
PPG Industries, Inc. 19,908 1,010,132
Praxair, Inc. 19,078 1,146,588
Rohm & Haas Co. 25,984 806,284
---------------
14,591,663
---------------
COMMERCIAL SERVICES -- 1.7%
Allied Waste
Industries, Inc.* 24,334 244,557
Apollo Group, Inc. Cl. A* 20,600 1,272,256
Block (H&R), Inc. 20,948 906,001
Cendant Corp.* 120,644 2,210,198
Cintas Corp. 20,200 715,888
Concord EFS, Inc.* 59,546 876,517
Convergys Corp.* 20,871 333,936
Donnelley (R.R.) &
Sons Co. 12,915 337,598
eBay, Inc.* 37,200 3,875,496
Ecolab, Inc. 30,558 782,285
Equifax, Inc. 17,049 443,274
Fluor Corp. 9,135 307,301
Moody's Corp. 18,386 969,126
Paychex, Inc. 44,406 1,301,540
PerkinElmer, Inc. 16,174 223,363
Quest Diagnostics, Inc.* 11,785 751,883
Quintiles
Transnational Corp.* 16,703 237,016
Robert Half
International, Inc.* 21,200 401,528
Ryder System, Inc. 8,205 210,212
Waste Management, Inc. 70,197 1,691,046
---------------
18,091,021
---------------
COMMUNICATIONS -- 1.8%
ADC
Telecommunications, Inc.* 72,692 169,227
Andrew Corp.* 13,642 125,506
Avaya, Inc.* 43,975 284,079
Ciena Corp.* 51,600 267,804
Citizens
Communications Co.* 33,500 431,815
Lucent
Technologies, Inc.* 468,152 950,349
Network Appliance, Inc.* 40,038 649,016
Nextel Communications,
Inc. Cl. A* 122,139 2,208,273
Qualcomm, Inc. 91,809 3,282,172
SBC Communications, Inc. 396,409 10,128,250
Scientific-Atlanta, Inc. 18,681 445,355
Tellabs, Inc.* 49,823 327,337
---------------
19,269,183
---------------
COMMUNICATIONS EQUIPMENT -- 0.2%
Motorola, Inc. 276,402 $ 2,606,471
---------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.4%
Autodesk, Inc. 15,306 247,345
Computer
Sciences Corp.* 22,196 846,112
Parametric
Technology Corp.* 24,388 74,383
Sun Microsystems, Inc.* 388,904 1,788,958
Teradyne, Inc.* 22,506 389,579
Unisys Corp.* 37,951 466,038
---------------
3,812,415
---------------
COMPUTER PROGRAMMING SERVICES -- 0.0%
Mercury
Interactive Corp.* 9,840 379,922
---------------
COMPUTERS & INFORMATION -- 2.9%
Apple Computer, Inc.* 42,475 812,122
Cisco Systems, Inc.* 838,287 13,991,010
Comverse
Technology, Inc.* 24,529 368,671
Dell Computer Corp.* 304,048 9,717,374
EMC Corp.* 259,333 2,715,217
Gateway, Inc.* 32,368 118,143
International
Game Technology* 10,189 1,042,640
Jabil Circuit, Inc.* 23,700 523,770
Lexmark
International, Inc.* 14,828 1,049,378
Solectron Corp.* 102,553 383,548
Symbol
Technologies, Inc. 27,300 355,173
---------------
31,077,046
---------------
COMPUTERS & OFFICE EQUIPMENT -- 2.6%
Electronic Data
Systems Corp. 56,323 1,208,128
Hewlett-Packard Co. 359,752 7,662,718
International Business
Machines Corp. 204,102 16,838,415
Pitney Bowes, Inc. 28,255 1,085,275
Xerox Corp.* 86,677 917,909
---------------
27,712,445
---------------
CONTAINERS -- 0.2%
Ball Corp. 6,604 300,548
Bemis Co., Inc. 6,294 294,559
Pactiv Corp.* 19,198 378,393
Sealed Air Corp.* 10,048 478,888
Temple-Inland, Inc. 6,393 274,324
---------------
1,726,712
---------------
COSMETICS & PERSONAL CARE -- 2.4%
Alberto-Culver Co. Cl. B 6,898 $ 352,488
Avon Products, Inc. 27,819 1,730,342
Colgate-Palmolive Co. 63,419 3,675,131
The Gillette Co. 123,044 3,920,182
Kimberly-Clark Corp. 60,581 3,158,693
The Procter &
Gamble Co. 152,349 13,586,484
---------------
26,423,320
---------------
DATA PROCESSING & PREPARATION -- 0.7%
Automatic Data
Processing, Inc. 70,608 2,390,787
Deluxe Corp. 6,828 305,894
First Data Corp. 88,456 3,665,617
Fiserv, Inc.* 22,701 808,383
IMS Health, Inc. 29,725 534,753
NCR Corp.* 12,368 316,868
---------------
8,022,302
---------------
ELECTRIC UTILITIES -- 2.6%
AES Corp.* 67,453 428,327
Allegheny Energy, Inc. 14,300 120,835
Ameren Corp. 18,342 808,882
American Electric
Power Co. 46,508 1,387,334
Calpine Corp.* 41,579 274,421
CenterPoint Energy, Inc. 33,622 274,019
Cinergy Corp. 19,281 709,348
CMS Energy Corp. 17,354 140,567
Consolidated Edison, Inc. 26,374 1,141,467
Constellation Energy
Group, Inc. 18,864 647,035
Dominion Resources, Inc. 38,820 2,494,961
DTE Energy Co. 19,252 743,897
Duke Energy Corp. 107,698 2,148,575
Edison International* 37,087 609,339
Entergy Corp. 29,106 1,536,215
Exelon Corp. 40,774 2,438,693
FirstEnergy Corp. 34,587 1,329,870
FPL Group, Inc. 22,215 1,485,073
Mirant Corp.* 39,788 115,385
NiSource, Inc. 31,085 590,615
PG&E Corp.* 46,881 991,533
Pinnacle West
Capital Corp. 11,750 440,037
PPL Corp. 18,955 815,065
Progress Energy, Inc. 27,521 1,208,172
Public Service Enterprise
Group, Inc. 26,982 1,139,989
Southern Co. 83,446 2,600,177
Teco Energy, Inc. 22,400 268,576
TXU Corp. 37,566 843,357
---------------
27,731,764
---------------
</Table>
The accompanying notes are an integral part of the financial statements.
124
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 6.6%
Advanced Micro
Devices, Inc.* 41,742 $ 267,566
Altera Corp.* 44,804 734,786
American Power
Conversion Corp.* 23,742 370,138
Analog Devices, Inc.* 42,825 1,491,166
Applied Micro
Circuits Corp.* 37,200 225,060
Broadcom Corp. Cl. A* 34,700 864,377
Emerson Electric Co. 49,654 2,537,319
General Electric Co. 1,183,275 33,936,327
Intel Corp. 776,732 16,143,598
JDS Uniphase Corp.* 179,876 631,365
Johnson Controls, Inc. 10,351 886,046
Kla-Tencor Corp.* 22,328 1,038,029
Linear Technology Corp. 36,749 1,183,685
LSI Logic Corp.* 45,542 322,437
Maxim Integrated
Products, Inc. 37,999 1,299,186
Micron Technology, Inc.* 71,280 828,986
Molex, Inc. 22,947 619,340
National
Semiconductor Corp.* 22,012 434,077
Novellus Systems, Inc.* 17,831 652,989
Nvidia Corp.* 18,400 423,384
PMC-Sierra, Inc.* 21,879 256,641
Power-One, Inc.* 10,600 75,790
Qlogic Corp.* 11,000 531,630
Rockwell
Automation, Inc. 22,332 532,395
Sanmina-SCI Corp.* 65,024 410,301
Texas Instruments, Inc. 203,769 3,586,334
Thomas & Betts Corp.* 7,602 109,849
Xilinx, Inc.* 39,568 1,001,466
---------------
71,394,267
---------------
ENERGY -- 6.0%
Amerada Hess Corp. 10,960 539,013
Anadarko
Petroleum Corp. 28,854 1,283,137
Apache Corp. 18,578 1,208,685
BJ Services Co.* 18,800 702,368
Burlington
Resources, Inc. 24,180 1,307,413
ChevronTexaco Corp. 127,929 9,236,474
ConocoPhillips 79,455 4,354,134
Devon Energy Corp. 26,800 1,431,120
Dynegy, Inc. Cl. A 48,037 201,755
El Paso Corp. 68,535 553,763
EOG Resources, Inc. 13,200 552,288
Exxon Mobil Corp. 792,598 28,462,194
Halliburton Co. 51,084 1,174,932
Kerr-McGee Corp. 11,466 513,677
KeySpan Corp. 18,500 $ 655,825
Kinder Morgan, Inc. 14,600 797,890
Marathon Oil Corp. 37,151 978,929
Nabors
Industries Limited* 17,269 682,989
Nicor, Inc. 5,282 196,015
Noble Corp.* 15,500 531,650
Occidental
Petroleum Corp. 43,951 1,474,556
Peoples Energy Corp. 4,262 182,797
Rowan Companies, Inc.* 12,166 272,518
Schlumberger Limited 70,405 3,349,166
Sempra Energy 25,261 720,696
Sunoco, Inc. 9,256 349,321
Transocean, Inc.* 40,572 891,367
Unocal Corp. 31,729 910,305
The Williams
Companies, Inc. 61,291 484,199
Xcel Energy, Inc. 45,687 687,132
---------------
64,686,308
---------------
ENTERTAINMENT & LEISURE -- 0.5%
Brunswick Corp. 10,455 261,584
Harrah's
Entertainment, Inc.* 13,316 535,836
The Walt Disney Co. 240,470 4,749,282
---------------
5,546,702
---------------
FINANCIAL SERVICES -- 3.4%
American Express Co. 154,760 6,470,516
Apartment Investment &
Management Co. Cl. A 10,700 370,220
Bear Stearns
Companies, Inc. 11,795 854,194
Countrywide
Financial Corp. 14,800 1,029,636
Federated
Investors, Inc. Cl. B 13,200 361,944
Franklin Resources, Inc. 30,630 1,196,714
The Goldman
Sachs Group, Inc. 55,700 4,664,875
Huntington
Bancshares, Inc. 27,321 533,306
Janus Capital Group, Inc. 28,594 468,942
Lehman Brothers
Holdings, Inc. 28,718 1,909,173
MBNA Corp. 150,346 3,133,211
Merrill Lynch &
Co., Inc. 109,470 5,110,060
Morgan Stanley 131,099 5,604,482
PNC Financial Services
Group, Inc. 33,313 1,626,008
Price (T. Rowe)
Group, Inc. 14,613 551,641
The Schwab
(Charles) Corp. 159,005 $ 1,604,360
Simon Property
Group, Inc. 21,400 835,242
---------------
36,324,524
---------------
FOODS -- 1.8%
Archer-Daniels-
Midland Co. 76,179 980,424
Campbell Soup Co. 48,446 1,186,927
ConAgra Foods, Inc. 63,369 1,495,508
General Mills, Inc. 43,451 2,060,012
Heinz (H. J.) Co. 41,422 1,366,098
Hershey Foods Corp. 16,042 1,117,486
Kellogg Co. 48,116 1,653,747
The Kroger Co.* 90,775 1,514,127
McCormick & Co., Inc. 16,500 448,800
Safeway, Inc.* 50,777 1,038,897
Sara Lee Corp. 92,336 1,736,840
Starbucks Corp.* 45,648 1,119,289
SuperValu, Inc. 15,832 337,538
Sysco Corp. 77,078 2,315,423
Wrigley (Wm.) Jr. Co. 26,604 1,495,943
---------------
19,867,059
---------------
FOREST PRODUCTS & PAPER -- 0.5%
Boise Cascade Corp. 6,901 164,934
Georgia-Pacific Corp. 29,572 560,389
International Paper Co. 56,451 2,016,994
MeadWestvaco Corp. 23,644 584,007
Plum Creek Timber Co., Inc. 21,800 565,710
Weyerhaeuser Co. 25,811 1,393,794
---------------
5,285,828
---------------
HEALTHCARE -- 0.8%
HCA, Inc. 61,185 1,960,367
Health Management
Associates, Inc. Cl. A 28,000 516,600
Humana, Inc.* 23,296 351,770
Manor Care, Inc.* 12,781 319,653
Tenet Healthcare Corp.* 56,328 656,221
UnitedHealth Group, Inc. 70,948 3,565,137
Wellpoint Health
Networks, Inc.* 17,120 1,443,216
---------------
8,812,964
---------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.2%
Centex Corp. 7,805 607,151
KB Home 5,585 346,158
Leggett & Platt, Inc. 21,447 439,663
Maytag Corp. 7,938 193,846
Pulte Homes, Inc. 7,473 460,785
Whirlpool Corp. 8,829 562,407
---------------
2,610,010
---------------
</Table>
The accompanying notes are an integral part of the financial statements.
125
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
HOUSEHOLD PRODUCTS -- 0.5%
Black & Decker Corp. 9,250 $ 401,912
The Clorox Co. 25,915 1,105,275
Corning, Inc.* 140,961 1,041,702
Fortune Brands, Inc. 17,580 917,676
Newell Rubbermaid, Inc. 31,471 881,188
Sherwin-Williams Co. 17,589 472,792
Snap-On, Inc. 6,803 197,491
The Stanley Works 10,755 296,838
Tupperware Corp. 6,902 99,113
---------------
5,413,987
---------------
INDUSTRIAL - DISTRIBUTION -- 0.1%
Grainger (W.W.), Inc. 10,766 503,418
---------------
INDUSTRIAL - DIVERSIFIED -- 1.5%
3M Co. 45,999 5,932,951
Cooper Industries
Limited Cl. A 11,265 465,244
Danaher Corp. 17,850 1,214,692
Eaton Corp. 8,628 678,247
Illinois Tool Works, Inc. 37,633 2,478,133
ITT Industries, Inc. 10,755 704,022
McDermott
International, Inc.* 6,006 38,018
Textron, Inc. 16,255 634,270
Tyco
International Limited 235,254 4,465,121
---------------
16,610,698
---------------
INFORMATION RETRIEVAL SERVICES -- 0.2%
Yahoo!, Inc.* 72,860 2,386,894
---------------
INSURANCE -- 4.9%
ACE Limited 30,200 1,035,558
Aetna, Inc. 17,549 1,056,450
AFLAC, Inc. 62,538 1,923,043
Allstate Corp. 86,315 3,077,130
Ambac Financial
Group, Inc. 12,100 801,625
American International
Group, Inc. 309,708 17,089,687
Anthem, Inc.* 16,200 1,249,830
Aon Corp. 36,252 872,948
Chubb Corp. 21,109 1,266,540
Cigna Corp. 16,288 764,559
Cincinnati Financial Corp. 19,384 718,953
The Hartford Financial
Services Group, Inc. 34,834 1,754,240
Jefferson-Pilot Corp. 16,673 691,263
John Hancock
Financial Services, Inc. 33,679 1,034,956
Lincoln National Corp. 20,639 735,368
Loews Corp. 21,248 1,004,818
Marsh & McLennan
Companies, Inc. 63,152 $ 3,225,173
MBIA, Inc. 17,011 829,286
Metlife, Inc. 89,300 2,528,976
MGIC Investment Corp. 12,187 568,402
Principal Financial
Group, Inc. 38,600 1,244,850
Progressive Corp. 26,087 1,906,960
Prudential Financial, Inc. 66,400 2,234,360
Safeco Corp. 17,225 607,698
The St. Paul
Companies, Inc. 26,675 973,904
Torchmark Corp. 13,826 515,018
Travelers Property
Casualty Corp. Cl. B 116,897 1,843,466
UnumProvident Corp. 33,225 445,547
XL Capital Limited Cl. A 16,200 1,344,600
---------------
53,345,208
---------------
LODGING -- 0.2%
Hilton Hotels Corp. 43,451 555,738
Marriott International,
Inc. Cl. A 27,923 1,072,802
Starwood Hotels &
Resorts Worldwide, Inc. 23,127 661,201
---------------
2,289,741
---------------
MACHINERY & COMPONENTS -- 0.7%
Baker Hughes, Inc. 39,483 1,325,443
Caterpillar, Inc. 40,516 2,255,121
Cummins, Inc. 5,473 196,426
Deere & Co. 28,113 1,284,764
Dover Corp. 23,959 717,812
Ingersoll-Rand Co. Cl. A 19,886 941,006
Pall Corp. 14,418 324,405
Parker-Hannifin Corp. 14,198 596,174
---------------
7,641,151
---------------
MANUFACTURING -- 0.4%
American Standard
Companies, Inc.* 8,500 628,405
Applied Materials, Inc.* 194,252 3,080,837
Avery Dennison Corp. 12,898 647,480
Millipore Corp.* 5,681 252,066
---------------
4,608,788
---------------
MEDICAL SUPPLIES -- 2.2%
Agilent
Technologies, Inc.* 55,005 1,075,348
Allergan, Inc. 15,129 1,166,446
Applied Biosystems
Group-Applera Corp. 24,568 467,529
Bard (C.R.), Inc. 6,389 455,600
Bausch & Lomb, Inc. 6,794 254,775
Baxter International, Inc. 70,426 $ 1,831,076
Becton, Dickinson & Co. 30,446 1,182,827
Biomet, Inc. 31,094 891,154
Boston Scientific Corp.* 48,220 2,946,242
Guidant Corp. 36,441 1,617,616
Medtronic, Inc. 143,514 6,884,367
St. Jude Medical, Inc.* 21,196 1,218,770
Stryker Corp. 23,501 1,630,264
Tektronix, Inc.* 10,770 232,632
Thermo Electron Corp.* 20,175 424,078
Waters Corp.* 15,900 463,167
Zimmer Holdings, Inc.* 23,378 1,053,179
---------------
23,795,070
---------------
METALS & MINING -- 0.5%
Alcoa, Inc. 99,466 2,536,383
Allegheny
Technologies, Inc. 9,147 60,370
Crane Co. 7,007 158,568
Freeport-McMoRan
Copper & Gold,
Inc. Cl. B 17,083 418,533
Newmont Mining Corp. 47,297 1,535,261
Nucor Corp. 9,550 466,517
Phelps Dodge Corp.* 10,439 400,231
United States Steel Corp. 11,856 194,083
Worthington
Industries, Inc. 9,952 133,357
---------------
5,903,303
---------------
PHARMACEUTICALS -- 11.4%
Abbott Laboratories 184,037 8,053,459
AmerisourceBergen Corp. 12,816 888,790
Amgen, Inc.* 149,490 9,932,116
Biogen, Inc.* 17,562 667,356
Bristol-Myers Squibb Co. 227,884 6,187,051
Cardinal Health, Inc. 53,079 3,412,980
Chiron Corp.* 22,000 961,840
Eli Lilly & Co. 134,595 9,283,017
Forest Laboratories, Inc.* 42,600 2,332,350
Genzyme Corp.* 25,300 1,057,540
Johnson & Johnson 349,900 18,089,830
King
Pharmaceuticals, Inc.* 27,548 406,608
McKesson Corp. 34,198 1,222,237
Medimmune, Inc.* 29,569 1,075,425
Merck & Co., Inc. 267,762 16,212,989
Pfizer, Inc. 939,321 32,077,812
Schering-Plough Corp. 177,686 3,304,960
Sigma-Aldrich Corp. 9,251 501,219
Watson
Pharmaceutical, Inc.* 12,571 507,491
Wyeth 157,504 7,174,307
---------------
123,349,377
---------------
</Table>
The accompanying notes are an integral part of the financial statements.
126
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.1%
Eastman Kodak Co. 34,247 $ 936,655
---------------
PREPACKAGED SOFTWARE -- 4.7%
Adobe Systems, Inc. 27,022 866,596
BMC Software, Inc.* 28,331 462,645
Citrix Systems, Inc.* 21,427 436,254
Computer Associates
International, Inc. 67,439 1,502,541
Compuware Corp.* 47,437 273,711
Electronic Arts, Inc.* 16,800 1,243,032
Intuit, Inc.* 24,100 1,073,173
Microsoft Corp. 1,271,990 32,575,664
Novell, Inc.* 31,182 96,041
Oracle Corp.* 626,528 7,530,867
Peoplesoft, Inc.* 36,587 643,565
Siebel Systems, Inc.* 56,562 539,601
SunGard Data
Systems, Inc.* 33,600 870,576
Symantec Corp.* 18,600 815,796
Veritas Software Corp.* 50,790 1,456,149
---------------
50,386,211
---------------
REAL ESTATE -- 0.2%
Equity Office
Properties Trust 48,700 1,315,387
Equity Residential 32,600 845,970
---------------
2,161,357
---------------
RESTAURANTS -- 0.5%
Darden Restaurants, Inc. 20,128 382,029
McDonald's Corp. 149,560 3,299,294
Wendy's International, Inc. 13,601 394,021
Yum! Brands, Inc.* 34,820 1,029,279
---------------
5,104,623
---------------
RETAIL -- 6.3%
AutoZone, Inc.* 11,836 899,181
Bed Bath & Beyond, Inc.* 36,096 1,400,886
Best Buy Co., Inc.* 37,841 1,661,977
Big Lots, Inc.* 13,696 205,988
Circuit City Stores, Inc. 25,559 224,919
Costco Wholesale Corp.* 56,189 2,056,517
CVS Corp. 46,189 1,294,678
Dillards, Inc. Cl. A 11,665 157,128
Dollar General Corp. 39,131 714,532
Family Dollar Stores, Inc. 21,124 805,881
Federated Department
Stores, Inc. 22,178 817,259
The Home Depot, Inc. 273,987 9,074,449
J.C. Penney Company, Inc. 31,361 528,433
Kohl's Corp.* 39,576 2,033,415
Lowe's Companies, Inc. 91,950 3,949,252
The May Department
Stores Co. 33,587 747,647
Office Depot, Inc.* 36,159 $ 524,667
RadioShack Corp. 19,730 519,096
Sears, Roebuck and Co. 37,023 1,245,454
Staples, Inc.* 55,656 1,021,288
Target Corp. 106,910 4,045,474
Tiffany & Co. 17,056 557,390
TJX Companies, Inc. 61,860 1,165,442
Toys R Us, Inc.* 25,582 310,054
Walgreen Co. 120,680 3,632,468
Wal-Mart Stores, Inc. 520,073 27,912,318
---------------
67,505,793
---------------
RETAIL - GROCERY -- 0.1%
Albertson's, Inc. 46,348 889,882
Winn-Dixie Stores, Inc. 14,955 184,096
---------------
1,073,978
---------------
TELEPHONE UTILITIES -- 2.7%
Alltel Corp. 36,957 1,782,067
AT&T Corp. 96,233 1,852,485
AT&T Wireless
Services, Inc.* 321,126 2,636,444
BellSouth Corp. 219,123 5,835,245
CenturyTel, Inc. 16,648 580,183
Qwest Communications
International, Inc.* 188,121 899,218
Sprint Corp. (FON Group) 105,048 1,512,691
Sprint Corp. (PCS Group)* 121,817 700,448
Verizon
Communications, Inc. 327,283 12,911,314
---------------
28,710,095
---------------
TOBACCO -- 1.1%
Altria Group, Inc. 241,239 10,961,900
Reynolds (R.J.) Tobacco
Holdings, Inc. 10,500 390,705
UST, Inc. 19,187 672,121
---------------
12,024,726
---------------
TOYS, GAMES -- 0.1%
Hasbro, Inc. 20,104 351,619
Mattel, Inc. 51,352 971,580
---------------
1,323,199
---------------
TRANSPORTATION -- 1.6%
Burlington Northern
Santa Fe Corp. 44,256 1,258,641
Carnival Corp. 74,668 2,427,457
CSX Corp. 25,386 763,865
FedEx Corp. 35,712 2,215,215
Norfolk Southern Corp. 45,977 882,758
Union Pacific Corp. 29,938 1,737,003
United Parcel Service,
Inc. Cl. B 132,600 $ 8,446,620
---------------
17,731,559
---------------
TRAVEL -- 0.0%
Sabre Holdings Corp. 16,528 407,415
---------------
TOTAL EQUITIES
(COST $1,263,488,432) 1,065,785,517
===============
<Caption>
PRINCIPAL
AMOUNT
---------------
SHORT-TERM INVESTMENTS -- 7.6%
CASH EQUIVALENTS -- 6.3%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 1,434,272 1,434,272
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 1,124,788 1,124,788
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 7,171,365 7,171,365
Canadian Imperial Bank
of Commerce Bank Note
1.500% 05/18/2004 7,171,365 7,171,365
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 1,434,273 1,434,273
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 4,348,606 4,348,606
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 717,137 717,137
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 5,593,665 5,593,665
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 1,075,705 1,075,705
Merrill Lynch Premier
Institutional Money
Market Fund 3,116,490 3,116,490
Merrimac Money
Market Fund 11,725,182 11,725,182
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 3,585,683 3,585,683
Morgan Stanley
Dean Witter & Co.
1.455% 01/29/2004 2,868,546 2,868,546
</Table>
The accompanying notes are an integral part of the financial statements.
127
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
--------------- ---------------
National Bank
of Commerce
1.073% 11/19/2003 $ 1,792,841 $ 1,792,841
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 6,454,229 6,454,229
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 4,302,821 4,302,821
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 3,585,683 3,585,683
---------------
67,502,651
---------------
REPURCHASE AGREEMENT -- 1.2%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 12,541,181 12,541,181
---------------
U.S. TREASURY BILLS -- 0.1%
U.S. Treasury Bill***
0.872% 10/16/2003 300,000 299,222
U.S. Treasury Bill***
0.925% 10/16/2003 45,000 44,876
U.S. Treasury Bill***
0.962% 10/16/2003 45,000 44,871
U.S. Treasury Bill***
0.992% 10/16/2003 55,000 54,839
U.S. Treasury Bill***
1.020% 07/17/2003 20,000 19,991
U.S. Treasury Bill***
1.020% 07/24/2003 130,000 129,915
U.S. Treasury Bill***
1.040% 07/24/2003 50,000 49,967
U.S. Treasury Bill***
1.050% 07/24/2003 20,000 19,986
U.S. Treasury Bill***
1.070% 07/24/2003 10,000 9,993
U.S. Treasury Bill***
1.110% 07/24/2003 10,000 9,993
U.S. Treasury Bill***
1.130% 07/24/2003 775,000 774,441
---------------
1,458,094
---------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 81,501,926
===============
TOTAL INVESTMENTS -- 106.2%
(COST $1,344,990,358)**** $ 1,147,287,443
OTHER ASSETS/
(LIABILITIES) -- (6.2%) (66,550,735)
===============
NET ASSETS -- 100.0% $ 1,080,736,708
===============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** This security is held as collateral for open futures contracts. (NOTE 2).
**** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $12,541,442. Collateralized by U.S. Government Agency
obligation with a rate of 5.384%, maturity date of 06/01/2032, and
aggregate market value, including accrued interest, of $13,168,240.
The accompanying notes are an integral part of the financial statements.
128
<Page>
MASSMUTUAL INDEXED EQUITY FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $1,263,488,432) (NOTE 2) $ 1,065,785,517
Short-term investments, at amortized cost (NOTE 2) 81,501,926
---------------
Total Investments (including securities on loan with market
values of $64,240,754) 1,147,287,443
Cash 2,525
Receivables from:
Interest and dividends 1,454,075
---------------
Total assets 1,148,744,043
---------------
LIABILITIES:
Payables for:
Securities on loan (NOTE 2) 67,502,651
Directors' fees and expenses (NOTE 3) 18,026
Affiliates (NOTE 3):
Investment management fees 92,124
Administration fees 307,095
Service fees 64,392
Accrued expense and other liabilities 23,047
---------------
Total liabilities 68,007,335
---------------
NET ASSETS $ 1,080,736,708
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 1,323,720,099
Undistributed net investment income 6,364,618
Accumulated net realized loss on investments and futures contracts (51,264,988)
Net unrealized depreciation on investments and futures contracts (198,083,021)
---------------
$ 1,080,736,708
===============
NET ASSETS:
Class A $ 112,235,358
===============
Class L $ 71,015,175
===============
Class Y $ 240,720,668
===============
Class S $ 637,124,189
===============
Class Z $ 18,912,377
===============
Class N $ 728,941
===============
SHARES OUTSTANDING:
Class A 12,471,065
===============
Class L 7,858,666
===============
Class Y 26,582,477
===============
Class S 69,749,219
===============
Class Z 2,067,410
===============
Class N 81,390
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 9.00
===============
Class L $ 9.04
===============
Class Y $ 9.06
===============
Class S $ 9.13
===============
Class Z $ 9.15
===============
Class N $ 8.96
===============
</Table>
The accompanying notes are an integral part of the financial statements.
129
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends $ 8,465,219
Interest (including securities lending income of $23,327) 56,925
---------------
Total investment income 8,522,144
---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 478,016
Custody fees 50,722
Shareholder reporting fees 17,168
Audit and legal fees 13,673
Directors' fees (NOTE 3) 9,811
Trustee reporting 2,609
---------------
571,999
Administration fees (NOTE 3):
Class A 222,078
Class L 149,745
Class Y 347,112
Class S 858,908
Class Z 7,257
Class N 766
Service fees (NOTE 3):
Class A 115,738
Class N 362
Distribution fees (NOTE 3):
Class N 362
---------------
Total expenses 2,274,327
---------------
NET INVESTMENT INCOME 6,247,817
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions (2,281,676)
Closed futures contracts 1,562,830
---------------
Net realized loss (718,846)
---------------
Net change in unrealized appreciation (depreciation) on:
Investments 103,200,230
Open futures contracts (33,003)
---------------
Net unrealized gain 103,167,227
---------------
NET REALIZED AND UNREALIZED GAIN 102,448,381
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 108,696,198
===============
</Table>
The accompanying notes are an integral part of the financial statements.
130
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 6,247,817 $ 10,382,664
Net realized loss on investment transactions and futures contracts (718,846) (37,493,383)
Net change in unrealized appreciation (depreciation) on investments
and futures contracts 103,167,227 (205,792,697)
------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 108,696,198 (232,903,416)
------------------ ------------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (529,319)
Class L - (578,753)
Class Y - (2,341,779)
Class S - (6,633,682)
Class Z - (236,834)
------------------ ------------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (10,320,367)
------------------ ------------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 31,161,131 7,019,969
Class L 9,043,574 28,484,905
Class Y 17,828,368 72,195,407
Class S 5,194,799 82,916,124
Class Z 184,924 23,305,846
Class N 588,455 100,500*
------------------ ------------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 64,001,251 214,022,751
------------------ ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 172,697,449 (29,201,032)
NET ASSETS:
Beginning of period 908,039,259 937,240,291
------------------ ------------------
End of period (including undistributed net investment income of
$6,364,618 and $116,801, respectively) $ 1,080,736,708 $ 908,039,259
================== ==================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
131
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~~ 02/28/99
---------------- ---------- ---------- ---------- ------------ ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.09 $ 10.55 $ 12.17 $ 13.81 $ 11.81 $ 10.00
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.04*** 0.07*** 0.06*** 0.05*** 0.07*** 0.06***
Net realized and unrealized gain (loss)
on investments 0.87 (2.47) (1.60) (1.40) 2.18 1.78
--------- --------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.91 (2.40) (1.54) (1.35) 2.25 1.84
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.06) (0.08) (0.10) (0.10) (0.03)
From net realized gains - - - (0.19) (0.15) -
--------- --------- --------- --------- --------- ---------
Total distributions - (0.06) (0.08) (0.29) (0.25) (0.03)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 9.00 $ 8.09 $ 10.55 $ 12.17 $ 13.81 $ 11.81
========= ========= ========= ========= ========= =========
TOTAL RETURN@ 11.25%** (22.74)% (12.69)% (9.88)% 19.14%** 18.40%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 112,235 $ 70,695 $ 81,682 $ 41,829 $ 2,066 $ 118
Net expenses to average daily net assets 0.85%* 0.85% 0.86% 0.84% 0.85%* 1.09%
Net investment income to average daily
net assets 0.94%* 0.78% 0.52% 0.41% 0.59%* 0.57%
Portfolio turnover rate 0%** 5% 4% 10% N/A N/A
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.11 $ 10.58 $ 12.18 $ 13.80 $ 13.11
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.10*** 0.08*** 0.09*** 0.06***
Net realized and unrealized gain (loss)
on investments 0.88 (2.48) (1.60) (1.41) 0.90
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.93 (2.38) (1.52) (1.32) 0.96
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.09) (0.08) (0.11) (0.12)
From net realized gains - - - (0.19) (0.15)
--------- --------- --------- --------- ---------
Total distributions - (0.09) (0.08) (0.30) (0.27)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 9.04 $ 8.11 $ 10.58 $ 12.18 $ 13.80
========= ========= ========= ========= =========
TOTAL RETURN@ 11.47%** (22.53)% (12.46)% (9.61)% 7.38%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 71,015 $ 54,756 $ 40,420 $ 28,623 $ 1,772
Net expenses to average daily net assets 0.60%* 0.60% 0.60% 0.59% 0.60%*
Net investment income to average daily
net assets 1.18%* 1.05% 0.75% 0.64% 0.90%*
Portfolio turnover rate 0%** 5% 4% 10% N/A
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM JULY 1, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
~~ FOR THE PERIOD FROM MARCH 1, 1999 THROUGH DECEMBER 31, 1999.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
132
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~~ 02/28/99
---------------- ---------- ---------- ---------- ------------ ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.12 $ 10.60 $ 12.21 $ 13.81 $ 11.79 $ 10.00
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.11*** 0.10*** 0.11*** 0.11*** 0.12***
Net realized and unrealized gain (loss)
on investments 0.88 (2.49) (1.61) (1.41) 2.18 1.78
--------- --------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.94 (2.38) (1.51) (1.30) 2.29 1.90
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.10) (0.10) (0.11) (0.12) (0.11)
From net realized gains - - - (0.19) (0.15) -
--------- --------- --------- --------- --------- ---------
Total distributions - (0.10) (0.10) (0.30) (0.27) (0.11)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 9.06 $ 8.12 $ 10.60 $ 12.21 $ 13.81 $ 11.79
========= ========= ========= ========= ========= =========
TOTAL RETURN@ 11.58%** (22.47)% (12.37)% (9.46)% 19.46%** 18.98%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 240,721 $ 198,240 $ 172,244 $ 115,648 $ 46,253 $ 859
Net expenses to average daily net assets 0.45%* 0.45% 0.45% 0.44% 0.44%* 0.52%
Net investment income to average daily
net assets 1.33%* 1.18% 0.90% 0.80% 1.01%* 1.09%
Portfolio turnover rate 0%** 5% 4% 10% N/A N/A
</Table>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~~ 02/28/99
---------------- ---------- ---------- ---------- ------------ ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.19 $ 10.68 $ 12.29 $ 13.88 $ 11.82 $ 10.00
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.11*** 0.11*** 0.11*** 0.12*** 0.13***
Net realized and unrealized gain (loss)
on investments 0.88 (2.50) (1.62) (1.42) 2.19 1.78
--------- --------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.94 (2.39) (1.51) (1.31) 2.31 1.91
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.10) (0.10) (0.09) (0.10) (0.09)
From net realized gains - - - (0.19) (0.15) -
--------- --------- --------- --------- --------- ---------
Total distributions - (0.10) (0.10) (0.28) (0.25) (0.09)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 9.13 $ 8.19 $ 10.68 $ 12.29 $ 13.88 $ 11.82
========= ========= ========= ========= ========= =========
TOTAL RETURN@ 11.48%** (22.41)% (12.33)% (9.47)% 19.61%** 19.13%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 637,124 $ 567,426 $ 642,799 $ 761,008 $ 813,419 $ 426,687
Net expenses to average daily net assets 0.42%* 0.42% 0.42% 0.42% 0.42%* 0.43%
Net investment income to average daily
net assets 1.36%* 1.20% 0.92% 0.83% 1.06%* 1.23%
Portfolio turnover rate 0%** 5% 4% 10% N/A N/A
</Table>
* ANNUALIZED.
~~ PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ FOR THE PERIOD FROM MARCH 1, 1999 THROUGH DECEMBER 31, 1999.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
133
<Page>
<Table>
<Caption>
CLASS Z CLASS N
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED 6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~ UNAUDITED 12/31/02~~
---------------- ---------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.19 $ 10.68 $ 11.66 $ 8.05 $ 8.05
---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.07*** 0.13*** 0.09*** 0.03*** 0.00***+
Net realized and unrealized gain (loss)
on investments 0.89 (2.50) (0.95) 0.88 (0.00)+
---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.96 (2.37) (0.86) 0.91 0.00
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.12) (0.12) - -
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.15 $ 8.19 $ 10.68 $ 8.96 $ 8.05
========== ========== ========== ========== ==========
TOTAL RETURN@ 11.72%** (22.23)% (7.33)%** 11.30%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 18,912 $ 16,821 $ 95 $ 729 $ 101
Net expenses to average daily net assets 0.21%* 0.20% 0.21%* 1.15%* -^
Net investment income to average daily
net assets 1.58%* 1.42% 1.20%* 0.71%* -^
Portfolio turnover rate 0%** 5% 4%** 0%** 5%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 1, 2001 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2001.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
ARE LESS THAN $0.01 PER SHARE.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
134
<Page>
MASSMUTUAL BLUE CHIP GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL BLUE CHIP
GROWTH FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital
- - invest primarily in a diversified portfolio of equity securities of larger,
well-established companies (generally companies whose stock is included in
the S&P 500 Index or the Dow Jones Industrial Average, and companies with
market capitalizations of at least $1 billion if not included in either
index)
- - utilize a growth-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market
position or operating characteristics
- offer above-average levels of profitability or superior growth potential
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
11.21%, nearly in line with the 11.75% return of the S&P 500 Index, a market
capitalization-weighted, unmanaged index of 500 common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Geopolitical uncertainty was the major driver of broad market returns during the
first three months of 2003. Early in the quarter, the markets sold off steeply
as the Bush administration pressed for world support of a war with Iraq.
Following the start of the war in March, the markets rallied sharply as many
investors anticipated a quick end to the conflict. But the last few weeks of the
quarter saw extreme levels of volatility and market fluctuations, with rallies
and declines driven largely by news from Iraq. Economic indicators were mixed
and corporate profits remained lackluster, but the steady flow of news of
corporate scandals that had plagued the market abated somewhat.
Against this backdrop, security selection in industrials was a driver of the
Fund's relative performance. We also benefited from overweighting health care
stocks, as this generally defensive sector was one of only two in the S&P 500 to
post a gain during the first quarter. On the other hand, detracting from results
was security selection in financials.
In the second quarter, after reaching a low point on March 11, the stock market
enjoyed substantial gains. General optimism that the economy and corporate
profits would accelerate in the second half of the year was a significant driver
of returns. Stocks also benefited from aggressive fiscal and monetary stimuli.
New tax-cut legislation appeared to make equities more attractive to investors
and was expected to increase consumers' disposable income. At the same time, the
Federal Reserve Board cut interest rates for the 13th time since its latest
easing cycle began in 2001, which brought rates to their lowest levels in 45
years.
In this environment, the Fund's security selection in financials detracted. Also
hampering results was an overweighting in health care, as some pharmaceutical
and biotechnology stocks failed to keep pace with the overall market.
Conversely, contributing to returns was security selection in energy, as some of
our large integrated oil company holdings posted robust earnings due to strong
oil prices. Additionally, overweighting technology stocks further aided
performance, as investors once again turned their attention to this sector.
WHAT IS YOUR OUTLOOK?
Our strategy remains focused on identifying stocks with improving fundamentals
that offer high quality earnings at reasonable prices. Both short- and long-term
earnings growth will be considered, as well as a stock's valuation level.
Stock-by-stock portfolio construction using our extensive research capabilities
will continue to drive investment decisions.
135
<Page>
MASSMUTUAL BLUE CHIP GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/03)
Microsoft Corp.
Pfizer, Inc.
General Electric Co.
Merck & Co., Inc.
Wal-Mart Stores, Inc.
Citigroup, Inc.
Johnson & Johnson
American International Group, Inc.
Intel Corp.
The Coca-Cola Co.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Blue Chip Growth Fund Class S, Class A,
Class Y, Class L and the S&P 500 Index.
MASSMUTUAL BLUE CHIP GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 6/1/01 - 6/30/03
Class S 11.21% -0.32% -12.65%
Class A 11.16% -0.66% -13.07%
Class Y 11.23% -0.34% -12.71%
Class L 11.09% -0.53% -12.85%
- ---------------------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -10.04%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
S&P 500
CLASS S CLASS A CLASS Y CLASS L INDEX
6/1/2001 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/2001 $ 9,840 $ 9,830 $ 9,840 $ 9,840 $ 9,757
6/30/2002 $ 7,570 $ 7,520 $ 7,560 $ 7,550 $ 8,003
6/30/2003 $ 7,546 $ 7,470 $ 7,534 $ 7,510 $ 8,023
</Table>
Hypothetical Investments in MassMutual Blue Chip Growth Fund Class N, Class N
(CDSC fees deducted) and the S&P 500 Index.
MASSMUTUAL BLUE CHIP GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 10.91% 10.91%
Class N (CDSC fees deducted) 9.91% 9.91%
- ----------------------------------------------------------------------------------------
S&P 500 Index 11.75% 11.83%
</Table>
[CHART]
<Table>
<Caption>
S&P 500
CLASS N CLASS N (CDSC FEES DEDUCTED) INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 9,806 $ 9,706 $ 9,684
6/30/2003 $ 11,091 $ 10,991 $ 11,175
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
136
<Page>
MASSMUTUAL BLUE CHIP GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
EQUITIES -- 97.1%
ADVERTISING -- 0.4%
Omnicom Group, Inc. 17,500 $ 1,254,750
---------------
AEROSPACE & DEFENSE -- 0.8%
Lockheed Martin Corp. 25,900 1,232,063
Northrop Grumman Corp. 18,500 1,596,365
---------------
2,828,428
---------------
AIR TRANSPORTATION -- 0.3%
Southwest Airlines Co. 60,300 1,037,160
---------------
APPAREL, TEXTILES & SHOES -- 0.6%
Liz Claiborne, Inc. 30,800 1,085,700
Nike, Inc. Cl. B 19,700 1,053,753
---------------
2,139,453
---------------
BANKING, SAVINGS & LOANS -- 8.4%
Bank of America Corp. 36,900 2,916,207
Bank of New York Co., Inc. 42,400 1,219,000
Bank One Corp. 59,300 2,204,774
Citigroup, Inc. 190,600 8,157,680
Fannie Mae 66,300 4,471,272
Fifth Third Bancorp 37,600 2,155,984
Freddie Mac 27,700 1,406,329
Golden West Financial Corp. 13,700 1,096,137
J.P. Morgan Chase & Co. 57,800 1,975,604
SLM Corp. 33,000 1,292,610
State Street Corp. 15,000 591,000
Wachovia Corp. 39,900 1,594,404
Wells Fargo & Co. 12,900 650,160
---------------
29,731,161
---------------
BEVERAGES -- 3.1%
Anheuser-Busch
Companies, Inc. 28,100 1,434,505
The Coca-Cola Co. 137,700 6,390,657
PepsiCo, Inc. 67,420 3,000,190
---------------
10,825,352
---------------
BROADCASTING, PUBLISHING & PRINTING -- 4.5%
AOL Time Warner, Inc.* 218,700 3,518,883
Clear Channel
Communications, Inc.* 42,700 1,810,053
Comcast Corp. Cl. A* 55,836 1,685,130
Comcast Corp.
Special Cl. A* 64,300 1,853,769
Cox Communications,
Inc. Cl. A* 19,000 606,100
Fox Entertainment
Group, Inc. Cl. A* 33,200 955,496
InterActiveCorp* 18,300 $ 724,131
New York Times Co. Cl. A 33,600 1,528,800
Univision Communications,
Inc. Cl. A* 31,200 948,480
Viacom, Inc. Cl. B* 57,400 2,506,084
---------------
16,136,926
---------------
BUILDING MATERIALS & CONSTRUCTION -- 0.3%
Masco Corp. 43,000 1,025,550
---------------
CHEMICALS -- 0.8%
Dow Chemical Co. 46,600 1,442,736
Praxair, Inc. 20,900 1,256,090
---------------
2,698,826
---------------
COMMERCIAL SERVICES -- 1.7%
Apollo Group, Inc. Cl. A* 10,000 617,600
Cendant Corp.* 34,200 626,544
Cintas Corp. 13,800 489,072
eBay, Inc.* 12,200 1,270,996
Paychex, Inc. 30,200 885,162
Quest Diagnostics, Inc.* 13,800 880,440
Waste Management, Inc. 44,900 1,081,641
---------------
5,851,455
---------------
COMMUNICATIONS -- 0.5%
EchoStar Communications
Corp. Cl. A* 21,200 733,944
Nortel Networks Corp.* 68,600 185,220
Qualcomm, Inc. 24,700 883,025
---------------
1,802,189
---------------
COMMUNICATIONS EQUIPMENT -- 0.5%
Ericsson (LM) Cl. B
Sponsored ADR* 62,600 665,438
Motorola, Inc. 127,600 1,203,268
---------------
1,868,706
---------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 1.0%
Computer Sciences Corp.* 44,700 1,703,964
Sun Microsystems, Inc.* 109,900 505,540
Synopsys, Inc.* 16,629 1,028,504
Teradyne, Inc.* 17,700 306,387
---------------
3,544,395
---------------
COMPUTERS & INFORMATION -- 3.8%
Apple Computer, Inc.* 53,700 1,026,744
CDW Corp.* 12,800 586,240
Cisco Systems, Inc.* 357,200 5,961,668
Dell Computer Corp.* 146,500 4,682,140
EMC Corp.* 103,340 1,081,970
---------------
13,338,762
---------------
COMPUTERS & OFFICE EQUIPMENT -- 1.9%
Hewlett-Packard Co. 69,800 $ 1,486,740
International Business
Machines Corp. 62,600 5,164,500
---------------
6,651,240
---------------
CONTAINERS -- 0.1%
Smurfit-Stone
Container Corp.* 40,004 521,252
---------------
COSMETICS & PERSONAL CARE -- 4.5%
Avon Products, Inc. 46,900 2,917,180
Colgate-Palmolive Co. 55,000 3,187,250
The Gillette Co. 144,200 4,594,212
The Procter & Gamble Co. 59,200 5,279,456
---------------
15,978,098
---------------
DATA PROCESSING & PREPARATION -- 1.4%
Automatic Data
Processing, Inc. 12,100 409,706
First Data Corp. 109,900 4,554,256
---------------
4,963,962
---------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 8.7%
Altera Corp.* 13,200 216,480
Analog Devices, Inc.* 50,400 1,754,928
Broadcom Corp. Cl. A* 24,600 612,786
Flextronics
International Limited* 61,500 638,985
General Electric Co. 474,900 13,620,132
Intel Corp. 322,500 6,702,840
Intersil Corp. Cl. A* 36,300 965,943
Kla-Tencor Corp.* 27,300 1,269,177
Linear Technology Corp. 25,200 811,692
Marvel Technology
Group Limited 4,200 144,354
Microchip Technology, Inc. 15,100 371,913
Micron Technology, Inc.* 63,400 737,342
Texas Instruments, Inc. 137,400 2,418,240
Xilinx, Inc.* 28,000 708,680
---------------
30,973,492
---------------
ENERGY -- 4.9%
Apache Corp. 13,155 855,864
BJ Services Co.* 34,600 1,292,656
Burlington Resources, Inc. 20,900 1,130,063
ChevronTexaco Corp. 26,000 1,877,200
ConocoPhillips 23,900 1,309,720
Devon Energy Corp. 16,800 897,120
Exxon Mobil Corp. 88,400 3,174,444
Helmerich & Payne, Inc. 7,500 219,000
Nabors Industries Limited* 26,500 1,048,075
Schlumberger Limited 35,500 1,688,735
Total SA 13,000 1,964,585
</Table>
The accompanying notes are an integral part of the financial statements.
137
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
Transocean, Inc.* 32,900 $ 722,813
Valero Energy Corp. 3,900 141,687
Weatherford
International Limited* 22,700 951,130
---------------
17,273,092
---------------
ENTERTAINMENT & LEISURE -- 0.2%
The Walt Disney Co. 27,300 539,175
---------------
FINANCIAL SERVICES -- 3.0%
American Express Co. 76,000 3,177,560
The Goldman Sachs
Group, Inc. 5,400 452,250
MBNA Corp. 114,150 2,378,886
Merrill Lynch & Co., Inc. 50,200 2,343,336
Morgan Stanley 45,000 1,923,750
The Schwab (Charles) Corp. 51,200 516,608
---------------
10,792,390
---------------
FOODS -- 0.6%
Sysco Corp. 52,100 1,565,084
Wrigley (Wm.) Jr. Co. 12,400 697,252
---------------
2,262,336
---------------
HEALTHCARE -- 1.5%
Health Management
Associates, Inc. Cl. A 38,900 717,705
Laboratory Corp. of
America Holdings* 26,400 795,960
UnitedHealth Group, Inc. 77,000 3,869,250
---------------
5,382,915
---------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.4%
Leggett & Platt, Inc. 35,500 727,750
Lennar Corp. 9,000 643,500
---------------
1,371,250
---------------
INDUSTRIAL - DIVERSIFIED -- 1.9%
3M Co. 28,200 3,637,236
Danaher Corp. 9,300 632,865
Illinois Tool Works, Inc. 17,000 1,119,450
Tyco International Limited 70,100 1,330,498
---------------
6,720,049
---------------
INFORMATION RETRIEVAL SERVICES -- 0.5%
ChoicePoint, Inc.* 8,300 286,516
Yahoo!, Inc.* 48,800 1,598,688
---------------
1,885,204
---------------
INSURANCE -- 3.2%
AFLAC, Inc. 24,300 747,225
Allstate Corp. 51,700 1,843,105
Ambac Financial
Group, Inc. 13,700 $ 907,625
American International
Group, Inc. 122,400 6,754,032
MBIA, Inc. 15,100 736,125
Travelers Property
Casualty Corp. Cl. A 7,262 115,466
Travelers Property
Casualty Corp. Cl. B 14,921 235,304
---------------
11,338,882
---------------
INTERNET CONTENT -- 0.2%
BEA Systems, Inc.* 60,200 653,772
---------------
MACHINERY & COMPONENTS --1.1%
Baker Hughes, Inc. 63,600 2,135,052
Ingersoll-Rand Co. Cl. A 14,200 671,944
Parker-Hannifin Corp. 29,800 1,251,302
---------------
4,058,298
---------------
MANUFACTURING -- 0.8%
Applied Materials, Inc.* 55,500 880,230
Avery Dennison Corp. 21,300 1,069,260
Lam Research Corp.* 22,700 413,367
Millipore Corp.* 12,900 572,373
---------------
2,935,230
---------------
MEDICAL SUPPLIES -- 3.7%
Agilent Technologies, Inc.* 51,600 1,008,780
Allergan, Inc. 16,500 1,272,150
Baxter International, Inc. 49,300 1,281,800
Boston Scientific Corp.* 40,700 2,486,770
Medtronic, Inc. 78,800 3,780,036
St. Jude Medical, Inc.* 30,700 1,765,250
Waters Corp.* 27,000 786,510
Zimmer Holdings, Inc.* 16,810 757,291
---------------
13,138,587
---------------
METALS & MINING -- 0.3%
Alcoa, Inc. 34,900 889,950
---------------
PHARMACEUTICALS -- 16.1%
Abbott Laboratories 106,200 4,647,312
Amgen, Inc.* 86,500 5,747,060
AstraZeneca PLC
Sponsored ADR 28,900 1,178,253
Biogen, Inc.* 17,000 646,000
Bristol-Myers Squibb Co. 38,000 1,031,700
Cardinal Health, Inc. 24,600 1,581,780
Cephalon, Inc.* 3,100 127,596
Eli Lilly & Co. 26,200 1,807,014
Forest Laboratories, Inc.* 20,400 1,116,900
Genentech, Inc.* 10,700 771,684
Johnson & Johnson 157,426 8,138,924
McKesson Corp. 27,300 975,702
Medimmune, Inc.* 13,000 472,810
Merck & Co., Inc. 140,200 8,489,110
Mylan Laboratories, Inc. 17,160 $ 596,653
Pfizer, Inc. 412,680 14,093,022
Schering-Plough Corp. 77,000 1,432,200
Wyeth 96,700 4,404,685
---------------
57,258,405
---------------
PREPACKAGED SOFTWARE -- 6.4%
Adobe Systems, Inc. 27,600 885,132
Electronic Arts, Inc.* 18,235 1,349,208
Microsoft Corp. 656,500 16,812,965
Network Associates, Inc.* 26,900 341,092
Oracle Corp.* 174,500 2,097,490
Peoplesoft, Inc.* 11,500 202,285
Siebel Systems, Inc.* 15,200 145,008
Veritas Software Corp.* 35,600 1,020,652
---------------
22,853,832
---------------
RESTAURANTS -- 0.3%
Brinker International, Inc.* 31,700 1,141,834
---------------
RETAIL -- 5.7%
Best Buy Co., Inc.* 21,500 944,280
CVS Corp. 30,700 860,521
Family Dollar Stores, Inc. 23,500 896,525
The Home Depot, Inc. 137,300 4,547,376
Kohl's Corp.* 20,700 1,063,566
Lowe's Companies, Inc. 29,360 1,261,012
Office Depot, Inc.* 32,600 473,026
Rite Aid Corp.* 46,000 204,700
Target Corp. 19,600 741,664
Walgreen Co. 37,500 1,128,750
Wal-Mart Stores, Inc. 153,100 8,216,877
---------------
20,338,297
---------------
RETAIL - GROCERY -- 0.1%
Whole Foods Market, Inc.* 5,400 256,662
---------------
RETAIL - INTERNET -- 0.2%
Amazon.com, Inc.* 19,900 726,151
---------------
TELEPHONE UTILITIES -- 1.3%
AT&T Wireless
Services, Inc.* 137,500 1,128,875
Qwest Communications
International, Inc.* 133,000 635,740
Verizon
Communications, Inc. 68,400 2,698,380
---------------
4,462,995
---------------
TOBACCO -- 0.9%
Altria Group, Inc. 72,500 3,294,400
---------------
TRANSPORTATION -- 0.5%
United Parcel Service,
Inc. Cl. B 26,200 1,668,940
---------------
TOTAL EQUITIES
(COST $388,244,905) 344,413,803
===============
</Table>
The accompanying notes are an integral part of the financial statements.
138
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
--------------- ---------------
SHORT-TERM INVESTMENTS -- 9.6%
CASH EQUIVALENTS -- 6.5%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 495,276 $ 495,276
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 388,407 388,407
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 2,476,381 2,476,381
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 2,476,381 2,476,381
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 495,276 495,276
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 1,501,639 1,501,639
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 247,638 247,638
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 1,931,577 1,931,577
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 371,457 371,457
Merrill Lynch Premier
Institutional Money
Market Fund 1,076,171 1,076,171
Merrimac Money
Market Fund 4,048,883 4,048,883
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 1,238,190 1,238,190
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 990,552 990,552
National Bank
of Commerce
1.073% 11/19/2003 619,095 619,095
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 2,228,743 2,228,743
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 1,485,828 1,485,828
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 $ 1,238,190 $ 1,238,190
---------------
23,309,684
---------------
REPURCHASE AGREEMENT -- 3.1%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 10,944,657 10,944,657
---------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 34,254,341
===============
TOTAL INVESTMENTS -- 106.7%
(COST $422,499,246)*** 378,668,144
OTHER ASSETS/
(LIABILITIES) -- (6.7%) (23,916,887)
===============
NET ASSETS -- 100.0% $ 354,751,257
===============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $10,944,885. Collateralized by U.S. Government Agency
obligation with a rate of 5.476%, maturity date of 11/01/2031, and an
aggregate market value, including accrued interest, of $11,491,890.
The accompanying notes are an integral part of the financial statements.
139
<Page>
MASSMUTUAL BLUE CHIP GROWTH FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $388,244,905) (NOTE 2) $ 344,413,803
Short-term investments, at amortized cost (NOTE 2) 34,254,341
---------------
Total Investments (including securities on loan with market
values of $22,415,863) 378,668,144
Cash 871
Receivables from:
Investments sold 14,911
Interest and dividends 384,325
Foreign taxes withheld 5,770
---------------
Total assets 379,074,021
---------------
LIABILITIES:
Payables for:
Investments purchased 669,337
Securities on loan (NOTE 2) 23,309,684
Directors' fees and expenses (NOTE 3) 6,277
Affiliates (NOTE 3):
Investment management fees 210,832
Administration fees 105,842
Service fees 6,410
Accrued expense and other liabilities 14,382
---------------
Total liabilities 24,322,764
---------------
NET ASSETS $ 354,751,257
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 476,606,129
Undistributed net investment income 391,491
Accumulated net realized loss on investments and foreign
currency translations (78,415,396)
Net unrealized depreciation on investments, foreign currency and
other assets and liabilities (43,830,967)
---------------
$ 354,751,257
===============
NET ASSETS:
Class A $ 12,537,279
===============
Class L $ 260,164,959
===============
Class Y $ 2,542,842
===============
Class S $ 79,259,553
===============
Class N $ 246,624
===============
SHARES OUTSTANDING:
Class A 1,679,258
===============
Class L 34,640,223
===============
Class Y 337,887
===============
Class S 10,506,715
===============
Class N 33,235
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 7.47
===============
Class L $ 7.51
===============
Class Y $ 7.53
===============
Class S $ 7.54
===============
Class N $ 7.42
===============
</Table>
The accompanying notes are an integral part of the financial statements.
140
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $9,808) $ 2,039,598
Interest (including securities lending income of $6,529) 38,251
---------------
Total investment income 2,077,849
---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 1,098,533
Custody fees 15,349
Audit and legal fees 10,856
Shareholder reporting fees 5,205
Directors' fees (NOTE 3) 3,213
Trustee reporting 2,609
---------------
1,135,765
Administration fees (NOTE 3):
Class A 16,509
Class L 473,009
Class Y 2,551
Class S 57,288
Class N 330
Service fees (NOTE 3):
Class A 10,103
Class N 180
Distribution fees (NOTE 3):
Class N 180
---------------
Total expenses 1,695,915
Expenses waived (NOTE 3) (3,754)
Fees paid indirectly (NOTE 3) (10,138)
---------------
Net expenses 1,682,023
---------------
NET INVESTMENT INCOME 395,826
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investment transactions (9,941,268)
Foreign currency transactions (168)
---------------
Net realized loss (9,941,436)
---------------
Net change in unrealized appreciation (depreciation) on:
Investments 43,738,349
Translation of assets and liabilities in foreign currencies 24
---------------
Net unrealized gain 43,738,373
---------------
NET REALIZED AND UNREALIZED GAIN 33,796,937
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 34,192,763
===============
</Table>
The accompanying notes are an integral part of the financial statements.
141
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 395,826 $ 56,374
Net realized loss on investment transactions and
foreign currency transactions (9,941,436) (45,806,120)
Net change in unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in foreign currencies 43,738,373 (62,671,440)
------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 34,192,763 (108,421,186)
------------------ ------------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (279)
Class Y - (509)
Class S - (58,731)
------------------ ------------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (59,519)
------------------ ------------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 6,691,165 4,685,503
Class L 17,647,861 (16,648,305)
Class Y 1,520,790 435,894
Class S (908,367) (13,540,313)
Class N 129,143 101,000 *
------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 25,080,592 (24,966,221)
------------------ ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 59,273,355 (133,446,926)
NET ASSETS:
Beginning of period 295,477,902 428,924,828
------------------ ------------------
End of period (including undistributed net investment income of
$391,491 and distributions in excess of net investment income of
$4,335, respectively) $ 354,751,257 $ 295,477,902
================== ==================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
142
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A CLASS L
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED 6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~ (UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------ ---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.72 $ 9.07 $ 10.00 $ 6.76 $ 9.09 $ 10.00
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***+ (0.01)*** (0.02)*** 0.01*** (0.00)***+ (0.01)***
Net realized and unrealized gain (loss)
on investments 0.75 (2.34) (0.91) 0.74 (2.33) (0.90)
--------- --------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.75 (2.35) (0.93) 0.75 (2.33) (0.91)
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00)++ - - - -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 7.47 $ 6.72 $ 9.07 $ 7.51 $ 6.76 $ 9.09
========= ========= ========= ========= ========= =========
TOTAL RETURN@ 11.16%** (25.91)% (9.30)%** 11.09%** (25.63)% (9.10)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 12,537 $ 4,914 $ 1,006 $ 260,165 $ 217,427 $ 314,290
Ratio of expenses to average daily
net assets:
Before expense waiver 1.38%* 1.38% 1.39%* 1.13%* 1.13% 1.14%*
After expense waiver# 1.38%*(a) 1.38% 1.39%* 1.12%*(a) 1.13% 1.14%*
Net investment income (loss) to
average daily net assets (0.04)%* (0.20)% (0.39)%* 0.20%* (0.05)% (0.18)%*
Portfolio turnover rate 11%** 30% 27%** 11%** 30% 27%**
</Table>
<Table>
<Caption>
CLASS Y CLASS S
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED 6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~ (UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------ ---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.77 $ 9.10 $ 10.00 $ 6.78 $ 9.10 $ 10.00
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01*** 0.01*** (0.00)***+ 0.02*** 0.02*** 0.00***+
Net realized and unrealized gain (loss)
on investments 0.75 (2.34) (0.90) 0.74 (2.33) (0.90)
--------- --------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.76 (2.33) (0.90) 0.76 (2.31) (0.90)
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00)++ - - (0.01) -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 7.53 $ 6.77 $ 9.10 $ 7.54 $ 6.78 $ 9.10
========= ========= ========= ========= ========= =========
TOTAL RETURN@ 11.23%** (25.56)% (9.00)%** 11.21%** (25.43)% (9.00)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,543 $ 827 $ 617 $ 79,260 $ 72,210 $ 113,011
Ratio of expenses to average daily
net assets:
Before expense waiver 1.01%* 1.01% 1.02%* 0.88%* 0.88% 0.89%*
After expense waiver# 1.01%*(a) 1.01% 1.01%* 0.87%*(a) 0.88% 0.89%*
Net investment income (loss) to average
daily net assets 0.34%* 0.12% (0.02)%* 0.45%* 0.20% 0.07%*
Portfolio turnover rate 11%** 30% 27%** 11%** 30% 27%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM JUNE 1, 2001 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2001.
+ NET INVESTMENT INCOME (LOSS) IS LESS THAN $0.01 PER SHARE.
++ DISTIBUTIONS FROM NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD OCTOBER 1, 2001
THROUGH DECEMBER 31, 2001, THE YEAR ENDED DECEMBER 31, 2002 AND THE PERIOD
JANUARY 1, 2003 THROUGH APRIL 30, 2003.
@ 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.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BORKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
143
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.69 $ 6.69
------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.01)*** 0.00***+
Net realized and unrealized gain (loss) on investments 0.74 (0.00)+
------------ ------------
Total income from investment operations 0.73 0.00
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 7.42 $ 6.69
============ ============
TOTAL RETURN@ 10.91%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 247 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.69%* -^
After expense waiver# 1.69%*(a) -^
Net investment loss to average daily net assets (0.32)%* -^
Portfolio turnover rate 11%** 30%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
ARE LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD OCTOBER 1, 2001
THROUGH DECEMBER 31, 2001, THE YEAR ENDED DECEMBER 31, 2002 AND THE PERIOD
JANUARY 1, 2003 THROUGH APRIL 30, 2003.
@ 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.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
144
<Page>
MASSMUTUAL LARGE CAP GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL LARGE CAP
GROWTH FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital and future income
- - invest in a relatively small number of intensively researched companies
- - utilize a growth-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market
position or operating characteristics
- offer above-average levels of profitability or superior growth potential
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
9.99%, trailing the 11.75% return of the S&P 500 Index, a market
capitalization-weighted, unmanaged index of 500 common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
After several months of uncertainty in the markets, the prospect and eventual
onset of war in Iraq sent the Dow Industrials to surge during the first quarter.
Volatility ultimately re-emerged, however, as investors fears were redirected
into the unknowns of the cost, timing and potential impact that the conflict
would have on international relations and trade. Meanwhile, U.S. economic data
continued to point toward weakness and opinions differed on whether it was
primarily war related or if the evidence pointed to a longer-term economic
structural problem.
The technology sector served as the beneficiary of those seeking more volatile
positions during the war-related optimism of the first quarter, despite the lack
of any significant change in fundamentals for the group. Our underweight
position in the sector consequently detracted from performance. Despite the fact
that retail sales hit their slowest pace in at least a decade, our Kohl's,
Wal-Mart and Home Depot positions held strong amid the softening sector, all
posting positive returns for the quarter. Health care companies also contributed
to returns, reinforced by largely solid earnings for the sector where
UnitedHealth Group, Johnson & Johnson and Amgen were the top contributors to
overall performance.
As hints of progress for the U.S. economy emerged throughout the second quarter,
investors largely looked beyond the unfavorable unemployment figures and
responded positively, driving all the broader market indexes well into
double-digit returns. Rising sentiment was fueled by President Bush's signing of
a $350 billion package of tax cuts and state aid. The Federal Reserve opted to
take down its key interest rate target another 25 basis points to 1.0% in an
effort to ensure sustainable growth going forward and to help reduce the risk of
deflation.
Mixed reports for a return to spending in technology were not enough to offset
the continued upbeat sentiment within the sector during the second quarter. Our
underweight position in that sector, combined with underperformance from a few
specific names, detracted from the Fund's results. Although the health care
sector was positive on an absolute basis during the period, it lagged on a
relative basis, specifically when measured against sectors represented by the
higher-volatility securities. Our underweight position served the Fund's
relative performance well, yet underperformance from Johnson & Johnson offset
this. In the financials sector, many of our positions, particularly banks and
brokers, positively contributed to returns.
WHAT IS YOUR OUTLOOK?
The overall economic results remain mixed yet we continue to believe the
foundation for continued strength for the U.S. economy has been laid. We expect
real GDP (Gross Domestic Product) growth to accelerate to around 4% in the
second half of the year as the substantial amount of fiscal stimulus will likely
hit the economy in the third and fourth quarters. We feel that the slowly
improving financial picture for U.S. corporations will likely result in a solid
upturn in corporate profits, and, ultimately earnings, particularly in the
growth arena.
145
<Page>
MASSMUTUAL LARGE CAP GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/03)
Pfizer, Inc.
Microsoft Corp.
MBNA Corp.
Kohl's Corp.
American International Group, Inc.
UnitedHealth Group, Inc.
Viacom, Inc. Cl. B
Amgen, Inc.
Citigroup, Inc.
Wal-Mart Stores, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Large Cap Growth Fund Class S, Class A,
Class Y, Class L and the S&P 500 Index
MASSMUTUAL LARGE CAP GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 12/31/01 - 6/30/03
Class S 9.99% -1.66% -15.93%
Class A 9.76% -2.05% -16.37%
Class Y 10.00% -1.66% -16.00%
Class L 9.87% -1.79% -16.15%
- -----------------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -10.06%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
S&P 500
CLASS S CLASS A CLASS Y CLASS L INDEX
12/31/2001 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/2002 $ 7,840 $ 7,810 $ 7,830 $ 7,820 $ 8,685
12/31/2002 $ 7,010 $ 6,970 $ 7,000 $ 6,990 $ 7,791
6/30/2003 $ 7,710 $ 7,650 $ 7,700 $ 7,680 $ 8,706
</Table>
Hypothetical Investments in MassMutual Large Cap Growth Fund Class N, Class N
(CDSC fees deducted) and the S&P 500 Index
MASSMUTUAL LARGE CAP GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 9.65% 9.50%
Class N (CDSC fees deducted) 8.65% 8.50%
- ----------------------------------------------------------------------------------
S&P 500 Index 11.75% 11.83%
</Table>
[CHART]
<Table>
<Caption>
S&P 500
CLASS N CLASS N (CDSC FEES DEDUCTED) INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 9,770 $ 9,670 $ 9,684
6/30/2003 $ 10,950 $ 10,850 $ 11,175
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
146
<Page>
MASSMUTUAL LARGE CAP GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
EQUITIES -- 99.5%
AEROSPACE & DEFENSE -- 0.5%
Boeing Co. 5,300 $ 181,896
---------------
BANKING, SAVINGS & LOANS -- 9.3%
Citigroup, Inc. 29,900 1,279,720
Fannie Mae 11,300 762,072
Fifth Third Bancorp 11,000 630,740
Freddie Mac 7,500 380,775
J.P. Morgan Chase & Co. 2,300 78,614
SLM Corp. 8,900 348,613
---------------
3,480,534
---------------
BEVERAGES -- 1.8%
Anheuser-Busch
Companies, Inc. 13,100 668,755
---------------
BROADCASTING, PUBLISHING & PRINTING -- 11.5%
AOL Time Warner, Inc.* 36,600 588,894
Clear Channel
Communications, Inc.* 9,500 402,705
Comcast Corp.
Special Cl. A* 44,000 1,268,520
Gannett Co., Inc. 7,100 545,351
Viacom, Inc. Cl. B* 33,800 1,475,708
---------------
4,281,178
---------------
COMMUNICATIONS -- 2.9%
Nokia Oyj Sponsored ADR 65,200 1,071,236
---------------
COMPUTERS & INFORMATION -- 3.7%
Cisco Systems, Inc.* 33,400 557,446
Dell Computer Corp.* 25,500 814,980
---------------
1,372,426
---------------
COSMETICS & PERSONAL CARE -- 4.3%
Avon Products, Inc. 2,700 167,940
Colgate-Palmolive Co. 11,000 637,450
The Procter & Gamble Co. 8,800 784,784
---------------
1,590,174
---------------
DATA PROCESSING & PREPARATION -- 1.4%
Automatic Data
Processing, Inc. 13,500 457,110
First Data Corp. 1,800 74,592
---------------
531,702
---------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 7.5%
General Electric Co. 37,800 1,084,104
Intel Corp. 35,400 735,754
Maxim Integrated
Products, Inc. 13,900 475,241
Taiwan Semiconductor
Manufacturing
Co. Limited
Sponsored ADR* 50,200 $ 506,016
---------------
2,801,115
---------------
FINANCIAL SERVICES -- 7.7%
The Goldman Sachs
Group, Inc. 6,000 502,500
MBNA Corp. 78,150 1,628,646
Merrill Lynch & Co., Inc. 11,000 513,480
The Schwab
(Charles) Corp. 23,900 241,151
---------------
2,885,777
---------------
HEALTHCARE -- 4.0%
UnitedHealth Group, Inc. 29,400 1,477,350
---------------
INSURANCE -- 5.0%
American International
Group, Inc. 27,000 1,489,860
Progressive Corp. 5,300 387,430
---------------
1,877,290
---------------
MANUFACTURING -- 1.4%
Applied Materials, Inc.* 33,700 534,482
---------------
MEDICAL SUPPLIES -- 4.3%
Boston Scientific Corp.* 6,500 397,150
Medtronic, Inc. 24,900 1,194,453
---------------
1,591,603
---------------
PHARMACEUTICALS -- 13.8%
Amgen, Inc.* 21,900 1,455,036
Cardinal Health, Inc. 9,300 597,990
Johnson & Johnson 21,700 1,121,890
Pfizer, Inc. 57,200 1,953,380
---------------
5,128,296
---------------
PREPACKAGED SOFTWARE -- 6.0%
Electronic Arts, Inc.* 1,100 81,389
Microsoft Corp. 70,700 1,810,627
Oracle Corp.* 28,800 346,176
---------------
2,238,192
---------------
RETAIL -- 14.4%
Bed Bath & Beyond, Inc.* 13,400 520,054
The Home Depot, Inc. 16,900 559,728
Kohl's Corp.* 30,900 1,587,642
Lowe's Companies, Inc. 8,400 360,780
Walgreen Co. 35,700 1,074,570
Wal-Mart Stores, Inc. 23,800 $ 1,277,346
---------------
5,380,120
---------------
TOTAL EQUITIES
(COST $35,964,893) 37,092,126
===============
<Caption>
PRINCIPAL
AMOUNT
---------------
SHORT-TERM INVESTMENTS -- 7.6%
CASH EQUIVALENTS -- 6.2%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 49,296 49,296
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 38,659 38,659
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 246,481 246,481
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 246,481 246,481
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 49,296 49,296
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 149,463 149,463
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 24,648 24,648
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 192,256 192,256
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 36,972 36,972
Merrill Lynch Premier
Institutional Money
Market Fund 107,114 107,114
Merrimac Money
Market Fund 402,997 402,997
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 123,241 123,241
Morgan Stanley
Dean Witter & Co.
1.455% 01/29/2004 98,593 98,593
</Table>
The accompanying notes are an integral part of the financial statements.
147
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
--------------- ---------------
National Bank
of Commerce
1.073% 11/19/2003 $ 61,620 $ 61,620
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 221,833 221,833
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 147,889 147,889
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 123,241 123,241
---------------
2,320,080
---------------
REPURCHASE AGREEMENT -- 1.4%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 526,552 526,552
---------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 2,846,632
===============
TOTAL INVESTMENTS -- 107.1%
(COST $38,811,525)*** 39,938,758
OTHER ASSETS/
(LIABILITIES) -- (7.1%) (2,654,598)
===============
NET ASSETS -- 100.0% $ 37,284,160
===============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $526,563. Collateralized by U.S. Government Agency
obligation with a rate of 4.232%, maturity date of 12/01/2032 and
aggregate market value, including accrued interest, of $552,879.
The accompanying notes are an integral part of the financial statements.
148
<Page>
MASSMUTUAL LARGE CAP GROWTH FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $35,964,893) (NOTE 2) $ 37,092,126
Short-term investments, at amortized cost (NOTE 2) 2,846,632
---------------
Total Investments (including securities on loan with market
values of $2,179,521) 39,938,758
Cash 90
Receivables from:
Investment adviser (NOTE 3) 1,480
Interest and dividends 30,364
Miscellaneous 145
---------------
Total assets 39,970,837
---------------
LIABILITIES:
Payables for:
Investments purchased 328,718
Securities on loan (NOTE 2) 2,320,080
Directors' fees and expenses (NOTE 3) 388
Affiliates (NOTE 3):
Investment management fees 20,760
Administration fees 6,278
Service fees 585
Accrued expense and other liabilities 9,868
---------------
Total liabilities 2,686,677
---------------
NET ASSETS $ 37,284,160
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 43,302,721
Undistributed net investment income 14,839
Accumulated net realized loss on investments (7,160,633)
Net unrealized appreciation on investments 1,127,233
---------------
$ 37,284,160
===============
NET ASSETS:
Class A $ 963,793
===============
Class L $ 5,585,448
===============
Class Y $ 90,348
===============
Class S $ 30,534,067
===============
Class N $ 110,504
===============
SHARES OUTSTANDING:
Class A 125,933
===============
Class L 727,497
===============
Class Y 11,738
===============
Class S 3,961,243
===============
Class N 14,518
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 7.65
===============
Class L $ 7.68
===============
Class Y $ 7.70
===============
Class S $ 7.71
===============
Class N $ 7.61
===============
</Table>
The accompanying notes are an integral part of the financial statements.
149
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $2,719) $ 155,847
Interest (including securities lending income of $1,465) 4,029
---------------
Total investment income 159,876
---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 110,947
Audit and legal fees 9,554
Trustee reporting 2,609
Custody fees 1,526
Shareholder reporting fees 593
Directors' fees (NOTE 3) 354
---------------
125,583
Administration fees (NOTE 3):
Class A 1,255
Class L 7,956
Class Y 83
Class S 23,403
Class N 207
Service fees (NOTE 3):
Class A 889
Class N 129
Distribution fees (NOTE 3):
Class N 129
---------------
Total expenses 159,634
Expenses waived (NOTE 3) (10,011)
Fees paid indirectly (NOTE 3) (4,759)
---------------
Net expenses 144,864
---------------
NET INVESTMENT INCOME 15,012
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investment transactions (2,445,410)
Net change in unrealized appreciation (depreciation) on investments 5,763,557
---------------
NET REALIZED AND UNREALIZED GAIN 3,318,147
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 3,333,159
===============
</Table>
The accompanying notes are an integral part of the financial statements.
150
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 15,012 $ (18,651)
Net realized loss on investment transactions (2,445,410) (4,715,223)
Net change in unrealized appreciation (depreciation) on investments 5,763,557 (4,636,324)
------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 3,333,159 (9,370,198)
------------------ ------------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 69,174 983,428
Class L 1,265,164 4,118,864
Class Y 4,385 109,323
Class S (303,854) 26,969,815
Class N - 100,900*
------------------ ------------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 1,034,869 32,282,330
------------------ ------------------
TOTAL INCREASE IN NET ASSETS 4,368,028 22,912,132
NET ASSETS:
Beginning of period 32,916,132 10,004,000
------------------ ------------------
End of period (including undistributed net investment income of
$14,839 and accumulated net investment loss of $173,
respectively) $ 37,284,160 $ 32,916,132
================== ==================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
151
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A CLASS L
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED 6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~ (UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------ ---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.97 $ 10.00 $ 10.00 $ 6.99 $ 10.00 $ 10.00
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.04)*** - (0.00)***+ (0.01)*** -
Net realized and unrealized gain (loss)
on investments 0.69 (2.99) - 0.69 (3.00) -
--------- --------- --------- --------- --------- ---------
Total income (loss) from
investment operations 0.68 (3.03) - 0.69 (3.01) -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 7.65 $ 6.97 $ 10.00 $ 7.68 $ 6.99 $ 10.00
========= ========= ========= ========= ========= =========
TOTAL RETURN@ 9.76%** (30.30)% - 9.87%** (30.10)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 964 $ 826 $ 1 $ 5,585 $ 3,883 $ 1
Ratio of expenses to average daily
net assets:
Before expense waiver 1.34%* 1.40% - 1.09%* 1.15% -
After expense waiver# 1.25%*(a) 1.22%(a) - 1.00%*(a) 0.98%(a) -
Net investment loss to average daily
net assets (0.33)%* (0.48)% - (0.07)%* (0.20)% -
Portfolio turnover rate 27%** 56% - 27%** 56% -
</Table>
<Table>
<Caption>
CLASS Y CLASS S
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED 6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~ (UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------ ---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.00 $ 10.00 $ 10.00 $ 7.01 $ 10.00 $ 10.00
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00***+ (0.01)*** - 0.00***+ (0.00)***+ -
Net realized and unrealized gain (loss)
on investments 0.70 (2.99) - 0.70 (2.99) -
--------- --------- --------- --------- --------- ---------
Total income (loss) from
investment operations 0.70 (3.00) - 0.70 (2.99) -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 7.70 $ 7.00 $ 10.00 $ 7.71 $ 7.01 $ 10.00
========= ========= ========= ========= ========= =========
TOTAL RETURN@ 10.00%** (30.00)% - 9.99%** (29.90)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 90 $ 78 $ 1 $ 30,534 $ 28,029 $ 10,001
Ratio of expenses to average daily
net assets:
Before expense waiver 0.94%* 1.00% - 0.90%* 0.96% -
After expense waiver# 0.85%*(a) 0.82%(a) - 0.81%*(a) 0.77%(a) -
Net investment income (loss) to
average daily net assets 0.09%* (0.11)% - 0.13%* (0.05)% -
Portfolio turnover rate 27%** 56% - 27%** 56% -
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ THE FUND COMMENCED OPERATIONS ON DECEMBER 31, 2001.
+ NET INVESTMENT INCOME (LOSS) IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2002
AND THE SIX MONTHS ENDED JUNE 30, 2003.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
152
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
----------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.94 $ 6.95
---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.00)***+
Net realized and unrealized gain (loss) on investments 0.69 (0.01)
---------- ----------
Total income (loss) from investment operations 0.67 (0.01)
---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.61 $ 6.94
========== ==========
TOTAL RETURN@ 9.65%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 111 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.64%* -^
After expense waiver# 1.55%*(a) -^
Net investment loss to average daily net assets (0.62)%* -^
Portfolio turnover rate 27%** 56%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE SIX MONTHS ENDED JUNE 30,
2003.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
153
<Page>
MASSMUTUAL GROWTH EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL GROWTH EQUITY
FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital and future income
- - invest primarily in a diversified portfolio of equity securities, which may
consist of up to 35% foreign securities
- - utilize a growth-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market
position or operating characteristics
- offer above-average levels of profitability or superior growth potential
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
13.19%, outpacing the 11.75% return of the S&P 500 Index, a market
capitalization-weighted, unmanaged index of 500 common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, investors continued to be challenged by the market
environment, as the impending war with Iraq combined with a continuation of
generally downward economic data to create a great deal of uncertainty in the
markets. For the period, large cap stocks performed slightly better than the
broader market and small- and mid cap stocks declined the most.
The largest relative contributor to performance during the quarter was strong
stock selection in the consumer staples area. Our holdings in Avon Products
boosted results as sales initiatives and new product launches helped the company
sustain solid growth. Meanwhile, avoiding tobacco giant Altria (formerly known
as Philip Morris) proved wise, as Altria's shares dropped precipitously when the
company lost momentum in both the courts as well as in the domestic cigarette
market. We also did not own Coca-Cola, which underperformed on slowing volume
growth and the announcement of significant layoffs.
Other contributors during the first quarter included our strong stock selection
in leisure and biotechnology. Comcast, the number-one U.S. cable company, was
another strong performer, as much better than expected subscriber results after
its AT&T Broadband merger helped the company post a narrower fourth quarter loss
and issue a strong 2003 forecast. Online conglomerate USA Interactive posted an
impressive fourth quarter as a result of strong e-commerce operations in travel,
including majority investments in Expedia and Hotels.com and its online dating
service, Match.com, to name a few. Amgen performed well on strong earnings and
cash flow growth from its existing line of drugs and expected sales from several
promising new drugs in the pipeline.
Tyco International and Northrop Grumman, the largest detractors in industrial
goods & services, held back results. Despite shoring up its corporate balance
sheet with a recent refinancing, Tyco suffered from renewed accounting concerns
late in the quarter. Defense giant Northrop Grumman significantly lowered the
range for its projected 2003 earnings to reflect higher interest payments as it
reduces its debt.
In the second quarter, investors' appetite for stocks returned, providing a
substantial boost to the equity markets. The largest contributor to performance
during this period was in the health care sector. Biotechnology concern
Genentech surged after announcing robust trial results for its new cancer drug,
Avastin, an innovative new type of medication designed to combat cancer by
cutting off the blood supply to tumors. Boston Scientific also performed well in
anticipation of strong sales and the potential to gain market share from the
launch of its drug-coated stent product.
Holdings among brokerage firms Merrill Lynch and Goldman Sachs were also a
source of strength during the second quarter. Positive fixed-income trading
results, together with cost-cutting efforts,
154
<Page>
helped both companies sustain their returns on equity, despite ongoing
investment banking weakness. Citigroup benefited from these factors, as well as
growth in retail banking and credit card income.
In leisure, Interactive Corp. (formerly USA Interactive) benefited from a
continued shift toward online travel bookings via its Internet properties,
Hotels.com and recently purchased Expedia.com. Shares of media giant AOL Time
Warner marched upward on an improving balance sheet and strong performance from
its film entertainment division, as the company continues to transition its
subscriber base to broadband from dial-up service.
WHAT IS YOUR OUTLOOK?
While we are encouraged by the market's rebound during the second quarter, we
believe recuperation in general business conditions will remain gradual. First
quarter earnings surprised to the upside, due in part to cost-cutting efforts, a
weaker dollar and conservative expectations. It is likely that this theme will
persist for much of 2003. Better earnings would presumably shore up investors'
confidence in CEOs, while narrower corporate bond spreads may signal the arrival
of long-awaited stimulus from prior Federal Reserve easings. That said, we are
somewhat concerned that looming federal and state budget deficits, together with
a (thus far) jobless economic recovery, could slow near-term growth prospects.
MASSMUTUAL GROWTH EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/03)
Microsoft Corp.
Pfizer, Inc.
The Home Depot, Inc.
Amgen, Inc.
General Electric Co.
Target Corp.
Merrill Lynch & Co., Inc.
Cisco Systems, Inc.
Citigroup, Inc.
AOL Time Warner, Inc.
155
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Growth Equity Fund Class S, Class A,
Class Y, Class L and the S&P 500 Index
MASSMUTUAL GROWTH EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class S 13.19% -0.14% -6.65%
Class A 12.91% -0.58% -7.07%
Class Y 13.24% -0.14% -6.72%
Class L 12.95% -0.43% -6.84%
- -----------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -5.96%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
S&P 500
CLASS S CLASS A CLASS Y CLASS L INDEX
5/3/1999 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/1999 $ 10,650 $ 10,640 $ 10,650 $ 10,650 $ 10,306
6/30/2000 $ 13,508 $ 13,448 $ 13,498 $ 13,488 $ 11,053
6/30/2001 $ 10,166 $ 10,074 $ 10,145 $ 10,124 $ 9,415
6/30/2002 $ 7,519 $ 7,415 $ 7,498 $ 7,477 $ 7,723
6/30/2003 $ 7,508 $ 7,372 $ 7,487 $ 7,445 $ 7,742
</Table>
Hypothetical Investments in MassMutual Growth Equity Fund Class N, Class N (CDSC
fees deducted) and the S&P 500 Index
MASSMUTUAL GROWTH EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 12.65% 12.65%
Class N (CDSC fees deducted) 11.65% 11.65%
- ------------------------------------------------------------------------------
S&P 500 Index 11.75% 11.83%
</Table>
<Table>
<Caption>
S&P 500
CLASS N CLASS N (CDSC FEES DEDUCTED) INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 9,834 $ 9,734 $ 9,684
6/30/2003 $ 11,265 $ 11,165 $ 11,175
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
156
<Page>
MASSMUTUAL GROWTH EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
EQUITIES -- 95.7%
AEROSPACE & DEFENSE -- 1.2%
Northrop Grumman Corp. 30,600 $ 2,640,474
United Technologies Corp. 48,000 3,399,840
---------------
6,040,314
---------------
AIR TRANSPORTATION -- 0.2%
JetBlue Airways Corp.* 22,700 959,983
---------------
AUTOMOTIVE & PARTS -- 0.4%
Bayerische Motoren
Werke AG 58,200 2,238,918
---------------
BANKING, SAVINGS & LOANS -- 5.4%
Bank of New York Co., Inc. 63,300 1,819,875
Capital One Financial Corp. 24,500 1,204,910
Citigroup, Inc. 233,744 10,004,243
Fannie Mae 98,300 6,629,352
Northern Trust Corp. 33,300 1,391,607
SLM Corp. 172,000 6,737,240
---------------
27,787,227
---------------
BEVERAGES -- 1.2%
Anheuser-Busch
Companies, Inc. 5,100 260,355
PepsiCo, Inc. 129,600 5,767,200
---------------
6,027,555
---------------
BROADCASTING, PUBLISHING & PRINTING -- 9.6%
AOL Time Warner, Inc.* 611,000 9,830,990
Clear Channel
Communications, Inc.* 222,330 9,424,569
Comcast Corp. Cl. A* 184,945 5,581,640
InterActiveCorp* 196,600 7,779,462
Liberty Media Corp. Cl. A* 223,700 2,585,972
Tribune Co. 107,700 5,201,910
Viacom, Inc. Cl. B* 209,780 9,158,995
---------------
49,563,538
---------------
COMMERCIAL SERVICES -- 2.4%
Apollo Group, Inc. Cl. A* 25,100 1,550,176
Career Education Corp.* 4,500 307,890
Cendant Corp.* 231,300 4,237,416
eBay, Inc.* 43,800 4,563,084
Manpower, Inc. 30,400 1,127,536
Weight Watchers
International, Inc.* 15,200 691,448
---------------
12,477,550
---------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.2%
Cadence Design
Systems, Inc.* 88,100 1,062,486
---------------
COMPUTERS & INFORMATION -- 3.6%
Cisco Systems, Inc.* 605,500 $ 10,105,795
Dell Computer Corp.* 270,400 8,641,984
---------------
18,747,779
---------------
COMPUTERS & OFFICE EQUIPMENT -- 2.5%
Hewlett-Packard Co. 185,500 3,951,150
International Business
Machines Corp. 108,000 8,910,000
---------------
12,861,150
---------------
COSMETICS & PERSONAL CARE -- 3.0%
Avon Products, Inc. 152,700 9,497,940
The Procter & Gamble Co. 68,600 6,117,748
---------------
15,615,688
---------------
DATA PROCESSING & PREPARATION -- 1.3%
First Data Corp. 162,200 6,721,568
---------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 8.2%
Analog Devices, Inc.* 219,700 7,649,954
General Electric Co. 389,350 11,166,558
Intel Corp. 297,500 6,183,240
Linear Technology Corp. 162,800 5,243,788
Microchip Technology, Inc. 178,700 4,401,381
Novellus Systems, Inc.* 85,800 3,142,082
Taiwan Semiconductor
Manufacturing Co.
Limited Sponsored ADR* 414,400 4,177,152
Xilinx, Inc.* 20,600 521,386
---------------
42,485,541
---------------
ENERGY -- 2.9%
BJ Services Co.* 55,900 2,088,424
EnCana Corp. 100,100 3,840,837
Noble Corp.* 56,700 1,944,810
Schlumberger Limited 152,400 7,249,668
---------------
15,123,739
---------------
ENTERTAINMENT & LEISURE -- 1.2%
The Walt Disney Co. 317,400 6,268,650
---------------
FINANCIAL SERVICES -- 4.5%
American Express Co. 158,700 6,635,247
The Goldman Sachs
Group, Inc. 74,800 6,264,500
Merrill Lynch & Co., Inc. 221,900 10,358,292
---------------
23,258,039
---------------
FOODS -- 0.5%
Starbucks Corp.* 100,300 2,459,356
---------------
HEALTHCARE -- 1.0%
Caremark Rx, Inc.* 96,000 $ 2,465,280
Wellpoint Health
Networks, Inc.* 33,300 2,807,190
---------------
5,272,470
---------------
INDUSTRIAL - DIVERSIFIED -- 3.4%
3M Co. 70,490 9,091,800
Tyco International Limited 428,400 8,131,032
---------------
17,222,832
---------------
INSURANCE -- 2.1%
Aetna, Inc. 60,400 3,636,080
Travelers Property
Casualty Corp. Cl. A 208,900 3,321,510
XL Capital Limited Cl. A 49,000 4,067,000
---------------
11,024,590
---------------
INTERNET CONTENT -- 0.2%
BEA Systems, Inc.* 95,800 1,040,388
---------------
LODGING -- 0.4%
MGM Mirage, Inc.* 60,000 2,050,800
---------------
MANUFACTURING -- 0.2%
Lam Research Corp.* 42,500 773,925
---------------
MEDICAL SUPPLIES -- 3.1%
Becton, Dickinson & Co. 44,300 1,721,055
Boston Scientific Corp.* 37,900 2,315,690
Guidant Corp. 77,800 3,453,542
Medtronic, Inc. 63,400 3,041,298
St. Jude Medical, Inc.* 96,100 5,525,750
---------------
16,057,335
---------------
PHARMACEUTICALS -- 14.9%
Abbott Laboratories 219,300 9,596,568
Amgen, Inc.* 174,800 11,613,712
Biogen, Inc.* 43,100 1,637,800
Forest Laboratories, Inc.* 44,300 2,425,425
Genentech, Inc.* 57,900 4,175,748
Genzyme Corp.* 18,100 756,580
Gilead Sciences, Inc.* 24,600 1,367,268
Johnson & Johnson 109,300 5,650,810
McKesson Corp. 73,600 2,630,464
Medimmune, Inc.* 50,000 1,818,500
Novartis AG 47,600 1,883,562
Omnicare, Inc. 62,900 2,125,391
Pfizer, Inc. 515,337 17,598,759
Schering-Plough Corp. 285,800 5,315,880
Wyeth 180,800 8,235,440
---------------
76,831,907
---------------
</Table>
The accompanying notes are an integral part of the financial statements.
157
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
PREPACKAGED SOFTWARE -- 6.0%
Microsoft Corp. 802,420 $ 20,549,976
Oracle Corp.* 495,950 5,961,319
Veritas Software Corp.* 153,051 4,387,972
---------------
30,899,267
---------------
RESTAURANTS -- 0.6%
McDonald's Corp. 145,900 3,218,554
---------------
RETAIL -- 11.5%
Bed Bath & Beyond, Inc.* 65,600 2,545,936
Best Buy Co., Inc.* 132,900 5,836,968
CVS Corp. 95,100 2,665,653
The Home Depot, Inc. 357,500 11,840,400
Kohl's Corp.* 157,400 8,087,212
Lowe's Companies, Inc. 165,500 7,108,225
Target Corp. 291,000 11,011,440
TJX Companies, Inc. 13,900 261,876
Wal-Mart Stores, Inc. 164,300 8,817,981
Williams-Sonoma, Inc.* 45,100 1,316,920
---------------
59,492,611
---------------
TELEPHONE UTILITIES -- 1.4%
AT&T Wireless
Services, Inc.* 382,600 3,141,146
Sprint Corp. (PCS Group)* 632,700 3,638,025
Vodafone Group PLC
Sponsored ADR 12,886 253,210
---------------
7,032,381
---------------
TOBACCO -- 1.0%
Altria Group, Inc. 108,400 4,925,696
---------------
TRANSPORTATION -- 1.6%
Carnival Corp. 48,600 1,579,986
FedEx Corp. 75,900 4,708,077
United Parcel Service,
Inc. Cl. B 30,400 1,936,480
---------------
8,224,543
---------------
TOTAL EQUITIES
(COST $455,787,169) 493,766,380
===============
RIGHTS -- 0.0%
COMPUTERS & INFORMATION
Seagate Technology*~ 66,000 -
---------------
TOTAL RIGHTS
(COST $0) -
---------------
TOTAL LONG TERM INVESTMENTS
(COST $455,787,169) 493,766,380
===============
<Caption>
PRINCIPAL
AMOUNT
---------------
SHORT-TERM INVESTMENTS -- 11.9%
CASH EQUIVALENTS -- 5.4%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 592,725 $ 592,725
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 464,828 464,828
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 2,963,627 2,963,627
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 2,963,627 2,963,627
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 592,725 592,725
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 1,797,098 1,797,098
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 296,363 296,363
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 2,311,629 2,311,629
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 444,544 444,544
Merrill Lynch Premier
Institutional Money
Market Fund 1,287,915 1,287,915
Merrimac Money
Market Fund 4,845,530 4,845,530
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 1,481,813 1,481,813
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 1,185,451 1,185,451
National Bank
of Commerce
1.073% 11/19/2003 740,907 740,907
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 2,667,264 2,667,264
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 1,778,176 1,778,176
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 $ 1,481,813 $ 1,481,813
---------------
27,896,035
---------------
REPURCHASE AGREEMENT -- 6.5%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 33,493,035 33,493,035
---------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 61,389,070
===============
TOTAL INVESTMENTS -- 107.6%
(COST $517,176,239)*** 555,155,450
OTHER ASSETS/
(LIABILITIES) -- (7.6%) (39,251,918)
===============
NET ASSETS -- 100.0% $ 515,903,532
===============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $33,493,732. Collateralized by U.S. Government Agency
obligations with rates of 5.19%-6.045%, maturity dates of
10/01/2031-10/01/2032, and aggregate market value, including accrued
interest, of $35,167,686.
~ This security is valued in good faith under procedures established by the
board of directors.
The accompanying notes are an integral part of the financial statements.
158
<Page>
MASSMUTUAL GROWTH EQUITY FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $455,787,169) (NOTE 2) $ 493,766,380
Short-term investments, at amortized cost (NOTE 2) 61,389,070
---------------
Total Investments (including securities on loan with market
values of $27,090,986) 555,155,450
Cash 3,863
Foreign currency, at value (cost $11) 11
Receivables from:
Investments sold 10,740,967
Interest and dividends 338,940
Foreign taxes withheld 7,096
Miscellaneous 43,743
---------------
Total assets 566,290,070
---------------
LIABILITIES:
Payables for:
Investments purchased 22,004,663
Securities on loan (NOTE 2) 27,896,035
Directors' fees and expenses (NOTE 3) 8,471
Affiliates (NOTE 3):
Investment management fees 295,516
Administration fees 90,446
Service fees 70,095
Accrued expense and other liabilities 21,312
---------------
Total liabilities 50,386,538
---------------
NET ASSETS $ 515,903,532
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 726,618,658
Undistributed net investment income 121,468
Accumulated net realized loss on investments and foreign currency
translations (248,815,704)
Net unrealized appreciation on investments, foreign currency and other
assets and liabilities 37,979,110
---------------
$ 515,903,532
===============
NET ASSETS:
Class A $ 132,548,959
===============
Class L $ 140,012,080
===============
Class Y $ 82,629,886
===============
Class S $ 160,598,804
===============
Class N $ 113,803
===============
SHARES OUTSTANDING:
Class A 19,443,006
===============
Class L 20,318,686
===============
Class Y 11,931,171
===============
Class S 23,117,128
===============
Class N 16,805
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 6.82
===============
Class L $ 6.89
===============
Class Y $ 6.93
===============
Class S $ 6.95
===============
Class N $ 6.77
===============
</Table>
The accompanying notes are an integral part of the financial statements.
159
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $22,885) $ 1,898,182
Interest (including securities lending income of $15,618) 54,151
---------------
Total investment income 1,952,333
---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 1,464,743
Custody fees 58,666
Audit and legal fees 11,245
Shareholder reporting fees 6,981
Directors' fees (NOTE 3) 4,232
Trustee reporting 2,609
---------------
1,548,476
Administration fees (NOTE 3):
Class A 149,922
Class L 178,848
Class Y 54,336
Class S 59,503
Class N 180
Service fees (NOTE 3):
Class A 125,984
Class N 130
Distribution fees (NOTE 3):
Class N 130
---------------
Total expenses 2,117,509
Fees paid indirectly (NOTE 3) (295,246)
---------------
Net expenses 1,822,263
---------------
NET INVESTMENT INCOME 130,070
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investment transactions 8,766,545
Foreign currency transactions 5,558
---------------
Net realized gain 8,772,103
---------------
Net change in unrealized appreciation (depreciation) on:
Investments 46,040,268
Translation of assets and liabilities in foreign currencies (2,810)
---------------
Net unrealized gain 46,037,458
---------------
NET REALIZED AND UNREALIZED GAIN 54,809,561
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 54,939,631
===============
</Table>
The accompanying notes are an integral part of the financial statements.
160
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
------------------ ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 130,070 $ (465,514)
Net realized gain (loss) on investment transactions and
foreign currency transactions 8,772,103 (100,204,282)
Net change in unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in foreign currencies 46,037,458 (33,559,235)
------------------ ------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 54,939,631 (134,229,031)
------------------ ------------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 40,868,119 31,261,613
Class L 24,439,283 22,273,055
Class Y 2,712,477 11,161,826
Class S 13,059,525 5,066,452
Class N - 101,000*
------------------ ------------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 81,079,404 69,863,946
------------------ ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 136,019,035 (64,365,085)
NET ASSETS:
Beginning of period 379,884,497 444,249,582
------------------ ------------------
End of period (including undistributed net investment income of
$121,468 and accumulated net investment loss of $8,602,
respectively) $ 515,903,532 $ 379,884,497
================== ==================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
161
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.04 $ 8.39 $ 11.24 $ 12.90 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.03)*** (0.03)*** (0.05)*** (0.05)***
Net realized and unrealized gain (loss)
on investments 0.79 (2.32) (2.82) (0.70) 2.98
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.78 (2.35) (2.85) (0.75) 2.93
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - - (0.00)++ -
From net realized gains - - - (0.91) (0.03)
--------- --------- --------- --------- ---------
Total distributions - - - (0.91) (0.03)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 6.82 $ 6.04 $ 8.39 $ 11.24 $ 12.90
========= ========= ========= ========= =========
TOTAL RETURN@ 12.91%** (28.01)% (25.36)% (6.01)% 29.27%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 132,549 $ 79,267 $ 75,186 $ 44,905 $ 2,379
Ratio of expenses to average daily
net assets:
Before expense waiver 1.27%* 1.26% 1.27% 1.29% 1.50%*
After expense waiver# 1.13%*(a) 1.22%(a) 1.24% 1.25% N/A
Net investment loss to average daily
net assets (0.22)%* (0.41)% (0.36)% (0.35)% (0.68)%*
Portfolio turnover rate 132%** 224% 279% 264% 114%**
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.10 $ 8.45 $ 11.29 $ 12.93 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00***+ (0.01)*** (0.01)*** (0.01)*** (0.03)***
Net realized and unrealized gain (loss)
on investments 0.79 (2.34) (2.83) (0.72) 2.99
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.79 (2.35) (2.84) (0.73) 2.96
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - - (0.00)~~ -
From net realized gains - - - (0.91) (0.03)
--------- --------- --------- --------- ---------
Total distributions - - - (0.91) (0.03)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 6.89 $ 6.10 $ 8.45 $ 11.29 $ 12.93
========= ========= ========= ========= =========
TOTAL RETURN@ 12.95%** (27.81)% (25.15)% (5.84)% 29.57%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 140,012 $ 99,882 $ 112,901 $ 69,163 $ 8,912
Ratio of expenses to average daily
net assets:
Before expense waiver 1.02%* 1.01% 1.02% 1.04% 1.25%*
After expense waiver# 0.88%*(a) 0.97%(a) 0.99% 1.00% N/A
Net investment income (loss) to average
daily net assets 0.03%* (0.17)% (0.11)% (0.11)% (0.41)%*
Portfolio turnover rate 132%** 224% 279% 264% 114%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
+ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
++ DISTRIBUTIONS FROM TAX RETURN OF CAPITAL IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000 THROUGH
DECEMBER 31, 2000, THE YEAR ENDED DECEMBER 31, 2001 AND THE PERIOD JANUARY
1, 2002 THROUGH APRIL 30, 2002.
@ 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 PERIODS IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
162
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.12 $ 8.47 $ 11.31 $ 12.93 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01*** (0.00)***+ 0.00***+ 0.00***+ (0.02)***
Net realized and unrealized gain (loss)
on investments 0.80 (2.35) (2.84) (0.71) 2.98
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.81 (2.35) (2.84) (0.71) 2.96
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - - (0.00)^^ -
From net realized gains - - - (0.91) (0.03)
--------- --------- --------- --------- ---------
Total distributions - - - (0.91) (0.03)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 6.93 $ 6.12 $ 8.47 $ 11.31 $ 12.93
========= ========= ========= ========= =========
TOTAL RETURN@ 13.24%** (27.75)% (25.11)% (5.69)% 29.57%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 82,630 $ 70,469 $ 81,552 $ 49,165 $ 34,170
Ratio of expenses to average daily
net assets:
Before expense waiver 0.87%* 0.86% 0.87% 0.89% 1.12%*
After expense waiver# 0.73%*(a) 0.82%(a) 0.84% 0.87% N/A
Net investment income (loss) to average
daily net assets 0.18%* (0.03)% 0.04% 0.01% (0.26)%*
Portfolio turnover rate 132%** 224% 279% 264% 114%**
</Table>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS
ENDED 6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
------------- ------------ ------------ ------------ ------------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 6.14 $ 8.49 $ 11.32 $ 12.93 $ 10.00
------------ ------------ ------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss) 0.01*** 0.00***+ 0.01*** 0.01*** (0.01)***
Net realized and unrealized
gain (loss) on investments 0.80 (2.35) (2.84) (0.71) 2.97
------------ ------------ ------------ ------------ ------------
Total income (loss) from
investment operations 0.81 (2.35) (2.83) (0.70) 2.96
------------ ------------ ------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - - (0.00)^^ -
From net realized gains - - - (0.91) (0.03)
------------ ------------ ------------ ------------ ------------
Total distributions - - - (0.91) (0.03)
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 6.95 $ 6.14 $ 8.49 $ 11.32 $ 12.93
============ ============ ============ ============ ============
TOTAL RETURN@ 13.19%** (27.68)% (25.00)% (5.61)% 29.57%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 160,599 $ 130,165 $ 174,610 $ 165,480 $ 62,968
Ratio of expenses to average
daily net assets:
Before expense waiver 0.81%* 0.80% 0.81% 0.83% 0.97%*
After expense waiver# 0.67%*(a) 0.76%(a) 0.78% 0.80% N/A
Net investment income (loss) to
average daily net assets 0.24%* 0.04% 0.10% 0.07% (0.10)%*
Portfolio turnover rate 132%** 224% 279% 264% 114%**
<Caption>
CLASS N
-------
SIX MONTHS
ENDED 6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
------------- ------------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 6.01 $ 6.01
------------ ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income (loss) (0.02)*** 0.00***+
Net realized and unrealized
gain (loss) on investments 0.78 (0.00)+
------------ ------------
Total income (loss) from
investment operations 0.76 0.00
------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - -
From net realized gains - -
------------ ------------
Total distributions - -
------------ ------------
NET ASSET VALUE, END OF PERIOD $ 6.77 $ 6.01
============ ============
TOTAL RETURN@ 12.65%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 114 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 1.57%* -^
After expense waiver# 1.44%*(a) -^
Net investment income (loss) to
average daily net assets (0.54)%* -^
Portfolio turnover rate 132%** 224%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT INCOME (LOSS) AND NET REALIZED AND UNREALIZED LOSS ON
INVESTMENTS ARE LESS THAN $0.01 PER SHARE.
^^ DISTRIBUTIONS FROM TAX RETURN OF CAPITAL IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000 THROUGH
DECEMBER 31, 2000, THE YEAR ENDED DECEMBER 31, 2001 AND THE PERIOD JANUARY
1, 2002 THROUGH APRIL 30, 2002.
@ 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 PERIODS IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
163
<Page>
MASSMUTUAL AGGRESSIVE GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL AGGRESSIVE
GROWTH FUND?
The objectives and policies of the Fund are to:
- - achieve long-term capital appreciation
- - invest primarily in a diversified portfolio of equity securities of companies
of any size, in the U.S. and abroad, including larger, more well-established
companies and smaller, emerging growth companies
- - utilize a growth-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market position
or operating characteristics
- offer above-average levels of profitability or superior growth potential
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
13.54%, outpacing the 11.75% return of the S&P 500 Index, a market
capitalization-weighted, unmanaged index of 500 common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
War worries cast a shadow over the market during the first quarter, fueling
sharp stock price swings and driving investors to the sidelines. Although
equities received a lift after hostilities with Iraq finally began, they
remained volatile amid fears of a drawn-out conflict. Compounding these
pressures, companies and consumers alike took a cautious stance on spending, as
confidence plunged to nine-year lows, unemployment edged higher and economic
growth stagnated.
During the first quarter, select information technology holdings, including
Yahoo!, contributed to our performance, as the online media giant's restructured
business thrived. Amgen, a biotechnology firm, posted impressive returns as well
after the successful completion of its acquisition of Immunex, maker of
rheumatoid arthritis drug Enbrel. Working against our progress in the first
quarter, however, was defense contractor General Dynamics, whose Aerospace
division struggled in the weak economy. With corporate spending continuing to be
anemic, we decided to liquidate the position. Similarly, Harley-Davidson also
disappointed, as motorcycles hit a road bump when record-breaking snowstorms
blanketed the Northeast.
Buoyed by victory in Iraq and signs that the economy was recovering, stocks
across the board ended the second quarter with impressive gains. Investor
optimism prevailed as falling mortgage interest rates drove home sales to record
highs and consumer confidence rebounded. However, the unemployment rate climbed
to 6.1% and the anticipated post-war jump in consumer spending and retail sales
failed to materialize. Meanwhile, high oil and gas prices further fueled
concerns. Acknowledging the mixed economic picture, the Federal Reserve cut
interest rates to a 45-year low of 1%.
Against this backdrop, our position in Four Seasons Hotels bolstered the Fund's
performance. When the luxury hotel operator's stock was pressured earlier this
year by a stagnant global economy, the war in Iraq and the SARS outbreak, we
invested at attractive prices and were amply rewarded as the company reported
industry-leading room rates and market share gains during the second quarter.
Other winners included AOL Time Warner and Israel-based Teva Pharmaceutical
Industries, one of the world's largest generic drug makers. Conversely, stocks
that hampered performance included Maxim Integrated Products, a chipmaker that
lost ground as investors preferred lower-quality technology firms; and Kohl's,
the discount department store operator. Also weighing on our results was Ball
Corp., an aerospace technologies provider viewed as a defensive play that
suffered as the market rotated into stocks expected to profit in an improving
economy.
WHAT IS YOUR OUTLOOK?
While we see preliminary signs pointing to an economic rebound, we are not
viewing the financial world through rose-colored glasses. Instead, we are
maintaining our balanced view and positioning the Fund accordingly. As always,
we remain on the lookout for pockets of strength coupled with attractive
valuations. We are confident this investing strategy will prove successful over
the long term.
164
<Page>
MASSMUTUAL AGGRESSIVE GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/03)
Maxim Integrated Products, Inc.
AOL Time Warner, Inc.
Avon Products, Inc.
Cisco Systems, Inc.
Medtronic, Inc.
Pfizer, Inc.
Fiserv, Inc.
Amgen, Inc.
Southwest Airlines Co.
Colgate-Palmolive Co.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Aggressive Growth Fund Class S, Class A,
Class Y, Class L and the S&P 500 Index.
MASSMUTUAL AGGRESSIVE GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/1/00 - 6/30/03
Class S 13.54% -2.90% -22.98%
Class A 12.89% -3.60% -23.39%
Class Y 13.32% -3.13% -23.09%
Class L 13.35% -3.13% -23.16%
- --------------------------------------------------------------------------------
S&P 500 Index 11.75% 0.25% -10.53%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
S&P 500
CLASS S CLASS A CLASS Y CLASS L INDEX
5/1/2000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/2000 $ 9,780 $ 9,770 $ 9,770 $ 9,780 $ 10,037
6/30/2001 $ 5,970 $ 5,934 $ 5,969 $ 5,955 $ 8,549
6/30/2002 $ 4,505 $ 4,460 $ 4,494 $ 4,481 $ 7,012
6/30/2003 $ 4,374 $ 4,300 $ 4,354 $ 4,341 $ 7,030
</Table>
Hypothetical Investments in MassMutual Aggressive Growth Fund Class N, Class N
(CDSC fees deducted) and the S&P 500 Index.
MASSMUTUAL AGGRESSIVE GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 13.00% 13.00%
Class N (CDSC fees deducted) 12.00% 12.00%
- -----------------------------------------------------------------------
S&P 500 Index 11.75% 11.83%
</Table>
[CHART]
<Table>
<Caption>
S&P 500
CLASS N CLASS N (CDSC FEES DEDUCTED) INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 10,000 $ 9,900 $ 9,684
6/30/2003 $ 11,300 $ 11,200 $ 11,175
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
165
<Page>
MASSMUTUAL AGGRESSIVE GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------- ------
EQUITIES -- 86.5%
AEROSPACE & DEFENSE -- 2.2%
Lockheed Martin Corp. 44,010 $ 2,093,556
United Technologies Corp. 23,900 1,692,837
------------
3,786,393
------------
AIR TRANSPORTATION -- 2.9%
Ryanair Holdings PLC
Sponsored ADR* 36,860 1,655,014
Southwest Airlines Co. 196,585 3,381,262
------------
5,036,276
------------
AUTOMOTIVE & PARTS -- 1.0%
Harley-Davidson, Inc. 42,935 1,711,389
------------
BANKING, SAVINGS & LOANS -- 7.2%
Bank of New York Co., Inc. 44,805 1,288,144
Citigroup, Inc. 68,770 2,943,356
Fannie Mae 43,990 2,966,686
Fifth Third Bancorp 28,205 1,617,275
Northern Trust Corp. 39,320 1,643,183
SLM Corp. 47,310 1,853,133
------------
12,311,777
------------
BROADCASTING, PUBLISHING & PRINTING -- 6.7%
AOL Time Warner, Inc.* 269,045 4,328,934
Clear Channel
Communications, Inc.* 50,820 2,154,260
Comcast Corp.
Special Cl. A* 94,700 2,730,201
InterActiveCorp* 27,450 1,086,196
New York Times Co. Cl. A 23,665 1,076,757
------------
11,376,348
------------
COMMERCIAL SERVICES -- 5.3%
Block (H&R), Inc. 41,020 1,774,115
Cendant Corp.* 89,560 1,640,739
Iron Mountain, Inc.* 15,405 571,371
Manpower, Inc. 64,425 2,389,523
Moody's Corp. 18,265 962,748
Weight Watchers
International, Inc.* 36,115 1,642,871
------------
8,981,367
------------
COMMUNICATIONS -- 1.8%
Ciena Corp.* 214,170 1,111,542
Nokia Oyj Sponsored ADR 124,860 2,051,450
------------
3,162,992
------------
COMPUTERS & INFORMATION -- 3.0%
Cisco Systems, Inc.* 244,360 4,078,368
Dell Computer Corp.* 34,315 1,096,707
------------
5,175,075
------------
CONTAINERS -- 1.9%
Ball Corp. 36,095 $ 1,642,683
Pactiv Corp.* 81,135 1,599,171
------------
3,241,854
------------
COSMETICS & PERSONAL CARE -- 5.2%
Avon Products, Inc. 69,185 4,303,307
Colgate-Palmolive Co. 58,205 3,372,980
Estee Lauder
Companies, Inc. Cl. A 34,205 1,146,894
------------
8,823,181
------------
DATA PROCESSING & PREPARATION -- 2.1%
Fiserv, Inc.* 100,020 3,561,712
------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 5.1%
Marvell Technology
Group Limited* 25,355 871,451
Maxim Integrated
Products, Inc. 129,290 4,420,425
Qlogic Corp.* 18,785 907,879
Texas Instruments, Inc. 144,200 2,537,920
------------
8,737,675
------------
ENERGY -- 5.1%
Anadarko Petroleum Corp. 28,295 1,258,279
EnCana Corp. 82,485 3,138,528
Exxon Mobil Corp. 48,085 1,726,732
Total SA Sponsored ADR 35,060 2,657,548
------------
8,781,087
------------
FOODS -- 0.9%
Sysco Corp. 53,940 1,620,358
------------
HEALTHCARE -- 1.5%
UnitedHealth Group, Inc. 50,130 2,519,033
------------
INDUSTRIAL - DIVERSIFIED -- 0.8%
3M Co. 10,600 1,367,188
------------
INFORMATION RETRIEVAL SERVICES -- 1.7%
Yahoo!, Inc.* 86,525 2,834,559
------------
INSURANCE -- 2.6%
Marsh & McLennan
Companies, Inc. 40,445 2,065,526
MGIC Investment Corp. 50,355 2,348,557
------------
4,414,083
------------
LODGING -- 4.4%
Fairmont Hotels &
Resorts, Inc. 44,175 1,033,695
Four Seasons Hotels, Inc. 74,030 3,202,538
MGM Mirage, Inc.* 44,520 1,521,694
Starwood Hotels &
Resorts Worldwide, Inc. 60,535 $ 1,730,696
------------
7,488,623
------------
MANUFACTURING -- 1.7%
Applied Materials, Inc.* 183,970 2,917,764
------------
MEDICAL SUPPLIES -- 3.2%
Medtronic, Inc. 82,340 3,949,850
Zimmer Holdings, Inc.* 31,820 1,433,491
------------
5,383,341
------------
PHARMACEUTICALS -- 9.2%
Alcon, Inc. 58,215 2,660,426
Amgen, Inc.* 51,875 3,446,575
Genentech, Inc.* 16,995 1,225,679
Pfizer, Inc. 104,535 3,569,870
Roche Holding AG 32,092 2,517,294
Teva Pharmaceutical
Sponsored ADR 40,800 2,322,744
------------
15,742,588
------------
PREPACKAGED SOFTWARE -- 3.4%
Check Point Software
Technologies Limited* 83,040 1,623,432
Intuit, Inc.* 37,135 1,653,622
Microsoft Corp. 50,555 1,294,714
Veritas Software Corp.* 43,925 1,259,330
------------
5,831,098
------------
RETAIL -- 3.0%
Costco Wholesale Corp.* 57,970 2,121,702
Kohl's Corp.* 41,990 2,157,446
Wal-Mart Stores, Inc. 15,805 848,254
------------
5,127,402
------------
RETAIL - GROCERY -- 0.9%
Whole Foods Market, Inc.* 30,695 1,458,933
------------
TELEPHONE UTILITIES -- 1.1%
Vodafone Group PLC
Sponsored ADR 93,880 1,844,742
------------
TRANSPORTATION -- 2.6%
Robinson (C.H.)
Worldwide, Inc. 43,965 1,563,395
United Parcel Service,
Inc. Cl. B 44,030 2,804,711
------------
4,368,106
------------
TOTAL EQUITIES
(COST $135,691,912) 147,604,944
============
</Table>
The accompanying notes are an integral part of the financial statements.
166
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
BONDS & NOTES -- 1.5%
CORPORATE DEBT
El Paso Corp.
7.000% 05/15/2011 $ 922,000 $ 839,020
Trump Casino
Holdings LLC
and Trump Casino
Funding, Inc.+
11.625% 03/15/2010 1,755,000 1,676,025
-------------
TOTAL BONDS & NOTES
(COST $2,508,516) 2,515,045
============
TOTAL LONG TERM INVESTMENTS
(COST $138,200,428) 150,119,989
============
SHORT-TERM INVESTMENTS -- 20.1%
CASH EQUIVALENTS -- 11.2%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 406,221 406,221
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 318,568 318,568
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 2,031,108 2,031,108
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 2,031,107 2,031,107
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 406,221 406,221
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 1,231,632 1,231,632
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 203,111 203,111
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 1,584,264 1,584,264
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 304,666 304,666
Merrill Lynch
Premier Institutional
Money Market Fund 882,667 882,667
Merrimac Money
Market Fund 3,320,861 3,320,861
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 $ 1,015,554 $ 1,015,554
Morgan Stanley
Dean Witter & Co.
1.455% 01/29/2004 812,443 812,443
National Bank
of Commerce
1.073% 11/19/2003 507,777 507,777
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 1,827,997 1,827,997
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 1,218,664 1,218,664
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 1,015,554 1,015,554
-------------
19,118,415
-------------
REPURCHASE AGREEMENT -- 8.9%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 15,271,561 15,271,561
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 34,389,976
=============
TOTAL INVESTMENTS -- 108.1%
(COST $172,590,404)*** 184,509,965
OTHER ASSETS/
(LIABILITIES) -- (8.1%) (13,796,501)
=============
NET ASSETS -- 100.0% $ 170,713,464
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $15,271,879. Collateralized by U.S. Government Agency
obligation with a rate of 1.81%, maturity date 06/25/2033, and aggregate
market value, including accrued interest, of $16,035,139.
+ 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.
The accompanying notes are an integral part of the financial statements.
167
<Page>
MASSMUTUAL AGGRESSIVE GROWTH FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
--------------
ASSETS:
Investments, at value (cost $138,200,428) (NOTE 2) $ 150,119,989
Short-term investments, at amortized cost (NOTE 2) 34,389,976
--------------
Total Investments (including securities on loan with market
values of $18,381,190) 184,509,965
Cash 5,394,919
Receivables from:
Investments sold 28,046
Interest and dividends 79,260
Foreign taxes withheld 1,267
Miscellaneous 5,106
--------------
Total assets 190,018,563
--------------
LIABILITIES:
Payables for:
Securities on loan (NOTE 2) 19,118,415
Directors' fees and expenses (NOTE 3) 3,436
Affiliates (NOTE 3):
Investment management fees 105,572
Administration fees 35,010
Service fees 30,611
Accrued expense and other liabilities 12,055
--------------
Total liabilities 19,305,099
--------------
NET ASSETS $ 170,713,464
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 280,450,002
Accumulated net investment loss (118,580)
Accumulated net realized loss on investments and foreign
currency translations (121,541,588)
Net unrealized appreciation on investments, foreign currency
and other assets and liabilities 11,923,630
--------------
$ 170,713,464
==============
NET ASSETS:
Class A $ 51,420,801
==============
Class L $ 43,493,478
==============
Class Y $ 13,567,573
==============
Class S $ 62,117,423
==============
Class N $ 114,189
==============
SHARES OUTSTANDING:
Class A 11,979,986
==============
Class L 10,049,045
==============
Class Y 3,123,806
==============
Class S 14,255,514
==============
Class N 26,790
==============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 4.29
==============
Class L $ 4.33
==============
Class Y $ 4.34
==============
Class S $ 4.36
==============
Class N $ 4.26
==============
</Table>
The accompanying notes are an integral part of the financial statements.
168
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $17,315) $ 538,142
Interest (including securities lending income of $9,421) 86,135
--------------
Total investment income 624,277
--------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 518,068
Audit and legal fees 10,146
Custody fees 9,409
Trustee reporting 2,609
Shareholder reporting fees 2,243
Directors' fees (NOTE 3) 1,371
--------------
543,846
Administration fees (NOTE 3):
Class A 74,416
Class L 62,840
Class Y 11,074
Class S 23,946
Class N 205
Service fees (NOTE 3):
Class A 54,018
Class N 130
Distribution fees (NOTE 3):
Class N 130
--------------
Total expenses 770,605
Fees paid indirectly (NOTE 3) (33,267)
--------------
Net expenses 737,338
--------------
NET INVESTMENT LOSS (113,061)
--------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investment transactions (430,081)
Foreign currency transactions (17,214)
--------------
Net realized loss (447,295)
--------------
Net change in unrealized appreciation (depreciation) on:
Investments 19,605,545
Translation of assets and liabilities in foreign currencies 4,145
--------------
Net unrealized gain 19,609,690
--------------
NET REALIZED AND UNREALIZED GAIN 19,162,395
--------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 19,049,334
==============
</Table>
The accompanying notes are an integral part of the financial statements.
169
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (113,061) $ (366,569)
Net realized loss on investment transactions and
foreign currency transactions (447,295) (38,858,503)
Net change in unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in foreign currencies 19,609,690 (8,575,238)
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 19,049,334 (47,800,310)
------------- -------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 8,212,901 14,330,614
Class L 7,606,071 14,031,479
Class Y 1,938,634 1,811,578
Class S 9,419,162 (9,533,050)
Class N - 101,000*
------------- -------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 27,176,768 20,741,621
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 46,226,102 (27,058,689)
NET ASSETS:
Beginning of period 124,487,362 151,546,051
------------- -------------
End of period (including accumulated net investment loss of
$118,580 and $5,519, respectively) $ 170,713,464 $ 124,487,362
============= =============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
170
<Page>
MASSMUTUAL AGGRESSIVE GROWTH FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00+
---------------- ---------- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.80 $ 5.28 $ 7.75 $ 10.00
--------- -------- ---------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.01)*** (0.02)*** (0.02)*** 0.01***
Net realized and unrealized gain (loss) on investments 0.50 (1.46) (2.45) (2.24)
--------- -------- ---------- --------
Total income (loss) from investment operations 0.49 (1.48) (2.47) (2.23)
--------- -------- ---------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - - (0.02)
Tax return of capital - - - (0.00)****
--------- -------- ---------- --------
Total distributions - - - (0.02)
--------- -------- ---------- --------
NET ASSET VALUE, END OF PERIOD $ 4.29 $ 3.80 $ 5.28 $ 7.75
========= ======== ========== ========
TOTAL RETURN@ 12.89%** (28.03)% (31.87)% (22.32)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 51,421 $ 37,203 $ 34,747 $ 32,257
Ratio of expenses to average daily net assets:
Before expense waiver 1.36%* 1.37% 1.36% 1.35%*
After expense waiver# 1.31%*(b) 1.34%(b) 1.35% N/A
Net investment income (loss) to average daily net assets (0.43)% * (0.56)% (0.33)% 0.14%*
Portfolio turnover rate 44%** 112% 112% 48%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00+
---------------- ---------- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.82 $ 5.31 $ 7.77 $ 10.00
--------- -------- ---------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***~ (0.01)*** (0.00)***~ 0.03***
Net realized and unrealized gain (loss) on investments 0.51 (1.48) (2.46) (2.24)
--------- -------- ---------- --------
Total income (loss) from investment operations 0.51 (1.49) (2.46) (2.21)
--------- -------- ---------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - - (0.02)
Tax return of capital - - - (0.00)****
--------- -------- ---------- --------
Total distributions - - - (0.02)
--------- -------- ---------- --------
NET ASSET VALUE, END OF PERIOD $ 4.33 $ 3.82 $ 5.31 $ 7.77
========= ======== ========== ========
TOTAL RETURN@ 13.35%** (28.06)% (31.66)% (22.10)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 43,493 $ 31,012 $ 27,980 $ 21,017
Ratio of expenses to average daily net assets:
Before expense waiver 1.11%* 1.12% 1.11% 1.12%*
After expense waiver# 1.06%*(b) 1.09%(b) 1.10% N/A
Net investment income (loss) to average daily net assets (0.19)%* (0.31)% (0.08)% 0.43%*
Portfolio turnover rate 44%** 112% 112% 48%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
**** DISTRIBUTIONS FROM TAX RETURN OF CAPITAL IS LESS THAN $0.01 PER SHARE.
~ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
+ FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2000.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001
THROUGH DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD
BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND
DISCOUNTS ON DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR
ENDED DECEMBER 31, 2001 WAS AN INCREASE TO NET INVESTMENT LOSS PER SHARE
OF LESS THAN $0.01, A DECREASE TO NET REALIZED AND UNREALIZED GAINS AND
LOSSES PER SHARE OF LESS THAN $0.01 AND AN INCREASE IN THE RATIO OF NET
INVESTMENT LOSS TO AVERAGE NET ASSETS OF 0.02%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
171
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00+
---------------- ---------- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.83 $ 5.31 $ 7.77 $ 10.00
--------- -------- ---------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***~ (0.01)*** (0.00)***~ 0.03***
Net realized and unrealized gain (loss) on investments 0.51 (1.47) (2.46) (2.24)
--------- -------- ---------- --------
Total income (loss) from investment operations 0.51 (1.48) (2.46) (2.21)
--------- -------- ---------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - - (0.02)
Tax return of capital - - - (0.00)***
--------- -------- ---------- --------
Total distributions - - - (0.02)
--------- -------- ---------- --------
NET ASSET VALUE, END OF PERIOD $ 4.34 $ 3.83 $ 5.31 $ 7.77
========= ======== ========== ========
TOTAL RETURN@ 13.32%** (27.87)% (31.66)% (22.06)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 13,568 $ 10,145 $ 12,095 $ 2,295
Ratio of expenses to average daily net assets:
Before expense waiver 0.96%* 0.97% 0.96% 0.95%*
After expense waiver# 0.91%*(b) 0.94%(b) 0.94% N/A
Net investment income (loss) to average daily net assets (0.04)%* (0.16)% (0.02)% 0.52%*
Portfolio turnover rate 44%** 112% 112% 48%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01(a) 12/31/00+
---------------- ---------- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.84 $ 5.32 $ 7.77 $ 10.00
--------- -------- ---------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00***~ (0.01)*** 0.01*** 0.04***
Net realized and unrealized gain (loss)
on investments 0.52 (1.47) (2.46) (2.24)
--------- -------- ---------- --------
Total income (loss) from
investment operations 0.52 (1.48) (2.45) (2.20)
--------- -------- ---------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - - (0.03)
Tax return of capital - - - (0.00)****
--------- -------- ---------- --------
Total distributions - - - (0.03)
--------- -------- ---------- --------
NET ASSET VALUE, END OF PERIOD $ 4.36 $ 3.84 $ 5.32 $ 7.77
========= ======== ========== ========
TOTAL RETURN@ 13.54%** (27.82)% (31.53)% (22.05)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 62,117 $ 46,026 $ 76,724 $ 75,412
Ratio of expenses to average daily net assets:
Before expense waiver 0.86%* 0.87% 0.86% 0.87%*
After expense waiver# 0.81%*(b) 0.84%(b) 0.85% N/A
Net investment income (loss) to average
daily net assets 0.07%* (0.07)% 0.17% 0.70%*
Portfolio turnover rate 44%** 112% 112% 48%**
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.77 $ 3.77
--------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.01)*** 0.00***~
Net realized and unrealized gain (loss)
on investments 0.50 (0.00)~
--------- --------
Total income (loss) from
investment operations 0.49 0.00
--------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - -
Tax return of capital - -
--------- --------
Total distributions - -
--------- --------
NET ASSET VALUE, END OF PERIOD $ 4.26 $ 3.77
========= ========
TOTAL RETURN@ 13.00%**(c) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 114 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.66%* -^
After expense waiver# 1.62%* -^
Net investment income (loss) to average
daily net assets (0.75)%* -^
Portfolio turnover rate 44%** 112%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
**** DISTRIBUTIONS FROM TAX RETURN OF CAPITAL IS LESS THAN $0.01 PER SHARE.
~ NET INVESTMENT INCOME (LOSS) AND NET REALIZED AND UNREALIZED LOSS ON
INVESTMENTS ARE LESS THAN $0.01 PER SHARE.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2000.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001
THROUGH DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD
BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND
DISCOUNTS ON DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR
ENDED DECEMBER 31, 2001 WAS AN INCREASE TO NET INVESTMENT LOSS PER SHARE
OF LESS THAN $0.01, A DECREASE TO NET REALIZED AND UNREALIZED GAINS AND
LOSSES PER SHARE OF LESS THAN $0.01 AND AN INCREASE IN THE RATIO OF NET
INVESTMENT LOSS TO AVERAGE NET ASSETS OF 0.02%. PER SHARE DATA AND
RATIOS/SUPPLEMENTAL DATA FOR PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT
BEEN RESTATED TO REFLECT THIS CHANGE IN PRESENTATION.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
172
<Page>
MASSMUTUAL OTC 100 FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL OTC 100 FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital through performance that closely tracks
that of the NASDAQ 100 Index
- - invest at least 80% of its assets in a portfolio of equity securities
mirroring the sector and stock weightings of the NASDAQ 100 Index
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
21.88%, nearly in line with the 22.08% return of the NASDAQ 100 Index.
The NASDAQ 100 Index represents 100 of the largest non-financial U.S. and
non-U.S. companies listed on the National Tier of the NASDAQ stock market. It is
a modified capitalization-weighted index that is designed to limit domination by
a few large stocks while generally retaining the ranking of companies by
capitalization.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
After starting off the new year on a positive note, equity markets peaked during
the second week of January and then started a sustained decline, as fears
surrounding the impending war with Iraq impacted markets globally. By the
beginning of March a "war relief" rally took place, erasing much of the
quarter's decline, as investors turned optimistic that any war would not last
very long. Economic activity, however, subsequently slowed as geopolitical
concerns reverberated throughout the economy. Virtually every major indicator
proved weaker than expected, as full-year GDP (Gross Domestic Product) growth
estimates continued to be reduced.
Against this backdrop, sector performance during the first quarter was led by
telecommunication services, which advanced 16.00%, and consumer discretionary,
which gained 12.33%. The worst-performing sector during the period was
materials, which was down 11.03%. Information technology continued to dominate
this benchmark, accounting for 58.1% of the market capitalization for the period
ending March 31.
Economic and political conditions continued to improve during the second
quarter, leading investors to favor equities. Additionally, the low interest
rate environment and yields on bond investments drew more attention to equities
in the quest for returns. Add to the mix a boost from both a $350 billion U.S.
tax cut and the declining value of the dollar (which benefits U.S. companies
selling products and services overseas), and the case for owning equities became
stronger. While the road to resolution in Iraq is by no means resolved, the
conclusion of active military operations provided the markets with greater
stability not seen in the last two years.
During the second quarter, sector performance was led by telecommunication
services, which gained 35.03%, and capital goods, which returned 31.41%. As in
the first quarter, information technology continued to dominate this benchmark,
accounting for 56.1% of the market capitalization.
WHAT IS YOUR OUTLOOK?
Economic conditions are expected to continue improving due to newly initiated
fiscal and monetary policy stimuli. A second-half economic rebound, evidenced by
improved economic and earnings forecasts, should translate to sustained equity
performance. Large cap, high-quality stocks, which have lagged so far this year,
should regain favor. While stocks may consolidate recent gains, the
intermediate-term outlook remains constructive.
173
<Page>
MASSMUTUAL OTC 100 FUND
LARGEST STOCK HOLDINGS (6/30/03)
Microsoft Corp.
Intel Corp.
Cisco Systems, Inc.
Amgen, Inc.
Qualcomm, Inc.
Dell Computer Corp.
Comcast Corp. Cl. A
Oracle Corp.
eBay, Inc.
Nextel Communications, Inc. Cl. A
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual OTC 100 Fund Class S, Class A, Class Y,
Class L and the NASDAQ 100 Index
MASSMUTUAL OTC 100 FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/1/00 - 6/30/03
Class S 21.88% 14.71% -30.77%
Class A 21.34% 13.70% -31.12%
Class Y 21.57% 13.97% -30.91%
Class L 21.65% 14.02% -30.98%
- --------------------------------------------------------------------------------
NASDAQ 100 Index 22.08% 14.29% -30.32%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS Y CLASS L NASDAQ 100 INDEX
5/1/2000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-00 $ 9,820 $ 9,820 $ 9,820 $ 9,820 $ 9,976
Jun-01 $ 4,790 $ 4,760 $ 4,780 $ 4,770 $ 4,858
Jun-02 $ 2,720 $ 2,700 $ 2,720 $ 2,710 $ 2,787
Jun-03 $ 3,120 $ 3,070 $ 3,100 $ 3,090 $ 3,185
</Table>
Hypothetical Investments in MassMutual OTC 100 Fund Class N, Class N (CDSC fees
deducted) and the NASDAQ 100 Index
MASSMUTUAL OTC 100 FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 21.03% 20.55%
Class N (CDSC fees deducted) 20.03% 19.55%
- -----------------------------------------------------------------------
NASDAQ 100 Index 22.08% 21.52%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) NASDAQ 100 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-03 $ 10,277 $ 10,177 $ 10,348
Jun-03 $ 12,055 $ 11,955 $ 12,208
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE NASDAQ 100 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
174
<Page>
MASSMUTUAL OTC 100 FUND -- PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------- ------
EQUITIES -- 101.8%
ADVERTISING -- 0.6%
Lamar Advertising Co.* 4,281 $ 150,734
Monster Worldwide, Inc.* 6,250 123,312
------------
274,046
------------
AIR TRANSPORTATION -- 0.3%
Ryanair Holdings PLC
Sponsored ADR* 3,163 142,019
------------
APPAREL, TEXTILES & SHOES -- 0.4%
Ross Stores, Inc. 3,954 168,994
------------
AUTOMOTIVE & PARTS -- 1.0%
Paccar, Inc. 6,785 458,395
------------
BROADCASTING, PUBLISHING & PRINTING -- 5.4%
Comcast Corp. Cl. A* 49,428 1,491,737
InterActiveCorp* 27,197 1,076,185
------------
2,567,922
------------
COMMERCIAL SERVICES -- 6.1%
Apollo Group, Inc. Cl. A* 9,226 569,798
Cintas Corp. 10,649 377,401
eBay, Inc.* 12,330 1,284,539
Fastenal Co. 3,777 128,191
Paychex, Inc. 18,595 545,019
------------
2,904,948
------------
COMMUNICATIONS -- 9.2%
ADC
Telecommunications, Inc.* 52,268 121,680
Ciena Corp.* 26,896 139,590
EchoStar Communications
Corp. Cl. A* 13,091 453,210
Juniper Networks, Inc.* 12,934 159,994
Network Appliance, Inc.* 18,476 299,496
Nextel Communications,
Inc. Cl. A* 66,550 1,203,224
PanAmSat Corp.* 10,530 194,068
Qualcomm, Inc. 49,575 1,772,306
Tellabs, Inc.* 12,238 80,404
------------
4,423,972
------------
COMMUNICATIONS EQUIPMENT -- 0.1%
Ericsson (LM) Cl. B
Sponsored ADR* 6,169 65,576
------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 1.2%
Sun Microsystems, Inc.* 73,154 336,508
Synopsys, Inc.* 3,556 219,939
------------
556,447
------------
COMPUTER PROGRAMMING SERVICES -- 0.7%
Mercury Interactive Corp.* 4,732 $ 182,703
VeriSign, Inc.* 11,722 162,115
------------
344,818
------------
COMPUTERS & INFORMATION -- 9.6%
Apple Computer, Inc.* 26,553 507,693
CDW Corp.* 4,535 207,703
Cisco Systems, Inc.* 130,568 2,179,180
Comverse Technology, Inc.* 10,173 152,900
Dell Computer Corp.* 49,197 1,572,336
------------
4,619,812
------------
CONTAINERS -- 0.3%
Smurfit-Stone
Container Corp.* 12,529 163,253
------------
DATA PROCESSING & PREPARATION -- 0.9%
Fiserv, Inc.* 12,591 448,366
------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 16.8%
Altera Corp.* 28,041 459,872
American Power
Conversion Corp.* 10,289 160,406
Broadcom Corp. Cl. A* 9,924 247,207
Flextronics
International Limited* 29,427 305,747
Gentex Corp.* 4,121 126,144
Intel Corp. 119,136 2,476,123
JDS Uniphase Corp.* 83,525 293,173
Kla-Tencor Corp.* 12,009 558,298
Linear Technology Corp. 21,782 701,598
Maxim Integrated
Products, Inc. 23,689 809,927
Microchip Technology, Inc. 8,822 217,286
Molex, Inc. 5,120 138,189
Novellus Systems, Inc.* 7,957 291,393
Nvidia Corp.* 8,982 206,676
Qlogic Corp.* 4,981 240,732
RF Micro Devices, Inc.* 10,844 65,281
Sanmina-SCI Corp.* 28,348 178,876
Xilinx, Inc.* 23,307 589,900
------------
8,066,828
------------
ENERGY -- 0.3%
Patterson-UTI Energy, Inc.* 4,318 139,903
------------
FOODS -- 1.4%
Starbucks Corp.* 28,274 693,278
------------
HEALTHCARE -- 1.7%
Express Scripts, Inc.* 3,628 247,865
First Health Group Corp.* 5,157 142,333
Human Genome
Sciences, Inc.* 6,682 $ 84,995
Lincare Holdings, Inc.* 5,259 165,711
Patterson Dental Co.* 3,396 154,110
------------
795,014
------------
INFORMATION RETRIEVAL SERVICES -- 1.0%
Yahoo!, Inc.* 15,099 494,643
------------
INTERNET CONTENT -- 0.4%
BEA Systems, Inc.* 19,394 210,619
------------
MANUFACTURING -- 1.5%
Applied Materials, Inc.* 44,630 707,832
------------
MEDICAL SUPPLIES -- 1.4%
Biomet, Inc. 18,089 518,431
Dentsply International, Inc. 3,931 160,778
------------
679,209
------------
MISCELLANEOUS -- 0.6%
Nasdaq-100 Index
Tracking Stock* 10,020 300,099
------------
PHARMACEUTICALS -- 13.5%
Amgen, Inc.* 31,296 2,079,306
Biogen, Inc.* 9,498 360,924
Cephalon, Inc.* 2,646 108,909
Chiron Corp.* 13,576 593,543
Genzyme Corp.* 14,086 588,795
Gilead Sciences, Inc.* 10,258 570,140
Henry Schein, Inc.* 2,140 112,008
ICOS Corp.* 3,151 115,799
Idec Pharmaceuticals Corp.* 8,778 298,452
Invitrogen Corp.* 2,447 93,891
Medimmune, Inc.* 14,046 510,853
Millennium
Pharmaceuticals, Inc.* 16,965 266,859
Sigma-Aldrich Corp. 3,544 192,014
Teva Pharmaceutical
Sponsored ADR 10,076 573,627
------------
6,465,120
------------
PREPACKAGED SOFTWARE -- 21.5%
Adobe Systems, Inc. 11,832 379,452
Brocade Communications
Systems, Inc.* 13,550 79,809
Check Point Software
Technologies Limited* 12,648 247,268
Citrix Systems, Inc.* 10,227 208,222
Compuware Corp.* 12,153 70,123
Electronic Arts, Inc.* 7,643 565,506
Intuit, Inc.* 13,461 599,418
Microsoft Corp. 192,398 4,927,313
</Table>
The accompanying notes are an integral part of the financial statements.
175
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------- ------
Oracle Corp.* 113,831 $ 1,368,249
Peoplesoft, Inc.* 23,293 409,724
Pixar, Inc.* 2,804 170,595
Siebel Systems, Inc.* 29,858 284,845
Symantec Corp.* 8,042 352,722
Veritas Software Corp.* 22,139 634,725
------------
10,297,971
------------
RETAIL -- 3.9%
Bed Bath & Beyond, Inc.* 20,676 802,436
Costco Wholesale Corp.* 12,510 457,866
Dollar Tree Stores, Inc.* 5,727 181,718
Petsmart, Inc.* 7,279 121,341
Staples, Inc.* 17,028 312,464
------------
1,875,825
------------
RETAIL - GROCERY -- 0.3%
Whole Foods Market, Inc.* 3,036 144,301
------------
RETAIL - INTERNET -- 1.0%
Amazon.com, Inc.* 13,543 494,184
------------
TRANSPORTATION -- 0.7%
Expeditors International
of Washington, Inc. 5,340 184,978
Robinson (C.H.)
Worldwide, Inc. 4,342 154,402
------------
339,380
------------
TOTAL EQUITIES
(COST $46,696,135) 48,842,774
============
<Caption>
PRINCIPAL
AMOUNT
---------
SHORT-TERM INVESTMENTS -- 18.2%
CASH EQUIVALENTS -- 17.8%***
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 181,666 181,666
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 142,467 142,467
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 908,331 908,331
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 908,331 908,331
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 181,666 181,666
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 550,798 550,798
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 $ 90,833 $ 90,833
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 708,498 708,498
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 136,250 136,250
Merrill Lynch Premier
Institutional Money
Market Fund 394,737 394,737
Merrimac Money
Market Fund 1,485,120 1,485,120
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 454,165 454,165
Morgan Stanley
Dean Witter & Co.
1.455% 01/29/2004 363,332 363,332
National Bank of
Commerce
1.073% 11/19/2003 227,083 227,083
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 817,497 817,497
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 544,998 544,998
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 454,165 454,165
-------------
8,549,937
-------------
U.S. TREASURY BILLS -- 0.4%
U.S. Treasury Bill**
0.925% 10/16/2003 20,000 19,945
U.S. Treasury Bill**
1.070% 07/24/2003 20,000 19,986
U.S. Treasury Bill**
1.120% 07/24/2003 25,000 24,982
U.S. Treasury Bill**
1.130% 07/24/2003 100,000 99,928
-------------
164,841
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 8,714,778
=============
TOTAL INVESTMENTS -- 120.0%
(COST $55,410,913)**** $ 57,557,552
OTHER ASSETS/
(LIABILITIES) -- (20.0%) (9,584,492)
=============
NET ASSETS -- 100.0% $ 47,973,060
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** This security is held as collateral for open futures contracts. (NOTE 2).
*** Represents investments of security lending collateral. (NOTE 2).
**** Aggregate cost for Federal tax purposes. (NOTE 7).
The accompanying notes are an integral part of the financial statements.
176
<Page>
MASSMUTUAL OTC 100 FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
ASSETS:
Investments, at value (cost $46,696,135) (NOTE 2) $ 48,842,774
Short-term investments, at amortized cost (NOTE 2) 8,714,778
-------------
Total Investments (including securities on loan with
market values of $8,286,343) 57,557,552
Receivables from:
Interest and dividends 2,789
Variation margin on open futures contracts (NOTE 2) 2,000
-------------
Total assets 57,562,341
-------------
LIABILITIES:
Payables for:
Investments purchased 57,549
Securities on loan (NOTE 2) 8,549,937
Directors' fees and expenses (NOTE 3) 1,505
Affiliates (NOTE 3):
Investment management fees 6,003
Administration fees 21,317
Service fees 10,312
Due to custodian 930,107
Accrued expense and other liabilities 12,551
-------------
Total liabilities 9,589,281
-------------
NET ASSETS $ 47,973,060
=============
NET ASSETS CONSIST OF:
Paid-in capital $ 85,729,437
Accumulated net investment loss (108,051)
Accumulated net realized loss on investments and futures contracts (39,786,713)
Net unrealized appreciation on investments and futures contracts 2,138,387
-------------
$ 47,973,060
=============
NET ASSETS:
Class A $ 19,821,734
=============
Class L $ 10,038,908
=============
Class Y $ 2,193,595
=============
Class S $ 15,797,118
=============
Class N $ 121,705
=============
SHARES OUTSTANDING:
Class A 6,465,207
=============
Class L 3,250,948
=============
Class Y 707,135
=============
Class S 5,068,590
=============
Class N 39,923
=============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 3.07
=============
Class L $ 3.09
=============
Class Y $ 3.10
=============
Class S $ 3.12
=============
Class N $ 3.05
=============
</Table>
The accompanying notes are an integral part of the financial statements.
177
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $233) $ 31,004
Interest (including securities lending income of $1,926) 5,679
-------------
Total investment income 36,683
-------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 25,524
Custody fees 15,745
Audit and legal fees 10,033
Trustee reporting 2,609
Shareholder reporting fees 492
Directors' fees (NOTE 3) 302
-------------
54,705
Administration fees (NOTE 3):
Class A 44,781
Class L 24,055
Class Y 3,340
Class S 19,594
Class N 367
Service fees (NOTE 3):
Class A 17,929
Class N 136
Distribution fees (NOTE 3):
Class N 136
-------------
Total expenses 165,043
Expenses waived (NOTE 3) (21,632)
-------------
Net expenses 143,411
-------------
NET INVESTMENT LOSS (106,728)
-------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions (3,889,101)
Closed futures contracts 43,143
-------------
Net realized loss (3,845,958)
-------------
Net change in unrealized appreciation (depreciation) on:
Investments 10,348,034
Open futures contracts 7,769
-------------
Net unrealized gain 10,355,803
-------------
NET REALIZED AND UNREALIZED GAIN 6,509,845
-------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 6,403,117
=============
</Table>
The accompanying notes are an integral part of the financial statements.
178
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (106,728) $ (216,874)
Net realized loss on investment transactions and futures contracts (3,845,958) (26,837,315)
Net change in unrealized appreciation (depreciation) on investments
and futures contracts 10,355,803 9,828,779
------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 6,403,117 (17,225,410)
------------- --------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 5,421,586 5,052,375
Class L 2,147,423 1,794,863
Class Y 916,292 825,591
Class S 6,742,898 (4,855,345)
Class N - 101,000*
------------- --------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 15,228,199 2,918,484
------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 21,631,316 (14,306,926)
NET ASSETS:
Beginning of period 26,341,744 40,648,670
------------- --------------
End of period (including accumulated net investment loss of
$108,051 and $1,323, respectively) $ 47,973,060 $ 26,341,744
============= ==============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMEBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
179
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 2.53 $ 4.08 $ 6.08 $ 10.00
--------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.03)*** (0.04)*** (0.05)***
Net realized and unrealized gain (loss) on investments 0.55 (1.52) (1.96) (3.87)
--------- -------- -------- --------
Total income (loss) from investment operations 0.54 (1.55) (2.00) (3.92)
--------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 3.07 $ 2.53 $ 4.08 $ 6.08
========= ======== ======== ========
TOTAL RETURN@ 21.34%** (37.99)% (33.00)% (39.10)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 19,822 $ 11,644 $ 12,472 $ 4,411
Ratio of expenses to average daily net assets:
Before expense waiver 1.19%* 1.18% 1.11% 1.11%*
After expense waiver# 1.07%* 1.04% 1.07% N/A
Net investment loss to average daily net assets (0.85)%* (0.90)% (0.90)% (0.91)%*
Portfolio turnover rate 33%** 65% 45% 30%**
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 2.54 $ 4.10 $ 6.09 $ 10.00
--------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.02)*** (0.03)*** (0.04)***
Net realized and unrealized gain (loss) on investments 0.56 (1.54) (1.96) (3.87)
--------- -------- -------- --------
Total income (loss) from investment operations 0.55 (1.56) (1.99) (3.91)
--------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 3.09 $ 2.54 $ 4.10 $ 6.09
========= ======== ======== ========
TOTAL RETURN@ 21.65%** (38.05)% (32.68)% (39.10)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 10,039 $ 6,389 $ 8,225 $ 2,360
Ratio of expenses to average daily net assets:
Before expense waiver 0.94%* 0.93% 0.86% 0.86%*
After expense waiver# 0.82%* 0.79% 0.82% N/A
Net investment loss to average daily net assets (0.59)%* (0.65)% (0.65)% (0.65)%*
Portfolio turnover rate 33%** 65% 45% 30%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2000.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2001 THROUGH
DECEMBER 31, 2001, THE YEAR ENDED DECEMBER 31, 2002 AND THE PERIOD
JANUARY 1, 2003 THROUGH APRIL 30, 2003.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD
BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
180
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 2.54 $ 4.11 $ 6.10 $ 10.00
--------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.01)*** (0.02)*** (0.03)***
Net realized and unrealized gain (loss)
on investments 0.57 (1.56) (1.97) (3.87)
--------- -------- -------- --------
Total income (loss) from investment
operations 0.56 (1.57) (1.99) (3.90)
--------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 3.10 $ 2.54 $ 4.11 $ 6.10
========= ======== ======== ========
TOTAL RETURN@ 21.57%** (37.96)% (32.62)% (39.00)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,194 $ 998 $ 350 $ 121
Ratio of expenses to average daily net assets:
Before expense waiver 0.80%* 0.78% 0.71% 0.80%*
After expense waiver# 0.67%* 0.64% 0.67% N/A
Net investment loss to average daily net assets (0.45)%* (0.50)% (0.50)% (0.54)%*
Portfolio turnover rate 33%** 65% 45% 30%**
</Table>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED YEAR YEAR PERIOD
6/30/03 ENDED ENDED ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- -------- -------- ---------
NET ASSET VALUE, BEGINNING OF PERIOD $ 2.56 $ 4.12 $ 6.10 $ 10.00
--------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.01)*** (0.02)*** (0.02)***
Net realized and unrealized gain (loss)
on investments 0.57 (1.55) (1.96) (3.88)
--------- -------- -------- --------
Total income (loss) from investment
operations 0.56 (1.56) (1.98) (3.90)
--------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 3.12 $ 2.56 $ 4.12 $ 6.10
========= ======== ======== ========
TOTAL RETURN@ 21.88%** (37.71)% (32.62)% (39.00)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 15,797 $ 7,211 $ 19,602 $ 20,466
Ratio of expenses to average daily net assets:
Before expense waiver 0.70%* 0.68% 0.62% 0.69%*
After expense waiver# 0.57%* 0.54% 0.58% N/A
Net investment loss to average daily net assets (0.37)%* (0.41)% (0.39)% (0.39)%*
Portfolio turnover rate 33%** 65% 45% 30%**
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 2.52 $ 2.53
--------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.00)***+
Net realized and unrealized gain (loss)
on investments 0.55 (0.01)
--------- ---------
Total income (loss) from investment
operations 0.53 (0.01)
--------- ---------
NET ASSET VALUE, END OF PERIOD $ 3.05 $ 2.52
========= =========
TOTAL RETURN@ 21.03%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 122 $ 100
Ratio of expenses to average daily net assets:
Before expense waiver 1.49%* -^
After expense waiver# 1.36%* -^
Net investment loss to average daily net assets (1.14)%* -^
Portfolio turnover rate 33%** 65%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
+ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
~ FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2000.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE MEANINGLESS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2001 THROUGH
DECEMBER 31, 2001, THE YEAR ENDED DECEMBER 31, 2002 AND THE PERIOD
JANUARY 1, 2003 THROUGH APRIL 30, 2003.
@ 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.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
181
<Page>
MASSMUTUAL FOCUSED VALUE FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL FOCUSED VALUE
FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital
- - invest in a concentrated portfolio of small and mid-sized companies
(companies with market capitalizations, at the time of purchase, of $1
billion to $10 billion)
- - utilize a value-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market position
or operating characteristics
- offer above-average levels of profitability or superior growth potential
- are attractively valued in the marketplace
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
24.05%, well ahead of the 16.92% return of the Russell 2500 Index, a broadly
based, unmanaged index of 2500 medium- and small capitalization common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, the markets declined as the war in Iraq engulfed many
people in fear. During the period, Cendant Corporation, Guidant Corporation and
Cablevision Systems Corporation positively impacted our returns. Cendant's
strong real estate, mortgage and franchise operations generated positive
earnings comparisons and strong cash flow. Guidant Corporation, which develops
and manufactures devices for the treatment of cardiovascular and vascular
disease, continued to benefit from the strong demand for their current devices
and the prospect of their entering the rapidly growing drug-coated stent market.
Cablevision Systems continued to focus on maximizing cash flow and reducing
debt.
On the other hand, Interpublic Group of Companies, Duke Energy Corporation and
J.C. Penney detracted from performance during the first quarter. General
economic weakness, declining advertising spending and concerns over
Interpublic's accounting problems contributed to the company's short-term
uncertainty and price weakness. Duke Energy's stock declined due to concerns
over their merchant energy business. Finally, a weak retail environment hurt
J.C. Penney's stock price during the quarter.
In a stunning turnaround, stocks gained momentum during the second quarter. The
trend began with much of corporate America reporting better-than-expected first
quarter profits. A quick end to the major fighting in Iraq, a Federal Reserve
cut in interest rates, and a $350 billion tax-cut package from the federal
government all contributed further to the momentum.
Anticipation of a recovery in business travel helped boost shares of Cendant, a
winner from the first quarter that owns car rental companies Avis and Budget, as
well as an airline reservations system. Also repeating its first quarter
performance was Interpublic, a leading advertising agency, which continued to
suffer from sluggish advertising sales as well as from problems related to an
acquisition.
WHAT IS YOUR OUTLOOK?
We believe that stock valuations currently appear reasonable, thanks in part to
the substantial efforts many companies have made to restructure, cut costs and
boost productivity. Although very cheap stocks are now harder to find, over
time, the market's inevitable volatility has a tendency to unmask value. Our
goal is to take advantage of those opportunities. Many growth companies that
were once too pricey for disciplined value investors--companies with good
balance sheets and better-than-average prospects--now fit into the strict
parameters we favor. Thus far, this strategy has benefited the portfolio and we
are optimistic that it will continue to work well.
182
<Page>
MASSMUTUAL FOCUSED VALUE FUND
LARGEST STOCK HOLDINGS (6/30/03)
Cablevision Systems Corp. Cl. A
Carnival Corp.
The Gap, Inc.
Guidant Corp.
Cendant Corp.
Best Buy Co., Inc.
Duke Energy Corp.
Interpublic Group of Companies, Inc.
Liberty Media Corp. Cl. A
Yum! Brands, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Focused Value Fund Class S, Class A,
Class Y, Class L and the Russell 2500 Index
MASSMUTUAL FOCUSED VALUE FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/1/00 - 6/30/03
Class S 24.05% 23.38% 15.06%
Class A 23.62% 22.75% 14.47%
Class Y 23.94% 23.28% 14.93%
Class L 23.83% 23.07% 14.74%
- --------------------------------------------------------------------------------
Russell 2500 Index 16.92% 1.41% -0.84%
- --------------------------------------------------------------------------------
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS Y CLASS L RUSSELL 2500 INDEX
5/1/2000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-00 $ 9,450 $ 9,440 $ 9,440 $ 9,440 $ 10,146
Jun-01 $ 12,918 $ 12,838 $ 12,896 $ 12,867 $ 10,393
Jun-02 $ 12,639 $ 12,498 $ 12,604 $ 12,562 $ 9,602
Jun-03 $ 15,594 $ 15,341 $ 15,537 $ 15,459 $ 9,737
</Table>
Hypothetical Investments in MassMutual Focused Value Fund Class N, Class N (CDSC
fees deducted) and the Russell 2500 Index
MASSMUTUAL FOCUSED VALUE FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 23.53% 24.89%
Class N (CDSC fees deducted) 22.53% 23.89%
- -----------------------------------------------------------------------
Russell 2500 Index 16.92% 17.49%
- -----------------------------------------------------------------------
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-03 $ 10,153 $ 10,053 $ 9,591
Jun-03 $ 12,489 $ 12,389 $ 11,692
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2500 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
183
<Page>
MASSMUTUAL FOCUSED VALUE FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------- ------
EQUITIES -- 90.2%
ADVERTISING -- 4.8%
Interpublic Group of
Companies, Inc. 1,600,000 $ 21,408,000
-------------
APPAREL, TEXTILES & SHOES -- 5.1%
The Gap, Inc. 1,200,000 22,512,000
-------------
BANKING, SAVINGS & LOANS -- 9.2%
Sovereign Bancorp, Inc. 1,300,000 20,345,000
Washington Mutual, Inc. 500,000 20,650,000
-------------
40,995,000
-------------
BROADCASTING, PUBLISHING & PRINTING -- 10.5%
Cablevision Systems
Corp. Cl. A* 1,229,800 25,530,648
Liberty Media
Corp. Cl. A* 1,850,000 21,386,000
-------------
46,916,648
-------------
COMMERCIAL SERVICES -- 8.5%
Cendant Corp.* 1,200,000 21,984,000
Waste Management, Inc. 650,000 15,658,500
-------------
37,642,500
-------------
DATA PROCESSING & PREPARATION -- 4.3%
Automatic Data
Processing, Inc. 560,000 18,961,600
-------------
ELECTRIC UTILITIES -- 4.9%
Duke Energy Corp. 1,100,000 21,945,000
-------------
ENTERTAINMENT & LEISURE -- 3.4%
Brunswick Corp. 600,000 15,012,000
-------------
LODGING -- 4.5%
Starwood Hotels & Resorts
Worldwide, Inc. 700,000 20,013,000
-------------
MEDICAL SUPPLIES -- 9.1%
Guidant Corp. 500,000 22,195,000
Waters Corp.* 630,000 18,351,900
-------------
40,546,900
-------------
PREPACKAGED SOFTWARE -- 2.9%
SunGard Data
Systems, Inc.* 500,200 12,960,182
-------------
RESTAURANTS -- 4.7%
Yum! Brands, Inc.* 700,000 20,692,000
-------------
RETAIL -- 13.2%
Best Buy Co., Inc.* 500,000 $ 21,960,000
Costco Wholesale Corp.* 500,000 18,300,000
Tiffany & Co. 560,000 18,300,800
-------------
58,560,800
-------------
TRANSPORTATION -- 5.1%
Carnival Corp. 700,000 22,757,000
-------------
TOTAL EQUITIES
(COST $321,737,881) 400,922,630
=============
<Caption>
PRINCIPAL
AMOUNT
---------
SHORT-TERM INVESTMENTS 28.5%
CASH EQUIVALENTS -- 18.9%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 1,781,292 1,781,292
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 1,396,929 1,396,929
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 8,906,458 8,906,458
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 8,906,458 8,906,458
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 1,781,292 1,781,292
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 5,400,740 5,400,740
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 890,646 890,646
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 6,947,037 6,947,037
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 1,335,969 1,335,969
Merrill Lynch Premier
Institutional Money
Market Fund 3,870,516 3,870,516
Merrimac Money
Market Fund 14,562,059 14,562,059
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 $ 4,453,229 $ 4,453,229
Morgan Stanley
Dean Witter & Co.
1.455% 01/29/2004 3,562,583 3,562,583
National Bank
of Commerce
1.073% 11/19/2003 2,226,615 2,226,615
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 8,015,812 8,015,812
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 5,343,875 5,343,875
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 4,453,229 4,453,229
-------------
83,834,739
-------------
REPURCHASE AGREEMENT -- 9.6%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 42,910,330 42,910,330
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 126,745,069
=============
TOTAL INVESTMENTS -- 118.7%
(COST $448,482,950)*** 527,667,699
OTHER ASSETS/
(LIABILITIES) -- (18.7%) (83,173,492)
=============
NET ASSETS -- 100.0% $ 444,494,207
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $42,911,224. Collateralized by U.S. Government Agency
obligations with rates of 4.009%-5.850%, maturity dates of
07/01/2031-02/01/2033, and aggregate market value, including accrued
interest, of $45,055,847.
The accompanying notes are an integral part of the financial statements.
184
<Page>
MASSMUTUAL FOCUSED VALUE FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
-------------
ASSETS:
Investments, at value (cost $321,737,881) (NOTE 2) $ 400,922,630
Short-term investments, at amortized cost (NOTE 2) 126,745,069
-------------
Total Investments (including securities on loan with
market values of $80,088,017) 527,667,699
Cash 846,475
Receivables from:
Interest and dividends 200,291
Miscellaneous 7,350
-------------
Total assets 528,721,815
-------------
LIABILITIES:
Payables for:
Investments purchased 5,060
Securities on loan (NOTE 2) 83,834,739
Directors' fees and expenses (NOTE 3) 4,459
Affiliates (NOTE 3):
Investment management fees 250,127
Administration fees 72,137
Service fees 48,809
Accrued expense and other liabilities 12,277
-------------
Total liabilities 84,227,608
-------------
NET ASSETS $ 444,494,207
=============
NET ASSETS CONSIST OF:
Paid-in capital $ 367,178,842
Accumulated net investment loss (167,927)
Accumulated net realized loss on investments (1,701,457)
Net unrealized appreciation on investments 79,184,749
-------------
$ 444,494,207
=============
NET ASSETS:
Class A $ 97,812,798
=============
Class L $ 77,664,471
=============
Class Y $ 67,212,513
=============
Class S $ 201,677,308
=============
Class N $ 127,117
=============
SHARES OUTSTANDING:
Class A 6,624,782
=============
Class L 5,225,248
=============
Class Y 4,508,078
=============
Class S 13,482,345
=============
Class N 8,649
=============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 14.76
=============
Class L $ 14.86
=============
Class Y $ 14.91
=============
Class S $ 14.96
=============
Class N $ 14.70
=============
</Table>
The accompanying notes are an integral part of the financial statements.
185
<Page>
MASSMUTUAL FOCUSED VALUE FUND - FINANCIAL STATEMENTS
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends $ 1,223,435
Interest (including securities lending income of $23,085) 86,245
-------------
Total investment income 1,309,680
-------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 1,074,118
Custody fees 13,257
Audit and legal fees 10,688
Shareholder reporting fees 4,770
Directors' fees (NOTE 3) 2,803
Trustee reporting 2,609
-------------
1,108,245
Administration fees (NOTE 3):
Class A 111,616
Class L 92,239
Class Y 48,617
Class S 57,636
Class N 209
Service fees (NOTE 3):
Class A 83,445
Class N 136
Distribution fees (NOTE 3):
Class N 136
-------------
Total expenses 1,502,279
Fees paid indirectly (NOTE 3) (9,450)
-------------
Net expenses 1,492,829
-------------
NET INVESTMENT LOSS (183,149)
-------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investment transactions 4,880,703
Net change in unrealized appreciation (depreciation) on investments 66,648,353
-------------
NET REALIZED AND UNREALIZED GAIN 71,529,056
-------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 71,345,907
=============
</Table>
The accompanying notes are an integral part of the financial statements.
186
<Page>
MASSMUTUAL FOCUSED VALUE FUND - FINANCIAL STATEMENTS
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ (183,149) $ 16,717
Net realized gain (loss) on investment transactions 4,880,703 (6,474,441)
Net change in unrealized appreciation (depreciation) on investments 66,648,353 (12,823,985)
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 71,345,907 (19,281,709)
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - -
Class Y - -
Class S - -
------------- -------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
------------- -------------
From net realized gains:
Class A - (358,865)
Class L - (317,777)
Class Y - (125,874)
Class S - (865,563)
------------- -------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - (1,668,079)
------------- -------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 28,294,414 34,832,599
Class L 24,576,705 18,874,122
Class Y 10,124,046 34,261,380
Class S 56,309,427 16,337,878
Class N 941 101,000*
------------- -------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 119,305,533 104,406,979
------------- -------------
TOTAL INCREASE IN NET ASSETS 190,651,440 83,457,191
NET ASSETS:
Beginning of period 253,842,767 170,385,576
------------- -------------
End of period (including accumulated net investment loss of $167,927 and
undistributed net investment income of $15,222, respectively) $ 444,494,207 $ 253,842,767
============= =============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
187
<Page>
MASSMUTUAL FOCUSED VALUE FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.94 $ 13.41 $ 10.51 $ 10.00
--------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.03)*** (0.04)*** (0.04)*** 0.02***
Net realized and unrealized gain (loss) on investments 2.85 (1.33) 3.30 0.52
--------- -------- -------- --------
Total income (loss) from investment operations 2.82 (1.37) 3.26 0.54
--------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.00)**** (0.03)
From net realized gains - (0.10) (0.36) -
--------- -------- -------- --------
Total distributions - (0.10) (0.36) (0.03)
--------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 14.76 $ 11.94 $ 13.41 $ 10.51
========= ======== ======== ========
TOTAL RETURN@ 23.62%** (10.18)% 31.08% 5.41%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 97,813 $ 54,319 $ 24,562 $ 753
Ratio of expenses to average daily net assets:
Before expense waiver 1.30%* 1.30% 1.29% 1.31%*
After expense waiver# 1.29%*(a) 1.30%(a) 1.29% N/A
Net investment income (loss) to average daily net assets (0.45)%* (0.33)% (0.30)% 0.33%*
Portfolio turnover rate 16%** 78% 53% 22%**
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.00 $ 13.45 $ 10.51 $ 10.00
--------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.01)*** (0.01)*** 0.00***+ 0.04***
Net realized and unrealized gain (loss) on investments 2.87 (1.34) 3.31 0.51
--------- -------- -------- --------
Total income (loss) from investment operations 2.86 (1.35) 3.31 0.55
--------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.01) (0.04)
From net realized gains - (0.10) (0.36) -
--------- -------- -------- --------
Total distributions - (0.10) (0.37) (0.04)
--------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 14.86 $ 12.00 $ 13.45 $ 10.51
========= ======== ======== ========
TOTAL RETURN@ 23.83%** (10.00)% 31.50% 5.48%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 77,664 $ 39,942 $ 25,594 $ 5,432
Ratio of expenses to average daily net assets:
Before expense waiver 1.05%* 1.05% 1.04% 1.05%*
After expense waiver# 1.04%*(a) 1.05%(a) 1.04% N/A
Net investment income (loss) to average daily net assets (0.20)%* (0.11)% 0.00%++ 0.59%*
Portfolio turnover rate 16%** 78% 53% 22%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
**** DISTRIBUTIONS FROM NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
++ THE RATIO OF NET INVESTMENT INCOME TO AVERAGE DAILY NET ASSETS IS LESS
THAN 0.01%.
~ FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2000.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001
THROUGH DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ 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.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSE OF THE FUND.
The accompanying notes are an integral part of the financial statements.
188
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.03 $ 13.46 $ 10.52 $ 10.00
-------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***~ 0.03*** 0.02*** 0.05***
Net realized and unrealized gain (loss)
on investments 2.88 (1.36) 3.30 0.52
-------- -------- -------- --------
Total income (loss) from investment
operations 2.88 (1.33) 3.32 0.57
-------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.02) (0.05)
From net realized gains - (0.10) (0.36) -
-------- -------- -------- --------
Total distributions - (0.10) (0.38) (0.05)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 14.91 $ 12.03 $ 13.46 $ 10.52
======== ======== ======== ========
TOTAL RETURN@ 23.94%** (9.85)% 31.60% 5.66%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 67,213 $ 45,302 $ 10,137 $ 502
Ratio of expenses to average daily net assets:
Before expense waiver 0.90%* 0.90% 0.89% 0.91%*
After expense waiver# 0.89%*(a) 0.90%(a) 0.89% N/A
Net investment income (loss) to average daily
net assets (0.04)%* 0.24% 0.14% 0.75%*
Portfolio turnover rate 16%** 78% 53% 22%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.06 $ 13.48 $ 10.53
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00***~ 0.02*** 0.03***
Net realized and unrealized gain (loss)
on investments 2.90 (1.34) 3.31
---------- ---------- ----------
Total income (loss) from investment
operations 2.90 (1.32) 3.34
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.03)
From net realized gains - (0.10) (0.36)
---------- ---------- ----------
Total distributions - (0.10) (0.39)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 14.96 $ 12.06 $ 13.48
========== ========== ==========
TOTAL RETURN@ 24.05%** (9.76)% 31.70%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 201,677 $ 114,178 $ 110,092
Ratio of expenses to average daily net assets:
Before expense waiver 0.80%* 0.80% 0.79%
After expense waiver# 0.79%*(a) 0.80%(a) 0.79%
Net investment income (loss) to average daily
net assets 0.05%* 0.13% 0.28%
Portfolio turnover rate 16%** 78% 53%
<Caption>
CLASS S CLASS N
------- -------
SIX MONTHS ENDED
PERIOD ENDED 6/30/03 PERIOD ENDED
12/31/00~ (UNAUDITED) 12/31/02~~
------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 11.90 $ 11.77
------------ ---------------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.06*** (0.05)*** (0.00)***~
Net realized and unrealized gain (loss)
on investments 0.52 2.85 0.13
------------ ---------------- ------------
Total income (loss) from investment
operations 0.58 2.80 0.13
------------ ---------------- ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.05) - -
From net realized gains - - -
------------ ---------------- ------------
Total distributions (0.05) - -
------------ ---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.53 $ 14.70 $ 11.90
============ ================ ============
TOTAL RETURN@ 5.77%** 23.53%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 53,628 $ 127 $ 102
Ratio of expenses to average daily net assets:
Before expense waiver 0.83%* 1.59%* -^
After expense waiver# N/A 1.59%*(a) -^
Net investment income (loss) to average daily
net assets 0.95%* (0.74)%* -^
Portfolio turnover rate 22%** 16%** 78%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS)
THROUGH DECEMBER 31, 2000.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
~ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001
THROUGH DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ 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.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSE OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERREDSALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
189
<Page>
MASSMUTUAL SMALL COMPANY VALUE FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL SMALL COMPANY
VALUE FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital
- - invest primarily in a diversified portfolio of equity securities of small
capitalization companies (companies with market capitalizations at the time
of purchase that fall within or below the range of companies in the Russell
2000 Index)
- - utilize a value-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market position
or operating characteristics
- offer above-average levels of profitability or superior growth potential
- are attractively valued in the marketplace
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
12.69%, trailing the 17.88% return of the Russell 2000 Index, a broadly based,
unmanaged index of 2000 small capitalization common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter of 2003, financial markets were impacted by skittish
investor sentiment as war-related uncertainty reigned. Selling pressure was
indiscriminate, as all major large- and small cap equity indexes posted losses
for the quarter. Large cap stocks generally outperformed small, and growth
outperformed value.
The portfolio was negatively impacted by several security-specific events during
the quarter. While these declines were disappointing in the short term, we
either maintained or increased our positions in each of the affected stocks, due
to their low valuations and gradually improving fundamentals. Positive
contributors to our results included select technology stocks; in addition,
superior holdings in industries such as materials, information technology and
consumer discretionary products were also drivers of our first quarter
performance. Unfavorable market sentiment created attractive entry points for us
in several new holdings, including consumer discretionary names Barnes and Noble
Inc. and Oakley Inc. At quarter end, the portfolio remained overweight in
information technology and slightly underweight in financials.
U.S. stocks surged in the second quarter of 2003, posting their strongest
quarterly gain since the last three months of 1998. The market's vigorous
gains--paced by the riskiest securities--stemmed from a relatively quick end to
the war in Iraq; falling inflation and interest rates; and reductions in income,
stock dividend and capital gains taxes. Small cap stocks outperformed their
larger counterparts in the second quarter and growth stocks surpassed value
among smaller companies.
Portfolio positioning aided performance during the second quarter, as we were
poised to benefit from improving economic conditions and turnarounds in some
previously downtrodden groups. Stock selection in the utilities, financials and
information technology sectors led performance. These gains were partially
offset by relatively weak selection in the health care and energy sectors.
Recent consumer discretionary purchases--including Oakley, Barnes and Noble, and
American Eagle Outfitters--contributed to our progress, however.
Portfolio sector weights also had a positive impact on the portfolio during the
period. Performance was enhanced by emphasizing the information technology and
consumer discretionary sectors. An underweight position in the lagging
financials sector also benefited results.
WHAT IS YOUR OUTLOOK?
Our outlook for the equity markets remains moderately bullish. The market may
well continue a generally rising trend for the remainder of the year, but we
expect further gains to be muted, to occur in a choppy manner, and to be largely
influenced by economic results. As we navigate the current environment, we will
harvest the gains of our more successful positions and redeploy this capital
into inexpensive stocks with improving fundamentals.
190
<Page>
MASSMUTUAL SMALL COMPANY VALUE FUND
LARGEST STOCK HOLDINGS (6/30/03)
Ruby Tuesday, Inc.
Texas Regional Bancshares, Inc.
Landstar System, Inc.
Community First Bankshares, Inc.
RARE Hospitality International, Inc.
Wausau-Mosinee Paper Corp.
Triad Guaranty, Inc.
Ciber, Inc.
Brown & Brown, Inc.
CMS Energy Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Small Company Value Fund Class S, Class
A, Class Y, Class L and the Russell 2000 Index
MASSMUTUAL SMALL COMPANY VALUE FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 12/31/00 - 6/30/03
Class S 12.69% -5.46% -1.25%
Class A 12.49% -5.83% -1.64%
Class Y 12.59% -5.55% -1.32%
Class L 12.60% -5.64% -1.44%
- --------------------------------------------------------------------------------
Russell 2000 Index 17.88% -1.64% -1.59%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS Y CLASS L RUSSELL 2000 INDEX
12/31/2001 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-2002 $ 10,380 $ 10,360 $ 10,380 $ 10,370 $ 9,530
Dec-2002 $ 8,708 $ 8,673 $ 8,708 $ 8,690 $ 7,952
Jun-2003 $ 9,813 $ 9,756 $ 9,804 $ 9,785 $ 9,373
</Table>
Hypothetical Investments in MassMutual Small Company Value Fund Class N, Class N
(CDSC fees deducted) and the Russell 2000 Index
MASSMUTUAL SMALL COMPANY VALUE FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 12.17% 12.69%
Class N (CDSC fees deducted) 11.17% 11.69%
- -----------------------------------------------------------------------
Russell 2000 Index 17.88% 18.17%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2000 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-2003 $ 9,395 $ 9,295 $ 9,551
Jun-2003 $ 11,269 $ 11,169 $ 11,788
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
191
<Page>
MASSMUTUAL SMALL COMPANY VALUE FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------- ------
EQUITIES -- 95.8%
AIR TRANSPORTATION -- 0.2%
Alaska Air Group, Inc.* 9,200 $ 197,340
Midwest Express
Holdings, Inc.* ` 12,200 31,964
---------------
229,304
---------------
APPAREL, TEXTILES & SHOES -- 3.7%
American Eagle
Outfitters, Inc.* 28,500 522,690
Ashworth, Inc.* 78,300 555,147
Burlington Coat Factory
Warehouse Corp. 7,300 130,670
Charlotte Russe
Holding, Inc.* 24,500 252,840
Culp, Inc.* 23,000 158,700
Russell Corp. 13,600 258,400
Tommy Hilfiger Corp.* 67,100 620,004
Unifi, Inc.* 89,900 557,380
Vans, Inc.* 53,200 477,736
Wet Seal, Inc. Cl. A* 53,300 569,244
---------------
4,102,811
---------------
AUTOMOTIVE & PARTS -- 1.3%
Cooper Tire & Rubber Co. 26,200 460,858
Myers Industries, Inc. 28,800 273,600
TBC Corp.* 36,000 685,800
---------------
1,420,258
---------------
BANKING, SAVINGS & LOANS -- 8.0%
Astoria Financial Corp. 22,500 628,425
BancorpSouth, Inc. 12,200 254,370
Bay View Capital Corp.* 107,800 623,084
The Colonial
BancGroup, Inc. 30,100 417,487
Community First
Bankshares, Inc. 44,900 1,225,770
First Republic Bank* 27,400 728,840
FirstMerit Corp. 21,700 496,062
Hibernia Corp. Cl. A 12,825 232,902
Hudson United Bancorp 13,800 471,270
New York Community
Bancorp, Inc. 19,067 554,650
Roslyn Bancorp, Inc. 10,300 221,347
Silicon Valley Bancshares* 31,500 750,015
Sterling Bancshares, Inc. 29,200 381,936
Sterling Financial Corp.* 10,300 250,908
Texas Regional
Bancshares, Inc. 37,098 1,287,283
Trustmark Corp. 13,700 348,939
---------------
8,873,288
---------------
BROADCASTING, PUBLISHING & PRINTING -- 2.4%
Alloy, Inc.* 76,300 $ 492,135
CSS Industries, Inc. 13,200 508,860
Hearst-Argyle
Television, Inc.* 14,600 378,140
Journal Register Co.* 22,400 405,216
Saga Communications,
Inc. Cl. A* 39,700 772,165
Sinclair Broadcast Group,
Inc. Cl. A* 11,500 133,515
---------------
2,690,031
---------------
BUILDING MATERIALS & CONSTRUCTION -- 0.6%
Florida Rock
Industries, Inc. 11,900 491,232
Lennox International, Inc. 15,000 193,050
---------------
684,282
---------------
CHEMICALS -- 2.0%
Airgas, Inc. 34,800 582,900
Arch Chemicals, Inc. 43,400 828,940
Georgia Gulf Corp. 7,700 152,460
MacDermid, Inc. 12,700 334,010
Symyx Technologies, Inc.* 17,200 280,704
---------------
2,179,014
---------------
COMMERCIAL SERVICES -- 7.2%
Aaron Rents, Inc. 31,500 812,700
Aaron Rents, Inc. Cl. A 3,300 80,190
Cadmus
Communications Corp. 15,700 139,573
Casella Waste Systems,
Inc. Cl. A* 50,800 458,724
Diversa Corp.* 45,900 451,197
Dollar Thrifty Automotive
Group, Inc.* 12,700 235,585
Exelixis, Inc.* 40,100 278,294
G&K Services, Inc. Cl. A 17,900 529,840
Heidrick & Struggles
International, Inc.* 18,500 233,470
ICT Group, Inc.* 11,000 115,060
Landauer, Inc. 10,500 439,215
Lexicon Genetics, Inc.* 57,100 383,141
McGrath Rentcorp 17,200 459,928
MPS Group, Inc.* 97,100 668,048
Right Management
Consultants, Inc.* 22,900 289,685
Ryder System, Inc. 17,300 443,226
Service
Corp. International* 259,100 1,002,717
TeleTech Holdings, Inc.* 41,500 175,545
United Rentals, Inc.* 33,500 465,315
US Oncology, Inc.* 22,300 $ 164,797
Waste Connections, Inc.* 6,000 210,300
---------------
8,036,550
---------------
COMMUNICATIONS -- 1.9%
Anadigics, Inc.* 33,300 109,557
Cable Design
Technologies Corp.* 49,500 353,925
Nice Systems Limited* 33,100 497,824
PTEK Holdings, Inc.* 63,000 305,550
Titan Corp.* 86,100 885,969
---------------
2,152,825
---------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.7%
Computer Horizons Corp.* 37,800 171,612
IDX Systems Corp.* 15,700 243,664
Systems & Computer
Technology Corp.* 8,600 77,400
Websense, Inc.* 20,700 324,162
---------------
816,838
---------------
COMPUTER PROGRAMMING SERVICES -- 1.1%
Ciber, Inc.* 147,700 1,036,854
Netegrity, Inc.* 33,400 195,056
---------------
1,231,910
---------------
COMPUTER RELATED SERVICES -- 1.7%
Acxiom Corp.* 40,900 617,181
Carreker Corp.* 68,200 312,356
Checkpoint Systems, Inc.* 39,400 557,510
EarthLink, Inc.* 56,600 446,574
---------------
1,933,621
---------------
COMPUTER RENTAL & LEASING -- 0.4%
Electro Rent Corp.* 42,100 453,838
---------------
COMPUTERS & INFORMATION -- 0.9%
Maxtor Corp.* 89,600 672,896
Western Digital Corp.* 33,000 339,900
---------------
1,012,796
---------------
CONTAINERS -- 0.6%
Chesapeake Corp. 21,900 478,515
Smurfit-Stone
Container Corp.* 17,600 229,328
---------------
707,843
---------------
DATA PROCESSING & PREPARATION -- 0.3%
eFunds Corp.* 18,400 212,152
S1 Corp.* 41,700 168,468
---------------
380,620
---------------
ELECTRIC UTILITIES -- 4.1%
Black Hills Corp. 17,300 531,110
Calpine Corp.* 83,700 552,420
</Table>
The accompanying notes are an integral part of the financial statements.
192
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------- ------
Cleco Corp. 22,850 $ 395,762
CMS Energy Corp. 125,100 1,013,310
DQE, Inc. 26,400 397,848
El Paso Electric Co.* 25,700 316,881
Hawaiian Electric
Industries, Inc. 9,400 430,990
Northeast Utilities 19,100 319,734
Otter Tail Corp. 13,100 353,438
Sierra Pacific Resources* 33,200 197,208
---------------
4,508,701
---------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 6.0%
Analogic Corp. 6,800 331,568
ATI Technologies, Inc.* 46,000 469,200
ATMI, Inc.* 16,600 414,502
C&D Technologies, Inc. 23,100 331,716
Capstone Turbine Corp.* 225,000 245,250
EDO Corp. 17,200 304,440
Exar Corp.* 32,600 516,058
Franklin Electric Co., Inc. 15,200 845,880
Graftech
International Limited* 48,300 263,235
Integrated Silicon
Solution, Inc.* 57,000 395,580
Littelfuse, Inc.* 22,600 505,336
LSI Logic Corp.* 47,400 335,592
Marvell Technology
Group Limited* 6,600 226,842
Methode Electronics,
Inc. Cl. A 48,700 523,525
Mykrolis Corp.* 43,400 440,510
Rayovac Corp.* 23,400 303,030
Trimble Navigation Limited* 7,600 174,268
---------------
6,626,532
---------------
ENERGY -- 6.7%
Atwood Oceanics, Inc.* 9,600 260,640
Cabot Oil & Gas Corp. Cl. A 27,100 748,231
CARBO Ceramics, Inc. 11,500 428,375
Forest Oil Corp.* 17,100 429,552
Frontier Oil Corp. 14,500 220,400
Grey Wolf, Inc.* 70,100 283,204
Hanover Compressor Co.* 33,300 376,290
Key Energy Services, Inc.* 64,300 689,296
Magnum Hunter
Resources, Inc.* 55,300 441,847
National Fuel Gas Co. 16,800 437,640
Penn Virginia Corp. 14,400 619,200
SEMCO Energy, Inc. 35,100 204,282
South Jersey
Industries, Inc. 6,300 232,155
Southwest Gas Corp. 11,700 247,806
TETRA
Technologies, Inc.* 21,300 631,545
Vectren Corp. 17,200 $ 430,860
W-H Energy
Services, Inc.* 20,100 391,548
XTO Energy, Inc. 18,000 361,980
---------------
7,434,851
---------------
ENTERTAINMENT & LEISURE -- 1.0%
Callaway Golf Co. 17,600 232,672
SCP Pool Corp.* 26,000 894,400
---------------
1,127,072
---------------
FINANCIAL SERVICES -- 8.4%
Allied Capital Corp. 35,420 818,202
American Capital
Strategies Limited 11,500 286,810
Bedford Property Investors 17,200 488,480
BKF Capital Group, Inc.* 7,000 152,810
East West Bancorp, Inc. 20,600 744,484
Glenborough Realty
Trust, Inc. 30,300 580,245
HRPT Properties Trust 57,100 525,320
Innkeepers USA Trust 40,000 272,000
Kilroy Realty Corp. 25,800 709,500
LaSalle Hotel Properties 23,000 339,940
LTC Properties, Inc. 31,000 296,050
Raymond James
Financial, Inc. 15,800 522,190
SoundView Technology
Group, Inc.* 65,360 661,443
Stewart (W.P.) &
Co. Limited 12,500 280,000
Sun Communities, Inc. 20,300 797,790
SWS Group, Inc. 24,800 499,720
US Restaurants
Properties, Inc. 43,000 675,100
Washington Real Estate
Investment Trust 17,100 465,120
Westwood Holdings
Group, Inc. 11,800 224,436
---------------
9,339,640
---------------
FOODS -- 1.6%
American Italian
Pasta Co. Cl. A* 11,500 478,975
Chiquita Brands
International, Inc.* 26,200 379,900
Smithfield Foods, Inc.* 31,800 728,856
Wild Oats Markets, Inc.* 22,000 239,800
---------------
1,827,531
---------------
FOREST PRODUCTS & PAPER -- 2.4%
Buckeye
Technologies, Inc.* 43,200 293,760
Caraustar Industries, Inc.* 40,600 325,206
Deltic Timber Corp. 17,700 503,565
Playtex Products, Inc.* 73,100 $ 469,302
Wausau-Mosinee
Paper Corp. 98,200 1,099,840
---------------
2,691,673
---------------
HEALTHCARE -- 0.4%
Genesis Health
Ventures, Inc.* 24,500 432,425
---------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 1.0%
Helen of Troy Limited* 51,400 779,224
Stanley Furniture Co., Inc. 13,900 380,999
---------------
1,160,223
---------------
INDUSTRIAL - DIVERSIFIED -- 0.9%
Ameron International Corp. 11,400 396,378
Layne Christensen Co.* 6,300 50,841
Nordson Corp. 21,100 503,235
---------------
950,454
---------------
INSURANCE -- 6.6%
American Financial
Group, Inc. 26,300 599,640
American Physicians
Capital, Inc.* 11,500 278,875
Brown & Brown, Inc. 31,600 1,027,000
FPIC Insurance
Group, Inc.* 28,300 392,521
Harleysville Group, Inc. 28,500 656,070
HCC Insurance
Holdings, Inc. 16,400 484,948
Markel Corp.* 2,900 742,400
Ohio Casualty Corp.* 49,600 653,728
The Phoenix
Companies, Inc. 31,500 284,445
ProAssurance Corp.* 34,300 925,757
Scottish Annuity &
Life Holdings Limited 14,600 295,066
Triad Guaranty, Inc.* 27,700 1,051,215
---------------
7,391,665
---------------
MACHINERY & COMPONENTS -- 3.4%
Agco Corp.* 28,000 478,240
Asyst Technologies, Inc.* 26,500 177,285
Briggs & Stratton Corp. 5,700 287,850
IDEX Corp. 16,500 597,960
Insituform Technologies,
Inc. Cl. A* 38,400 678,912
Lone Star
Technologies, Inc.* 13,200 279,576
Thomas Industries, Inc. 24,100 651,905
Timken Co. 13,600 238,136
Woodward Governor Co. 8,100 348,300
---------------
3,738,164
---------------
</Table>
The accompanying notes are an integral part of the financial statements.
193
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------- ------
MANUFACTURING -- 1.1%
AptarGroup, Inc. 19,900 $ 716,400
Stewart & Stevenson
Services Corp. 31,500 496,125
---------------
1,212,525
---------------
MEDICAL SUPPLIES -- 2.3%
Arrow International, Inc. 5,900 260,485
FEI Co.* 19,900 373,324
Inamed Corp.* 3,300 177,177
Oakley, Inc.* 40,900 481,393
Owens & Minor, Inc. 40,500 905,175
Vital Signs, Inc. 11,600 301,136
---------------
2,498,690
---------------
METALS & MINING -- 2.4%
AK Steel Holding Corp.* 125,500 454,310
Allegheny
Technologies, Inc. 21,100 139,260
Carpenter Technology 14,500 226,200
Gibraltar Steel Corp. 22,800 466,944
Intermet Corp. 90,800 305,996
Matthews
International Corp. 38,200 945,832
Wolverine Tube, Inc.* 28,200 161,304
---------------
2,699,846
---------------
PHARMACEUTICALS -- 1.5%
American Pharmacuetical
Partners, Inc.* 7,900 267,810
Bone Care
International, Inc.* 28,000 389,200
Discovery Partners
International, Inc.* 33,600 149,184
Molecular Devices Corp.* 7,700 122,507
NBTY, Inc.* 19,500 410,670
VCA Antech, Inc.* 15,700 307,249
---------------
1,646,620
---------------
PREPACKAGED SOFTWARE -- 2.1%
Dendrite
International, Inc.* 37,900 488,152
Packeteer, Inc.* 44,200 688,194
Progress Software Corp.* 31,500 652,995
SPSS, Inc.* 29,250 489,645
---------------
2,318,986
---------------
RESTAURANTS -- 2.4%
RARE Hospitality
International, Inc.* 35,000 1,143,800
Ruby Tuesday, Inc. 60,900 1,506,057
---------------
2,649,857
---------------
RETAIL -- 4.8%
Barnes & Noble, Inc.* 40,600 935,830
Casey's General
Stores, Inc. 40,200 $ 568,428
Foot Locker, Inc. 16,500 218,625
Fred's, Inc. 25,700 955,526
Hancock Fabrics, Inc. 25,700 415,055
Haverty Furniture
Companies, Inc. 45,700 799,750
Men's Wearhouse, Inc.* 39,300 858,705
Shopko Stores, Inc.* 15,100 196,300
Stein Mart, Inc.* 69,100 413,909
---------------
5,362,128
---------------
RETAIL - INTERNET -- 0.2%
Stamps.com, Inc.* 53,700 257,760
---------------
TRANSPORTATION -- 3.5%
Celadon Group, Inc.* 25,200 228,564
CNF, Inc. 14,000 355,320
Coachmen Industries, Inc. 13,100 156,545
Hub Group, Inc. Cl. A* 6,200 54,436
Kirby Corp.* 6,300 177,660
Landstar System, Inc.* 20,400 1,282,140
Skyline Corp. 15,800 474,000
USF Corp. 15,300 412,641
UTI Worldwide, Inc. 23,100 720,489
---------------
3,861,795
---------------
TOTAL EQUITIES
(COST $101,348,514) 106,642,967
===============
MUTUAL FUNDS -- 1.9%
FINANCIAL SERVICES
First Financial Fund 37,600 580,920
Government Reserve
Investment Fund 1,009,484 1,009,484
iShares Russell 2000
Value Index Fund 4,100 527,260
---------------
2,117,664
---------------
TOTAL MUTUAL FUNDS
(COST $2,024,171) 2,117,664
---------------
TOTAL LONG TERM INVESTMENTS
(COST $103,372,685) 108,760,631
===============
<Caption>
PRINCIPAL
AMOUNT
---------
SHORT-TERM INVESTMENTS 10.6%
CASH EQUIVALENTS 8.9%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 210,197 210,197
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 $ 164,841 $ 164,841
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 1,050,986 1,050,986
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 1,050,986 1,050,986
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 210,197 210,197
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 637,302 637,302
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 105,099 105,099
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 819,769 819,769
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 157,648 157,648
Merrill Lynch Premier
Institutional Money
Market Fund 456,731 456,731
Merrimac Money
Market Fund 1,718,362 1,718,362
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 525,493 525,493
Morgan Stanley
Dean Witter & Co.
1.455% 01/29/2004 420,394 420,394
National Bank
of Commerce
1.073% 11/19/2003 262,747 262,747
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 945,887 945,887
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 630,592 630,592
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 525,493 525,493
---------------
9,892,724
---------------
</Table>
The accompanying notes are an integral part of the financial statements.
194
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
REPURCHASE AGREEMENT -- 1.7%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) $ 1,881,317 $ 1,881,317
---------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 11,774,041
===============
TOTAL INVESTMENTS -- 108.3%
(COST $115,146,726)*** 120,534,672
---------------
OTHER ASSETS/
(LIABILITIES) -- (8.3%) (9,273,323)
===============
NET ASSETS -- 100.0% $ 111,261,349
===============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $1,881,357. Collateralized by U.S. Government Agency
obligation with a rate of 1.580%, maturity date of 06/15/2029, and an
aggregate market value, including accrued interest, of $1,976,155.
The remainder of this page is intentionally left blank.
195
<Page>
MASSMUTUAL SMALL COMPANY VALUE FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $103,372,685) (NOTE 2) $ 108,760,631
Short-term investments, at amortized cost (NOTE 2) 11,774,041
---------------
Total Investments (including securities on loan with market values of $9,414,091) 120,534,672
Cash 5,327
Receivables from:
Investments sold 641,348
Interest and dividends 163,463
---------------
Total assets 121,344,810
---------------
LIABILITIES:
Payables for:
Investments purchased 63,385
Securities on loan (NOTE 2) 9,892,724
Directors' fees and expenses (NOTE 3) 773
Affiliates (NOTE 3):
Investment management fees 78,419
Administration fees 22,167
Service fees 11,435
Accrued expense and other liabilities 14,558
---------------
Total liabilities 10,083,461
---------------
NET ASSETS $ 111,261,349
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 109,490,246
Undistributed net investment income 212,240
Accumulated net realized loss on investments and futures contracts (3,829,083)
Net unrealized appreciation on investments 5,387,946
---------------
$ 111,261,349
===============
NET ASSETS:
Class A $ 29,795,543
===============
Class L $ 8,163,939
===============
Class Y $ 22,533,151
===============
Class S $ 50,613,539
===============
Class N $ 155,177
===============
SHARES OUTSTANDING:
Class A 3,062,972
===============
Class L 838,562
===============
Class Y 2,310,635
===============
Class S 5,178,387
===============
Class N 16,023
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 9.73
===============
Class L $ 9.74
===============
Class Y $ 9.75
===============
Class S $ 9.77
===============
Class N $ 9.68
===============
</Table>
The accompanying notes are an integral part of the financial statements.
196
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends $ 591,274
Interest (including securities lending income of $33,615) 43,345
---------------
Total investment income 634,619
---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 351,195
Custody fees 10,866
Audit and legal fees 9,724
Trustee reporting 2,609
Shareholder reporting fees 1,373
Directors' fees (NOTE 3) 809
---------------
376,576
Administration fees (NOTE 3):
Class A 24,861
Class L 11,258
Class Y 20,563
Class S 36,202
Class N 230
Service fees (NOTE 3):
Class A 17,298
Class N 141
Distribution fees (NOTE 3):
Class N 141
---------------
Total expenses 487,270
Expenses waived (NOTE 3) (12,699)
Fees paid indirectly (NOTE 3) (52,481)
---------------
Net expenses 422,090
---------------
NET INVESTMENT INCOME 212,529
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investment transactions (1,136,118)
Net change in unrealized appreciation (depreciation) on investments 11,881,503
---------------
NET REALIZED AND UNREALIZED GAIN 10,745,385
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 10,957,914
===============
</Table>
The accompanying notes are an integral part of the financial statements.
197
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 212,529 $ 353,079
Net realized loss on investment transactions and futures contracts (1,136,118) (2,730,758)
Net change in unrealized appreciation (depreciation) on investments 11,881,503 (6,493,557)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 10,957,914 (8,871,236)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (22,358)
Class L - (14,979)
Class Y - (106,919)
Class S - (197,514)
--------------- ---------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (341,770)
--------------- ---------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 19,225,402 9,660,778
Class L 3,807,889 3,544,959
Class Y 327,829 19,719,601
Class S 883,685 42,202,927
Class N 38,871 100,500*
--------------- ---------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 24,283,676 75,228,765
--------------- ---------------
TOTAL INCREASE IN NET ASSETS 35,241,590 66,015,759
NET ASSETS:
Beginning of period 76,019,759 10,004,000
--------------- ---------------
End of period (including undistributed net investment income of
$212,240 and distributions in excess of net investment income of
$289, respectively) $ 111,261,349 $ 76,019,759
=============== ===============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
198
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
----------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.66 $ 10.00 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.01*** 0.05*** -
Net realized and unrealized gain (loss)
on investments 1.06 (1.37) -
---------- ---------- ----------
Total income (loss) from investment
operations 1.07 (1.32) -
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.02) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.73 $ 8.66 $ 10.00
========== ========== ==========
TOTAL RETURN@ 12.49%** (13.27)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 29,796 $ 8,602 $ 1
Ratio of expenses to average daily net
assets:
Before expense waiver 1.52%* 1.64% -
After expense waiver# 1.34%*(a) 1.37%(a) -
Net investment income to average daily
net assets 0.26%* 0.52% -
Portfolio turnover rate 22%** 69% N/A
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.65 $ 10.00 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.02*** 0.08*** -
Net realized and unrealized gain (loss)
on investments 1.07 (1.39) -
---------- ---------- ----------
Total income (loss) from investment
operations 1.09 (1.31) -
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.74 $ 8.65 $ 10.00
========== ========== ==========
TOTAL RETURN@ 12.60%** (13.10)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 8,164 $ 3,252 $ 1
Ratio of expenses to average daily net
assets:
Before expense waiver 1.27%* 1.39% -
After expense waiver# 1.11%*(a) 1.11%(a) -
Net investment income to average daily
net assets 0.46%* 0.86% -
Portfolio turnover rate 22%** 69% N/A
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.66 $ 10.00 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.02*** 0.11*** -
Net realized and unrealized gain (loss)
on investments 1.07 (1.40) -
---------- ---------- ----------
Total income (loss) from investment
operations 1.09 (1.29) -
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.05) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.75 $ 8.66 $ 10.00
========== ========== ==========
TOTAL RETURN@ 12.59%** (12.92)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 22,533 $ 19,708 $ 1
Ratio of expenses to average daily net
assets:
Before expense waiver 1.12%* 1.24% -
After expense waiver# 0.97%*(a) 0.92%(a) -
Net investment income to average daily
net assets 0.55%* 1.32% -
Portfolio turnover rate 22%** 69% N/A
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.67 $ 10.00 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.03*** 0.07*** -
Net realized and unrealized gain (loss)
on investments 1.07 (1.36) -
---------- ---------- ----------
Total income (loss) from investment
operations 1.10 (1.29) -
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.77 $ 8.67 $ 10.00
========== ========== ==========
TOTAL RETURN@ 12.69%** (12.92)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 50,614 $ 44,356 $ 10,001
Ratio of expenses to average daily net
assets:
Before expense waiver 1.08%* 1.20% -
After expense waiver# 0.93%*(a) 0.96%(a) -
Net investment income to average daily
net assets 0.59%* 0.76% -
Portfolio turnover rate 22%** 69% N/A
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ THE FUND COMMENCED OPERATIONS ON DECEMBER 31, 2001.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31,
2002 AND THE SIX MONTHS ENDED JUNE 30, 2003. '
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD
BE LOWER FOR THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMIS
The accompanying notes are an integral part of the financial statements.
199
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
----------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.63 $ 8.59
-------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** 0.00***+
Net realized and unrealized gain on investments 1.06 0.04
-------- --------
Total income from investment operations 1.05 0.04
-------- --------
NET ASSET VALUE, END OF PERIOD $ 9.68 $ 8.63
======== ========
TOTAL RETURN@ 12.17%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 155 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.82%* -^
After expense waiver# 1.66%*(a) -^
Net investment loss to average daily net assets (0.13)%* -^
Portfolio turnover rate 22%** 69%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31,
2002 AND THE SIX MONTHS ENDED JUNE 30, 2003.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD
BE LOWER FOR THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
200
<Page>
MASSMUTUAL SMALL CAP EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL SMALL CAP
EQUITY FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital and income
- - invest primarily in a diversified portfolio of equity securities of smaller
companies (companies with market capitalizations consistent with companies in
the Russell 2000 Index)
- - utilize a value-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market position
or operating characteristics
- offer above-average levels of profitability or superior growth potential
- are attractively valued in the marketplace
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
11.82%, underperforming the 17.88% return of the Russell 2000 Index, a broadly
based, unmanaged index of 2000 small capitalization common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
First quarter 2003 equity market performance rotated around war with Iraq,
creating a heightened atmosphere of uncertainty that affected all areas of the
market. Pre-war jitters during the quarter's first two months resulted in strong
downward pressure on stocks. Sentiment soon shifted, however, as the war began
and markets rallied in anticipation of a quick and easy victory for U.S. and
allied forces. After the rally, investors paused once again, and gave back most
of the euphoria-based gains. When all was said and done, equity markets remained
largely flat for the first quarter and with much of the same uncertainty that
characterized the beginning of the quarter. Aside from war, the quarter featured
a continuation of generally downward economic data. For example, consumer
confidence fell to its lowest level since October 1993, consumer spending
gradually slowed, businesses drove inventories down and refrained from hiring,
and gas prices marched steadily higher.
During the first quarter, the portfolio's results were driven largely by
favorable stock selection in the financial services, health care, and materials
and processing sectors. We also benefited from both a sector underweight and
stock selection in materials and processing, an area of minimal exposure. On the
downside, consumer discretionary and technology were two areas that hurt the
Fund during the first quarter. Consumer-oriented companies also disappointed
throughout the period, as war preoccupation had investors questioning the
sustainability of spending.
Turning to the second quarter, equity markets surged as the war in Iraq ended in
an environment of continued fiscal and economic stimulus. In fact, all of the
Frank Russell Company equity indexes posted double-digit advances during the
period, with the Russell 2000 Index leading the way, returning 23.4% for the
quarter. This represented the largest quarterly gain for the Russell 2000 Index
since the first quarter of 1991 - and could point to strengthening in economic
fundamentals moving forward, as small cap stocks are often the first
capitalization segment to benefit from economic recovery.
During the period, small cap stocks outperformed large cap stocks by a large
margin, with the technology, health care, producer durables and consumer
discretionary sectors providing the highest returns within the small cap market.
The areas that detracted most from relative performance on both a stock
selection and sector weighting basis were health care, technology and financial
services. In financial services, performance was mixed, as a few of our holdings
gained on takeovers, but most did not advance as briskly as the market.
Areas that were favorable during the second quarter included the consumer
discretionary and autos and transportation sectors - although both areas are
relatively small components of the small cap market. Additionally, we were
helped by favorable relative sector weightings in the materials and processing
and producer durables sectors.
201
<Page>
WHAT IS YOUR OUTLOOK?
We expect the economy to gain some GRADUAL momentum in the second half of the
year, driven by the massive amounts of monetary stimulus present today and the
additional fiscal stimulus coming from Washington in 2004. Further, portions of
the investing community have also begun to anticipate a gradual recovery. This
is evidenced by the four consecutive months (March through June) during the
first half of 2003, when we witnessed net inflows into equity mutual funds
totaling $40 billion. This follows almost a full year of consecutive monthly net
outflows.
We caution, however, that we are heading into "earnings season"--the time when
many U.S. companies report their second quarter operating results and their
near-term outlooks. Expectations for a second-half recovery have begun to get
priced into the market, but they are predicated on encouraging earnings news. If
that fails to materialize, it could be a long summer for many investors.
MASSMUTUAL SMALL CAP EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/03)
White Mountains Insurance Group Limited
Carlisle Companies, Inc.
Teleflex, Inc.
IPC Holdings Limited
Arbitron, Inc.
Coherent, Inc.
Cognex Corp.
Dionex Corp.
Chittenden Corp.
Webster Financial Corp.
202
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Small Cap Equity Fund Class S and the
Russell 2000 Index
MASSMUTUAL SMALL CAP EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 10/3/94 - 6/30/03
Class S 11.82% -3.03% 0.57% 8.61%
- -------------------------------------------------------------------------------------------------
Russell 2000
Index 17.88% -1.64% 0.97% 8.11%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S RUSSELL 2000 INDEX
10/3/94 $ 10,000 $ 10,000
Jun-1995 $ 10,507 $ 11,228
Jun-1996 $ 12,794 $ 13,910
Jun-1997 $ 16,665 $ 16,181
Jun-1998 $ 20,010 $ 18,852
Jun-1999 $ 18,721 $ 19,134
Jun-2000 $ 19,378 $ 21,875
Jun-2001 $ 21,130 $ 22,000
Jun-2002 $ 21,229 $ 20,109
Jun-2003 $ 20,585 $ 19,779
</Table>
Hypothetical Investments in MassMutual Small Cap Equity Fund Class A, Class Y
and the Russell 2000 Index
MASSMUTUAL SMALL CAP EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 1/1/98 - 6/30/03
Class A 11.63% -3.52% 0.04% 0.40%
Class Y 11.78% -3.14% 0.43% 0.79%
- -------------------------------------------------------------------------------------------------
Russell 2000
Index 17.88% -1.64% 0.97% 1.76%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS Y RUSSELL 2000 INDEX
1/1/98 $ 10,000 $ 10,000 $ 10,000
Jun-1998 $ 10,200 $ 10,220 $ 10,493
Jun-1999 $ 9,477 $ 9,540 $ 10,650
Jun-2000 $ 9,767 $ 9,865 $ 12,176
Jun-2001 $ 10,594 $ 10,747 $ 12,245
Jun-2002 $ 10,595 $ 10,781 $ 11,193
Jun-2003 $ 10,222 $ 10,443 $ 11,009
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
203
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Small Cap Equity Fund Class L and the
Russell 2000 Index
MASSMUTUAL SMALL CAP EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class L 11.79% -3.21% 4.03%
- --------------------------------------------------------------------------------
Russell 2000 Index 17.88% -1.64% 2.23%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS L RUSSELL 2000 INDEX
5/3/99 $ 10,000 $ 10,000
Jun-1999 $ 10,813 $ 10,605
Jun-2000 $ 11,178 $ 12,124
Jun-2001 $ 12,157 $ 12,193
Jun-2002 $ 12,180 $ 11,145
Jun-2003 $ 11,789 $ 10,962
</Table>
Hypothetical Investments in MassMutual Small Cap Equity Fund Class N, Class N
(CDSC fees deducted) and the Russell 2000 Index
MASSMUTUAL SMALL CAP EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 11.36% 12.48%
Class N (CDSC fees deducted) 10.36% 11.48%
- -----------------------------------------------------------------------
Russell 2000 Index 17.88% 18.17%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2000 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-2003 $ 9,621 $ 9,521 $ 9,551
Jun-2003 $ 11,248 $ 11,148 $ 11,788
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
204
<Page>
MASSMUTUAL SMALL CAP EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------- ------
EQUITIES -- 92.9%
AIR TRANSPORTATION -- 2.0%
SkyWest, Inc. 451,500 $ 8,605,590
---------------
BANKING, SAVINGS & LOANS -- 7.0%
Connecticut
Bancshares, Inc. 87,000 3,414,750
First Niagara Financial
Group, Inc. 266,900 3,725,924
First Republic Bank* 233,800 6,219,080
Pacific Capital Bancorp 239,766 8,403,798
Webster Financial Corp. 246,848 9,330,854
---------------
31,094,406
---------------
BROADCASTING, PUBLISHING & PRINTING -- 2.4%
Gray Television, Inc. 431,700 5,353,080
Lin TV Corp. Cl. A* 225,800 5,317,590
---------------
10,670,670
---------------
BUILDING MATERIALS & CONSTRUCTION -- 1.2%
ElkCorp 234,300 5,271,750
---------------
COMMERCIAL SERVICES -- 5.6%
ADVO, Inc.* 174,900 7,765,560
Arbitron, Inc.* 309,000 11,031,300
FTI Consulting, Inc.* 112,500 2,809,125
National Processing, Inc.* 201,500 3,240,120
---------------
24,846,105
---------------
COMMUNICATIONS -- 2.1%
CT Communications, Inc. 576,500 6,197,375
Inet Technologies, Inc.* 305,100 3,041,847
---------------
9,239,222
---------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 1.2%
Veridian Corp.* 146,400 5,107,896
---------------
COMPUTERS & INFORMATION -- 0.6%
ProQuest Co.* 110,800 2,858,640
---------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 12.6%
Baldor Electric Co. 97,200 2,002,320
Cognex Corp.* 491,800 10,991,730
Lattice Semiconductor Corp.* 693,700 5,709,151
Methode
Electronics, Inc. Cl. A 301,900 3,245,425
Mykrolis Corp.* 518,900 5,266,835
Newport Corp.* 419,900 6,214,520
Technitrol, Inc.* 555,800 8,364,790
Teleflex, Inc. 321,100 13,662,805
---------------
55,457,576
---------------
ENERGY -- 5.5%
Rowan Companies, Inc.* 345,800 7,745,920
Tidewater, Inc. 134,100 $ 3,938,517
Unit Corp.* 330,800 6,917,028
W-H Energy Services, Inc.* 300,300 5,849,844
---------------
24,451,309
---------------
FINANCIAL SERVICES -- 8.7%
Chittenden Corp. 355,100 9,711,985
Eaton Vance Corp. 275,100 8,693,160
Fidelity Bankshares, Inc. 199,900 4,457,770
Jefferies Group, Inc. 106,100 5,282,719
Mid-Atlantic Realty Trust 231,600 4,849,704
Stewart (W.P.) &
Co. Limited 237,400 5,317,760
---------------
38,313,098
---------------
FOODS -- 1.6%
Performance Food
Group Co.* 186,300 6,893,100
---------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 2.9%
La-Z-Boy, Inc. 179,300 4,012,734
Miller (Herman), Inc. 439,400 8,880,274
---------------
12,893,008
---------------
INDUSTRIAL - DIVERSIFIED -- 3.3%
Carlisle Companies, Inc. 343,500 14,481,960
---------------
INSURANCE -- 13.2%
The Commerce
Group, Inc. 161,300 5,839,060
HCC Insurance
Holdings, Inc. 216,800 6,410,776
Infinity Property &
Casualty Corp. 220,700 5,217,348
IPC Holdings Limited 366,000 12,261,000
Philadelphia Consolidated
Holding Corp.* 225,900 9,126,360
ProAssurance Corp.* 163,300 4,407,467
White Mountains
Insurance Group Limited 37,400 14,773,000
---------------
58,035,011
---------------
MACHINERY & COMPONENTS -- 8.2%
Actuant Corp. Cl. A* 53,500 2,531,621
Hardinge, Inc. 429,150 3,476,115
Helix Technology Corp. 529,900 7,010,577
IDEX Corp. 113,300 4,105,992
Kaydon Corp. 289,800 6,027,840
Regal-Beloit Corp. 207,000 3,953,700
Roper Industries, Inc. 248,300 9,236,760
---------------
36,342,605
---------------
MEDICAL SUPPLIES -- 4.8%
Coherent, Inc.* 460,100 $ 11,010,193
Dionex Corp.* 252,100 10,020,975
---------------
21,031,168
---------------
PHARMACEUTICALS -- 3.7%
ICN Pharmaceuticals, Inc. 264,200 4,427,992
Pharmaceutical
Resources, Inc.* 98,300 4,783,278
Taro Pharmaceutical
Industries Limited* 130,400 7,156,352
---------------
16,367,622
---------------
RESTAURANTS -- 0.2%
RARE Hospitality
International, Inc.* 32,621 1,066,054
---------------
RETAIL -- 1.7%
Michaels Stores, Inc.* 195,100 7,425,506
---------------
TRANSPORTATION -- 4.4%
Heartland Express, Inc.* 309,090 6,877,253
Landstar System, Inc.* 68,700 4,317,795
Robinson (C.H.)
Worldwide, Inc. 235,300 8,367,268
---------------
19,562,316
---------------
TOTAL EQUITIES
(COST $401,025,479) 410,014,612
===============
<Caption>
PRINCIPAL
AMOUNT
---------
SHORT-TERM INVESTMENTS -- 17.4%
CASH EQUIVALENTS -- 10.1%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 942,604 942,604
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 739,211 739,211
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 4,713,019 4,713,019
Canadian Imperial Bank of
Commerce Bank Note
1.500% 05/18/2004 4,713,019 4,713,019
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 942,604 942,604
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 2,857,902 2,857,902
</Table>
The accompanying notes are an integral part of the financial statements.
205
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 $ 471,302 $ 471,302
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 3,676,155 3,676,155
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 706,953 706,953
Merrill Lynch Premier
Institutional Money
Market Fund 2,048,156 2,048,156
Merrimac Money
Market Fund 7,705,786 7,705,786
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 2,356,509 2,356,509
Morgan Stanley
Dean Witter & Co.
1.455% 01/29/2004 1,885,208 1,885,208
National Bank
of Commerce
1.073% 11/19/2003 1,178,255 1,178,255
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 4,241,717 4,241,717
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 2,827,811 2,827,811
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 2,356,509 2,356,509
---------------
44,362,720
---------------
REPURCHASE AGREEMENT -- 7.3%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 32,261,608 32,261,608
---------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 76,624,328
===============
TOTAL INVESTMENTS -- 110.3%
(COST $477,649,807)*** 486,638,940
OTHER ASSETS/
(LIABILITIES) (10.3%) (45,527,601)
===============
NET ASSETS -- 100.0% $ 441,111,339
===============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $32,262,280. Collateralized by U.S. Government Agency
obligations with rates of 1.508-1.535%, maturity dates of
09/18/2031-03/25/2033, and aggregate market value, including accrued
interest, of $33,878,551.
The accompanying notes are an integral part of the financial statements.
206
<Page>
MASSMUTUAL SMALL CAP EQUITY FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $401,025,479) (NOTE 2) $ 410,014,612
Short-term investments, at amortized cost (NOTE 2) 76,624,328
---------------
Total Investments (including securities on loan with market values of $43,050,226) 486,638,940
Cash 2,665
Receivables from:
Investments sold 25,263
Interest and dividends 159,478
---------------
Total assets 486,826,346
---------------
LIABILITIES:
Payables for:
Investments purchased 1,056,185
Securities on loan (NOTE 2) 44,362,720
Directors' fees and expenses (NOTE 3) 10,461
Affiliates (NOTE 3):
Investment management fees 216,869
Administration fees 47,407
Service fees 5,668
Accrued expense and other liabilities 15,697
---------------
Total liabilities 45,715,007
---------------
NET ASSETS $ 441,111,339
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 442,148,654
Undistributed net investment income 915,039
Accumulated net realized loss on investments (10,941,487)
Net unrealized appreciation on investments 8,989,133
---------------
$ 441,111,339
===============
NET ASSETS:
Class A $ 9,521,004
===============
Class L $ 61,337,992
===============
Class Y $ 11,260,729
===============
Class S $ 358,878,573
===============
Class N $ 113,041
===============
SHARES OUTSTANDING:
Class A 840,287
===============
Class L 5,391,723
===============
Class Y 988,343
===============
Class S 31,336,071
===============
Class N 10,029
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 11.33
===============
Class L $ 11.38
===============
Class Y $ 11.39
===============
Class S $ 11.45
===============
Class N $ 11.27
===============
</Table>
The accompanying notes are an integral part of the financial statements.
207
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends $ 2,148,088
Interest (including securities lending income of $17,858) 39,625
---------------
Total investment income 2,187,713
---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 1,159,037
Custody fees 21,436
Audit and legal fees 11,277
Shareholder reporting fees 6,935
Directors' fees (NOTE 3) 4,325
Trustee reporting 2,609
---------------
1,205,619
Administration fees (NOTE 3):
Class A 14,651
Class L 84,945
Class Y 11,646
Class S 138,324
Class N 195
Service fees (NOTE 3):
Class A 10,950
Class N 127
Distribution fees (NOTE 3):
Class N 127
---------------
Total expenses 1,466,584
Fees paid indirectly (NOTE 3) (1,982)
---------------
Net expenses 1,464,602
---------------
NET INVESTMENT INCOME 723,111
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investment transactions (1,556,656)
Net change in unrealized appreciation (depreciation) on investments 46,098,269
---------------
NET REALIZED AND UNREALIZED GAIN 44,541,613
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 45,264,724
===============
</Table>
The accompanying notes are an integral part of the financial statements.
208
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 723,111 $ 1,695,277
Net realized gain (loss) on investment transactions (1,556,656) 28,003,299
Net change in unrealized appreciation (depreciation) on investments 46,098,269 (103,226,836)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 45,264,724 (73,528,260)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class L - (99,670)
Class Y - (53,006)
Class S - (1,546,007)
--------------- ---------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (1,698,683)
--------------- ---------------
Tax return of capital:
Class L - (974)
Class Y - (518)
Class S - (15,100)
--------------- ---------------
TOTAL TAX RETURN OF CAPITAL - (16,592)
--------------- ---------------
From net realized gains:
Class A - (650,837)
Class L - (3,268,461)
Class Y - (1,061,752)
Class S - (24,602,711)
--------------- ---------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - (29,583,761)
--------------- ---------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A (522,051) 2,857,569
Class L 9,200,308 13,551,688
Class Y (4,703,300) 2,855,443
Class S (24,405,911) (111,987,304)
Class N - 100,500*
--------------- ---------------
DECREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS (20,430,954) (92,622,104)
--------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 24,833,770 (197,449,400)
NET ASSETS:
Beginning of period 416,277,569 613,726,969
--------------- ---------------
End of period (including undistributed net investment income of
$915,039 and $191,928, respectively) $ 441,111,339 $ 416,277,569
=============== ===============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
209
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.15 $ 12.62 $ 13.36
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***++ (0.01)*** (0.00)***++
Net realized and unrealized gain
(loss) on investments 1.18 (1.68) 0.42
---------- ---------- ----------
Total income (loss) from investment
operations 1.18 (1.69) 0.42
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.01)
From net realized gains - (0.78) (1.15)
---------- ---------- ----------
Total distributions - (0.78) (1.16)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 11.33 $ 10.15 $ 12.62
========== ========== ==========
TOTAL RETURN@ 11.63%** (13.30)% 3.12%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 9,521 $ 9,079 $ 8,361
Ratio of expenses to average daily net assets:
Before expense waiver 1.19%* 1.19% 1.19%
After expense waiver 1.19%*(a) 1.19%(a) N/A
Net investment income (loss) to average daily
net assets (0.09)%* (0.13)% (0.01)%
Portfolio turnover rate 14%** 49% 91%
<Caption>
CLASS A
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/00 12/31/99 12/31/98+
---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.56 $ 14.07 $ 17.48
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01*** 0.07*** 0.03***
Net realized and unrealized gain
(loss) on investments 1.82 (0.13) (1.78)
---------- ---------- ----------
Total income (loss) from investment
operations 1.83 (0.06) (1.75)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.08) (0.09) (0.12)
From net realized gains (1.95) (0.36) (1.54)
---------- ---------- ----------
Total distributions (2.03) (0.45) (1.66)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.36 $ 13.56 $ 14.07
========== ========== ==========
TOTAL RETURN@ 13.68% (0.36)% (9.58)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 4,093 $ 262 $ 174
Ratio of expenses to average daily net assets:
Before expense waiver 1.19% 1.22% 1.30%
After expense waiver N/A N/A N/A
Net investment income (loss) to average daily
net assets 0.07% 0.49% 0.19%
Portfolio turnover rate 61% 34% 31%
</Table>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
----------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.18 $ 12.65 $ 13.38 $ 13.55 $ 13.66
---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.01*** 0.01*** 0.03*** 0.05*** 0.08***
Net realized and unrealized gain
(loss) on investments 1.19 (1.68) 0.43 1.82 0.32
---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 1.20 (1.67) 0.46 1.87 0.40
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.02) (0.04) (0.09) (0.15)
Tax return of capital - (0.00)++ - - -
From net realized gains - (0.78) (1.15) (1.95) (0.36)
---------- ---------- ---------- ---------- ----------
Total distributions - (0.80) (1.19) (2.04) (0.51)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 11.38 $ 10.18 $ 12.65 $ 13.38 $ 13.55
========== ========== ========== ========== ==========
TOTAL RETURN@ 11.79%** (13.07)% 3.38% 13.97% 2.97%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 61,338 $ 45,887 $ 42,174 $ 22,795 $ 1,634
Ratio of expenses to average daily net assets:
Before expense waiver 0.94%* 0.94% 0.94% 0.94% 0.94%*
After expense waiver 0.94%*(a) 0.94%(a) N/A N/A N/A
Net investment income to average daily
net assets 0.15%* 0.12% 0.25% 0.34% 0.83%*
Portfolio turnover rate 14%** 49% 91% 61% 34%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
+ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
++ NET INVESTMENT LOSS AND TAX RETURN OF CAPITAL ARE LESS THAN $0.01 PER
SHARE.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
@ 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.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
210
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.19 $ 12.66 $ 13.39
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.02*** 0.03*** 0.05***
Net realized and unrealized gain
(loss) on investments 1.18 (1.68) 0.44
---------- ---------- ----------
Total income (loss) from investment
operations 1.20 (1.65) 0.49
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) (0.07)
Tax return of capital - (0.00)++ -
From net realized gains - (0.78) (1.15)
---------- ---------- ----------
Total distributions - (0.82) (1.22)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 11.39 $ 10.19 $ 12.66
========== ========== ==========
TOTAL RETURN@ 11.78%** (12.93)% 3.56%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 11,261 $ 14,820 $ 15,265
Ratio of expenses to average daily net assets:
Before expense waiver 0.79%* 0.79% 0.79%
After expense waiver 0.79%*(a) 0.79%(a) N/A
Net investment income to average daily
net assets 0.33%* 0.27% 0.40%
Portfolio turnover rate 14%** 49% 91%
<Caption>
CLASS Y
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/00 12/31/99 12/31/98+
---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.56 $ 14.06 $ 17.51
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.08*** 0.12*** 0.11***
Net realized and unrealized gain
(loss) on investments 1.79 (0.11) (1.81)
---------- ---------- ----------
Total income (loss) from investment
operations 1.87 0.01 (1.70)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.09) (0.15) (0.21)
Tax return of capital - - -
From net realized gains (1.95) (0.36) (1.54)
---------- ---------- ----------
Total distributions (2.04) (0.51) (1.75)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.39 $ 13.56 $ 14.06
========== ========== ==========
TOTAL RETURN@ 14.02% 0.13% (9.25)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 7,444 $ 3,990 $ 568
Ratio of expenses to average daily net assets:
Before expense waiver 0.78% 0.80% 0.85%
After expense waiver N/A N/A N/A
Net investment income to average daily
net assets 0.54% 0.86% 0.67%
Portfolio turnover rate 61% 34% 31%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.24 $ 12.71 $ 13.43
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.02*** 0.04*** 0.07***
Net realized and unrealized gain
(loss) on investments 1.19 (1.68) 0.43
---------- ---------- ----------
Total income (loss) from investment
operations 1.21 (1.64) 0.50
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.05) (0.07)
Tax return of capital - (0.00)++ -
From net realized gains - (0.78) (1.15)
---------- ---------- ----------
Total distributions - (0.83) (1.22)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 11.45 $ 10.24 $ 12.71
========== ========== ==========
TOTAL RETURN@ 11.82%** (12.80)% 3.63%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 358,879 $ 346,390 $ 547,927
Ratio of expenses to average daily net assets:
Before expense waiver 0.69%* 0.69% 0.69%
After expense waiver 0.69%*(a) 0.69%(a) N/A
Net investment income to average daily
net assets 0.41%* 0.37% 0.50%
Portfolio turnover rate 14%** 49% 91%
<Caption>
CLASS S
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/00 12/31/99 12/31/98(1)
---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.58 $ 14.06 $ 16.61
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.10*** 0.14*** 0.13
Net realized and unrealized gain
(loss) on investments 1.80 (0.11) (1.67)
---------- ---------- ----------
Total income (loss) from investment
operations 1.90 0.03 (1.54)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.10) (0.15) (0.13)
Tax return of capital - - -
From net realized gains (1.95) (0.36) (0.88)
---------- ---------- ----------
Total distributions (2.05) (0.51) (1.01)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.43 $ 13.58 $ 14.06
========== ========== ==========
TOTAL RETURN@ 14.19% 0.25% (9.02)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 580,065 $ 640,600 $ 682,578
Ratio of expenses to average daily net assets:
Before expense waiver 0.68% 0.67% 0.64%
After expense waiver N/A N/A N/A
Net investment income to average daily
net assets 0.68% 1.03% 0.86%
Portfolio turnover rate 61% 34% 31%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
+ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
++ NET INVESTMENT LOSS AND TAX RETURN OF CAPITAL ARE LESS THAN $0.01 PER
SHARE.
(1) CLASS S SHARES WERE PREVIOUSLY DESIGNATED AS CLASS 4 SHARES.
@ 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.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
211
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.12 $ 10.02
---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.00)***++
Net realized and unrealized gain on investments 1.17 0.10
---------- ----------
Total income from investment operations 1.15 0.10
---------- ----------
NET ASSET VALUE, END OF PERIOD $ 11.27 $ 10.12
========== ==========
TOTAL RETURN@ 11.36%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 113 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.49%* -^
After expense waiver 1.49%*(a) -^
Net investment loss to average daily net assets (0.41)%* -^
Portfolio turnover rate 14%** 49%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
++ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD
BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
212
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL MID CAP
GROWTH EQUITY FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital
- - invest primarily in a diversified portfolio of equity securities of mid-sized
companies (companies with market capitalizations, at the time of purchase, of
$2 billion to $10 billion)
- - focus on fast-growing companies that offer innovative products, services, or
technologies to a rapidly expanding marketplace
- - utilize an objective, "bottom-up," quantitative screening process designed to
identify and select inefficiently priced growth stocks with superior returns
compared to their risk characteristics
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares advanced
14.43%, trailing the 16.92% return of the Russell 2500 Index, a broadly based,
unmanaged index of 2500 medium- and small capitalization common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, uncertainty surrounding a possible war with Iraq was
taken out of the equation and equity markets rallied, before giving back some of
the gains near the close of the quarter. The mid cap section of the domestic
equity market was the "sweet-spot" during the performance period, as mid cap
stocks, in general, exhibited superior relative returns to both their small- and
large cap counterparts. Additionally, the growth sector of the market
outperformed the value segment.
Against this backdrop, several of the Fund's stocks severely hindered both
absolute and relative performance. The five holdings that detracted the most
from performance included Petsmart, Hotels.com, Michael's Stores, Oxford Health
Plans and Intuit. Our holdings in the technology sector, however, significantly
outperformed the technology holdings in the benchmark. Specific stocks that
contributed the most to our performance during the first quarter included
Amazon.com, Adobe System, Electronic Arts, Moody's and Nvidia Corp.
The market staged an impressive broad-based rally in the second quarter, with
small cap growth stocks leading the way. On an absolute basis, the Fund
performed very well, although it modestly trailed its benchmark during the
period. Stock selection in a few key sectors was the main cause of this slight
underperformance, although sector allocation aided results. The five sectors
where stock selection detracted the most were materials & processing, producer
durables, financial services, health care and technology--although our
allocation to the technology sector was the single largest contributor to
performance during the quarter. Nvidia Corp., Citrix Systems, Electronic Arts,
Qlogic Corp. and Career Education Corp. contributed the most to our positive
performance--as Ball Corp., Genzyme Corp., Mattel Inc., Memc Electronic
Materials Inc. and Biomet Inc. were the five greatest detractors.
WHAT IS YOUR OUTLOOK?
Massive amounts of economic stimulus are being applied to the economy in the
form of an accommodative Federal Reserve and tax cuts, and have the potential to
eventually produce a roaring economy. Whether the economy starts to pick up in
the second half of 2003 or is delayed a quarter or two, one thing is very
clear--the market is definitely beginning to believe it will happen. This
renewed market confidence has increased the prospects of the market entering
into a growth cycle that favors our stock selection approach, which causes us to
be exceedingly optimistic about the future relative and absolute performance of
the Fund.
213
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/03)
Moody's Corp.
Qlogic Corp.
Electronic Arts, Inc.
Citrix Systems, Inc.
Varian Medical Systems, Inc.
American Power Conversion Corp.
Career Education Corp.
Nvidia Corp.
Adobe Systems, Inc.
International Game Technology
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Mid Cap Growth Equity Fund Class S, Class
A, Class Y, Class L and the Russell 2500 Index.
MASSMUTUAL MID CAP GROWTH EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class S 14.43% -2.15% -6.60%
Class A 14.14% -2.47% -7.01%
Class Y 14.45% -2.16% -6.65%
Class L 14.17% -2.31% -6.79%
- --------------------------------------------------------------------------------
Russell 2500 Index 16.92% 1.41% 4.75%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS Y CLASS L RUSSELL 2500 INDEX
5/3/99 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-99 $ 10,340 $ 10,330 $ 10,340 $ 10,350 $ 10,684
Jun-00 $ 14,660 $ 14,600 $ 14,670 $ 14,640 $ 12,643
Jun-2001 $ 10,668 $ 10,576 $ 10,657 $ 10,626 $ 12,951
Jun-2002 $ 7,692 $ 7,576 $ 7,674 $ 7,640 $ 11,965
Jun-2003 $ 7,527 $ 7,389 $ 7,509 $ 7,463 $ 12,134
</Table>
Hypothetical Investments in MassMutual Mid Cap Growth Equity Fund Class N, Class
N (CDSC fees deducted) and the Russell 2500 Index.
MASSMUTUAL MID CAP GROWTH EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 14.02% 13.82%
Class N (CDSC fees deducted) 13.02% 12.82%
- --------------------------------------------------------------------------
Russell 2500 Index 16.92% 17.49%
- --------------------------------------------------------------------------
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-2003 $ 9,829 $ 9,729 $ 9,591
Jun-2003 $ 11,382 $ 11,282 $ 11,692
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2500 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
214
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 92.9%
APPAREL, TEXTILES & SHOES -- 2.8%
Coach, Inc.* 56,100 $ 2,790,414
Columbia Sportswear Co.* 20,000 1,028,200
-------------
3,818,614
-------------
AUTOMOTIVE & PARTS -- 2.3%
Paccar, Inc. 47,200 3,188,832
-------------
BANKING, SAVINGS & LOANS -- 2.9%
First Virginia Banks, Inc. 43,000 1,854,160
Hudson City Bancorp, Inc. 79,300 2,027,701
-------------
3,881,861
-------------
COMMERCIAL SERVICES -- 7.9%
Apollo Group, Inc. Cl. A* 47,900 2,958,304
Career Education Corp.* 52,300 3,578,366
Moody's Corp. 80,000 4,216,800
-------------
10,753,470
-------------
COMMUNICATIONS -- 1.9%
UTStarcom, Inc.* 72,000 2,561,040
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 2.3%
Synopsys, Inc.* 50,800 3,141,980
-------------
COMPUTER PROGRAMMING SERVICES -- 1.9%
Mercury Interactive Corp.* 67,700 2,613,897
-------------
COMPUTERS & INFORMATION -- 13.1%
Cognos, Inc.* 112,900 3,048,300
International
Game Technology* 32,000 3,274,560
Lexmark
International, Inc.* 36,000 2,547,720
Sandisk Corp.* 55,000 2,219,250
Storage Technology Corp.* 86,000 2,213,640
Western Digital Corp.* 238,300 2,454,490
Zebra Technologies
Corp. Cl. A* 27,000 2,030,130
-------------
17,788,090
-------------
CONTAINERS -- 2.2%
Ball Corp. 66,500 3,026,415
-------------
DATA PROCESSING & PREPARATION -- 1.6%
WebMD Corp.* 207,000 2,241,810
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 11.6%
American Power
Conversion Corp.* 233,000 3,632,470
Garmin Limited* 62,800 2,503,836
Nvidia Corp.* 152,800 3,515,928
Qlogic Corp.* 85,700 4,141,881
Rockwell Automation, Inc. 86,900 $ 2,071,696
-------------
15,865,811
-------------
ENERGY -- 2.1%
Devon Energy Corp. 54,000 2,883,600
-------------
FINANCIAL SERVICES -- 1.9%
Bear Stearns Companies, Inc. 35,000 2,534,700
-------------
FOODS -- 1.9%
Dean Foods Co.* 83,700 2,636,550
-------------
HEALTHCARE -- 1.7%
Lincare Holdings, Inc.* 72,000 2,268,720
-------------
INSURANCE -- 1.2%
Aetna, Inc. 27,000 1,625,400
-------------
INTERNET CONTENT -- 1.5%
BEA Systems, Inc.* 190,100 2,064,486
-------------
MEDICAL SUPPLIES -- 8.2%
Allergan, Inc. 19,000 1,464,900
Biomet, Inc. 104,600 2,997,836
St. Jude Medical, Inc.* 50,000 2,875,000
Varian Medical
Systems, Inc.* 66,100 3,805,377
-------------
11,143,113
-------------
PHARMACEUTICALS -- 5.6%
Genzyme Corp.* 59,200 2,474,560
Gilead Sciences, Inc.* 45,000 2,501,100
Mylan Laboratories, Inc. 75,500 2,625,135
-------------
7,600,795
-------------
PREPACKAGED SOFTWARE -- 15.4%
Adobe Systems, Inc. 104,600 3,354,522
Citrix Systems, Inc.* 191,800 3,905,048
Electronic Arts, Inc.* 55,500 4,106,445
Intuit, Inc.* 59,500 2,649,535
Pixar, Inc.* 35,900 2,184,156
Symantec Corp.* 46,300 2,030,718
Veritas Software Corp.* 96,000 2,752,320
-------------
20,982,744
-------------
RETAIL - INTERNET -- 1.8%
Amazon.com, Inc.* 68,800 2,510,512
-------------
TELEPHONE UTILITIES -- 1.1%
Adtran, Inc.* 29,000 1,487,410
-------------
TOTAL EQUITIES
(COST $109,442,535) 126,619,850
=============
<Caption>
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS -- 27.0%
CASH EQUIVALENTS -- 20.5%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 593,443 $ 593,443
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 465,391 465,391
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 2,967,214 2,967,214
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 2,967,214 2,967,214
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 593,443 593,443
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 1,799,273 1,799,273
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 296,721 296,721
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 2,314,427 2,314,427
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 445,082 445,082
Merrill Lynch Premier
Institutional Money
Market Fund 1,289,475 1,289,475
Merrimac Money
Market Fund 4,851,395 4,851,395
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 1,483,607 1,483,607
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 1,186,886 1,186,886
National Bank
of Commerce
1.073% 11/19/2003 741,804 741,804
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 2,670,493 2,670,493
</Table>
The accompanying notes are an integral part of the financial statements.
215
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 $ 1,780,329 $ 1,780,329
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 1,483,607 1,483,607
-------------
27,929,804
-------------
REPURCHASE AGREEMENT -- 6.5%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 8,815,379 8,815,379
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 36,745,183
=============
TOTAL INVESTMENTS -- 119.9%
(COST $146,187,718)*** 163,365,033
OTHER ASSETS/
(LIABILITIES) -- (19.9%) (27,069,728)
=============
NET ASSETS -- 100.0% $ 136,295,305
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $8,815,563. Collateralized by U.S. Government Agency
obligation with a rate of 6.50%, maturity date of 07/01/2016, and an
aggregate market value, including accrued interest, of $9,256,508.
The accompanying notes are an integral part of the financial statements.
216
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
-------------
ASSETS:
Investments, at value (cost $109,442,535) (NOTE 2) $ 126,619,850
Short-term investments, at amortized cost (NOTE 2) 36,745,183
-------------
Total Investments (including securities on loan
with market values of $26,876,725) 163,365,033
Cash 1,534
Receivables from:
Investments sold 3,401,225
Interest and dividends 14,895
-------------
Total assets 166,782,687
-------------
LIABILITIES:
Payables for:
Investments purchased 2,421,888
Securities on loan (NOTE 2) 27,929,804
Directors' fees and expenses (NOTE 3) 3,631
Affiliates (NOTE 3):
Investment management fees 80,928
Administration fees 22,817
Service fees 17,412
Accrued expense and other liabilities 10,902
-------------
Total liabilities 30,487,382
-------------
NET ASSETS $ 136,295,305
=============
NET ASSETS CONSIST OF:
Paid-in capital $ 251,471,538
Accumulated net investment loss (386,987)
Accumulated net realized loss on investments (131,966,561)
Net unrealized appreciation on investments 17,177,315
-------------
$ 136,295,305
=============
NET ASSETS:
Class A $ 31,713,097
=============
Class L $ 32,179,582
=============
Class Y $ 12,367,654
=============
Class S $ 59,920,611
=============
Class N $ 114,361
=============
SHARES OUTSTANDING:
Class A 4,735,121
=============
Class L 4,752,168
=============
Class Y 1,817,044
=============
Class S 8,787,295
=============
Class N 17,150
=============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 6.70
=============
Class L $ 6.77
=============
Class Y $ 6.81
=============
Class S $ 6.82
=============
Class N $ 6.67
=============
</Table>
The accompanying notes are an integral part of the financial statements.
217
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends $ 132,671
Interest (including securities lending income
of $11,970) 22,877
----------------
Total investment income 155,548
----------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 391,790
Audit and legal fees 10,051
Custody fees 5,208
Trustee reporting 2,609
Shareholder reporting fees 1,828
Directors' fees (NOTE 3) 1,127
----------------
412,613
Administration fees (NOTE 3):
Class A 39,032
Class L 41,550
Class Y 8,028
Class S 21,538
Class N 185
Service fees (NOTE 3):
Class A 31,734
Class N 129
Distribution fees (NOTE 3):
Class N 129
----------------
Total expenses 554,938
Fees paid indirectly (NOTE 3) (15,347)
----------------
Net expenses 539,591
----------------
NET INVESTMENT INCOME (LOSS) (384,043)
----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investment transactions (5,386,771)
Net change in unrealized appreciation
(depreciation) on investments 21,226,774
----------------
NET REALIZED AND UNREALIZED GAIN 15,840,003
----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 15,455,960
================
</Table>
The accompanying notes are an integral part of the financial statements.
218
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (384,043) $ (721,385)
Net realized loss on investment transactions (5,386,771) (33,542,944)
Net change in unrealized appreciation (depreciation) on investments 21,226,774 (7,482,549)
---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 15,455,960 (41,746,878)
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class Y - -
Class S - -
---------------- -----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
---------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 4,933,020 4,848,505
Class L 4,178,437 4,638,710
Class Y 1,541,996 476,039
Class S 5,707,215 (13,153,240)
Class N - 100,500*
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 16,360,668 (3,089,486)
---------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 31,816,628 (44,836,364)
NET ASSETS:
Beginning of period 104,478,677 149,315,041
---------------- -----------------
End of period (including accumulated net investment loss of
$386,987 and $2,944, respectively) $ 136,295,305 $ 104,478,677
================ =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
219
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.87 $ 8.18 $ 11.66 $ 13.90 $ 10.00
---------------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)*** (0.06)*** (0.08)*** (0.13)*** (0.07)***
Net realized and unrealized gain (loss)
on investments 0.86 (2.25) (3.40) (0.84) 3.97
---------------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 0.83 (2.31) (3.48) (0.97) 3.90
---------------- ---------- ---------- ---------- ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - - (0.01) -
From net realized gains - - - (1.26) -
---------------- ---------- ---------- ---------- ------------
Total distributions - - - (1.27) -
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 6.70 $ 5.87 $ 8.18 $ 11.66 $ 13.90
================ ========== ========== ========== ============
TOTAL RETURN@ 14.14%** (28.24)% (29.85)% (7.49)% 39.00%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 31,713 $ 23,351 $ 27,226 $ 25,239 $ 682
Ratio of expenses to average daily net assets:
Before expense waiver 1.29%* 1.30% 1.30% 1.33% 1.36%*
After expense waiver# 1.27%*(a) 1.29% 1.27% 1.28% N/A
Net investment loss to average daily net assets (0.99)%* (0.90)% (0.86)% (0.91)% (0.86)%*
Portfolio turnover rate 70%** 284% 160% 153% 127%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.93 $ 8.24 $ 11.72 $ 13.93 $ 10.00
---------------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.04)*** (0.05)*** (0.09)*** (0.05)***
Net realized and unrealized gain (loss)
on investments 0.86 (2.27) (3.43) (0.85) 3.98
---------------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 0.84 (2.31) (3.48) (0.94) 3.93
---------------- ---------- ---------- ---------- ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.00)**** - -
Tax return of capital - - - (0.01) -
From net realized gains - - - (1.26) -
---------------- ---------- ---------- ---------- ------------
Total distributions - - (0.00) (1.27) -
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 6.77 $ 5.93 $ 8.24 $ 11.72 $ 13.93
================ ========== ========== ========== ============
TOTAL RETURN@ 14.17%** (28.03)% (29.68)% (7.26)% 39.30%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 32,180 $ 24,204 $ 28,351 $ 27,061 $ 4,642
Ratio of expenses to average daily net assets:
Before expense waiver 1.05%* 1.05% 1.05% 1.08% 1.12%*
After expense waiver# 1.02%*(a) 1.04% 1.02% 1.03% N/A
Net investment loss to average daily net assets (0.74)%* (0.65)% (0.61)% (0.65)% (0.63)%*
Portfolio turnover rate 70%** 284% 160% 153% 127%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FROM THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
**** DISTRIBUTIONS FROM NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000 THROUGH
DECEMBER 31, 2000, THE YEAR ENDED DECEMBER 31, 2001 AND THE PERIOD
JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ 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.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE THE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
220
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.95 $ 8.26 $ 11.75 $ 13.94 $ 10.00
---------------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.03)*** (0.05)*** (0.07)*** (0.04)***
Net realized and unrealized gain (loss)
on investments 0.88 (2.28) (3.44) (0.85) 3.98
---------------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 0.86 (2.31) (3.49) (0.92) 3.94
---------------- ---------- ---------- ---------- ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.00)**** - -
Tax return of capital - - - (0.01) -
From net realized gains - - - (1.26) -
---------------- ---------- ---------- ---------- ------------
Total distributions - - (0.00) (1.27) -
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 6.81 $ 5.95 $ 8.26 $ 11.75 $ 13.94
================ ========== ========== ========== ============
TOTAL RETURN@ 14.45%** (27.97)% (29.67)% (7.11)% 39.40%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 12,368 $ 9,379 $ 12,490 $ 48,079 $ 41,952
Ratio of expenses to average daily net assets:
Before expense waiver 0.89%* 0.90% 0.90% 0.92% 0.98%*
After expense waiver# 0.87%*(a) 0.89% 0.87% 0.88% N/A
Net investment loss to average daily net assets (0.59)%* (0.50)% (0.49)% (0.50)% (0.48)%*
Portfolio turnover rate 70%** 284% 160% 153% 127%**
</Table>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.96 $ 8.27 $ 11.75 $ 13.94 $ 10.00
---------------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.03)*** (0.04)*** (0.06)*** (0.02)***
Net realized and unrealized gain (loss)
on investments 0.88 (2.28) (3.43) (0.86) 3.96
---------------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 0.86 (2.31) (3.47) (0.92) 3.94
---------------- ---------- ---------- ---------- ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - (0.01) - -
Tax return of capital - - - (0.01) -
From net realized gains - - - (1.26) -
---------------- ---------- ---------- ---------- ------------
Total distributions - - (0.01) (1.27) -
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 6.82 $ 5.96 $ 8.27 $ 11.75 $ 13.94
================ ========== ========== ========== ============
TOTAL RETURN@ 14.43%** (27.93)% (29.52)% (7.11)% 39.40%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 59,921 $ 47,443 $ 81,248 $ 120,207 $ 60,279
Ratio of expenses to average daily net assets:
Before expense waiver 0.82%* 0.83% 0.83% 0.85% 0.89%*
After expense waiver# 0.80%*(a) 0.82% 0.80% 0.81% N/A
Net investment loss to average daily net assets (0.52)%* (0.43)% (0.40)% (0.43)% (0.32)%*
Portfolio turnover rate 70%** 284% 160% 153% 127%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FROM THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
**** DISTRIBUTIONS FROM NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000 THROUGH
DECEMBER 31, 2000, THE YEAR ENDED DECEMBER 31, 2001 AND THE PERIOD
JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ 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.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE THE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
221
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.85 $ 5.86
---------------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.04)*** (0.00)***+
Net realized and unrealized gain (loss) on investments 0.86 (0.01)
---------------- ------------
Total income (loss) from investment operations 0.82 (0.01)
---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 6.67 $ 5.85
================ ============
TOTAL RETURN@ 14.02%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 114 $ 100
Ratio of expenses to average daily net assets:
Before expense waiver 1.59%* -^
After expense waiver# 1.57%*(a) -^
Net investment loss to average daily net assets (1.29)%* -^
Portfolio turnover rate 70%** 284%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FROM THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000 THROUGH
DECEMBER 31, 2000, THE YEAR ENDED DECEMBER 31, 2001 AND THE PERIOD JANUARY
1, 2002 THROUGH APRIL 30, 2002.
@ 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.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE THE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
222
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY II FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL MID CAP
GROWTH EQUITY II FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital
- - invest primarily in a diversified portfolio of equity securities of
mid-sized companies (companies with market capitalizations, at the time of
purchase that fall within the range of companies in the S&P MidCap 400 Index
or the Russell MidCap Growth Index)
- - utilize a growth-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market
position or operating characteristics
- offer above-average levels of profitability or superior growth potential
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
18.13%, strongly outperforming the 12.40% return of the S&P MidCap 400 Index, a
market capitalization-weighted, unmanaged index of 400 medium capitalization
common stocks, and nearly in line with the 18.74% return of the Russell MidCap
Growth Index, which tracks the performance of mid-cap growth stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Stocks in the U.S. fell in the first quarter, as the economy slowed
significantly amid concerns about war with Iraq and related terror threats, as
well as the emergence of the SARS virus, which alarmed global health
authorities. Disappointing corporate earnings news and oil prices that briefly
reached $40 a barrel also weighed on equities. In mid-March, however, early
successes in the invasion of Iraq raised hopes for a quick end to the war. Oil
prices plummeted to the mid-$20s and stock indexes temporarily rose. But when
coalition forces encountered heavy resistance, the relief rally quickly
dissipated. Stocks surrendered much of their gains and oil rose back above $30 a
barrel by quarter end.
Against this backdrop, large caps outperformed small- and mid cap stocks, while
growth outperformed value. In the overall market, the health care sector
performed best, led by biotechnology. Energy stocks also gained modestly, while
technology stocks posted a small loss. The telecommunication services, materials
and consumer staples sectors fell the most. Looking to the Fund's results, the
health care, consumer discretionary, and consumer staples sectors contributed
the most to performance. Industrials, business services, financials and
information technology were the largest detractors. During the first quarter, we
took profits in the energy sector and added modestly to our technology holdings.
Turning to the second quarter, stocks posted their strongest quarterly advance
since the last three months of 1998. The conclusion of the latest Iraq
campaign--with the fall of Saddam Hussein--helped ignite an impressively broad
rally in financial assets that was led by the riskiest securities across all
asset classes. Investors also anticipated stronger economic growth in the second
half, spurred by what may be a record amount of stimulus, including the new tax
cut, another Federal Reserve rate cut, new highs in mortgage refinancing, easier
corporate borrowing conditions, and a weaker dollar. Stocks and bonds rose in
tandem, while the dollar fell to a record low against the euro. (The dollar and
stocks reversed course modestly late in the quarter.)
During the period, the Fund experienced strong performance from its retail,
asset management, biotechnology, generic drug, and Internet software and
services holdings. One of our key investment themes over the past year has been
that the economy and market would eventually rebound; this belief was rewarded
in the second quarter.
WHAT IS YOUR OUTLOOK?
We remain optimistic about the U.S. economy, which we expect to grow more
strongly in the second half of 2003. But just as the downturn was relatively
mild, we expect economic growth to be modest over the next few years. Massive
fiscal and monetary stimulus has been applied to the economy, but structural
impediments to growth remain, such as lingering overcapacity in many industries
and high corporate, government and consumer debt levels. The consumer and
housing sectors remained resilient and buoyant, respectively, throughout the
slowdown, suggesting that the economic recovery will not be powered by
substantial gains in either sector. In our view, the eventual revival of
business capital spending holds the key to a sustainable economic recovery.
223
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY II FUND
LARGEST STOCK HOLDINGS (6/30/03)
Omnicare, Inc.
ChoicePoint, Inc.
Anthem, Inc.
Waddell & Reed Financial, Inc. Cl. A
Government Reserve Investment Fund
BJ Services Co.
Best Buy Co., Inc.
Teva Pharmaceutical Sponsored ADR
Rockwell Collins, Inc.
Gilead Sciences, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Mid Cap Growth Equity II Fund Class S,
Class A, Class Y, Class L and the S&P Mid Cap 400 Index.
MASSMUTUAL MID CAP GROWTH EQUITY II FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 6/1/00 - 6/30/03
Class S 18.13% 4.07% -0.95%
Class A 17.73% 3.58% -1.45%
Class Y 18.03% 4.08% -1.02%
Class L 17.99% 3.88% -1.18%
- ----------------------------------------------------------------------------------------------
S&P Mid Cap 400
Index 12.40% -0.73% 1.44%
</Table>
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[CHART]
<Table>
<Caption>
CLASS S CLASS A CLASS Y CLASS L S&P MID CAP 400 INDEX
6/1/2000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-2000 $ 10,340 $ 10,340 $ 10,340 $ 10,340 $ 10,147
Jun-2001 $ 10,470 $ 10,410 $ 10,460 $ 10,440 $ 11,047
Jun-2002 $ 9,330 $ 9,230 $ 9,310 $ 9,280 $ 10,527
Jun-2003 $ 9,710 $ 9,560 $ 9,690 $ 9,640 $ 10,450
</Table>
Hypothetical Investments in MassMutual Mid Cap Growth Equity II Fund Class N,
Class N (CDSC fees deducted) and the S&P Mid Cap 400 Index.
MASSMUTUAL MID CAP GROWTH EQUITY II FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 17.55% 18.14%
Class N (CDSC fees deducted) 16.55% 17.14%
- -----------------------------------------------------------------------------------------------
S&P Mid Cap 400
Index 12.40% 13.02%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P MID CAP 400 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-2003 $ 9,888 $ 9,788 $ 9,556
Jun-2003 $ 11,814 $ 11,714 $ 11,240
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P MID CAP 400 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
224
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY II FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 94.9%
ADVERTISING 1.8%
Catalina
Marketing Corp.* 133,800 $ 2,361,570
Lamar Advertising Co.* 44,600 1,570,366
Monster
Worldwide, Inc.* 111,500 2,199,895
-------------
6,131,831
-------------
AEROSPACE & DEFENSE -- 2.3%
Alliant
Techsystems, Inc.* 66,700 3,462,397
Rockwell Collins, Inc. 182,800 4,502,364
-------------
7,964,761
-------------
AIR TRANSPORTATION -- 0.1%
JetBlue Airways Corp.* 11,100 469,419
-------------
APPAREL, TEXTILES & SHOES 1.7%
Coach, Inc.* 51,000 2,536,740
Ross Stores, Inc. 78,000 3,333,720
-------------
5,870,460
-------------
AUTOMOTIVE & PARTS -- 0.6%
Oshkosh Truck Corp. 35,700 2,117,724
-------------
BANKING, SAVINGS & LOANS 0.5%
Investors Financial
Services Corp. 44,600 1,293,846
Silicon
Valley Bancshares* 22,300 530,963
-------------
1,824,809
-------------
BEVERAGES -- 0.4%
Cott Corp.* 72,000 1,489,680
-------------
BROADCASTING, PUBLISHING & PRINTING -- 2.5%
Cox Radio, Inc. Cl. A* 107,000 2,472,770
InterActiveCorp* 71,300 2,821,341
Scholastic Corp.* 49,800 1,483,044
The Scripps (E.W.) Co. 11,600 1,029,152
Westwood One, Inc.* 26,000 882,180
-------------
8,688,487
-------------
CHEMICALS -- 1.1%
Potash Corp.
of Saskatchewan 56,800 3,635,200
-------------
COMMERCIAL SERVICES -- 9.5%
Affymetrix, Inc.* 43,800 863,298
Apollo Group, Inc. Cl. A* 27,000 1,667,520
BearingPoint, Inc.* 282,100 2,722,265
Certegy, Inc.* 141,200 3,918,300
Education
Management Corp.* 44,600 $ 2,371,828
Fastenal Co. 15,600 529,464
Hewitt Associates,
Inc. Cl. A* 88,000 2,072,400
Iron Mountain, Inc.* 98,100 3,638,529
Manpower, Inc. 112,700 4,180,043
Neurocrine
Biosciences, Inc.* 22,300 1,113,662
Robert Half
International, Inc.* 178,400 3,378,896
Viad Corp. 156,100 3,495,079
Weight Watchers
International, Inc.* 58,000 2,638,420
-------------
32,589,704
-------------
COMMUNICATIONS -- 3.3%
Harris Corp. 111,500 3,350,575
L-3 Communications
Holdings, Inc.* 44,100 1,917,909
Nextel Communications,
Inc. Cl. A* 212,100 3,834,768
Rogers Communications,
Inc. Cl. B 138,200 2,218,110
-------------
11,321,362
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.3%
Synopsys, Inc.* 18,000 1,113,300
-------------
COMPUTER PROGRAMMING SERVICES -- 2.4%
Ceridian Corp.* 182,800 3,102,116
Mercury
Interactive Corp.* 44,600 1,722,006
VeriSign, Inc.* 254,100 3,514,203
-------------
8,338,325
-------------
COMPUTERS & INFORMATION -- 3.0%
CDW Corp.* 58,000 2,656,400
Diebold, Inc. 58,000 2,508,500
Jabil Circuit, Inc.* 80,300 1,774,630
Lexmark
International, Inc.* 15,600 1,104,012
Seagate Technology 133,800 2,361,570
-------------
10,405,112
-------------
COSMETICS & PERSONAL CARE -- 0.4%
Estee Lauder Companies,
Inc. Cl. A 44,600 1,495,438
DATA PROCESSING & PREPARATION 2.5%
Affiliated Computer
Services, Inc. Cl. A* 66,900 3,059,337
The BISYS Group, Inc.* 116,500 2,140,105
Fiserv, Inc.* 75,800 $ 2,699,238
WebMD Corp.* 52,500 568,575
-------------
8,467,255
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 5.3%
Celestica, Inc.* 111,500 1,757,240
Garmin Limited* 42,400 1,690,488
Intersil Corp. Cl. A* 93,600 2,490,696
Kla-Tencor Corp.* 40,100 1,864,249
Maxim Integrated
Products, Inc. 36,000 1,230,840
Microchip
Technology, Inc. 138,800 3,418,644
Molex, Inc. Cl. A 44,600 1,033,783
Novellus Systems, Inc.* 53,500 1,959,224
Qlogic Corp.* 24,500 1,184,085
Semtech Corp.* 112,600 1,603,424
-------------
18,232,673
-------------
ENERGY -- 4.4%
BJ Services Co.* 126,200 4,714,832
Devon Energy Corp. 67,300 3,593,820
Diamond Offshore
Drilling, Inc. 142,700 2,995,273
Murphy Oil Corp. 31,200 1,641,120
XTO Energy, Inc. 111,500 2,242,265
-------------
15,187,310
-------------
ENTERTAINMENT & LEISURE -- 1.0%
Brunswick Corp. 133,800 3,347,676
-------------
FINANCIAL SERVICES -- 3.6%
Eaton Vance Corp. 62,400 1,971,840
Franklin Resources, Inc. 44,600 1,742,522
Legg Mason, Inc. 35,700 2,318,715
The Schwab
(Charles) Corp. 133,800 1,350,042
Waddell & Reed
Financial, Inc. Cl. A 188,400 4,836,228
-------------
12,219,347
-------------
FOODS -- 0.9%
Starbucks Corp.* 129,400 3,172,888
-------------
HEALTHCARE -- 4.9%
DaVita, Inc.* 84,700 2,268,266
Health Management
Associates, Inc. Cl. A 156,100 2,880,045
Human Genome
Sciences, Inc.* 84,700 1,077,384
Laboratory Corp. of
America Holdings* 111,500 3,361,725
Manor Care, Inc.* 133,800 3,346,338
</Table>
The accompanying notes are an integral part of the financial statements.
225
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
Triad Hospitals, Inc.* 55,700 $ 1,382,474
Wellpoint Health
Networks, Inc.* 27,000 2,276,100
-------------
16,592,332
-------------
INDUSTRIAL - DIVERSIFIED -- 2.4%
Danaher Corp. 56,500 3,844,825
ITT Industries, Inc. 64,300 4,209,078
-------------
8,053,903
-------------
INFORMATION RETRIEVAL SERVICES -- 1.5%
ChoicePoint, Inc.* 144,700 4,995,044
-------------
INSURANCE -- 5.2%
Ambac Financial
Group, Inc. 15,600 1,033,500
Anthem, Inc.* 64,300 4,960,745
Nationwide Financial
Services, Inc. Cl. A 71,300 2,317,250
Principal Financial
Group, Inc. 71,300 2,299,425
Protective Life Corp. 71,300 1,907,275
Radian Group, Inc. 49,000 1,795,850
WellChoice, Inc.* 40,100 1,174,128
Willis Group
Holdings Limited 71,300 2,192,475
-------------
17,680,648
-------------
LODGING -- 0.6%
Fairmont Hotels &
Resorts, Inc. 89,600 2,096,640
-------------
MACHINERY & COMPONENTS -- 3.5%
Cooper Cameron Corp.* 44,600 2,246,948
FMC Technologies, Inc.* 125,000 2,631,250
Roper Industries, Inc. 89,200 3,318,240
Smith International, Inc.* 107,000 3,931,180
-------------
12,127,618
-------------
MANUFACTURING -- 0.9%
American Standard
Companies, Inc.* 40,100 2,964,593
-------------
MEDICAL SUPPLIES 1.7%
Apogent
Technologies, Inc.* 89,200 1,784,000
Cytyc Corp.* 49,000 515,480
St. Jude Medical, Inc.* 31,600 1,817,000
Waters Corp.* 62,400 1,817,712
-------------
5,934,192
-------------
METALS & MINING -- 0.9%
Newmont Mining Corp. 89,200 2,895,432
PHARMACEUTICALS 11.8%
Alkermes, Inc.* 78,000 $ 838,500
AmerisourceBergen Corp. 42,400 2,940,440
Amylin
Pharmaceuticals, Inc.* 60,200 1,317,778
Andrx Corp.* 142,700 2,839,730
Barr Laboratories, Inc.* 63,500 4,159,250
Cephalon, Inc.* 53,500 2,202,060
Gilead Sciences, Inc.* 75,800 4,212,964
Idec
Pharmaceuticals Corp.* 44,600 1,516,400
Invitrogen Corp.* 17,000 652,290
IVAX Corp.* 102,200 1,824,270
Medimmune, Inc.* 78,000 2,836,860
Millennium
Pharmaceuticals, Inc.* 93,600 1,472,328
Omnicare, Inc. 232,200 7,846,038
Protein Design
Labs, Inc.* 49,000 685,020
Teva Pharmaceutical
Sponsored ADR 80,300 4,571,479
Vertex
Pharmaceuticals, Inc.* 44,600 651,160
-------------
40,566,567
-------------
PREPACKAGED SOFTWARE -- 4.6%
Adobe Systems, Inc. 76,000 2,437,320
DST Systems, Inc.* 102,600 3,898,800
Informatica Corp.* 58,000 400,780
Intuit, Inc.* 44,600 1,986,038
Network Associates, Inc.* 115,900 1,469,612
Peoplesoft, Inc.* 100,300 1,764,277
Siebel Systems, Inc.* 57,000 543,780
SunGard Data
Systems, Inc.* 78,000 2,020,980
Veritas Software Corp.* 44,600 1,278,682
-------------
15,800,269
-------------
RESTAURANTS -- 0.7%
The Cheesecake Factory* 66,900 2,401,041
-------------
RETAIL -- 5.7%
99 Cents Only Stores* 22,300 765,336
Best Buy Co., Inc.* 107,000 4,699,440
Dollar Tree Stores, Inc.* 131,400 4,169,322
Family Dollar Stores, Inc. 101,400 3,868,410
MSC Industrial
Direct Co. Cl. A* 9,000 161,100
O'Reilly Automotive, Inc.* 89,200 2,978,388
TJX Companies, Inc. 4,000 75,360
Williams-Sonoma, Inc.* 93,600 2,733,120
-------------
19,450,476
-------------
RETAIL - GROCERY -- 1.0%
Whole Foods Market, Inc.* 73,600 $ 3,498,208
-------------
TELEPHONE UTILITIES -- 0.7%
Triton PCS Holdings,
Inc. Cl. A* 98,100 495,405
Western Wireless
Corp. Cl. A* 147,300 1,698,369
-------------
2,193,774
-------------
TRANSPORTATION -- 1.2%
Expedia, Inc. Cl. A* 22,300 1,703,274
Expeditors International
of Washington, Inc. 67,200 2,327,808
-------------
4,031,082
-------------
TOTAL EQUITIES
(COST $285,203,836) 325,364,580
-------------
MUTUAL FUND -- 1.4%
FINANCIAL SERVICES
Government Reserve
Investment Fund 4,760,790 4,760,790
-------------
TOTAL MUTUAL FUND
(COST $4,760,790) 4,760,790
-------------
TOTAL LONG TERM INVESTMENTS
(COST $289,964,626) 330,125,370
=============
<Caption>
PRINCIPAL
AMOUNT
----------
SHORT-TERM INVESTMENTS -- 18.8%
CASH EQUIVALENTS -- 13.9%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003$ 1,010,529 1,010,529
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 792,479 792,479
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 5,052,644 5,052,644
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 5,052,644 5,052,644
</Table>
The accompanying notes are an integral part of the financial statements.
226
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 $ 1,010,529 $ 1,010,529
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 3,063,846 3,063,846
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 505,264 505,264
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 3,941,062 3,941,062
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 757,897 757,897
Merrill Lynch Premier
Institutional Money
Market Fund 2,195,748 2,195,748
Merrimac Money
Market Fund 8,261,073 8,261,073
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 2,526,322 2,526,322
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 2,021,058 2,021,058
National Bank
of Commerce
1.073% 11/19/2003 1,263,161 1,263,161
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 4,547,380 4,547,380
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 3,031,587 3,031,587
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 2,526,322 2,526,322
-------------
47,559,545
-------------
REPURCHASE AGREEMENT -- 4.9%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 16,947,729 16,947,729
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 64,507,274
=============
TOTAL INVESTMENTS -- 115.1%
(COST $354,471,900)*** $ 394,632,644
OTHER ASSETS/
(LIABILITIES) -- (15.1%) (51,913,906)
=============
NET ASSETS -- 100.0% $ 342,718,738
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $16,948,082. Collateralized by U.S. Government Agency
obligation with a rate of 4.376%, maturity date of 03/01/2033, and an
aggregate market value, including accrued interest, of $17,795,115.
The accompanying notes are an integral part of the financial statements.
227
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY II FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $289,964,626) (NOTE 2) $ 330,125,370
Short-term investments, at amortized cost (NOTE 2) 64,507,274
---------------
Total Investments (including securities on loan with market values of $45,982,407) 394,632,644
Cash 2,892
Receivables from:
Investments sold 248,322
Interest and dividends 84,401
Foreign taxes withheld 904
Miscellaneous 10,666
---------------
Total assets 394,979,829
---------------
LIABILITIES:
Payables for:
Investments purchased 4,368,436
Securities on loan (NOTE 2) 47,559,545
Directors' fees and expenses (NOTE 3) 5,186
Affiliates (NOTE 3):
Investment management fees 213,086
Administration fees 69,704
Service fees 31,359
Accrued expense and other liabilities 13,775
---------------
Total liabilities 52,261,091
---------------
NET ASSETS $ 342,718,738
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 342,099,290
Accumulated net investment loss (947,176)
Accumulated net realized loss on investments (38,594,120)
Net unrealized appreciation on investments 40,160,744
---------------
$ 342,718,738
===============
NET ASSETS:
Class A $ 58,447,962
===============
Class L $ 156,156,456
===============
Class Y $ 39,648,321
===============
Class S $ 88,302,926
===============
Class N $ 163,073
===============
SHARES OUTSTANDING:
Class A 6,114,148
===============
Class L 16,205,814
===============
Class Y 4,092,083
===============
Class S 9,097,376
===============
Class N 17,147
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 9.56
===============
Class L $ 9.64
===============
Class Y $ 9.69
===============
Class S $ 9.71
===============
Class N $ 9.51
===============
</Table>
The accompanying notes are an integral part of the financial statements.
228
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $6,438) $ 431,359
Interest (including securities lending income of $19,437) 62,749
---------------
Total investment income 494,108
---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 1,030,773
Custody fees 12,826
Audit and legal fees 10,649
Shareholder reporting fees 4,492
Directors' fees (NOTE 3) 2,693
Trustee reporting 2,609
---------------
1,064,042
Administration fees (NOTE 3):
Class A 70,399
Class L 204,151
Class Y 28,083
Class S 30,926
Class N 219
Service fees (NOTE 3):
Class A 54,253
Class N 146
Distribution fees (NOTE 3):
Class N 146
---------------
Total expenses 1,452,365
Fees paid indirectly (NOTE 3) (14,664)
---------------
Net expenses 1,437,701
---------------
NET INVESTMENT INCOME (LOSS) (943,593)
---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investment transactions 86,122
Net change in unrealized appreciation (depreciation) on investments 49,640,626
---------------
NET REALIZED AND UNREALIZED GAIN 49,726,748
---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 48,783,155
===============
</Table>
The accompanying notes are an integral part of the financial statements.
229
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (943,593) $ (1,534,019)
Net realized gain (loss) on investment transactions 86,122 (16,730,877)
Net change in unrealized appreciation (depreciation) on investments 49,640,626 (37,744,732)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 48,783,155 (56,009,628)
--------------- ---------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 19,422,772 22,937,440
Class L 16,991,623 10,821,016
Class Y 6,014,743 27,396,422
Class S 3,132,070 3,226,440
Class N 40,612 100,500*
--------------- ---------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 45,601,820 64,481,818
--------------- ---------------
TOTAL INCREASE IN NET ASSETS 94,384,975 8,472,190
NET ASSETS:
Beginning of period 248,333,763 239,861,573
--------------- ---------------
End of period (including accumulated net investment loss of
$947,176 and $3,583, respectively) $ 342,718,738 $ 248,333,763
=============== ===============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
230
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.12 $ 10.33 $ 10.48 $ 10.00
---------------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.04)*** (0.08)*** (0.09)*** (0.02)***
Net realized and unrealized gain (loss) on investments 1.48 (2.13) (0.06) 0.50
---------------- ---------- ---------- ------------
Total income (loss) from investment operations 1.44 (2.21) (0.15) 0.48
---------------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 9.56 $ 8.12 $ 10.33 $ 10.48
================ ========== ========== ============
TOTAL RETURN@ 17.73%** (21.39)% (1.43)% 4.80%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 58,448 $ 30,968 $ 14,113 $ 2,861
Ratio of expenses to average daily net assets:
Before expense waiver 1.35%* 1.36% 1.35% 1.37%*
After expense waiver# 1.34%*(a) 1.35%(a) 1.35% N/A
Net investment loss to average daily net assets (0.98)%* (0.96)% (0.89)% (0.40)%*
Portfolio turnover rate 27%** 61% 49% 37%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.17 $ 10.37 $ 10.50 $ 10.00
---------------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)*** (0.07)*** (0.06)*** (0.02)***
Net realized and unrealized gain (loss) on investments 1.50 (2.13) (0.07) 0.52
---------------- ---------- ---------- ------------
Total income (loss) from investment operations 1.47 (2.20) (0.13) 0.50
---------------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 9.64 $ 8.17 $ 10.37 $ 10.50
================ ========== ========== ============
TOTAL RETURN@ 17.99%** (21.22)% (1.24)% 5.00%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 156,156 $ 116,835 $ 136,206 $ 126,876
Ratio of expenses to average daily net assets:
Before expense waiver 1.10%* 1.11% 1.10% 1.12%*
After expense waiver# 1.09%*(a) 1.09%(a) 1.10% N/A
Net investment loss to average daily net assets (0.73)%* (0.72)% (0.59)% (0.25)%*
Portfolio turnover rate 27%** 61% 49% 37%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM JUNE 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2000.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001 THROUGH
DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ 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.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH THE CERTAIN BROKERS TO REBATE
A PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
231
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.21 $ 10.40 $ 10.51 $ 10.00
---------------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.04)*** (0.05)*** (0.00)***+
Net realized and unrealized gain (loss)
on investments 1.50 (2.15) (0.06) 0.51
---------------- ---------- ---------- ------------
Total income (loss) from investment
operations 1.48 (2.19) (0.11) 0.51
---------------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 9.69 $ 8.21 $ 10.40 $ 10.51
================ ========== ========== ============
TOTAL RETURN@ 18.03%** (21.06)% (1.05)% 5.10%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 39,648 $ 27,835 $ 622 $ 267
Ratio of expenses to average daily net assets:
Before expense waiver 0.95%* 0.98% 0.95% 0.97%*
After expense waiver# 0.94%*(a) 0.96%(a) 0.95% N/A
Net investment loss to average daily
net assets (0.58)%* (0.51)% (0.48)% (0.07)%*
Portfolio turnover rate 27%** 61% 49% 37%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.22 $ 10.41 $ 10.51 $ 10.00
---------------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.04)*** (0.03)*** (0.00)***+
Net realized and unrealized gain (loss)
on investments 1.51 (2.15) (0.07) 0.51
---------------- ---------- ---------- ------------
Total income (loss) from investment
operations 1.49 (2.19) (0.10) 0.51
---------------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 9.71 $ 8.22 $ 10.41 $ 10.51
================ ========== ========== ============
TOTAL RETURN@ 18.13%** (21.04)% (0.95)% 5.10%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 88,303 $ 72,595 $ 88,921 $ 90,248
Ratio of expenses to average daily net assets:
Before expense waiver 0.86%* 0.87% 0.86% 0.88%*
After expense waiver# 0.85%*(a) 0.85%(a) 0.86% N/A
Net investment loss to average daily
net assets (0.49)% * (0.48)% (0.34)% (0.01)%*
Portfolio turnover rate 27% ** 61% 49% 37%**
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.09 $ 8.05
---------------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.05)*** (0.00)***+
Net realized and unrealized gain (loss)
on investments 1.47 0.04
---------------- ------------
Total income (loss) from investment
operations 1.42 0.04
---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 9.51 $ 8.09
================ ============
TOTAL RETURN@ 17.55%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 163 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.65%* -^
After expense waiver# 1.64%*(a) -^
Net investment loss to average daily
net assets (1.28)%* -^
Portfolio turnover rate 27%** 61%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM JUNE 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2000.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001 THROUGH
DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ 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.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH THE CERTAIN BROKERS TO REBATE
A PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
232
<Page>
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND -- PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL SMALL CAP
GROWTH EQUITY FUND?
The objectives and policies of the Fund are to:
- - achieve long-term capital appreciation
- - invest primarily in a diversified portfolio of equity securities of smaller
companies consistent with market capitalizations of companies in the Russell
2000 Index or the S&P SmallCap 600 Index
- - utilize a growth-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market
position or operating characteristics
- offer above-average levels of profitability or superior growth potential
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
18.18%, outpacing the 17.88% return of the Russell 2000 Index, an unmanaged
index of 2000 small capitalization common stocks and the 12.93% return of the
S&P SmallCap 600 Index, a market capitalization-weighted index that measures the
performance of 600 domestic small-cap stocks chosen for market size, liquidity
and industry group representation. The Fund also finished well ahead of the
19.33% return of the Russell 2000 Growth Index, which tracks the performance of
stocks in the Russell 2000 Index sharing characteristics common to the growth
universe.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
The first quarter of 2003 was a very volatile period. Investors greeted the
start of the new year and President Bush's plan for "jobs and growth" with a
positive outlook that fueled an initial, sharp rise in the S&P 500 Index.
However, increased rhetoric and preparation for the war with Iraq steadily
eroded that optimism. The resulting pessimism and heightened uncertainty caused
the equity markets to retrace their steps and post negative returns for the
quarter. For the quarter, the Dow Jones Industrials fell 3.6%, the S&P 500 lost
3.1% and the NASDAQ Composite rose a mere 0.4%. Large cap stocks outperformed
both small- and mid cap stocks, and growth stocks outperformed value. During the
first quarter, the portfolio's top stock picks in the technology, industrials
and energy sectors were counterbalanced by weakness in the financials sector.
Setting aside the Iraqi conflict and refocusing on domestic growth with all
measures of economic stimulus sent stocks up sharply for the second quarter.
Results for the period were the best since the rebound following the terrorist
attacks in the fourth quarter of 2001. The Russell Growth Index led all stock
market index gains with a 24.2% increase, followed closely by the NASDAQ
Industrials, which rose 22.5%.
At the start of the second quarter, we were positioned for an economic rebound,
with a high concentration of stocks in the information technology, health care
and consumer discretionary sectors. Since we were overweight in each of these
sectors, the Fund's performance was fueled by these outperforming sectors.
During the performance period, the portfolio's top stock picks in the financials
sector were offset by weaker performers in the technology and materials sectors.
WHAT IS YOUR OUTLOOK?
The market has begun to view the domestic economy through a more optimistic lens
now that geopolitical uncertainty has subsided. Both the Federal Reserve's
reduction in short-term rates to 45-year lows and the recently passed stimulus
package have already begun to put more money in consumers' hands. We view these
measures positively and expect them to help solidify, and potentially
accelerate, an economic recovery. The portfolio remains positioned to benefit
from an improving economy with overweights in consumer discretionary, technology
and energy.
233
<Page>
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/03)
Checkfree Corp.
American Healthways, Inc.
Getty Images, Inc.
Omnicare, Inc.
Take-Two Interactive Software, Inc.
American Italian Pasta Co. Cl. A
Dendrite International, Inc.
Visx, Inc.
ITT Educational Services, Inc.
Factset Research Systems, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Small Cap Growth Equity Fund Class S,
Class A, Class Y, Class L and the Russell 2000 Index
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class S 18.18% 4.36% 2.14%
Class A 17.92% 3.82% 1.60%
Class Y 18.15% 4.28% 1.99%
Class L 18.12% 4.09% 1.86%
- ------------------------------------------------------------------------------
Russell 2000 Index 17.88% -1.64% 2.23%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS Y CLASS L RUSSELL 2000 INDEX
5/3/1999 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-99 $ 10,930 $ 10,930 $ 10,930 $ 10,930 $ 10,605
Jun-00 $ 17,092 $ 16,992 $ 17,062 $ 17,036 $ 12,124
Jun-01 $ 13,377 $ 13,236 $ 13,340 $ 13,301 $ 12,193
Jun-02 $ 10,463 $ 10,289 $ 10,410 $ 10,372 $ 11,145
Jun-03 $ 10,919 $ 10,682 $ 10,856 $ 10,796 $ 10,962
</Table>
Hypothetical Investments in MassMutual Small Cap Growth Equity Fund Class N,
Class N (CDSC fees deducted) and the Russell 2000 Index
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 17.78% 18.32%
Class N (CDSC fees deducted) 16.78% 17.32%
- --------------------------------------------------------------------------
Russell 2000 Index 17.88% 18.17%
- --------------------------------------------------------------------------
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2000 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-03 $ 9,977 $ 9,877 $ 9,551
Jun-03 $ 11,832 $ 11,732 $ 11,788
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
234
<Page>
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 81.8%
ADVERTISING -- 2.2%
Catalina Marketing Corp.* 71,500 $ 1,261,975
Getty Images, Inc.* 140,800 5,815,040
-------------
7,077,015
-------------
AEROSPACE & DEFENSE -- 0.3%
Triumph Group, Inc.* 37,200 1,047,924
-------------
APPAREL, TEXTILES & SHOES -- 0.5%
Pacific Sunwear of
California, Inc.* 38,700 932,283
Urban Outfitters, Inc.* 22,200 796,980
-------------
1,729,263
-------------
AUTOMOTIVE & PARTS -- 0.6%
BorgWarner, Inc. 14,000 901,600
Dana Corp. 87,700 1,013,812
-------------
1,915,412
-------------
BANKING, SAVINGS & LOANS -- 3.1%
Amcore Financial, Inc. 48,800 1,136,064
Bank of Hawaii Corp. 37,500 1,243,125
Financial Federal Corp.* 117,700 2,871,880
Hancock Holding Co. 22,650 1,065,909
Providian Financial Corp.* 220,400 2,040,904
Westcorp 55,600 1,556,800
-------------
9,914,682
-------------
BEVERAGES -- 0.6%
The Robert Mondavi Corp.* 71,800 1,817,258
-------------
BROADCASTING, PUBLISHING & PRINTING -- 1.6%
Lin TV Corp. Cl. A* 54,600 1,285,830
Pegasus
Communication Corp.* 30,300 896,274
Playboy Enterprises,
Inc. Cl. B* 146,100 1,986,960
UnitedGlobalCom,
Inc. Cl. A* 150,600 778,602
-------------
4,947,666
-------------
CHEMICALS -- 2.4%
Cabot
Microelectronics Corp.* 42,300 2,134,881
Cytec Industries, Inc.* 36,200 1,223,560
IMC Global, Inc. 122,200 819,962
Minerals Technologies, Inc. 29,000 1,411,140
SurModics, Inc.* 56,100 1,711,050
Wellman, Inc. 20,800 232,960
-------------
7,533,553
-------------
COMMERCIAL SERVICES -- 8.1%
ADVO, Inc.* 22,300 $ 990,120
The Corporate Executive
Board Co.* 105,000 4,255,650
Exelixis, Inc.* 171,200 1,188,128
Fluor Corp. 37,800 1,271,592
FTI Consulting, Inc.* 92,250 2,303,482
Gene Logic, Inc.* 36,475 217,756
Incyte Corp.* 152,900 709,456
ITT Educational
Services, Inc.* 171,700 5,022,225
Maximus, Inc.* 116,300 3,213,369
MemberWorks, Inc.* 138,100 2,727,475
PerkinElmer, Inc. 279,082 3,854,122
-------------
25,753,375
-------------
COMMUNICATIONS -- 1.2%
Advanced Fibre
Communications, Inc.* 73,400 1,194,218
Tekelec* 241,600 2,730,080
-------------
3,924,298
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 2.0%
3Com Corp.* 366,600 1,715,688
Digital Insight Corp.* 172,200 3,280,410
IDX Systems Corp.* 75,800 1,176,416
-------------
6,172,514
-------------
COMPUTER RELATED SERVICES -- 3.5%
Acxiom Corp.* 87,500 1,320,375
Checkfree Corp.* 298,299 8,304,644
Ingram Micro, Inc. Cl. A* 126,000 1,386,000
-------------
11,011,019
-------------
COMPUTERS & INFORMATION -- 1.1%
Maxtor Corp.* 355,700 2,671,307
Western Digital Corp.* 83,800 863,140
-------------
3,534,447
-------------
DATA PROCESSING & PREPARATION -- 1.7%
Alliance Data
Systems Corp.* 23,600 552,240
Factset Research
Systems, Inc. 112,300 4,946,815
-------------
5,499,055
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 8.1%
Actel Corp.* 46,200 947,100
Agere Systems, Inc. Cl. A* 777,200 1,810,876
ATMI, Inc.* 49,300 1,231,021
Cree, Inc.* 110,300 1,795,684
Cymer, Inc.* 22,600 $ 713,256
DSP Group, Inc.* 60,600 1,304,718
Fairchild Semiconductor
International, Inc. Cl. A* 154,300 1,973,497
Gentex Corp.* 161,340 4,938,617
Intersil Corp. Cl. A* 65,700 1,748,277
ON Semiconductor Corp.* 33,500 90,450
Planar Systems, Inc.* 44,900 878,244
Visx, Inc.* 296,200 5,139,070
Wilson Greatbatch
Technologies, Inc.* 90,480 3,266,328
-------------
25,837,138
-------------
ENERGY -- 4.0%
CAL Dive International, Inc.* 62,200 1,355,960
Grey Wolf, Inc.* 349,600 1,412,384
Helmerich & Payne, Inc. 44,700 1,305,240
Newfield Exploration Co.* 100,600 3,777,530
Peabody Energy Corp. 41,100 1,380,549
Sunoco, Inc. 37,800 1,426,572
TETRA Technologies, Inc.* 49,000 1,452,850
UGI Corp. 21,100 668,870
-------------
12,779,955
-------------
ENTERTAINMENT & LEISURE -- 1.4%
AMC Entertainment, Inc.* 120,100 1,373,944
Callaway Golf Co. 117,500 1,553,350
Churchill Downs, Inc. 27,700 1,061,187
Hollywood Media Corp.* 390,400 507,520
-------------
4,496,001
-------------
FINANCIAL SERVICES -- 2.6%
The Chicago
Mercantile Exchange 33,508 2,333,162
E*TRADE Group, Inc.* 222,300 1,889,550
Investment Technology
Group, Inc.* 85,600 1,592,160
MFA Mortgage
Investments, Inc. 117,300 1,177,692
Ventas, Inc. 89,400 1,354,410
-------------
8,346,974
-------------
FOODS -- 2.5%
American Italian
Pasta Co. Cl. A* 129,200 5,381,180
Smithfield Foods, Inc.* 56,900 1,304,148
Wild Oats Markets, Inc.* 123,500 1,346,150
-------------
8,031,478
-------------
FOREST PRODUCTS & PAPER -- 0.4%
Bowater, Inc. 30,000 1,123,500
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
235
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
HEALTHCARE -- 9.5%
Allscripts Healthcare
Solutions, Inc.* 388,200 $ 1,424,694
American Healthways, Inc.* 224,200 8,098,104
AmSurg Corp.* 146,500 4,468,250
Caremark Rx, Inc.* 51,100 1,312,248
Coventry Health Care, Inc.* 36,000 1,661,760
Human Genome
Sciences, Inc.* 99,100 1,260,552
Humana, Inc.* 122,000 1,842,200
LifePoint Hospitals, Inc.* 65,925 1,380,469
Manor Care, Inc.* 83,300 2,083,333
Matria Healthcare, Inc.* 61,100 1,078,415
Odyssey Healthcare, Inc.* 102,000 3,774,000
Triad Hospitals, Inc.* 72,200 1,792,004
-------------
30,176,029
-------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.4%
Furniture Brands
International, Inc.* 42,450 1,107,945
-------------
HOUSEHOLD PRODUCTS -- 0.4%
Ferro Corp. 55,700 1,254,921
-------------
LODGING -- 1.0%
Aztar Corp.* 78,100 1,258,191
Vail Resorts, Inc.* 129,500 1,744,365
-------------
3,002,556
-------------
MACHINERY & COMPONENTS -- 1.8%
Agco Corp.* 70,100 1,197,308
Kennametal, Inc. 36,600 1,238,544
Techtronic Industries Co.
Sponsored ADR 42,000 1,411,108
Ultratech, Inc.* 98,800 1,826,812
-------------
5,673,772
-------------
MEDICAL SUPPLIES -- 2.4%
Cholestech Corp.* 199,911 1,973,122
CONMED Corp.* 65,900 1,203,334
Kensey Nash Corp.* 43,300 1,125,800
PSS World Medical, Inc.* 178,300 1,025,225
Sequenom, Inc.* 291,900 793,968
Varian, Inc.* 41,000 1,421,470
-------------
7,542,919
-------------
METALS & MINING -- 0.4%
Precision Castparts Corp. 43,700 1,359,070
-------------
PHARMACEUTICALS -- 4.2%
Abgenix, Inc.* 86,000 902,140
CV Therapeutics, Inc.* 39,000 1,156,740
The Medicines Co.* 26,600 523,754
Omnicare, Inc. 169,300 $ 5,720,647
Pharmaceutical
Resources, Inc.* 61,600 2,997,456
Sangstat Medical Corp.* 59,500 778,855
SICOR, Inc.* 63,900 1,299,726
-------------
13,379,318
-------------
PREPACKAGED SOFTWARE -- 6.7%
Cerner Corp.* 177,500 4,073,625
Dendrite
International, Inc.* 406,900 5,240,872
EPIQ Systems, Inc.* 104,200 1,789,114
Hyperion Solutions Corp.* 33,100 1,117,456
Red Hat, Inc.* 135,200 1,023,464
Sanchez Computer
Associates, Inc.* 176,700 918,840
SonicWALL, Inc.* 188,100 902,880
Take-Two Interactive
Software, Inc.* 193,500 5,483,790
Verity, Inc.* 51,700 654,522
-------------
21,204,563
-------------
REAL ESTATE -- 0.5%
Host Marriott Corp.* 157,800 1,443,870
-------------
RESTAURANTS -- 0.3%
Krispy Kreme
Doughnuts, Inc.* 23,400 963,612
-------------
RETAIL -- 3.6%
Borders Group, Inc.* 69,500 1,223,895
Foot Locker, Inc. 147,000 1,947,750
MSC Industrial
Direct Co. Cl. A* 176,100 3,152,190
O'Reilly Automotive, Inc.* 117,600 3,926,664
Pier 1 Imports, Inc. 62,800 1,281,120
-------------
11,531,619
-------------
TELEPHONE UTILITIES -- 0.7%
General Communication,
Inc. Cl. A* 23,400 202,644
Nextel Partners, Inc. Cl. A* 272,900 1,992,170
-------------
2,194,814
-------------
TRANSPORTATION -- 2.0%
CNF, Inc. 44,800 1,137,024
EGL, Inc.* 93,900 1,427,280
J.B. Hunt Transport
Services, Inc.* 17,690 667,798
Kansas City Southern* 151,600 1,823,748
Werner Enterprises, Inc. 57,200 1,212,640
-------------
6,268,490
-------------
TOTAL EQUITIES
(COST $232,110,056) 259,596,025
=============
<Caption>
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS -- 31.2%
CASH EQUIVALENTS -- 21.5%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 1,448,519 $ 1,448,519
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 1,135,961 1,135,961
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 7,242,594 7,242,594
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 7,242,594 7,242,594
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 1,448,519 1,448,519
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 4,391,798 4,391,798
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 724,259 724,259
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 5,649,224 5,649,224
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 1,086,389 1,086,389
Merrill Lynch Premier
Institutional Money
Market Fund 3,147,444 3,147,444
Merrimac Money
Market Fund 11,841,642 11,841,642
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 3,621,297 3,621,297
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 2,897,038 2,897,038
National Bank
of Commerce
1.073% 11/19/2003 1,810,649 1,810,649
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 6,518,335 6,518,335
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 4,345,557 4,345,557
</Table>
The accompanying notes are an integral part of the financial statements.
236
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 $ 3,621,297 $ 3,621,297
-------------
68,173,116
-------------
REPURCHASE AGREEMENT -- 9.7%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 30,816,065 30,816,065
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 98,989,181
=============
TOTAL INVESTMENTS -- 113.0%
(COST $331,099,237)*** 358,585,206
OTHER ASSETS/
(LIABILITIES) -- (13.0%) (41,285,945)
=============
NET ASSETS -- 100.0% $ 317,299,261
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $30,816,706. Collateralized by U.S. Government Agency
obligation with rates of 1.535% - 3.996%, and maturity dates of 11/25/2030
- 02/01/2033, and an aggregate market value, including accrued interest, of
$32,357,238.
The accompanying notes are an integral part of the financial statements.
237
<Page>
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND -- FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
-------------
ASSETS:
Investments, at value (cost $232,110,056) (NOTE 2) $ 259,596,025
Short-term investments, at amortized cost (NOTE 2) 98,989,181
-------------
Total Investments (including securities on
loan with market values of $65,822,268) 358,585,206
Cash 28,315,671
Receivables from:
Investments sold 303,914
Interest and dividends 88,261
Miscellaneous 3,500
-------------
Total assets 387,296,552
-------------
LIABILITIES:
Payables for:
Investments purchased 1,499,504
Securities on loan (NOTE 2) 68,173,116
Directors' fees and expenses (NOTE 3) 5,903
Affiliates (NOTE 3):
Investment management fees 215,960
Administration fees 62,138
Service fees 25,882
Accrued expense and other liabilities 14,788
-------------
Total liabilities 69,997,291
-------------
NET ASSETS $ 317,299,261
=============
NET ASSETS CONSIST OF:
Paid-in capital $ 404,630,701
Undistributed net investment income (965,992)
Accumulated net realized loss on investments (113,851,417)
Net unrealized appreciation on investments 27,485,969
-------------
$ 317,299,261
=============
NET ASSETS:
Class A $ 46,555,746
=============
Class L $ 55,586,127
=============
Class Y $ 56,057,925
=============
Class S $ 158,980,002
=============
Class N $ 119,461
=============
SHARES OUTSTANDING:
Class A 4,506,783
=============
Class L 5,331,671
=============
Class Y 5,348,087
=============
Class S 15,098,404
=============
Class N 11,635
=============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 10.33
=============
Class L $ 10.43
=============
Class Y $ 10.48
=============
Class S $ 10.53
=============
Class N $ 10.27
=============
</Table>
The accompanying notes are an integral part of the financial statements.
238
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $481) $ 359,982
Interest (including securities lending income
of $41,546) 131,455
----------------
Total investment income 491,437
----------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 1,065,881
Custody fees 24,351
Audit and legal fees 10,623
Shareholder reporting fees 4,315
Directors' fees (NOTE 3) 2,629
Trustee reporting 2,609
----------------
1,110,408
Administration fees (NOTE 3):
Class A 77,501
Class L 94,377
Class Y 59,709
Class S 75,866
Class N 240
Service fees (NOTE 3):
Class A 47,547
Class N 131
Distribution fees (NOTE 3):
Class N 131
----------------
Total expenses 1,465,910
Fees paid indirectly (NOTE 3) (12,797)
----------------
Net expenses 1,453,113
----------------
NET INVESTMENT LOSS (961,676)
----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on investment transactions (19,490,965)
Net change in unrealized appreciation (depreciation)
on investments 65,995,739
----------------
NET REALIZED AND UNREALIZED GAIN 46,504,774
----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 45,543,098
================
</Table>
The accompanying notes are an integral part of the financial statements.
239
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (961,676) $ (1,820,440)
Net realized loss on investment transactions (19,490,965) (34,654,647)
Net change in unrealized appreciation (depreciation) on investments 65,995,739 (43,535,331)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 45,543,098 (80,010,418)
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 4,374,056 14,378,517
Class L 3,190,188 14,558,557
Class Y 4,670,077 10,911,155
Class S 12,607,272 9,717,738
Class N - 101,000*
----------------- -----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 24,841,593 49,666,967
----------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 70,384,691 (30,343,451)
NET ASSETS:
Beginning of period 246,914,570 277,258,021
----------------- -----------------
End of period (including undistributed net investment income of
$965,992 and distributions in excess of net investment income of
$4,316, respectively) $ 317,299,261 $ 246,914,570
================= =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
240
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
----------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.76 $ 11.79 $ 13.37 $ 15.86 $ 10.00
---------------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.05)*** (0.11)*** (0.08)*** (0.04)*** (0.03)***
Net realized and unrealized gain (loss)
on investments 1.62 (2.92) (1.50) (2.08) 6.06
---------------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 1.57 (3.03) (1.58) (2.12) 6.03
---------------- ---------- ---------- ---------- ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - - (0.00)**** -
Tax return of capital - - - (0.00)**** -
From net realized gains - - - (0.37) (0.17)
---------------- ---------- ---------- ---------- ------------
Total distributions - - - (0.37) (0.17)
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.33 $ 8.76 $ 11.79 $ 13.37 $ 15.86
================ ========== ========== ========== ============
TOTAL RETURN@ 17.92%** (25.70)% (11.82)% (13.82)% 60.42%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 46,556 $ 35,509 $ 32,095 $ 15,854 $ 1,742
Ratio of expenses to average daily net assets:
Before expense waiver 1.51%* 1.51% 1.51% 1.53% 1.79%*
After expense waiver# 1.50%*(a) 1.50%(a) 1.49% 1.50% N/A
Net investment loss to average daily net assets (1.12)%* (1.08)% (0.67)% (0.28)% (0.39)%*
Portfolio turnover rate 24%** 51% 114% 97% 68%**
</Table>
<Table>
<Caption>
CLASS L
----------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.83 $ 11.85 $ 13.41 $ 15.88 $ 10.00
---------------- ---------- ---------- ---------- -----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.04)*** (0.08)*** (0.05)*** (0.01)*** (0.01)***
Net realized and unrealized gain (loss)
on investments 1.64 (2.94) (1.51) (2.08) 6.06
---------------- ---------- ---------- ---------- -----------
Total income (loss) from investment
operations 1.60 (3.02) (1.56) (2.09) 6.05
---------------- ---------- ---------- ---------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - - (0.01) (0.00)****
Tax return of capital - - - (0.00)**** -
From net realized gains - - - (0.37) (0.17)
---------------- ---------- ---------- ---------- -----------
Total distributions - - - (0.38) (0.17)
---------------- ---------- ---------- ---------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.43 $ 8.83 $ 11.85 $ 13.41 $ 15.88
================ ========== ========== ========== ===========
TOTAL RETURN@ 18.12%** (25.49)% (11.63)% (13.54)% 60.55%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 55,586 $ 44,419 $ 43,839 $ 21,000 $ 2,198
Ratio of expenses to average daily net assets:
Before expense waiver 1.26%* 1.26% 1.26% 1.28% 1.52%*
After expense waiver# 1.25%*(a) 1.25%(a) 1.24% 1.25% N/A
Net investment loss to average daily net assets (0.87)%* (0.83)% (0.40)% (0.03)% (0.12)%*
Portfolio turnover rate 24%** 51% 114% 97% 68%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
**** DISTRIBUTIONS FROM NET INVESTMENT INCOME AND TAX RETURN OF CAPITAL ARE LESS
THAN $0.01 PER SHARE.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000 THROUGH DECEMBER
31, 2000, THE YEAR ENDED DECEMBER 31, 2001 AND THE PERIOD JANUARY 1, 2002
THROUGH APRIL 30, 2002.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNT (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN
THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHANGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
241
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.87 $ 11.89 $ 13.43 $ 15.90 $ 10.00
---------------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.03)*** (0.07)*** (0.03)*** 0.02*** 0.01***
Net realized and unrealized gain (loss)
on investments 1.64 (2.95) (1.51) (2.10) 6.07
---------------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 1.61 (3.02) (1.54) (2.08) 6.08
---------------- ---------- ---------- ---------- ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - - (0.02) (0.01)
Tax return of capital - - - (0.00)**** -
From net realized gains - - - (0.37) (0.17)
---------------- ---------- ---------- ---------- ------------
Total distributions - - - (0.39) (0.18)
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.48 $ 8.87 $ 11.89 $ 13.43 $ 15.90
================ ========== ========== ========== ============
TOTAL RETURN@ 18.15%** (25.40)% (11.47)% (13.44)% 60.71%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 56,058 $ 43,123 $ 44,759 $ 35,864 $ 12,667
Ratio of expenses to average daily net assets:
Before expense waiver 1.11%* 1.11% 1.11% 1.13% 1.31%*
After expense waiver# 1.10%*(a) 1.10%(a) 1.09% 1.10% N/A
Net investment income (loss) to average
daily net assets (0.72)%* (0.68)% (0.25)% 0.11% 0.14%*
Portfolio turnover rate 24%** 51% 114% 97% 68%**
<Caption>
CLASS S
----------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.91 $ 11.92 $ 13.45 $ 15.91 $ 10.00
---------------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.03)*** (0.06)*** (0.01)*** 0.04*** 0.02***
Net realized and unrealized gain (loss)
on investments 1.65 (2.95) (1.52) (2.10) 6.07
---------------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 1.62 (3.01) (1.53) (2.06) 6.09
---------------- ---------- ---------- ---------- ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - - (0.03) (0.01)
Tax return of capital - - - (0.00)**** -
From net realized gains - - - (0.37) (0.17)
---------------- ---------- ---------- ---------- ------------
Total distributions - - - (0.40) (0.18)
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.53 $ 8.91 $ 11.92 $ 13.45 $ 15.91
================ ========== ========== ========== ============
TOTAL RETURN@ 18.18%** (25.25)% (11.38)% (13.32)% 60.91%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 158,980 $ 123,762 $ 156,565 $ 147,368 $ 92,254
Ratio of expenses to average daily net assets:
Before expense waiver 0.97%* 0.97% 0.97% 0.99% 1.19%*
After expense waiver# 0.96%*(a) 0.96%(a) 0.95% 0.97% N/A
Net investment income (loss) to average
daily net assets (0.58)%* (0.54)% (0.09)% 0.26% 0.19%*
Portfolio turnover rate 24%** 51% 114% 97% 68%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
**** DISTRIBUTIONS FROM TAX RETURN OF CAPITAL IS LESS THAN $0.01 PER SHARE.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000 THROUGH DECEMBER
31, 2000, THE YEAR ENDED DECEMBER 31, 2001 AND THE PERIOD JANUARY 1, 2002
THROUGH APRIL 30, 2002.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNT (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN
THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHANGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
242
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
----------------- -----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.72 $ 8.68
----------------- -----------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.06)*** (0.00)***+
Net realized and unrealized gain on investments 1.61 0.04
----------------- -----------------
Total income from investment operations 1.55 0.04
----------------- -----------------
NET ASSET VALUE, END OF PERIOD $ 10.27 $ 8.72
================= =================
TOTAL RETURN@ 17.78%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 119 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.81%* -^
After expense waiver# 1.80%*(a) -^
Net investment loss to average daily net assets (1.43)%* -^
Portfolio turnover rate 24%** 51%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNT (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN
THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHANGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
243
<Page>
MASSMUTUAL SMALL COMPANY GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL SMALL COMPANY
GROWTH FUND?
The objectives and policies of the Fund are to:
- - achieve long-term capital appreciation
- - invest primarily in a diversified portfolio of equity securities of smaller
companies (companies with a market capitalization, at the time of purchase,
within the range of market capitalizations of companies in the Russell 2000
Index)
- - utilize a growth-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market
position or operating characteristics
- offer above-average levels of profitability or superior growth potential
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
21.76%, well ahead of the 17.88% return of the Russell 2000 Index, an unmanaged
index of 2000 small capitalization common stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
The war in Iraq officially began on March 20, at which time the resolve and
commitment of the U.S.-led coalition became quite clear. The looming threat of
war had sent the stock market further into retreat in early December and by
early February, we began to see an impact to business in general. Once the war
got underway, it removed some of the uncertainty from the markets, as investors
turned their attention away from the world political stage and back to business
fundamentals.
Against this backdrop, the Fund's volatility factor and its cash position helped
performance in January and February, but hindered returns in March as the market
rallied over the first half of the month. Our relative underweighting in
technology held us back in the quarter, but much of the tech rally was in "junk
tech"--stocks without any earnings and selling for under $10 a share. Our
overweight in energy and basic materials was a positive contributor during the
quarter. Small cap stocks turned in another strong earnings season in the first
quarter--and sales growth was the strongest since the fourth quarter of 2000.
In the second quarter, progress in Iraq helped to lift the remaining cloud of
uncertainty overhanging the stock market and investors returned in April to find
things better than expected. During the quarter, the stock market finally
rewarded our portfolio companies for their fundamental performance in 2002, as
irrational pessimism finally gave way to old-fashioned realism about valuations
and opportunity. The economy also grew in the first and second quarters, albeit
slowly, while expectations of a strong second half of the year continued to
mount.
In this environment, the four dominant sectors by weight in the Russell 2000
Growth Index contributed significantly to our performance during the second
quarter--as our financial services, health care, technology and consumer
discretionary companies excelled. Our information technology and
telecommunications issues also outperformed during the three months ending June
30.
In addition to our health care exposure, we continue to emphasize technology
stocks. We recently took some profits in several of our pure-growth technology
and defense technology holdings and, for the first time in four years, made
select investments in cyclical technology companies, taking advantage of the
up-tick in product order rates these companies are experiencing.
WHAT IS YOUR OUTLOOK?
While it is true that stock valuations are high, assuming no real recovery in
corporate earnings, the massive amount of liquidity injected into the economy by
the Fed should prevent any major market sell-off. We look for future gains,
although some profit taking or consolidation is a strong possibility.
244
<Page>
MASSMUTUAL SMALL COMPANY GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/03)
Pixelworks, Inc.
Polycom, Inc.
E*TRADE Group, Inc.
Red Hat, Inc.
Digimarc Corp.
Mentor Graphics Corp.
Lattice Semiconductor Corp.
Alkermes, Inc.
Hot Topic, Inc.
Digital Insight Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Small Company Growth Fund Class S, Class
A, Class Y, Class L and the Russell 2000 Index
MASSMUTUAL SMALL COMPANY GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 12/3/01 - 6/30/03
Class S 21.76% 1.90% -9.86%
Class A 21.60% 1.43% -10.28%
Class Y 21.79% 1.79% -9.93%
Class L 21.83% 1.67% -10.00%
- -------------------------------------------------------------------------------
Russell 2000Index 17.88% -1.64% -1.59%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS Y CLASS L RUSSELL 2000 INDEX
12/31/2001 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Jun-2002 $ 8,400 $ 8,380 $ 8,400 $ 8,400 $ 9,530
Dec-2002 $ 7,030 $ 6,990 $ 7,020 $ 7,010 $ 7,952
Jun-2003 $ 8,560 $ 8,500 $ 8,550 $ 8,540 $ 9,373
</Table>
Hypothetical Investments in MassMutual Small Company Growth Fund Class N, Class
N (CDSC fees deducted) and the Russell 2000 Index
MASSMUTUAL SMALL COMPANY GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 21.44% 22.32%
Class N (CDSC fees deducted) 20.44% 21.32%
- --------------------------------------------------------------------------
Russell 2000 Index 17.88% 18.17%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2000 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
Mar-2003 $ 9,435 $ 9,335 $ 9,551
Jun-2003 $ 12,232 $ 12,132 $ 11,788
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
245
<Page>
MASSMUTUAL SMALL COMPANY GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 96.2%
ADVERTISING -- 1.0%
DoubleClick, Inc.* 69,300 $ 641,025
-------------
APPAREL, TEXTILES & SHOES -- 4.1%
Chico's FAS, Inc.* 16,700 351,535
Christopher & Banks Corp.* 10,600 392,094
The Gymboree Corp.* 6,900 115,782
Hot Topic, Inc.* 38,300 1,030,653
Pacific Sunwear of
California, Inc.* 6,300 151,767
Phillips-Van Heusen Corp. 19,300 263,059
Quiksilver, Inc.* 23,600 389,164
-------------
2,694,054
-------------
BANKING, SAVINGS & LOANS -- 4.2%
Columbia Bancorp 11,200 268,800
Greater Bay Bancorp 17,000 347,140
Harbor Florida
Bancshares, Inc. 3,300 79,068
NetBank, Inc. 23,800 313,208
Providian Financial Corp.* 72,800 674,128
Silicon Valley Bancshares* 9,200 219,052
Sterling Financial Corp.* 5,410 131,788
UCBH Holdings, Inc. 17,100 490,428
Umpqua Holdings Corp. 8,700 165,213
Westamerica Bancorp 2,100 90,468
-------------
2,779,293
-------------
CHEMICALS -- 0.5%
Symyx Technologies, Inc.* 20,300 331,296
-------------
COMMERCIAL SERVICES -- 3.1%
AMN Healthcare
Services, Inc.* 4,300 54,610
BearingPoint, Inc.* 36,400 351,260
Gevity HR, Inc. 30,227 357,283
iPayment, Inc.* 2,200 52,514
Lexicon Genetics, Inc.* 30,100 201,971
MIM Corp.* 10,000 65,300
Princeton Review, Inc.* 37,000 218,300
Quintiles
Transnational Corp.* 3,200 45,408
Strayer Education, Inc. 4,000 317,800
Sylvan Learning
Systems, Inc.* 15,300 349,452
-------------
2,013,898
-------------
COMMUNICATIONS -- 3.6%
ADC
Telecommunications, Inc.* 91,100 212,081
Crown Castle
International Corp.* 39,500 306,915
Polycom, Inc.* 101,800 $ 1,410,948
SeaChange
International, Inc.* 36,200 345,348
Titan Corp.* 10,400 107,016
-------------
2,382,308
-------------
COMPUTER & DATA PROCESSING SERVICES -- 1.9%
Digimarc Corp.* 79,000 1,240,300
LendingTree, Inc.* 700 17,136
-------------
1,257,436
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 5.9%
Autodesk, Inc. 25,000 404,000
Avid Technology, Inc.* 18,800 659,316
Digital Insight Corp.* 47,500 904,875
Enterasys Networks, Inc.* 45,000 136,350
Jack Henry &
Associates, Inc. 13,200 234,828
Mentor Graphics Corp.* 79,000 1,143,920
Perot Systems Corp. Cl. A* 22,400 254,464
Websense, Inc.* 8,500 133,110
-------------
3,870,863
-------------
COMPUTER PROGRAMMING SERVICES -- 1.1%
Cognizant Technology
Solutions Corp.* 28,300 689,388
-------------
COMPUTER RELATED SERVICES -- 2.2%
Corillian Corp.* 120,189 204,321
Digitas, Inc.* 37,500 186,000
EarthLink, Inc.* 33,600 265,104
Identix, Inc.* 84,400 535,940
RSA Security, Inc.* 22,500 241,875
-------------
1,433,240
-------------
COMPUTERS & INFORMATION -- 2.9%
Cray, Inc.* 30,400 240,160
Foundry Networks, Inc.* 22,400 322,560
Immersion Corp.* 97,500 185,250
Maxtor Corp.* 45,000 337,950
Sandisk Corp.* 13,900 560,865
Western Digital Corp.* 24,500 252,350
-------------
1,899,135
-------------
DATA PROCESSING & PREPARATION -- 0.1%
The TriZetto Group, Inc.* 7,100 42,884
-------------
ELECTRIC UTILITIES -- 0.9%
AES Corp.* 72,600 461,010
Plug Power, Inc.* 24,400 113,948
-------------
574,958
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 12.4%
Active Power, Inc.* 23,100 $ 38,808
Credence Systems Corp.* 11,800 99,946
Cymer, Inc.* 11,500 362,940
Cypress
Semiconductor Corp.* 39,300 471,600
Dupont Photomasks, Inc.* 8,900 167,587
Genesis Microchip, Inc.* 40,000 541,600
Integrated Circuit
Systems, Inc.* 24,600 773,178
Intersil Corp. Cl. A* 32,100 854,181
Lattice
Semiconductor Corp.* 129,400 1,064,962
Marvell Technology
Group Limited* 19,500 670,215
Micrel, Inc.* 39,600 411,444
Microsemi Corp.* 2,100 33,600
Mykrolis Corp.* 18,600 188,790
OmniVision
Technologies, Inc.* 700 21,840
Pixelworks, Inc.* 238,000 1,413,720
Rambus, Inc.* 22,700 376,139
Rudolph
Technologies, Inc.* 10,700 170,772
Skyworks
Solutions, Inc.* 12,700 85,979
Trident
Microsystems, Inc.* 8,100 73,710
Triquint
Semiconductor, Inc.* 64,400 267,904
Zoran Corp.* 700 13,447
-------------
8,102,362
-------------
ENERGY -- 2.0%
CAL Dive International, Inc.* 5,600 122,080
Evergreen Resources, Inc.* 700 38,017
Headwaters, Inc.* 11,000 161,590
Patina Oil & Gas Corp. 14,000 450,100
Tom Brown, Inc.* 17,000 472,430
Varco International, Inc.* 1,600 31,360
-------------
1,275,577
-------------
ENTERTAINMENT & LEISURE -- 3.2%
Alliance Gaming Corp.* 22,800 431,148
Hollywood
Entertainment Corp.* 25,900 445,480
Macrovision Corp.* 24,300 484,056
Multimedia Games, Inc.* 19,300 492,150
Shuffle Master, Inc.* 7,300 214,547
-------------
2,067,381
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
246
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
FINANCIAL SERVICES -- 4.7%
Affiliated Managers
Group, Inc.* 2,400 $ 146,280
American Financial
Realty Trust* 3,100 46,221
BankAtlantic Bancorp,
Inc. Cl. A 6,600 78,474
E*TRADE Group, Inc.* 165,300 1,405,050
East West Bancorp, Inc. 21,600 780,624
Friedman Billings Ramsey
Group, Inc. Cl. A 13,800 184,920
Saxon Capital, Inc.* 17,700 307,626
Stewart (W.P.) & Co. Limited 5,200 116,480
-------------
3,065,675
-------------
HEALTHCARE -- 3.4%
Alliance Imaging, Inc.* 15,500 68,200
Apria Healthcare
Group, Inc.* 6,100 151,768
Community Health
Systems, Inc.* 1,800 34,722
Genesis Health
Ventures, Inc.* 2,100 37,065
Idexx Laboratories, Inc.* 17,100 573,534
Orthodontic Centers
of America, Inc.* 14,600 116,946
Pediatrix Medical
Group, Inc.* 14,000 499,100
Province Healthcare Co.* 6,500 71,955
Select Medical Corp.* 22,400 556,192
Sunrise Senior Living, Inc.* 5,900 132,042
-------------
2,241,524
-------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 1.8%
Brookfield Homes Corp. 35,000 539,700
Standard-Pacific Corp. 19,300 639,988
-------------
1,179,688
-------------
INSURANCE -- 2.1%
Centene Corp.* 8,300 322,870
Infinity Property &
Casualty Corp. 16,600 392,424
RLI Corp. 6,900 227,010
WellChoice, Inc.* 14,400 421,632
-------------
1,363,936
-------------
INTERNET SOFTWARE -- 0.0%
WebEx
Communications, Inc.* 1,000 13,950
-------------
MACHINERY & COMPONENTS -- 0.6%
Chicago Bridge & Iron
Co. N.V 7,000 $ 158,760
Grant Prideco, Inc.* 22,400 263,200
-------------
421,960
-------------
MEDICAL SUPPLIES -- 4.2%
Align Technology, Inc.* 29,300 367,715
Bioject Medical
Technologies, Inc.* 21,500 86,000
Bruker Daltonics, Inc.* 8,300 44,239
Dionex Corp.* 14,000 556,500
FEI Co.* 26,400 495,264
Mentor Corp. 17,400 337,212
Orthofix International NV* 10,900 356,866
Possis Medical, Inc.* 19,100 262,052
PSS World Medical, Inc.* 37,100 213,325
-------------
2,719,173
-------------
PHARMACEUTICALS -- 16.1%
Abgenix, Inc.* 23,608 247,648
Albany Molecular
Research, Inc.* 7,100 107,210
Alkermes, Inc.* 97,800 1,051,350
Antigenics, Inc.* 8,000 92,160
Atherogenics, Inc.* 7,800 116,454
AVI BioPharma, Inc.* 8,400 51,492
Cell Genesys, Inc.* 74,100 640,224
Corixa Corp.* 46,200 357,126
Cubist Pharmaceuticals, Inc.* 82,500 879,450
Dendreon Corp.* 51,800 307,692
Discovery Partners
International, Inc.* 33,600 149,184
Genta, Inc.* 46,600 620,712
Guilford
Pharmaceuticals, Inc.* 55,000 249,700
ICOS Corp.* 11,370 417,847
Isis Pharmaceuticals, Inc.* 79,900 423,470
La Jolla Pharmaceutical Co.* 40,300 131,781
Medarex, Inc.* 69,800 459,982
Nektar Therapeutics* 32,600 300,898
Paradigm Genetics, Inc.* 149,600 212,432
Perrigo Co. 27,000 422,280
Protein Design Labs, Inc.* 34,000 475,320
Savient
Pharmaceuticals, Inc.* 27,900 129,456
Serologicals Corp.* 25,700 350,291
Taro Pharmaceutical
Industries Limited* 9,300 510,384
Telik, Inc.* 32,600 523,882
Third Wave
Technologies, Inc.* 62,200 $ 279,900
Transgenomic, Inc.* 38,000 72,200
Tularik, Inc.* 44,800 445,312
United
Therapeutics Corp.* 17,700 385,506
Vicuron
Pharmaceuticals, Inc.* 7,600 107,768
Viropharma, Inc.* 8,700 22,620
-------------
10,541,731
-------------
PREPACKAGED SOFTWARE -- 7.5%
ActivCard Corp.* 5,400 50,760
Advent Software, Inc.* 16,500 279,015
Cerner Corp.* 11,900 273,105
Concur Technologies, Inc.* 45,300 456,171
Legato Systems, Inc.* 51,200 429,568
MicroStrategy, Inc. Cl. A* 14,000 510,020
Onyx Software Corp.* 196,700 190,799
PC-Tel, Inc.* 24,200 287,012
Pinnacle Systems, Inc.* 62,000 663,400
Quest Software, Inc.* 7,800 92,820
Red Hat, Inc.* 167,300 1,266,461
Roxio, Inc.* 5,200 34,788
THQ, Inc.* 20,900 376,200
-------------
4,910,119
-------------
REAL ESTATE -- 0.8%
WCI Communities, Inc.* 28,900 555,747
-------------
RESTAURANTS -- 0.4%
Chicago Pizza &
Brewery, Inc.* 4,200 42,000
P.F. Chang's China
Bistro, Inc.* 4,500 221,445
-------------
263,445
-------------
RETAIL -- 2.8%
A.C. Moore Arts &
Crafts, Inc.* 22,000 440,660
Cost Plus, Inc.* 12,300 438,618
Duane Reade, Inc.* 33,200 489,700
Insight Enterprises, Inc.* 6,900 69,414
Kenneth Cole Productions,
Inc. Cl. A* 19,600 382,004
-------------
1,820,396
-------------
TELEPHONE UTILITIES - 1.6%
Lightbridge, Inc.* 34,100 298,716
Nextel Partners, Inc. Cl. A* 45,200 329,960
Western Wireless Corp. Cl. A* 33,600 387,408
-------------
1,016,084
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
247
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
TRANSPORTATION -- 1.1%
Arkansas Best Corp. 4,900 $ 116,571
OMI Corp.* 100,000 616,000
-------------
732,571
-------------
TOTAL EQUITIES
(COST $53,811,666) 62,901,097
=============
<Caption>
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS -- 30.8%
CASH EQUIVALENTS -- 26.5%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 242,294 242,294
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 413,920 413,920
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 1,838,937 1,838,937
Canadian Imperial Bank
of Commerce Bank Note
1.500% 05/18/2004 1,838,937 1,838,937
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 367,787 367,787
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 1,115,103 1,115,103
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 183,894 183,894
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 1,434,371 1,434,371
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 275,841 275,841
Merrill Lynch Premier
Institutional Money
Market Fund 799,154 799,154
Merrimac Money
Market Fund 3,006,662 3,006,662
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 919,468 919,468
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 735,575 735,575
National Bank
of Commerce
1.073% 11/19/2003 $ 459,734 $ 459,734
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 1,739,920 1,739,920
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 1,018,486 1,018,486
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 919,468 919,468
-------------
17,309,551
-------------
REPURCHASE AGREEMENT -- 4.3%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 2,847,270 2,847,270
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 20,156,821
=============
TOTAL INVESTMENTS -- 127.0%
(COST $73,968,487)*** 83,057,918
=============
OTHER ASSETS/
(LIABILITIES) -- (27.0%) (17,676,666)
=============
NET ASSETS -- 100.0% $ 65,381,252
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $2,847,329. Collateralized by U.S. Government Agency
obligation with a rate of 2.213%, maturity date of 10/25/2022, and an
aggregate market value, including accrued interest, of $2,993,565.
The accompanying notes are an integral part of the financial statements.
248
<Page>
MASSMUTUAL SMALL COMPANY GROWTH FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
----------------
ASSETS:
Investments, at value (cost $53,811,666) (NOTE 2) $ 62,901,097
Short-term investments, at amortized cost (NOTE 2) 20,156,821
----------------
Total Investments (including securities on
loan with market values of $16,274,722) 83,057,918
Receivables from:
Investments sold 567,506
Investment adviser (NOTE 3) 4,468
Interest and dividends 25,867
Foreign taxes withheld 28
Miscellaneous 8,108
----------------
Total assets 83,663,895
----------------
LIABILITIES:
Payables for:
Investments purchased 854,302
Securities on loan (NOTE 2) 17,309,551
Directors' fees and expenses (NOTE 3) 331
Affiliates (NOTE 3):
Investment management fees 45,965
Administration fees 15,012
Service fees 7,267
Due to custodian 36,728
Accrued expense and other liabilities 13,487
----------------
Total liabilities 18,282,643
----------------
NET ASSETS $ 65,381,252
================
NET ASSETS CONSIST OF:
Paid-in capital $ 59,689,963
Accumulated net investment loss (147,734)
Accumulated net realized loss on investments (3,250,408)
Net unrealized appreciation on investments 9,089,431
----------------
$ 65,381,252
================
NET ASSETS:
Class A $ 17,558,708
================
Class L $ 20,230,885
================
Class Y $ 14,244,286
================
Class S $ 13,224,404
================
Class N $ 122,969
================
SHARES OUTSTANDING:
Class A 2,066,527
================
Class L 2,370,062
================
Class Y 1,665,858
================
Class S 1,544,613
================
Class N 14,565
================
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 8.50
================
Class L $ 8.54
================
Class Y $ 8.55
================
Class S $ 8.56
================
Class N $ 8.44
================
</Table>
The accompanying notes are an integral part of the financial statements.
249
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $42) $ 58,739
Interest (including securities lending
income of $7,944) 25,406
----------------
Total investment income 84,145
----------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 192,744
Custody fees 32,864
Audit and legal fees 9,568
Trustee reporting 2,609
Shareholder reporting fees 691
Directors' fees (NOTE 3) 390
----------------
238,866
Administration fees (NOTE 3):
Class A 15,616
Class L 26,542
Class Y 11,293
Class S 7,757
Class N 207
Service fees (NOTE 3):
Class A 11,183
Class N 130
Distribution fees (NOTE 3):
Class N 130
----------------
Total expenses 311,724
Expenses waived (NOTE 3) (36,848)
Fees paid indirectly (NOTE 3) (43,103)
----------------
Net expenses 231,773
----------------
NET INVESTMENT LOSS (147,628)
----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investment transactions 269,874
Net change in unrealized appreciation (depreciation)
on investments 10,119,044
----------------
NET REALIZED AND UNREALIZED GAIN 10,388,918
----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 10,241,290
================
</Table>
The accompanying notes are an integral part of the financial statements.
250
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (147,628) $ (87,703)
Net realized gain (loss) on investment transactions 269,874 (3,520,282)
Net change in unrealized appreciation (depreciation) on investments 10,119,044 (1,029,613)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 10,241,290 (4,637,598)
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 10,535,789 5,600,256
Class L 6,146,915 11,017,774
Class Y 1,297,888 10,672,456
Class S 2,393,774 2,008,208
Class N - 100,500 *
----------------- -----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 20,374,366 29,399,194
----------------- -----------------
TOTAL INCREASE IN NET ASSETS 30,615,656 24,761,596
NET ASSETS:
Beginning of period 34,765,596 10,004,000
----------------- -----------------
End of period (including accumulated net investment loss
of $147,734 and $106, respectively) $ 65,381,252 $ 34,765,596
================= =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
251
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ------------ --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.99 $ 10.00 $ 10.00
---------------- ------------ --------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)*** (0.06)*** -
Net realized and unrealized gain (loss)
on investments 1.54 (2.95) -
---------------- ------------ --------------
Total income (loss) from investment
operations 1.51 (3.01) -
---------------- ------------ --------------
NET ASSET VALUE, END OF PERIOD $ 8.50 $ 6.99 $ 10.00
================ ============ ==============
TOTAL RETURN@ 21.60%** (30.10)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 17,559 $ 5,038 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.65% * 1.83% -
After expense waiver# 1.30%*(a) 1.16%(a) -
Net investment loss to average daily net assets (0.93)%* (0.80)% -
Portfolio turnover rate 69% ** 150% -
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ------------ --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.01 $ 10.00 $ 10.00
---------------- ------------ --------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.04)*** -
Net realized and unrealized gain (loss)
on investments 1.55 (2.95) -
---------------- ------------ --------------
Total income (loss) from investment
operations 1.53 (2.99) -
---------------- ------------ --------------
NET ASSET VALUE, END OF PERIOD $ 8.54 $ 7.01 $ 10.00
================ ============ ==============
TOTAL RETURN@ 21.83%** (29.90)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 20,231 $ 10,319 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.40% * 1.58% -
After expense waiver# 1.05%*(a) 0.92%(a) -
Net investment loss to average daily net assets (0.67)%* (0.59)% -
Portfolio turnover rate 69%** 150% -
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ------------ --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.02 $ 10.00 $ 10.00
---------------- ------------ --------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.04)*** -
Net realized and unrealized gain (loss)
on investments 1.55 (2.94) -
---------------- ------------ --------------
Total income (loss) from investment
operations 1.53 (2.98) -
---------------- ------------ --------------
NET ASSET VALUE, END OF PERIOD $ 8.55 $ 7.02 $ 10.00
================ ============ ==============
TOTAL RETURN@ 21.79%** (29.80)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 14,244 $ 10,545 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.25%* 1.43% -
After expense waiver# 0.90%*(a) 0.83%(a) -
Net investment loss to average daily net assets( 0.54)%* (0.52)% -
Portfolio turnover rate 69%** 150% -
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ------------ --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.02 $ 10.00 $ 10.00
---------------- ------------ --------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.03)*** -
Net realized and unrealized gain (loss)
on investments 1.56 (2.95) -
---------------- ------------ --------------
Total income (loss) from investment
operations 1.54 (2.98) -
---------------- ------------ --------------
NET ASSET VALUE, END OF PERIOD $ 8.56 $ 7.02 $ 10.00
================ ============ ==============
TOTAL RETURN@ 21.76%** (29.70)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 13,224 $ 8,763 $ 10,001
Ratio of expenses to average daily net assets:
Before expense waiver 1.21%* 1.39% -
After expense waiver# 0.86%*(a) 0.80%(a) -
Net investment loss to average daily net assets (0.49)%* (0.41)% -
Portfolio turnover rate 69%** 150% -
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ THE FUND COMMENCED OPERATIONS ON DECEMBER 31, 2001.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2002
AND THE SIX MONTHS ENDED JUNE 30, 2003.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
252
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
----------------- -----------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.95 $ 6.90
----------------- -----------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.04)*** 0.00***+
Net realized and unrealized gain on investments 1.53 0.05
----------------- -----------------
Total income from investment operations 1.49 0.05
----------------- -----------------
NET ASSET VALUE, END OF PERIOD $ 8.44 $ 6.95
================= =================
TOTAL RETURN@ 21.44%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 123 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.95%* -^
After expense waiver# 1.60%*(a) -^
Net investment loss to average daily net assets (1.24)% * -^
Portfolio turnover rate 69%** 150%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE SIX MONTHS ENDED JUNE 30,
2003.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
253
<Page>
MASSMUTUAL EMERGING GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL EMERGING
GROWTH FUND?
The objectives and policies of the Fund are to:
- - achieve capital appreciation
- - invest primarily in a diversified portfolio of equity securities of smaller,
emerging growth companies
- - utilize a growth-oriented strategy in making investment decisions
- - utilize fundamental analysis to identify companies which:
- are of high investment quality or possess a unique product, market
position or operating characteristics
- offer above-average levels of profitability or superior growth potential
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
19.27%, outperforming the 17.88% return of the Russell 2000 Index, an unmanaged
index of 2000 small capitalization common stocks. Over the same period, the
Russell 2000 Growth Index, which tracks the performance of stocks in the Russell
2000 Index sharing characteristics common to the growth universe, returned
19.33%.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE--AND HOW DID YOU RESPOND?
During the first quarter, investors continued to be challenged by the market
environment, as the impending war with Iraq combined with a continuation of
generally downward economic data to create a great deal of uncertainty in the
markets. For the period, large cap stocks performed slightly better than the
broader market and small- and mid cap stocks declined the most.
During this challenging time, technology-related companies were among the
standouts in our portfolio, as it seems that growth investors who had long shied
away from technology stocks began to expand their technology weighting. With
selective, yet abundant opportunities in technology, we remained overweighted in
that sector during the first quarter. We also maintained an overweight to the
health care sector during this time frame.
In the second quarter, investors' appetite for growth stocks returned, providing
a positive backdrop for the Fund, which advanced strongly on an absolute basis,
although it did trail the benchmark somewhat.
We invest with the premise that powerful revenue growth most often leads to
significant earnings power--and that earnings drives stock prices. One example
of this can be seen in Omnivison Technologies, Inc., which saw its revenues
increase more than 100% in the last four quarters. The stock has been a big
winner in 2003. Conversely, in health care, Priority Healthcare Corporation
announced that second quarter earnings would be under expectations and the stock
declined, detracting from returns.
During the second quarter, our consumer weighting represented 27% of the
portfolio, versus just under 21% for the benchmark. This significant overweight
was driven by the appreciation of a significant number of our retail positions
(Urban Outfitters Inc., Cost Plus Inc. and Pacific Sunwear of California), as
well as an overweighting to, and strong performance from, Internet positions. We
believe the Internet continues to change the way we live, and thus creates many
exciting investment opportunities.
WHAT IS YOUR OUTLOOK?
The recent quarter has helped to solidify returns dating back to the end of the
third quarter in 2002. With historically low interest rates and an improving
economy, we have a positive outlook for emerging growth equities. Despite the
decent run-up in many stocks this year, the portfolio is not expensive on a
historic price/earnings growth rate basis.
254
<Page>
MASSMUTUAL EMERGING GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/03)
O2Micro International Limited
Marvell Technology Group Limited
United Surgical Partners International, Inc.
M-Systems Flash Disk Pioneers Limited
CIMA Labs, Inc.
Pacific Sunwear of California, Inc.
Station Casinos, Inc.
Overture Services, Inc.
Urban Outfitters, Inc.
Bright Horizons Family Solutions, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Emerging Growth Fund Class S, Class A,
Class Y, Class L and the Russell 2000 Index
MASSMUTUAL EMERGING GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/1/02 - 6/30/03
Class S 19.27% -2.95% -23.56%
Class A 18.70% -3.90% -24.02%
Class Y 19.05% -3.41% -23.68%
Class L 18.87% -3.65% -23.85%
- ------------------------------------------------------------------------------
Russell 2000 Index 17.88% -1.64% -2.20%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS Y CLASS L RUSSELL 2000 INDEX
5/1/2000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/2000 $ 10,760 $ 10,760 $ 10,760 $ 10,760 $ 10,238
6/30/2001 $ 6,790 $ 6,760 $ 6,790 $ 6,770 $ 10,297
6/30/2002 $ 4,400 $ 4,360 $ 4,400 $ 4,380 $ 9,411
6/30/2003 $ 4,270 $ 4,190 $ 4,250 $ 4,220 $ 9,257
</Table>
Hypothetical Investments in MassMutual Emerging Growth Fund Class N, Class N
(CDSC fees deducted) and the Russell 2000 Index
MASSMUTUAL EMERGING GROWTH FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 18.80% 19.14%
Class N (CDSC fees deducted) 17.80% 18.14%
- ------------------------------------------------------------------------------
Russell 2000 Index 17.88% 18.17%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2000 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 9,629 $ 9,529 $ 9,551
6/30/2003 $ 11,914 $ 11,814 $ 11,788
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
255
<Page>
MASSMUTUAL EMERGING GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
EQUITIES -- 95.0%
ADVERTISING -- 0.6%
DoubleClick, Inc.* 44,000 $ 407,000
Valueclick, Inc.* 17,100 103,113
-------------
510,113
-------------
AEROSPACE & DEFENSE -- 0.1%
MTC Technologies, Inc.* 3,400 79,764
-------------
AIR TRANSPORTATION -- 2.0%
Forward Air Corp.* 23,150 587,315
JetBlue Airways Corp.* 24,300 1,027,647
-------------
1,614,962
-------------
APPAREL, TEXTILES & SHOES -- 3.7%
Coach, Inc.* 13,850 688,899
Pacific Sunwear of
California, Inc.* 52,275 1,259,305
Urban Outfitters, Inc.* 30,600 1,098,540
-------------
3,046,744
-------------
BANKING, SAVINGS & LOANS -- 0.9%
NetBank, Inc. 57,400 755,384
-------------
BEVERAGES -- 0.7%
Peet's Coffee & Tea, Inc.* 31,650 552,609
-------------
Entravision Communications
Corp. Cl. A* 20,950 237,782
Radio One, Inc. Cl. A* 9,250 165,205
Radio One, Inc. Cl. D* 45,450 807,646
-------------
1,608,125
-------------
BUILDING MATERIALS & CONSTRUCTION -- 0.1%
Merge Technologies, Inc.* 4,300 56,115
-------------
CHEMICALS -- 0.8%
Applied Films Corp.* 25,350 656,058
-------------
COMMERCIAL SERVICES -- 13.8%
The Advisory Board Co.* 2,300 93,196
Ariba, Inc.* 61,300 182,061
Bright Horizons Family
Solutions, Inc.* 32,550 1,092,378
Career Education Corp.* 12,950 886,039
The Corporate Executive
Board Co.* 20,300 822,759
eResearch
Technology, Inc.* 35,600 788,896
Exact Sciences Corp.* 78,300 858,168
FTI Consulting, Inc.* 25,625 639,856
Gen-Probe, Inc.* 4,000 163,480
Global Payments, Inc. 20,100 $ 713,550
Kroll, Inc.* 34,400 930,864
Navigant Consulting, Inc.* 41,700 494,145
Neurocrine
Biosciences, Inc.* 10,750 536,855
Overture Services, Inc.* 64,100 1,162,133
Pharmaceutical Product
Development, Inc.* 21,950 630,623
University of
Phoenix Online* 17,050 864,435
Wireless Facilities, Inc.* 34,300 408,170
-------------
11,267,608
-------------
COMMUNICATIONS -- 1.4%
Centillium
Communications, Inc.* 44,300 439,013
Ciena Corp.* 9,300 48,267
Research In Motion
Limited* 13,700 296,057
Sonus Networks, Inc.* 32,200 161,966
Verisity Limited* 13,800 164,772
-------------
1,110,075
-------------
COMPUTER & DATA PROCESSING SERVICES -- 2.0%
Anteon International Corp.* 28,650 799,621
LendingTree, Inc.* 33,300 815,184
-------------
1,614,805
-------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 1.2%
Digital Insight Corp.* 25,100 478,155
NetScreen
Technologies, Inc.* 22,400 505,120
-------------
983,275
-------------
COMPUTER PROGRAMMING SERVICES -- 2.8%
Business Objects SA
Sponsored ADR* 24,700 542,165
Cognizant Technology
Solutions Corp.* 31,000 755,160
Documentum, Inc.* 23,950 471,096
Kana Software, Inc.* 26,200 79,386
Portal Software, Inc.* 42,100 84,200
RealNetworks, Inc.* 35,700 242,046
VeriSign, Inc.* 6,300 87,129
-------------
2,261,182
-------------
COMPUTER RELATED SERVICES -- 1.3%
Checkfree Corp.* 12,200 339,648
CNET Networks, Inc.* 78,100 486,563
Digitas, Inc.* 17,100 84,816
eSpeed, Inc. Cl. A* 3,200 $ 63,232
Sierra Wireless* 19,300 119,274
-------------
1,093,533
-------------
COMPUTERS & INFORMATION -- 2.5%
Emulex Corp.* 16,600 377,982
M-Systems Flash Disk
Pioneers Limited* 119,400 1,328,922
SRA International,
Inc. Cl. A* 10,850 347,200
-------------
2,054,104
-------------
DATA PROCESSING & PREPARATION -- 0.6%
Alliance Data
Systems Corp.* 6,100 142,740
WebMD Corp.* 33,850 366,595
-------------
509,335
-------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 15.8%
ASM International NV* 47,450 705,581
August Technology Corp.* 50,350 319,722
Cree, Inc.* 24,150 393,162
DSP Group, Inc.* 39,200 843,976
Exar Corp.* 27,000 427,410
FormFactor, Inc.* 800 14,160
Genesis Microchip, Inc.* 5,400 73,116
Integrated Circuit
Systems, Inc.* 20,950 658,458
Integrated Device
Technology, Inc.* 41,250 455,812
Intersil Corp. Cl. A* 30,900 822,249
Ixia* 47,200 303,496
Marvell Technology
Group Limited* 42,550 1,462,444
Nanometrics, Inc.* 8,500 60,180
O2Micro International
Limited* 134,750 2,170,823
OmniVision
Technologies, Inc.* 28,250 881,400
Photon Dynamics, Inc.* 12,250 338,468
PLX Technology, Inc.* 54,400 214,336
PMC-Sierra, Inc.* 12,200 143,106
Power Integrations, Inc.* 22,750 553,280
Rudolph
Technologies, Inc.* 20,100 320,796
Silicon Laboratories, Inc.* 15,400 410,256
Virage Logic Corp.* 17,300 125,252
Wilson Greatbatch
Technologies, Inc.* 23,050 832,105
Zoran Corp.* 18,900 363,069
-------------
12,892,657
-------------
</Table>
The accompanying notes are an integral part of the financial statements.
256
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
------------- -------------
ENTERTAINMENT & LEISURE -- 0.5%
Leapfrog
Enterprises, Inc.* 13,400 $ 426,254
-------------
FINANCIAL SERVICES -- 1.1%
AmeriCredit Corp.* 10,600 90,630
Boston Private
Financial Holdings, Inc. 15,400 324,632
E-LOAN, Inc.* 79,200 461,736
-------------
876,998
-------------
HEALTHCARE -- 5.1%
Accredo Health, Inc.* 28,525 621,845
Covance, Inc.* 22,150 400,915
IMPAC Medical
Systems, Inc.* 4,050 84,564
LifePoint Hospitals, Inc.* 6,300 131,922
Odyssey Healthcare, Inc.* 17,200 636,400
Sunrise Senior Living, Inc.* 39,300 879,534
United Surgical Partners
International, Inc.* 62,800 1,418,652
-------------
4,173,832
-------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.6%
Select Comfort Corp.* 31,650 518,427
-------------
INFORMATION RETRIEVAL SERVICES -- 4.9%
Agile Software Corp.* 42,500 410,125
Ask Jeeves, Inc.* 62,800 863,500
Autobytel, Inc.* 12,800 79,872
Avocent Corp.* 21,300 637,509
CoStar Group, Inc.* 23,000 686,780
Infospace, Inc.* 60,600 822,342
RADWARE Limited* 28,800 493,344
-------------
3,993,472
-------------
INSURANCE -- 0.6%
AMERIGROUP Corp.* 14,200 528,240
-------------
INTERNET SOFTWARE -- 0.6%
WebEx
Communications, Inc.* 9,100 126,945
webMethods, Inc.* 42,450 345,119
-------------
472,064
-------------
LODGING -- 2.0%
Four Seasons Hotels, Inc. 8,900 385,014
Station Casinos, Inc.* 48,850 1,233,463
-------------
1,618,477
-------------
MACHINERY & COMPONENTS -- 0.7%
Ultratech, Inc.* 29,700 549,153
-------------
MANUFACTURING -- 0.0%
Genus, Inc.* 12,200 32,940
-------------
MEDICAL SUPPLIES -- 5.0%
Advanced Neuromodulation
Systems, Inc.* 10,000 $ 517,700
Align Technology, Inc.* 5,500 69,025
Biosite, Inc.* 22,000 1,058,200
Inamed Corp.* 15,400 826,826
Integra LifeSciences
Holdings Corp.* 19,350 510,453
Inveresk Research
Group, Inc.* 24,550 441,655
LTX Corp.* 41,700 359,454
Osteotech, Inc.* 19,100 259,569
-------------
4,042,882
-------------
METALS & MINING -- 0.7%
Steel Dynamics, Inc.* 38,750 530,875
-------------
PHARMACEUTICALS -- 9.8%
Able Laboratories, Inc.* 4,800 95,040
Andrx Corp.* 23,550 468,645
Angiotech
Pharmaceuticals, Inc.* 17,900 729,246
Atherogenics, Inc.* 45,650 681,555
CIMA Labs, Inc.* 49,000 1,317,610
Impax Laboratories, Inc.* 10,300 123,497
Inspire
Pharmaceuticals, Inc.* 8,150 88,020
K-V Pharmaceutical
Co. Cl. A* 15,200 422,560
Martek Biosciences Corp.* 19,850 852,359
The Medicines Co.* 24,100 474,529
MGI Pharma, Inc.* 3,200 82,016
NPS Pharmaceuticals, Inc.* 6,050 147,257
Penwest
Pharmaceuticals Co.* 1,200 29,244
Pharmaceutical
Resources, Inc.* 15,100 734,766
Priority Healthcare
Corp. Cl. B* 8,200 152,110
Regeneration
Technologies, Inc.* 12,200 162,138
Taro Pharmaceutical
Industries Limited* 10,450 573,496
Telik, Inc.* 41,550 667,709
VCA Antech, Inc.* 12,300 240,711
-------------
8,042,508
-------------
PREPACKAGED SOFTWARE -- 6.1%
Altiris, Inc.* 52,050 1,043,603
Barra, Inc.* 3,900 139,230
Concur Technologies, Inc.* 25,500 256,785
Magma Design
Automation, Inc.* 18,500 317,275
Micromuse, Inc.* 25,800 206,142
MicroStrategy, Inc. Cl. A* 11,550 420,767
Packeteer, Inc.* 41,400 $ 644,598
Pinnacle Systems, Inc.* 61,900 662,330
Quest Software, Inc.* 38,950 463,505
Retek, Inc.* 68,500 438,400
Verity, Inc.* 31,150 394,359
-------------
4,986,994
-------------
RESTAURANTS -- 0.1%
Chicago Pizza &
Brewery, Inc.* 10,700 107,000
-------------
RETAIL -- 3.8%
Cost Plus, Inc.* 30,300 1,080,498
CSK Auto Corp.* 15,100 218,195
ebookers PLC
Sponsored ADR* 29,300 470,324
Guitar Center, Inc.* 5,500 159,500
Kenneth Cole
Productions, Inc. Cl. A* 8,900 173,461
Kirkland's, Inc.* 24,600 397,290
Tractor Supply Co.* 12,700 606,425
-------------
3,105,693
-------------
RETAIL - INTERNET -- 0.4%
Priceline.com, Inc.* 15,616 349,642
-------------
TELEPHONE UTILITIES -- 0.7%
West Corp.* 21,050 560,983
-------------
TOTAL EQUITIES
(COST $66,043,761) 77,582,882
=============
WARRANTS -- 0.3%
TRANSPORTATION
Expedia, Inc. Warrants*5,276 287,753
-------------
TOTAL WARRANTS
(COST $37,527) 287,753
=============
TOTAL LONG TERM INVESTMENTS
(COST $66,081,288) 77,870,635
=============
<Caption>
PRINCIPAL
AMOUNT
---------
SHORT-TERM INVESTMENTS -- 31.9%
CASH EQUIVALENTS -- 27.4%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 474,680 474,680
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 372,255 372,255
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 2,373,402 2,373,402
</Table>
The accompanying notes are an integral part of the financial statements.
257
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
------------- -------------
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 $ 2,373,402 $ 2,373,402
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 474,680 474,680
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 1,439,195 1,439,195
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 237,340 237,340
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 1,851,254 1,851,254
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 356,010 356,010
Merrill Lynch Premier
Institutional Money
Market Fund 1,031,419 1,031,419
Merrimac Money
Market Fund 3,880,513 3,880,513
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 1,186,701 1,186,701
Morgan Stanley
Dean Witter & Co.
1.455% 01/29/2004 949,361 949,361
National Bank
of Commerce
1.073% 11/19/2003 593,351 593,351
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 2,136,063 2,136,063
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 1,424,042 1,424,042
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 1,186,701 1,186,701
-------------
22,340,369
-------------
REPURCHASE AGREEMENT -- 4.5%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) $ 3,682,314 $ 3,682,314
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 26,022,683
-------------
TOTAL INVESTMENTS -- 127.2%
(COST $92,103,971)*** 103,893,318
-------------
OTHER ASSETS/
(LIABILITIES) -- (27.2%) (22,228,913)
-------------
NET ASSETS -- 100.0% $ 81,664,405
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $3,682,391. Collateralized by U.S. Government Agency
obligation with a rate of 4.625%, maturity date of 09/25/2016, and
aggregate market value, including accrued interest, of $3,866,430.
The accompanying notes are an integral part of the financial statements.
258
<Page>
MASSMUTUAL EMERGING GROWTH FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
----------------
ASSETS:
Investments, at value (cost $66,081,288) (NOTE 2) $ 77,870,635
Short-term investments, at amortized cost (NOTE 2) 26,022,683
----------------
Total Investments (including securities on
loan with market values of $21,492,313) 103,893,318
Cash 7,546
Receivables from:
Investments sold 1,688,593
Interest and dividends 8,918
Foreign taxes withheld 36
----------------
Total assets 105,598,411
----------------
LIABILITIES:
Payables for:
Investments purchased 1,499,556
Securities on loan (NOTE 2) 22,340,369
Directors' fees and expenses (NOTE 3) 2,224
Affiliates (NOTE 3):
Investment management fees 53,521
Administration fees 15,972
Service fees 8,835
Accrued expense and other liabilities 13,529
----------------
Total liabilities 23,934,006
----------------
NET ASSETS $ 81,664,405
================
NET ASSETS CONSIST OF:
Paid-in capital $ 156,047,451
Accumulated net investment loss (314,765)
Accumulated net realized loss on investments and
foreign currency translation (85,857,628)
Net unrealized appreciation on investments 11,789,347
----------------
$ 81,664,405
================
NET ASSETS:
Class A $ 15,932,383
================
Class L $ 32,570,852
================
Class Y $ 2,254,569
================
Class S $ 30,786,388
================
Class N $ 120,213
================
SHARES OUTSTANDING:
Class A 3,801,972
================
Class L 7,714,827
================
Class Y 531,086
================
Class S 7,216,409
================
Class N 28,856
================
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 4.19
================
Class L $ 4.22
================
Class Y $ 4.25
================
Class S $ 4.27
================
Class N $ 4.17
================
</Table>
The accompanying notes are an integral part of the financial statements.
259
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $10) $ 5,470
Interest (including securities lending income
of $30,218) 40,406
----------------
Total investment income 45,876
----------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 253,654
Custody fees 31,498
Audit and legal fees 9,851
Trustee reporting 2,609
Shareholder reporting fees 953
Directors' fees (NOTE 3) 601
----------------
299,166
Administration fees (NOTE 3):
Class A 20,972
Class L 41,354
Class Y 1,707
Class S 10,544
Class N 198
Service fees (NOTE 3):
Class A 15,679
Class N 129
Distribution fees (NOTE 3):
Class N 129
----------------
Total expenses 389,878
Expenses waived (NOTE 3) (31,109)
----------------
Net expenses 358,769
----------------
NET INVESTMENT LOSS (312,893)
----------------
REALIZED AND UNREALIZED GAIN (LOSS): Net realized
gain (loss) on:
Investment transactions (3,566,542)
Foreign currency transactions 8
----------------
Net realized loss (3,566,534)
----------------
Net change in unrealized appreciation (depreciation)
on investments 16,218,512
----------------
NET REALIZED AND UNREALIZED GAIN 12,651,978
----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 12,339,085
================
</Table>
The accompanying notes are an integral part of the financial statements.
260
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (312,893) $ (670,768)
Net realized loss on investment transactions and
foreign currency translations (3,566,534) (28,647,276)
Net change in unrealized appreciation (depreciation) on investments 16,218,512 (14,827,940)
----------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 12,339,085 (44,145,984)
----------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 3,382,030 3,620,031
Class L 6,749,164 7,998,155
Class Y 227,063 (194,556)
Class S 1,466,404 (8,248,280)
Class N - 101,000*
----------------- -----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 11,824,661 3,276,350
----------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 24,163,746 (40,869,634)
NET ASSETS:
Beginning of period 57,500,659 98,370,293
----------------- -----------------
End of period (including accumulated net investment loss of
$314,765 and $1,872, respectively) $ 81,664,405 $ 57,500,659
================= =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
261
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
----------------- ----------- ----------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.53 $ 6.11 $ 7.31 $ 10.00
----------------- ----------- ----------- -------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.05)*** (0.06)*** (0.05)***
Net realized and unrealized gain (loss) on investments 0.68 (2.53) (1.14) (2.64)
----------------- ----------- ----------- -------------
Total income (loss) from investment operations 0.66 (2.58) (1.20) (2.69)
----------------- ----------- ----------- -------------
NET ASSET VALUE, END OF PERIOD $ 4.19 $ 3.53 $ 6.11 $ 7.31
================= =========== =========== =============
TOTAL RETURN@ 18.70% ** (42.23)% (16.53)% (26.80)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 15,932 $ 10,153 $ 12,760 $ 5,197
Ratio of expenses to average daily net assets:
Before expense waiver 1.52%* 1.46% 1.44% 1.48%*
After expense waiver# 1.42%* 1.39% 1.41% N/A
Net investment loss to average daily net assets (1.28)%* (1.23)% (0.96)% (0.82)%*
Portfolio turnover rate 84%** 175% 139% 132%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
----------------- ----------- ----------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.55 $ 6.13 $ 7.31 $ 10.00
----------------- ----------- ----------- -------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.04)*** (0.04)*** (0.03)***
Net realized and unrealized gain (loss) on investments 0.69 (2.54) (1.14) (2.66)
----------------- ----------- ----------- -------------
Total income (loss) from investment operations 0.67 (2.58) (1.18) (2.69)
----------------- ----------- ----------- -------------
NET ASSET VALUE, END OF PERIOD $ 4.22 $ 3.55 $ 6.13 $ 7.31
================= =========== =========== =============
TOTAL RETURN@ 18.87%** (42.09)% (16.37)% (26.70)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 32,571 $ 20,924 $ 26,106 $ 12,753
Ratio of expenses to average daily net assets:
Before expense waiver 1.27%* 1.21% 1.18% 1.23%*
After expense waiver# 1.17%* 1.14% 1.16% N/A
Net investment loss to average daily net assets (1.03)%* (0.98)% (0.71)% (0.54)%*
Portfolio turnover rate 84%** 175% 139% 132%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2000.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2001 THROUGH
DECEMBER 31, 2001, THE YEAR ENDED DECEMBER 31, 2002 AND THE PERIOD JANUARY
1, 2003 THROUGH APRIL 30, 2003.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
262
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00~
----------------- ----------- ----------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.57 $ 6.15 $ 7.32 $ 10.00
----------------- ----------- ----------- -------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.04)*** (0.03)*** (0.02)***
Net realized and unrealized gain
(loss) on investments 0.70 (2.54) (1.14) (2.66)
----------------- ----------- ----------- -------------
Total income (loss) from investment
operations 0.68 (2.58) (1.17) (2.68)
----------------- ----------- ----------- -------------
NET ASSET VALUE, END OF PERIOD $ 4.25 $ 3.57 $ 6.15 $ 7.32
================= =========== =========== =============
TOTAL RETURN@ 19.05%** (41.95)% (16.10)% (26.70)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,255 $ 1,664 $ 3,309 $ 3,222
Ratio of expenses to average daily net
assets:
Before expense waiver 1.12%* 1.06% 1.04% 1.06%*
After expense waiver# 1.02%* 0.99% 1.01% N/A
Net investment loss to average daily
net assets (0.88)%* (0.83)% (0.55)% (0.35)%*
Portfolio turnover rate 84%** 175% 139% 132%**
</Table>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01
---------------- ------------ --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.58 $ 6.15 $ 7.32
---------------- ------------ --------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.03)*** (0.03)***
Net realized and unrealized gain
(loss) on investments 0.70 (2.54) (1.14)
---------------- ------------ --------------
Total income (loss) from investment
operations 0.69 (2.57) (1.17)
---------------- ------------ --------------
NET ASSET VALUE, END OF PERIOD $ 4.27 $ 3.58 $ 6.15
================ ============ ==============
TOTAL RETURN@ 19.27%** (41.79)% (16.10)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 30,786 $ 24,658 $ 56,195
Ratio of expenses to average daily net
assets:
Before expense waiver 1.02%* 0.96% 0.94%
After expense waiver# 0.92%* 0.89% 0.91%
Net investment loss to average daily
net assets (0.78)%* (0.73)% (0.45)%
Portfolio turnover rate 84%** 175% 139%
<Caption>
CLASS S CLASS N
------- -------
SIX MONTHS ENDED
PERIOD ENDED 6/30/03 PERIOD ENDED
12/31/00~ (UNAUDITED) 12/31/02~~
---------------- ---------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 3.51 $ 3.50
---------------- ------------ --------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.03)*** (0.00)***+
Net realized and unrealized gain
(loss) on investments (2.66) 0.69 0.01
---------------- ------------ --------------
Total income (loss) from investment
operations (2.68) 0.66 0.01
---------------- ------------ --------------
NET ASSET VALUE, END OF PERIOD $ 7.32 $ 4.17 $ 3.51
================ ============ ==============
TOTAL RETURN@ (26.70)%** 18.80%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 58,872 $ 120 $ 101
Ratio of expenses to average daily net
assets:
Before expense waiver 0.98%* 1.81%* -^
After expense waiver# N/A 1.72%* -^
Net investment loss to average daily
net assets (0.29)%* (1.57)%* -^
Portfolio turnover rate 132%** 84%** 175%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~ FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2000.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2001 THROUGH
DECEMBER 31, 2001, THE YEAR ENDED DECEMBER 31, 2002 AND THE PERIOD JANUARY
1, 2003 THROUGH APRIL 30, 2003.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
263
<Page>
MASSMUTUAL INTERNATIONAL EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL INTERNATIONAL
EQUITY FUND?
The objectives and policies of the Fund are to:
- - achieve a high total rate of return over the long term
- - invest in a diversified portfolio of foreign and domestic equity securities
- - utilize dominant themes to guide investment decisions with respect to risks
of investing in foreign securities (economic, political and social influences
that are expected to dictate long-term growth trends)
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
14.71%, considerably outpacing the 9.47% return of the Morgan Stanley Capital
International Europe, Australasia, Far East (MSCI EAFE) Index, a market
capitalization-weighted, unmanaged index of over 1,000 foreign stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Equity markets were largely down throughout the first quarter, although markets
did show some signs of life once a specific date was set for the U.S.-led
invasion of Iraq.
The Fund was hit by several stock-specific events during the quarter. The most
pernicious was an 80% drop in French pharmaceutical Nicox, which plummeted after
one of its drugs was pulled from a stage two trial. Additionally, Brazilian
regional jet manufacturer Embraer fell after Continental airlines delayed one of
its orders. In our opinion, both of these cases represented investor
overreaction. Embraer, for example, is one of the real jewels of Latin American
manufacturing. It is the number-one manufacturer of regional jets and has an
excellent management team. Although its exposure to the airline industry
certainly adds risk to the company's profile, what is more important is their
positioning in the transformation of the airline industry. The hub and spoke
system has come under significant stress as low-cost carriers, which focus on
specific, high-revenue routes, have gained significant market share. Regional
jets are ideal for this market and Embraer is the best-suited company in the
world to take advantage of this transformation.
Equity markets around the world staged a strong rally in the second quarter, as
the successful military campaign in Iraq brought investors back to fundamental,
long-term investing. The key contributors to the Fund's results during the
performance period were some of our high-conviction stocks, including Embraer,
Boskalis and UBI Soft, which had hurt us during the bear market. As described
above, regional jet maker Embraer had been hit by the bad news in the U.S.
airline industry, while Boskalis and UBI Soft were both hit by one-time events
in spite of having good fundamentals. Each of these rallied strongly during the
second quarter.
WHAT IS YOUR OUTLOOK?
It is still too early to predict how long this rally will sustain itself;
nonetheless, we are encouraged both by the length of the rally as well as the
underlying fundamentals in the market, which we believe are quite strong.
Indeed, the dividend yield on European equities now rivals the bond yield in
most European economies - a relative valuation we have not seen for decades.
264
<Page>
MASSMUTUAL INTERNATIONAL EQUITY FUND
LARGEST COUNTRY WEIGHTINGS (6/30/03)
<Table>
<Caption>
% OF FUND
United Kingdom 16.70%
Netherlands 14.56%
Japan 13.12%
France 10.98%
Germany 8.94%
Australia 4.90%
India 3.92%
Brazil 3.51%
South Korea 3.45%
Spain 2.88%
</Table>
MASSMUTUAL INTERNATIONAL EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/03)
Boskalis Westminster
Embraer -- Empresa Brasileira de
Aeronautica SA, Preference
Novogen Limited
SkyePharma PLC
Aalberts Industries NV
UBI Soft Entertainment SA
Collins Stewart Holdings PLC
Jenoptik AG
KDDI Corp.
Anglo Irish Bank Corp. PLC
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual International Equity Fund Class S and the
Morgan Stanley Capital International Index for Europe, Australia and the Far
East (MSCI EAFE)
MASSMUTUAL INTERNATIONAL EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 10/3/94 - 6/30/03
Class S 14.71% -13.29% -4.87% 2.40%
- -------------------------------------------------------------------------------------------------
MSCI EAFE 9.47% -6.46% -4.00% 1.34%
</Table>
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[CHART]
<Table>
<Caption>
CLASS S MSCI EAFE
10/3/1994 $ 10,000 $ 10,000
6/30/1995 $ 9,510 $ 10,156
6/30/1996 $ 10,734 $ 11,505
6/30/1997 $ 13,477 $ 12,981
6/30/1998 $ 15,788 $ 13,773
6/30/1999 $ 15,004 $ 14,822
6/30/2000 $ 23,548 $ 17,365
6/30/2001 $ 17,722 $ 13,266
6/30/2002 $ 14,185 $ 12,007
6/30/2003 $ 12,300 $ 11,231
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE MSCI EAFE IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
265
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual International Equity Fund Class A, Class
Y and the Morgan Stanley Capital International Index for Europe, Australasia and
the Far East (MSCI EAFE)
MASSMUTUAL INTERNATIONAL EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 7/1/98 - 6/30/03 1/1/98 - 6/30/03
Class A 14.53% -13.60% -5.30% -1.98%
Class Y 14.91% -13.21% -4.88% -1.56%
- --------------------------------------------------------------------------------------------------
MSCI EAFE 9.47% -6.46% -4.00% -1.02%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS A CLASS Y MSCI EAFE
1/1/1998 $ 10,000 $ 10,000 $ 10,000
6/30/1998 $ 11,760 $ 11,780 $ 11,593
6/30/1999 $ 11,115 $ 11,191 $ 12,476
6/30/2000 $ 17,364 $ 17,551 $ 14,616
6/30/2001 $ 13,003 $ 13,208 $ 11,166
6/30/2002 $ 10,368 $ 10,569 $ 10,106
6/30/2003 $ 8,958 $ 9,172 $ 9,453
</Table>
Hypothetical Investments in MassMutual International Equity Fund Class L and the
Morgan Stanley Capital International Index for Europe, Australasia and the Far
East (MSCI EAFE)
MASSMUTUAL INTERNATIONAL EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/3/99 - 6/30/03
Class L 14.67% -13.44% -4.64%
- -----------------------------------------------------------------------
MSCI EAFE 9.47% -6.46% -6.77%
</Table>
[CHART]
<Table>
<Caption>
CLASS L MSCI EAFE
5/3/1999 $ 10,000 $ 10,000
6/30/1999 $ 10,092 $ 9,855
6/30/2000 $ 15,791 $ 11,546
6/30/2001 $ 11,859 $ 8,820
6/30/2002 $ 9,482 $ 7,983
6/30/2003 $ 8,208 $ 7,467
</Table>
Hypothetical Investments in MassMutual International Equity Fund Class N, Class
N (CDSC fees deducted) and the Morgan Stanley Capital International Index for
Europe, Australasia and the Far East (MSCI EAFE)
MASSMUTUAL INTERNATIONAL EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 14.44% 15.18%
Class N (CDSC fees deducted) 13.44% 14.18%
- --------------------------------------------------------------------------
MSCI EAFE 9.47% 10.31%
- --------------------------------------------------------------------------
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) MSCI EAFE
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 8,594 $ 8,494 $ 9,179
6/30/2003 $ 11,518 $ 11,418 $ 10,947
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE MSCI EAFE IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
266
<Page>
MASSMUTUAL INTERNATIONAL EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------- -------------
EQUITIES -- 97.4%
AEROSPACE & DEFENSE -- 3.5%
Embraer - Empresa
Brasileira de
Aeronautica SA,
Preference 5,035,219 $ 23,903,605
-------------
AUTOS & HOUSING -- 0.6%
Porsche AG, Preference 9,109 3,859,825
-------------
BANKING -- 5.3%
ABN Amro Holding NV 160,300 3,064,914
Anglo Irish Bank
Corp. PLC* 1,537,900 13,598,447
Banco Popolare di
Verona e Novara Scr l460,600 6,294,212
ICICI Bank Limited
Sponsored ADR* 725,475 5,274,203
Lloyds TSB Group PLC 25,710 3,022,480
Royal Bank of Scotland
Group PLC 165,500 4,642,753
-------------
35,897,009
-------------
BEVERAGES -- 1.3%
Foster's Group Limited 1,002,660 2,830,989
Pernod-Ricard SA 64,520 5,756,863
-------------
8,587,852
-------------
CHEMICALS -- 0.8%
SGL Carbon AG* 372,898 5,609,599
-------------
COMPUTER SOFTWARE/SERVICES -- 7.1%
Infosys Technologies
Limited* 113,563 7,978,617
Logitech International
SA Registered* 175,851 6,595,029
NIIT Limited 1,557,725 4,778,433
Software AG Registered* 248,863 3,609,393
T-Online International AG* 562,693 5,815,466
Unit 4 Agresso NV* 935,485 6,714,093
Yahoo Japan Corp.* 817 13,267,959
-------------
48,758,990
-------------
CONSUMER SERVICES -- 3.1%
Amadeus Global Travel
Distribution SA Cl. A 1,059,600 6,071,738
BTG PLC* 2,714,430 6,270,979
Prosegur, Compania
de Seguridad SA 451,834 6,677,716
Randstad Holdings NV 166,100 1,842,541
-------------
20,862,974
-------------
DIVERSIFIED FINANCIAL -- 7.5%
3i Group PLC 1,032,526 $ 9,626,715
Collins Stewart
Holdings PLC 2,196,737 15,224,956
Magnus Holding NV* 2,305,161 1,641,207
Marschollek
Lautenschlaeger und
Partner AG* 821,605 12,265,264
Societe Generale Cl. A 46,040 2,918,400
United Internet
AG Registered 228,878 3,889,880
Van der Moolen
Holding NV 402,912 5,612,308
-------------
51,178,730
-------------
ELECTRICAL EQUIPMENT -- 5.9%
ASM International NV* 761,600 11,324,992
Canon, Inc. 234,000 10,737,790
Halma PLC 3,029,690 6,699,335
Toshiba Corp. 543,000 1,867,658
Ushio, Inc. 833,000 9,642,891
-------------
40,272,666
-------------
ELECTRONICS -- 2.8%
Epcos AG* 199,552 2,571,103
Hamamatsu Photonics KK 102,500 1,428,982
Keyence Corp. 33,790 6,190,964
Omron Corp. 542,021 9,140,892
-------------
19,331,941
-------------
ENTERTAINMENT & LEISURE -- 4.2%
Eidos PLC* 3,335,930 7,514,122
Infogrames
Entertainment SA* 720,394 4,293,465
UBI Soft
Entertainment SA* 867,972 16,695,177
-------------
28,502,764
-------------
FOODS -- 0.5%
Carrefour SA 66,060 3,237,677
-------------
HEALTHCARE/DRUGS -- 14.1%
Aventis SA 93,730 5,156,741
Biovail Corp.* 64,700 3,044,782
Cie Generale D'Optique
Essilor International SA 67,170 2,705,861
Fresenius AG, Preference 97,795 4,621,224
Fujisawa Pharmaceutical
Co. Limited 158,000 2,960,650
GlaxoSmithKline PLC 332,055 6,701,394
NeuroSearch A/S* 293,295 3,399,812
Nicox SA* 918,500 5,431,964
Novogen Limited* 5,787,000 $ 20,802,746
Pliva d.d. GDR~ 229,735 3,179,831
Sanofi-Synthelabo SA 99,320 5,816,710
Shionogi & Co. Limited 481,000 6,517,485
SkyePharma PLC* 17,128,310 19,643,913
Takeda Chemical
Industries Limited 165,000 6,087,446
-------------
96,070,559
-------------
HEALTHCARE/SUPPLIES & SERVICES -- 3.5%
Amersham PLC 621,470 4,663,603
Art Advanced Research
Technologies, Inc.* 1,832,027 3,155,064
Cambridge Antibody
Technology Group PLC* 199,190 1,725,661
Centerpulse AG Registered* 16,846 4,533,175
Luxottica Group SpA 129,200 1,764,066
Marshall Edwards, Inc.* 870,300 5,098,307
Ortivus AB, A Shares* 228,600 799,607
Ortivus AB, B Shares* 679,410 2,249,160
-------------
23,988,643
-------------
HOUSEHOLD PRODUCTS -- 1.7%
Hunter Douglas NV 138,531 4,613,340
SEB SA 83,128 7,321,721
-------------
11,935,061
-------------
INDUSTRIAL - DIVERSIFIED -- 0.5%
Ackermans & van
Haaren NV 163,690 3,101,534
-------------
INDUSTRIAL SERVICES -- 4.9%
Boskalis Westminster 1,360,502 33,402,377
-------------
INSURANCE -- 0.9%
Ceres Group, Inc.*~~ 27,000 175,500
Ceres Group,
Inc., Preference*~~ 66,772 434,018
Ceres Group, Inc.,
Preference Callable*~~ 900,000 5,850,000
-------------
6,459,518
-------------
MANUFACTURING -- 7.0%
Aalberts Industries NV 1,084,815 19,059,768
GSI Lumonics, Inc.* 544,400 3,669,256
Jenoptik AG 1,098,426 14,127,305
Konica Corp. 681,000 7,752,880
Technip-Coflexip SA 35,160 3,076,623
-------------
47,685,832
-------------
MEDIA -- 6.6%
British Sky Broadcasting
Group PLC* 570,973 6,326,890
</Table>
The accompanying notes are an integral part of the financial statements.
267
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
--------- -------------
Grupo Televisa SA
Sponsored GDR 141,100 $ 4,867,950
Mediaset SpA 665,000 5,628,072
News Corp. Limited 620,600 4,661,570
Societe Television
Francaise 1 204,010 6,278,512
Sogecable SA* 365,500 6,891,774
Thomson Multimedia SA 193,220 2,979,879
Wolters Kluwer NV 234,994 2,833,457
ZEE Telefilms Limited 2,456,902 4,660,555
-------------
45,128,659
-------------
REAL ESTATE -- 0.7%
Solidere GDR*~ 926,088 4,517,455
-------------
RETAIL - GENERAL -- 5.0%
Buhrmann NV* 1,319,900 9,109,321
Dixons Group PLC 3,509,810 7,645,154
LG Home Shopping, Inc. 197,012 13,112,141
Medion AG 104,839 4,557,996
-------------
34,424,612
-------------
TELECOMMUNICATIONS -- 4.9%
BT Group PLC 1,992,250 6,698,386
Ericsson (LM) Cl. B* 3,174,000 3,409,949
SK Telecom Co. Limited 20,280 3,463,474
Tandberg ASA* 1,598,400 8,281,636
Videsh Sanchar Nigam
Limited ADR 759,605 4,025,907
Vodafone Group PLC 3,785,140 7,401,658
-------------
33,281,010
-------------
TELEPHONE UTILITIES -- 2.6%
KDDI Corp. 3,565 13,805,748
Telecom Italia Mobile SpA 741,500 3,652,910
-------------
17,458,658
-------------
TRANSPORTATION -- 2.4%
Eurotunnel SA* 3,618,082 2,659,064
Hyundai Heavy Industries
Co. Limited* 335,279 6,904,866
Sinotrans Limited* 4,156,000 1,172,486
Tsakos Energy
Navigation Limited 397,894 5,689,884
-------------
16,426,300
-------------
TOTAL EQUITIES
(COST $747,349,529) 663,883,850
=============
WARRANTS -- 0.4%
ENTERTAINMENT & LEISURE -- 0.1%
UBI Soft Entertainment
SA Warrants* 867,972 498,363
-------------
HEALTHCARE/SUPPLIES & SERVICES -- 0.3%
Marshall Edwards,
Inc. Warrants*++ 875,000 1,849,490
-------------
INSURANCE -- 0.0%
Ceres Group, Inc.
Warrants, Series C-1*~~ 30,048 $ 195,312
Ceres Group, Inc.
Warrants, Series D*~~ 2,700 17,550
-------------
212,862
-------------
TOTAL WARRANTS
(COST $0) 2,560,715
-------------
TOTAL LONG TERM INVESTMENTS
(COST $747,349,529) 666,444,565
=============
<Caption>
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS -- 14.8%
CASH EQUIVALENTS -- 13.2%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 1,920,839 1,920,839
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 1,506,365 1,506,365
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 9,604,194 9,604,194
Canadian Imperial Bank
of Commerce Bank Note
1.500% 05/18/2004 9,604,194 9,604,194
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 1,920,839 1,920,839
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 5,823,836 5,823,836
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 960,419 960,419
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 7,491,271 7,491,271
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 1,440,629 1,440,629
Merrill Lynch Premier
Institutional Money
Market Fund 4,173,734 4,173,734
Merrimac Money
Market Fund 15,702,857 15,702,857
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 4,802,097 4,802,097
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 $ 3,841,678 $ 3,841,678
National Bank
of Commerce
1.073% 11/19/2003 2,401,049 2,401,049
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 8,643,775 8,643,775
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 5,762,516 5,762,516
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 4,802,097 4,802,097
-------------
90,402,389
-------------
REPURCHASE AGREEMENT -- 1.6%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 10,770,974 10,770,974
-------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 101,173,363
=============
TOTAL INVESTMENTS -- 112.6%
(COST $848,522,892)*** 767,617,928
OTHER ASSETS/
(LIABILITIES) -- (12.6%) (86,117,466)
=============
NET ASSETS -- 100.0% $ 681,500,462
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
ADR - American Depository Receipt.
GDR - Global Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $10,771,199. Collateralized by U.S. Government Agency
obligation with a rate of 1.535%, maturity date of 04/25/2029, and
aggregate market value, including accrued interest, of $11,310,798.
~ 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.
~~ This security is valued in good faith under procedures established by the
board of directors.
The accompanying notes are an integral part of the financial statements.
268
<Page>
MASSMUTUAL INTERNATIONAL EQUITY FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
----------------
ASSETS:
Investments, at value (cost $747,349,529) (NOTE 2) $ 666,444,565
Short-term investments, at amortized cost (NOTE 2) 101,173,363
----------------
Total Investments (including securities on loan with market values of $85,303,226) 767,617,928
Receivables from:
Investments sold 4,966,502
Interest and dividends 2,591,442
Foreign taxes withheld 435,408
----------------
Total assets 775,611,280
----------------
LIABILITIES:
Payables for:
Investments purchased 1,249,334
Securities on loan (NOTE 2) 90,402,389
Directors' fees and expenses (NOTE 3) 15,846
Affiliates (NOTE 3):
Investment management fees 493,152
Administration fees 93,959
Service fees 21,261
Due to custodian 1,768,521
Accrued expense and other liabilities 66,356
----------------
Total liabilities 94,110,818
----------------
NET ASSETS $ 681,500,462
================
NET ASSETS CONSIST OF:
Paid-in capital $ 1,143,560,665
Undistributed net investment income 4,090,227
Accumulated net realized loss on investments and foreign currency translations (385,227,626)
Net unrealized depreciation on investments, forward foreign currency contracts,
foreign currency and other assets and liabilities (80,922,804)
----------------
$ 681,500,462
================
NET ASSETS:
Class A $ 37,728,748
================
Class L $ 136,984,920
================
Class Y $ 39,837,498
================
Class S $ 466,833,032
================
Class N $ 116,264
================
SHARES OUTSTANDING:
Class A 5,206,728
================
Class L 18,850,866
================
Class Y 5,445,868
================
Class S 63,685,520
================
Class N 16,133
================
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 7.25
================
Class L $ 7.27
================
Class Y $ 7.32
================
Class S $ 7.33
================
Class N $ 7.21
================
</Table>
The accompanying notes are an integral part of the financial statements.
269
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
----------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $722,611) $ 7,313,157
Interest (including securities lending income of $464,284) 396,538
----------------
Total investment income 7,709,695
----------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 2,473,090
Custody fees 356,185
Audit and legal fees 12,315
Shareholder reporting fees 9,923
Directors' fees (NOTE 3) 6,237
Trustee reporting 2,609
----------------
2,860,359
Administration fees (NOTE 3):
Class A 46,332
Class L 155,301
Class Y 27,738
Class S 234,427
Class N 170
Service fees (NOTE 3):
Class A 39,238
Class N 123
Distribution fees (NOTE 3):
Class N 123
----------------
Total expenses 3,363,811
Fees paid indirectly (NOTE 3) (100,361)
----------------
Net expenses 3,263,450
----------------
NET INVESTMENT INCOME 4,446,245
----------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investment transactions (123,990,891)
Foreign currency transactions (1,976,464)
----------------
Net realized loss (125,967,355)
----------------
Net change in unrealized appreciation (depreciation) on:
Investments 211,590,830
Translation of assets and liabilities in foreign currencies 1,370,552
----------------
Net unrealized gain 212,961,382
----------------
NET REALIZED AND UNREALIZED GAIN 86,994,027
----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 91,440,272
================
</Table>
The accompanying notes are an integral part of the financial statements.
270
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 4,446,245 $ 8,835,011
Net realized loss on investment transactions
and foreign currency transactions (125,967,355) (153,956,478)
Net change in unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in foreign currencies 212,961,382 (105,287,248)
---------------- -----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 91,440,272 (250,408,715)
---------------- -----------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (251,552)
Class L - (891,605)
Class Y - (447,982)
Class S - (5,128,278)
---------------- -----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (6,719,417)
---------------- -----------------
Tax return of capital:
Class A - (14,617)
Class L - (52,542)
Class Y - (26,469)
Class S - (301,428)
---------------- -----------------
TOTAL TAX RETURN OF CAPITAL - (395,056)
---------------- -----------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 1,648,892 5,283,168
Class L 23,305,641 27,652,859
Class Y (8,695,844) 652,866
Class S (36,295,054) (85,930,691)
Class N - 101,000*
---------------- -----------------
DECREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS (20,036,365) (52,240,798)
---------------- -----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 71,403,907 (309,763,986)
NET ASSETS:
Beginning of period 610,096,555 919,860,541
---------------- -----------------
End of period (including undistributed net investment income of
$4,090,227 and distributions in excess of net investment income of
$356,018, respectively) $ 681,500,462 $ 610,096,555
================ =================
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
271
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99
---------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.32 $ 9.12 $ 12.06 $ 16.91 $ 11.37
---------- -------- -------- -------- --------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.04*** 0.05*** 0.04*** (0.13)*** (0.04)***
Net realized and unrealized gain (loss)
on investments 0.89 (2.80) (2.98) (1.50) 6.39
---------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.93 (2.75) (2.94) (1.63) 6.35
---------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.05) (0.00)++ (0.02) (0.00)++
Tax return of capital - (0.00)++ - - -
From net realized gains - - - (3.20) (0.81)
---------- -------- -------- -------- --------
Total distributions - (0.05) (0.00) (3.22) (0.81)
---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 7.25 $ 6.32 $ 9.12 $ 12.06 $ 16.91
========== ======== ======== ======== ========
TOTAL RETURN@ 14.53%** (30.11)% (24.37)% (9.30)% 56.25%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 37,729 $ 30,849 $ 39,762 $ 26,246 $ 548
Ratio of expenses to average daily net assets:
Before expense waiver 1.53%* 1.53% 1.51% 1.67% 1.55%
After expense waiver# 1.49%*(a) 1.52%(a) 1.50% N/A N/A
Net investment income (loss) to average daily
net assets 1.18%* 0.67% 0.42% (0.81)% (0.28)%
Portfolio turnover rate 31%** 40% 38% 69% 63%
<Caption>
CLASS A
-------
YEAR ENDED
12/31/98+
----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.81
--------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01***
Net realized and unrealized gain (loss)
on investments 0.53
--------
Total income (loss) from investment
operations 0.54
--------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.12)
Tax return of capital -
From net realized gains (1.86)
--------
Total distributions (1.98)
--------
NET ASSET VALUE, END OF PERIOD $ 11.37
========
TOTAL RETURN@ 4.40%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 135
Ratio of expenses to average daily net assets:
Before expense waiver 1.69%
After expense waiver# N/A
Net investment income (loss) to average daily
net assets 0.10%
Portfolio turnover rate 80%
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99~
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.34 $ 9.13 $ 12.07 $ 16.89 $ 12.00
---------- -------- -------- -------- --------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.04*** 0.08*** 0.07*** (0.06)** (0.05)***
Net realized and unrealized gain (loss)
on investments 0.89 (2.81) (2.99) (1.54) 5.78
---------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.93 (2.73) (2.92) (1.60) 5.73
---------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.06) (0.02) (0.02) (0.03)
Tax return of capital - (0.00)++ - - -
From net realized gains - - - (3.20) (0.81)
---------- -------- -------- -------- --------
Total distributions - (0.06) (0.02) (3.22) (0.84)
---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 7.27 $ 6.34 $ 9.13 $ 12.07 $ 16.89
========== ======== ======== ======== ========
TOTAL RETURN@ 14.67%** (29.89)% (24.18)% (9.12)% 48.17%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 136,985 $ 95,876 $106,987 $ 67,113 $ 7,335
Ratio of expenses to average daily net assets:
Before expense waiver 1.28%* 1.28% 1.26% 1.37% 1.26%*
After expense waiver# 1.25%*(a) 1.27%(a) 1.25% N/A N/A
Net investment income (loss) to average daily
net assets 1.46%* 0.97% 0.66% (0.37)% (0.54)%*
Portfolio turnover rate 31%** 40% 38% 69% 63%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
+ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
++ DISTRIBUTIONS FROM NET INVESTMENT INCOME AND TAX RETURN OF CAPITAL ARE
LESS THAN $0.01 PER SHARE.
~ FOR THE PERIOD FROM MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1999.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001
THROUGH DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHANGES
AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE
CHARGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
272
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99
---------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.37 $ 9.18 $ 12.14 $ 16.95 $ 11.37
---------- -------- -------- -------- --------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.05*** 0.08*** 0.08*** 0.00***++ (0.01)***
Net realized and unrealized gain (loss)
on investments 0.90 (2.81) (3.01) (1.58) 6.44
---------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.95 (2.73) (2.93) (1.58) 6.43
---------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.08) (0.03) (0.03) (0.04)
Tax return of capital - (0.00)++ - - -
From net realized gains - - - (3.20) (0.81)
---------- -------- -------- -------- --------
Total distributions - (0.08) (0.03) (3.23) (0.85)
---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 7.32 $ 6.37 $ 9.18 $ 12.14 $ 16.95
========== ======== ======== ======== ========
TOTAL RETURN@ 14.91%** (29.82)% (24.10)% (8.97)% 57.04%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 39,837 $ 41,795 $ 51,999 $ 31,651 $ 9,335
Ratio of expenses to average daily net assets:
Before expense waiver 1.12%* 1.12% 1.11% 1.18% 1.11%
After expense waiver# 1.09%*(a) 1.11%(a) 1.10% N/A N/A
Net investment income (loss) to average daily
net assets 1.56%* 1.07% 0.79% 0.02% (0.09)%
Portfolio turnover rate 31%** 40% 38% 69% 63%
<Caption>
CLASS Y
-------
YEAR ENDED
12/31/98+
----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.83
--------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.06***
Net realized and unrealized gain (loss)
on investments 0.55
--------
Total income (loss) from investment
operations 0.61
--------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.21)
Tax return of capital -
From net realized gains (1.86)
--------
Total distributions (2.07)
--------
NET ASSET VALUE, END OF PERIOD $ 11.37
========
TOTAL RETURN@ 4.84%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 503
Ratio of expenses to average daily net assets:
Before expense waiver 1.23%
After expense waiver# N/A
Net investment income (loss) to average daily
net assets 0.43%
Portfolio turnover rate 80%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/02 12/31/01 12/31/00 12/31/99
---------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.39 $ 9.21 $ 12.16 $ 16.96 $ 11.37
---------- -------- -------- ---------- ----------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.09*** 0.08*** 0.04*** 0.05***
Net realized and unrealized gain (loss)
on investments 0.89 (2.83) (3.00) (1.61) 6.38
---------- -------- -------- ---------- ----------
Total income (loss) from investment
operations 0.94 (2.74) (2.92) (1.57) 6.43
---------- -------- -------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.08) (0.03) (0.03) (0.03)
Tax return of capital - (0.00)++ - - -
From net realized gains - - - (3.20) (0.81)
---------- -------- -------- ---------- ----------
Total distributions - (0.08) (0.03) (3.23) (0.84)
---------- -------- -------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.33 $ 6.39 $ 9.21 $ 12.16 $ 16.96
========== ======== ======== ========== ==========
TOTAL RETURN@ 14.71%** (29.82)% (23.99)% (8.95)% 56.98%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 466,833 $441,475 $721,113 $1,027,623 $1,087,858
Ratio of expenses to average daily net assets:
Before expense waiver 1.10%* 1.10% 1.08% 1.12% 1.06%
After expense waiver# 1.06%*(a) 1.09%(a) 1.07% N/A N/A
Net investment income to average daily net assets 1.57%* 1.18% 0.82% 0.22% 0.42%
Portfolio turnover rate 31%** 40% 38% 69% 63%
<Caption>
CLASS S
-------
YEAR ENDED
12/31/98(1)
-----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.38
--------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income 0.10
Net realized and unrealized gain (loss)
on investments 0.51
--------
Total income (loss) from investment
operations 0.61
--------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.17)
Tax return of capital -
From net realized gains (1.45)
--------
Total distributions (1.62)
--------
NET ASSET VALUE, END OF PERIOD $ 11.37
========
TOTAL RETURN@ 5.05%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $640,498
Ratio of expenses to average daily net assets:
Before expense waiver 1.04%
After expense waiver# N/A
Net investment income to average daily net assets 0.73%
Portfolio turnover rate 80%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
+ AMOUNTS HAVE BEEN RESTATED TO REFLECT REVERSE STOCK SPLITS.
++ DISTRIBUTIONS FROM NET INVESTMENT INCOME AND TAX RETURN OF CAPITAL ARE
LESS THAN $0.01 PER SHARE.
(1) CLASS S SHARES WERE PREVIOUSLY DESIGNATED AS CLASS 4 SHARES.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001
THROUGH DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHANGES
AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE
CHARGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
273
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 6.30 $ 6.26
---------- ----------
INCOME (loss) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.03*** (0.00)***^
Net realized and unrealized gain on investments 0.88 0.04
---------- ----------
Total income from investment operations 0.91 0.04
---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.21 $ 6.30
========== ==========
TOTAL RETURN@ 14.44%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 116 $ 102
Ratio of expenses to average daily net assets:
Before expense waiver 1.83%* -^
After expense waiver 1.80%*(a) -^
Net investment income to average daily net assets 0.84%* -^
Portfolio turnover rate 31%** 40%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
++ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
@ EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE
SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHANGES
AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE
CHARGES.
(a) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
274
<Page>
MASSMUTUAL OVERSEAS FUND - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES AND POLICIES FOR THE MASSMUTUAL OVERSEAS
FUND?
The objectives and policies of the Fund are to:
- - achieve long-term growth of capital
- - invest in a diversified portfolio of foreign and domestic equity securities
- - utilize a blend of growth and value styles in making investment decisions
- - rely primarily on fundamental analysis, while also considering the
macroeconomic outlook for various regional economies
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2003?
For the six months ending June 30, 2003, the Fund's Class S shares returned
7.99%, underperforming the 9.47% return of the Morgan Stanley Capital
International Europe, Australasia, Far East (MSCI EAFE) Index, a market
capitalization-weighted, unmanaged index of over 1,000 foreign stocks.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
The anticipation and onset of war in Iraq dominated international markets during
the first quarter of 2003, with good news on the military front sending shares
higher worldwide, and bad news subsequently raising concerns about the political
and economic implications of a long and costly campaign.
During the performance period, the geographic allocations with the most impact
were underperformance in the United Kingdom and Sweden, and an overweight
position in South Korea. Few sectors or industries were spared during the first
quarter's global downturn. Each of the major EAFE industry sectors turned in
negative results for the quarter, as the world awaited the outcome of the war in
Iraq.
Financial holdings, our largest sector stake and the index's heaviest weighting,
detracted most from performance during the first quarter. Health care also
slowed the portfolio, with drug makers accounting for the bulk of the sector's
decline. Holdings among wireless telecommunications, the portfolio's
second-largest industry stake, declined but beat the benchmark, as select
wireless companies benefited from higher average revenues per user and
increasing use of mobile phones for transmission of data and photos.
The second quarter witnessed a stunning turnaround. Many of the world's major
markets staged powerful rebounds, as Wall Street rallied and investors around
the world found reason to be optimistic. One of the biggest lifts to investor
sentiment came from the end of the conflict in Iraq. After months of being
restrained by uncertainty surrounding the war, key European and Asian benchmarks
recorded their largest quarterly increases in years.
The geographic allocations with the most impact during the second quarter were
our historical underweight position in Japan and our overweight position in
South Korea. Financial holdings, our largest sector stake, advanced mostly on
the strength of banks, which represented the portfolio's heaviest industry
weighting. Turning in the second-best performance was the telecommunications
sector, led by wireless companies. The technology sector also rallied during the
second quarter, largely due to gains among holdings in the semiconductor and
electrical equipment industries.
WHAT IS YOUR OUTLOOK?
The investment environment remains challenging, but we are beginning to see some
signs of recovery in several industries. Although the global economy remains
fragile, there are indications the worst may be behind us. The war in the Middle
East has formally ended and the SARS problem seems to be under control. This
appears to be giving both consumers and businesses the confidence they need to
spend and invest, ultimately driving the growth rate of the global economy.
275
<Page>
MASSMUTUAL OVERSEAS FUND
LARGEST COUNTRY WEIGHTINGS (6/30/03)
<Table>
<Caption>
% OF FUND
United Kingdom 17.83%
France 15.09%
Japan 11.69%
Switzerland 9.97%
Germany 7.07%
Italy 5.46%
Netherlands 4.94%
Sweden 3.11%
Mexico 2.94%
Australia 2.67%
</Table>
MASSMUTUAL OVERSEAS FUND
LARGEST STOCK HOLDINGS (6/30/03)
Aventis SA
Daiwa Securities Group, Inc.
Nestle SA
Publicis Groupe
Vivendi Universal SA
Novartis AG
Credit Suisse Group
Akzo Nobel, Inc.
BNP Paribas SA
GlaxoSmithKline PLC
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Overseas Fund Class S, Class A, Class Y,
Class L and the Morgan Stanley Capital International Index for Europe,
Australasia and the Far East (MSCI EAFE)
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/03 - 6/30/03 7/1/02 - 6/30/03 5/1/01 - 6/30/03
Class S 7.99% -8.36% -9.83%
Class A 7.77% -8.70% -10.22%
Class Y 8.01% -8.36% -9.88%
Class L 7.88% -8.48% -10.03%
- -------------------------------------------------------------------------
MSCI EAFE 9.47% -6.46% -12.48%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS Y CLASS L MSCI EAFE
5/1/2001 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/30/2001 $ 9,370 $ 9,360 $ 9,370 $ 9,370 $ 9,253
6/30/2002 $ 8,720 $ 8,670 $ 8,710 $ 8,690 $ 8,374
6/30/2003 $ 7,991 $ 7,916 $ 7,982 $ 7,953 $ 7,833
</Table>
Hypothetical Investments in MassMutual Overseas Fund Class N, Class N (CDSC fees
deducted) and the Morgan Stanley Capital International Index for Europe,
Australasia and the Far East (MSCI EAFE)
MASSMUTUAL OVERSEAS FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/03 - 6/30/03 12/31/02 - 6/30/03
Class N 7.66% 8.70%
Class N (CDSC fees deducted) 6.66% 7.70%
- ---------------------------------------------------------------------------
MSCI EAFE 9.47% 10.31%
</Table>
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) MSCI EAFE
12/31/2002 $ 10,000 $ 10,000 $ 10,000
3/31/2003 $ 9,019 $ 8,919 $ 9,179
6/30/2003 $ 10,870 $ 10,770 $ 10,947
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND
PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO
THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE MSCIEAFE IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. EMPLOYEE RETIREMENT BENEFIT PLANS
THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE
SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS.
TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED
THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF
TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION
OF THE FUND SHARES.
276
<Page>
MASSMUTUAL OVERSEAS FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
EQUITIES -- 94.5%
AIR TRANSPORTATION -- 0.5%
Ryanair Holdings PLC
Sponsored ADR* 14,000 $ 628,600
Singapore
Airlines Limited 47,600 281,110
------------
909,710
------------
APPAREL, TEXTILES & SHOES -- 1.2%
Chargeurs SA 24,000 622,860
Giordano
International Limited 4,331,000 1,346,820
Puma AG Rudolf
Dassler Sport 2,500 248,329
------------
2,218,009
------------
AUTOS & HOUSING -- 4.4%
Autoliv ASP, Inc. 16,500 444,195
Bayerische Motoren
Werke AG 62,300 2,396,643
Compagnie Generale
des Etablissements
Michelin Cl. B 49,600 1,936,561
Honda Motor Co. Limited 19,300 731,335
Nissan Motor Co. Limited 181,000 1,730,485
Peugeot SA 16,000 777,197
------------
8,016,416
------------
BANKING -- 14.8%
Abbey National PLC 107,061 831,227
Alliance & Leicester PLC 30,361 415,837
Australia & New Zealand
Banking Group Limited 32,900 410,624
Banco Popolare di
Verona e Novara Scrl 188,700 2,578,632
Banco Popular Espanol 13,000 656,850
BNP Paribas SA 57,086 2,900,771
Credit Suisse Group 121,300 3,192,482
Deutsche Bank AG 18,698 1,212,719
Erste Bank der
oesterreichischen
Sparkassen AG 4,743 419,114
ForeningsSparbanken AB 47,500 655,690
HBOS PLC 194,908 2,523,198
IntesaBci SpA 349,100 1,116,466
OTP Bank Rt* 17,551 169,557
Royal Bank of Scotland
Group PLC 58,953 1,653,802
Sanpaolo IMI SpA 255,900 2,377,329
Sberbank RF 660 184,140
Skandinaviska Enskilda
Banken AB Cl. A 50,800 $ 517,206
Svenska Handelsbanken
AB Cl. A 56,200 919,708
UniCredito Italiano SpA 376,400 1,793,776
United Overseas
Bank Limited 277,000 1,950,461
Westpac Banking Corp. 62,600 682,229
------------
27,161,818
------------
BEVERAGES -- 4.6%
Diageo PLC 258,800 2,763,104
Fomento Economico
Mexicano SA de CV
Sponsored ADR 46,200 1,903,440
Kirin Brewery Co., Limited 12,000 84,347
Lotte Chilsung Beverage
Co. Limited 3,280 1,823,290
Pernod-Ricard SA 20,025 1,786,751
------------
8,360,932
------------
CHEMICALS -- 3.4%
Akzo Nobel, Inc. 115,600 3,063,826
Altadis SA 20,500 525,434
Givaudan SA Registered 5,420 2,280,774
Nitto Denko Corp. 7,900 258,563
Sinopec Shanghai
Petrochemical
Co. Limited 864,000 168,410
------------
6,297,007
------------
COMPUTER SOFTWARE/SERVICES -- 2.8%
Meitec Corp. 78,900 2,398,376
SAP AG 7,900 931,683
T-Online International AG* 67,509 697,710
Wanadoo* 79,942 535,197
Yahoo Japan Corp.* 31 503,435
------------
5,066,401
------------
CONSUMER SERVICES -- 1.8%
Accor SA 22,252 804,915
Adecco SA 16,996 700,147
Michael Page
International PLC 980,800 1,780,335
------------
3,285,397
------------
DIVERSIFIED FINANCIAL -- 6.9%
3i Group PLC 40,600 378,532
Amvescap PLC 28,800 198,654
Daiwa Securities
Group, Inc. 641,000 3,683,448
Deutsche Boerse AG 35,300 1,869,944
Euronext 116,700 $ 2,893,303
ING Groep NV 59,900 1,040,726
Societe Generale Cl. A 25,000 1,584,709
UBS AG Registered 18,539 1,031,283
------------
12,680,599
------------
ELECTRIC UTILITIES -- 0.3%
E.ON AG 12,102 622,178
------------
ELECTRICAL EQUIPMENT -- 1.3%
Canon, Inc. 35,000 1,606,080
Huaneng Power
International, Inc. 372,000 424,563
Toshiba Corp. 94,000 323,315
------------
2,353,958
------------
ELECTRONICS -- 2.8%
Fanuc Limited 17,300 857,256
Garmin Limited* 3,020 120,407
Infineon Technologies AG* 44,052 425,940
Keyence Corp. 3,200 586,300
Koninklijke (Royal)
Philips Electronics NV 26,075 498,293
Olympus Optical
Co. Limited 30,000 620,862
Samsung Electronics
Co. Limited 610 181,289
Sharp Corp. 38,000 487,679
STMicroelectronics NV,
NY Shares 43,785 910,290
Tokyo Electron Limited 10,000 473,871
------------
5,162,187
------------
FOODS -- 3.8%
Ajinomoto Co., Inc. 39,000 373,517
Cadbury Schweppes PLC 368,200 2,175,181
Groupe Danone 5,000 691,875
Nestle SA 17,586 3,628,750
------------
6,869,323
------------
HEALTHCARE/DRUGS -- 10.4%
Alcon, Inc. 7,700 351,890
AstraZeneca PLC 25,600 1,026,538
Aventis SA 71,200 3,917,208
GlaxoSmithKline PLC 143,600 2,898,075
GlaxoSmithKline PLC ADR 37,067 1,502,696
Novartis AG 80,914 3,201,818
Roche Holding AG 24,383 1,912,600
Sanofi-Synthelabo SA 16,264 952,507
Takeda Chemical
Industries Limited 65,600 2,420,221
</Table>
The accompanying notes are an integral part of the financial statements.
277
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
Teva Pharmaceutical
Sponsored ADR 16,638 $ 947,201
------------
19,130,754
------------
HEALTHCARE/SUPPLIES & SERVICES -- 1.4%
Fresenius Medical Care AG 7,000 346,454
Hoya Corp. 9,500 654,299
Orbotech Limited* 75,100 1,248,913
Smith & Nephew PLC 43,300 248,833
------------
2,498,499
------------
HOUSEHOLD PRODUCTS -- 2.2%
Henkel KGaA 48,000 2,717,432
Pioneer Corp. 11,600 260,837
Reckitt Benckiser PLC 55,202 1,012,951
------------
3,991,220
------------
INDUSTRIAL SERVICES -- 2.7%
Aegis Group PLC 1,542,800 2,017,612
BAA PLC 83,500 675,856
Comverse Technology, Inc.* 25,147 377,959
CRH PLC 27,535 433,504
Grupo Ferrovial SA 25,601 695,278
Haw Par Corp. Limited 1,349 3,325
LVMH Moet Hennessy
Louis Vuitton SA 16,500 818,347
------------
5,021,881
------------
INSURANCE -- 0.2%
AXA SA 26,064 404,359
------------
MANUFACTURING -- 1.6%
Ansell Limited* 190,600 747,793
Enodis PLC* 777,300 509,864
Konica Corp. 20,000 227,691
Metso OYJ 156,000 1,388,343
------------
2,873,691
------------
MEDIA -- 8.1%
British Sky Broadcasting
Group PLC* 68,900 763,473
Grupo Televisa SA
Sponsored GDR 81,200 2,801,400
John Fairfax Holdings
Limited 1,154,400 2,229,725
News Corp. Limited 47,293 355,236
Publicis Groupe 125,925 3,379,412
Reuters Group PLC 57,000 165,310
Societe Television
Francaise 1 13,700 421,625
Vivendi Universal SA* 180,300 3,281,674
VNU NV 20,848 642,326
WPP Group PLC 101,937 799,014
------------
14,839,195
------------
METALS -- 0.5%
BHP Billiton Limited 80,239 $ 464,945
Rio Tinto PLC 21,300 400,694
------------
865,639
------------
OIL & GAS -- 4.9%
BP PLC 157,800 1,094,318
BP PLC Sponsored ADR 6,049 254,179
CNOOC Limited 265,000 390,799
EnCana Corp. 21,200 806,653
Ente Nazionale
Idrocarburi SpA 88,550 1,339,198
Gas Natural SDG SA 12,100 243,161
LUKOIL
Sponsored ADR 7,063 557,977
Nabors Industries Limited* 13,200 522,060
Repsol YPF SA 52,000 843,157
Saipem SpA 32,500 243,333
Snam Rete Gas SpA 140,111 550,261
Total SA 5,800 876,505
YUKOS 83,300 1,166,200
------------
8,887,801
------------
RETAIL - GENERAL -- 0.7%
Inditex SA 17,700 445,131
Metro AG 16,967 548,471
Walmart de Mexico
Series C 96,151 284,191
------------
1,277,793
------------
RETAIL - SPECIALTY -- 2.8%
Nintendo Co. Limited 14,300 1,039,675
Signet Group PLC 1,470,000 2,189,239
The Swatch Group
AG Cl. B 21,800 1,975,542
------------
5,204,456
------------
TELECOMMUNICATIONS -- 8.5%
Alcatel SA* 62,816 566,253
America Movil SA de
CV Sponsored ADR
Series L 21,700 406,875
China Telecom Corp.
Limited 3,268,145 750,177
Deutsche Telekom AG* 61,586 939,891
Ericsson (LM) Cl. B* 2,626,500 2,821,749
France Telecom SA* 56,919 1,396,140
mmO2 PLC* 740,831 693,767
Mobile Telesystems
OJSC Sponsored ADR* 11,059 652,481
Nokia Oyj Sponsored ADR 48,384 794,949
Nortel Networks Corp.* 135,900 366,930
NTT DoCoMo, Inc. 469 1,015,532
SK Telecom Co. Limited 14,030 2,396,082
SK Telecom Co.
Limited ADR 20,500 $ 386,630
Tele2 AB Cl. B* 9,054 336,488
Telefonica SA 34,258 397,726
Vimpel-Communications
Sponsored ADR* 7,815 362,929
Vodafone Group PLC 628,522 1,229,044
------------
15,513,643
------------
TELEPHONE UTILITIES -- 0.7%
Amdocs Limited* 28,035 672,840
KDDI Corp. 165 638,976
------------
1,311,816
------------
TRANSPORTATION -- 1.2%
Associated British Ports
Holdings PLC 273,900 1,794,367
East Japan Railway Co. 101 449,169
------------
2,243,536
------------
TOTAL EQUITIES
(COST $157,439,455) 173,068,218
============
<Caption>
PRINCIPAL
AMOUNT
-----------
SHORT-TERM INVESTMENTS -- 11.4%
CASH EQUIVALENTS -- 5.4%**
Bank of Montreal
Eurodollar Time Deposit
1.080% 07/02/2003 $ 212,083 212,083
Bank of Montreal
Eurodollar Time Deposit
1.150% 07/09/2003 166,321 166,321
Bayerische Hypo-und
Vereinsbank Bank Note
1.530% 09/09/2003 1,060,417 1,060,417
Canadian Imperial
Bank of Commerce
Bank Note
1.500% 05/18/2004 1,060,417 1,060,417
Den Danske Bank
Eurodollar Time Deposit
1.040% 07/28/2003 212,083 212,083
Dreyfus Cash
Management Plus, Inc.
Money Market Fund 643,021 643,021
Goldman Sachs Group, Inc.
Medium Term Note
1.130% 09/17/2003 106,042 106,042
Keybank
Eurodollar Time Deposit
1.250% 07/01/2003 827,125 827,125
</Table>
The accompanying notes are an integral part of the financial statements.
278
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
----------- ------------
Merrill Lynch & Co.
Medium Term Note
1.615% 11/26/2003 $ 159,063 $ 159,063
Merrill Lynch Premier
Institutional Money
Market Fund 460,830 460,830
Merrimac Money
Market Fund 1,733,782 1,733,782
Metropolitan Life
Insurance Co.
Funding Agreement
1.350% 11/03/2003 530,208 530,208
Morgan Stanley Dean
Witter & Co.
1.455% 01/29/2004 424,167 424,167
National Bank
of Commerce
1.073% 11/19/2003 265,104 265,104
Royal Bank of Canada
Eurodollar Time Deposit
1.031% 07/07/2003 954,375 954,375
Royal Bank of Canada
Eurodollar Time Deposit
1.300% 07/01/2003 636,250 636,250
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/28/2003 530,208 530,208
------------
9,981,496
------------
REPURCHASE AGREEMENT -- 6.0%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2003, 0.75%,
due 07/01/2003(a) 10,989,079 10,989,079
------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 20,970,575
=============
TOTAL INVESTMENTS -- 105.9%
(COST $178,410,030)*** $ 194,038,793
OTHER ASSETS/
(LIABILITIES) -- (5.9%) (10,804,292)
=============
NET ASSETS -- 100.0% $ 183,234,501
=============
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS\
ADR - American Depository Receipt.
GDR - Global Depository Receipt.
* Non-income producing security.
** Represents investments of security lending collateral. (NOTE 2).
*** Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $10,989,308. Collateralized by U.S. Government Agency
obligation with a rate of 5.545%, maturity date of 03/01/2032, and an
aggregate market value, including accrued interest, of $11,538,533.
The accompanying notes are an integral part of the financial statements.
279
<Page>
MASSMUTUAL OVERSEAS FUND - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
JUNE 30, 2003
(UNAUDITED)
---------------
ASSETS:
Investments, at value (cost $157,439,455) (NOTE 2) $ 173,068,218
Short-term investments, at amortized cost (NOTE 2) 20,970,575
---------------
Total Investments (including securities on loan with market values of $9,488,511) 194,038,793
Receivables from:
Investments sold 463,433
Investment adviser (NOTE 3) 11,606
Interest and dividends 536,854
Foreign taxes withheld 121,299
---------------
Total assets 195,171,985
---------------
LIABILITIES:
Payables for:
Investments purchased 1,700,711
Securities on loan (NOTE 2) 9,981,496
Directors' fees and expenses (NOTE 3) 1,171
Affiliates (NOTE 3):
Investment management fees 149,343
Administration fees 20,039
Service fees 20,172
Due to custodian 19,118
Accrued expense and other liabilities 45,434
---------------
Total liabilities 11,937,484
---------------
NET ASSETS $ 183,234,501
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 180,492,992
Undistributed net investment income 1,628,002
Accumulated net realized loss on investments and foreign currency translations (14,523,946)
Net unrealized appreciation on investments, forward foreign currency contracts,
foreign currency and other assets and liabilities 15,637,453
---------------
$ 183,234,501
===============
NET ASSETS:
Class A $ 35,011,883
===============
Class L $ 35,472,466
===============
Class Y $ 33,111,062
===============
Class S $ 79,477,146
===============
Class N $ 161,944
===============
SHARES OUTSTANDING:
Class A 4,426,605
===============
Class L 4,466,523
===============
Class Y 4,161,771
===============
Class S 9,973,918
===============
Class N 20,584
===============
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE:
Class A $ 7.91
===============
Class L $ 7.94
===============
Class Y $ 7.96
===============
Class S $ 7.97
===============
Class N $ 7.87
===============
</Table>
The accompanying notes are an integral part of the financial statements.
280
<Page>
STATEMENT OF OPERATIONS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003
(UNAUDITED)
--------------------
INVESTMENT INCOME (NOTE 2):
Dividends (net of withholding tax of $341,849) $ 2,574,560
Interest (including securities lending income of $45,490) 44,438
--------------
Total investment income 2,618,998
--------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 700,538
Custody fees 212,919
Audit and legal fees 10,186
Trustee reporting 2,609
Shareholder reporting fees 2,128
Directors' fees (NOTE 3) 1,222
--------------
929,602
Administration fees (NOTE 3):
Class A 34,011
Class L 35,369
Class Y 10,663
Class S 13,418
Class N 169
Service fees (NOTE 3):
Class A 34,804
Class N 144
Distribution fees (NOTE 3):
Class N 144
--------------
Total expenses 1,058,324
Expenses waived (NOTE 3) (119,990)
Fees paid indirectly (NOTE 3) (7,419)
--------------
Net expenses 930,915
--------------
NET INVESTMENT INCOME 1,688,083
--------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investment transactions (2,822,252)
Foreign currency transactions (85,177)
--------------
Net realized loss (2,907,429)
--------------
Net change in unrealized appreciation (depreciation) on:
Investments 15,570,980
Translation of assets and liabilities in foreign currencies 14,748
--------------
Net unrealized gain 15,585,728
--------------
NET REALIZED AND UNREALIZED GAIN 12,678,299
--------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 14,366,382
==============
</Table>
The accompanying notes are an integral part of the financial statements.
281
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2003 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2002
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,688,083 $ 290,592
Net realized loss on investment transactions
and foreign currency transactions (2,907,429) (8,930,372)
Net change in unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in foreign currencies 15,585,728 859,708
-------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 14,366,382 (7,780,072)
-------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (8,289)
Class L - (27,146)
Class Y - (42,652)
Class S - (120,220)
-------------- -------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (198,307)
-------------- -------------
Tax return of capital:
Class A - (1,387)
Class L - (4,525)
Class Y - (7,101)
Class S - (20,014)
-------------- -------------
TOTAL TAX RETURN OF CAPITAL - (33,027)
-------------- -------------
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 13,481,714 18,672,278
Class L 12,861,255 20,441,882
Class Y 11,568,245 18,506,403
Class S 19,255,894 38,903,195
Class N 48,301 101,000*
-------------- -------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 57,215,409 96,624,758
-------------- -------------
TOTAL INCREASE IN NET ASSETS 71,581,791 88,613,352
NET ASSETS:
Beginning of period 111,652,710 23,039,358
-------------- -------------
End of period (including undistributed net investment income of
$1,628,002 and distributions in excess of net investment income of
$60,081, respectively) $ 183,234,501 $ 111,652,710
============== =============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
The accompanying notes are an integral part of the financial statements.
282
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.36 $ 8.41 $ 10.00
---------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.08*** 0.01*** (0.05)***
Net realized and unrealized gain (loss)
on investments 0.47 (1.05) (1.54)
---------- -------- --------
Total income (loss) from investment
operations 0.55 (1.04) (1.59)
---------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.01) -
Tax return of capital - (0.00)+ -
---------- -------- --------
Total distributions - (0.01) -
---------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 7.91 $ 7.36 $ 8.41
========== ======== ========
TOTAL RETURN@ 7.77%** (12.66)% (15.90)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 35,012 $ 18,674 $ 1,159
Ratio of expenses to average daily net assets:
Before expense waiver 1.82%* 2.13% 1.95%*
After expense waiver# 1.64%*(a) 1.63%(a) 1.73%*
Net investment income (loss) to average daily
net assets 2.14%* 0.09% (0.91)%*
Portfolio turnover rate 52%** 138% 111%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.35 $ 8.42 $ 10.00
---------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.09*** 0.02*** (0.03)***
Net realized and unrealized gain (loss)
on investments 0.50 (1.08) (1.55)
---------- -------- --------
Total income (loss) from investment
operations 0.59 (1.06) (1.58)
---------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.01) -
Tax return of capital - (0.00)+ -
---------- -------- --------
Total distributions - (0.01) -
---------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 7.94 $ 7.35 $ 8.42
========== ======== ========
TOTAL RETURN@ 7.88%** (12.44)% (15.80)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 35,472 $ 19,236 $ 899
Ratio of expenses to average daily net assets:
Before expense waiver 1.57%* 1.88% 1.78%*
After expense waiver# 1.39%*(a) 1.37%(a) 1.56%*
Net investment income (loss) to average daily
net assets 2.46%* 0.20% (0.59)%*
Portfolio turnover rate 52%** 138% 111%**
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.36 $ 8.43 $ 10.00
---------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.09*** (0.00)***+ 0.00***+
Net realized and unrealized gain (loss)
on investments 0.51 (1.05) (1.57)
---------- -------- --------
Total income (loss) from investment
operations 0.60 (1.05) (1.57)
---------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.02) -
Tax return of capital - (0.00)+ -
---------- -------- --------
Total distributions - (0.02) -
---------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 7.96 $ 7.36 $ 8.43
========== ======== ========
TOTAL RETURN@ 8.01%** (12.34)% (15.70)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 33,111 $ 19,204 $ 88
Ratio of expenses to average daily net assets:
Before expense waiver 1.42%* 1.73% 1.90%*
After expense waiver# 1.24%*(a) 1.22%(a) 1.69%*
Net investment income (loss) to average daily
net assets 2.52%* (0.02)% 0.08%*
Portfolio turnover rate 52%** 138% 111%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/03 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/02 12/31/01~
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.37 $ 8.43 $ 10.00
---------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.09*** 0.05*** 0.01***
Net realized and unrealized gain (loss)
on investments 0.51 (1.09) (1.58)
---------- -------- --------
Total income (loss) from investment
operations 0.60 (1.04) (1.57)
---------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.02) -
Tax return of capital - (0.00)+ -
---------- -------- --------
Total distributions - (0.02) -
---------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 7.97 $ 7.37 $ 8.43
========== ======== ========
TOTAL RETURN@ 7.99%** (12.23)% (15.70)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 79,477 $ 54,437 $ 20,893
Ratio of expenses to average daily net assets:
Before expense waiver 1.37%* 1.68% 1.85%*
After expense waiver# 1.19%*(a) 1.18%(a) 1.63%*
Net investment income (loss) to average daily
net assets 2.47%* 0.68% 0.14%*
Portfolio turnover rate 52%** 138% 111%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS THE RESULTS FOR THE PERIOD AND ARE NOT
ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARE METHOD.
~ FOR THE PERIOD FROM MAY 1, 2001 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2001.
+ NET INVESTMENT INCOME (LOSS) AND TAX RETURN OF CAPITAL ARE LESS THAN
$0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD OCTOBER 1, 2001
THROUGH DECEMBER 31, 2001, THE YEAR ENDED DECEMBER 31, 2002 AND THE SIX
MONTHS ENDED JUNE 30, 2003.
@ 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.
(a) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
283
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/03 PERIOD ENDED
(UNAUDITED) 12/31/02~~
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.31 $ 7.24
---------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.07*** (0.00)***+
Net realized and unrealized gain on investments 0.49 0.07
---------- --------
Total income from investment operations 0.56 0.07
---------- --------
NET ASSET VALUE, END OF PERIOD $ 7.87 $ 7.31
========== ========
TOTAL RETURN@ 7.66%**(b) -^
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 162 $ 102
Ratio of expenses to average daily net assets:
Before expense waiver 2.12%* -^
After expense waiver# 1.94%*(a) -^
Net investment income to average daily net assets 1.89%* -^
Portfolio turnover rate 52%** 138%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS THE RESULTS FOR THE PERIOD AND ARE NOT
ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARE METHOD.
~~ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
^ AMOUNTS ARE MEANINGLESS DUE TO THE SHORT PERIOD OF OPERATIONS.
+ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE
CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD OCTOBER 1, 2001
THROUGH DECEMBER 31, 2001 AND THE YEAR ENDED DECEMBER 31, 2002 AND THE
SIX MONTHS ENDED JUNE 30, 2003.
@ 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.
(a) THE FUND HAS ENTERED INTO AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
284
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. THE FUND
MassMutual Institutional Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end, management
investment company. The Trust is organized under the laws of the Commonwealth of
Massachusetts as a Massachusetts business trust pursuant to an Agreement and
Declaration of Trust dated May 28, 1993, as amended. The Trust consists of the
following series (each individually referred to as a "Fund" or collectively as
the "Funds"): MassMutual Money Market Fund ("Money Market Fund"), MassMutual
Short-Duration Bond Fund ("Short-Duration Bond Fund"), MassMutual Core Bond Fund
("Core Bond Fund"), MassMutual Diversified Bond Fund ("Diversified Bond Fund"),
MassMutual Balanced Fund ("Balanced Fund"), MassMutual Core Value Equity Fund
("Core Value Equity Fund"), MassMutual Fundamental Value Fund ("Fundamental
Value Fund"), MassMutual Value Equity Fund ("Value Equity Fund"), MassMutual
Large Cap Value Fund ("Large Cap Value Fund"), MassMutual Indexed Equity Fund
("Indexed Equity Fund"), MassMutual Blue Chip Growth Fund ("Blue Chip Growth
Fund"), MassMutual Large Cap Growth Fund ("Large Cap Growth Fund"), MassMutual
Growth Equity Fund ("Growth Equity Fund"), MassMutual Aggressive Growth Fund
("Aggressive Growth Fund"), MassMutual OTC 100 Fund ("OTC 100 Fund"), MassMutual
Focused Value Fund ("Focused Value Fund"), MassMutual Small Company Growth Fund
("Small Company Growth Fund"), MassMutual Small Cap Equity Fund ("Small Cap
Equity Fund"), MassMutual Mid Cap Growth Equity Fund ("Mid Cap Growth Equity
Fund"), MassMutual Mid Cap Growth Equity II Fund ("Mid Cap Growth Equity II
Fund"), MassMutual Small Cap Growth Equity Fund ("Small Cap Growth Equity
Fund"), MassMutual Small Company Value Fund ("Small Company Value Fund"),
MassMutual Emerging Growth Fund ("Emerging Growth Fund"), MassMutual
International Equity Fund ("International Equity Fund") and MassMutual Overseas
Fund ("Overseas Fund").
During the reporting period, each Fund had five classes of shares: Class A,
Class L, Class Y, Class S and Class N. Additionally, the Indexed Equity Fund had
a sixth class of shares: Class Z. Class N shares of the Money Market Fund are
not currently available. The principal economic difference among the classes is
the level of service and administration fees borne by the classes. The classes
of shares are offered to different types of investors, as outlined in the
Trust's 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
Equity securities are valued on the basis of valuations furnished by a pricing
service, authorized by the Trustees, which provides the last reported sale price
for securities listed on a national securities exchange or the official closing
price on the NASDAQ National Market System, or in the case of over-the-counter
securities not so listed, the last reported bid price. Debt securities (other
than short-term obligations with a remaining maturity of sixty days or less) are
valued on the basis of valuations furnished by a pricing service, authorized 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. Short-term securities with a remaining maturity of sixty
days or less are valued at either amortized cost or at original cost plus
accrued interest, whichever approximates current market value. The Money Market
Fund's portfolio securities are valued at amortized cost in accordance with Rule
2a-7 under the Investment Company Act of 1940, as amended, pursuant to which the
Money Market Fund must adhere to certain conditions. It is the intention of the
Money Market Fund to maintain a per-share net asset value of $1.00. All other
securities and other assets, including debt securities for which the prices
supplied by a pricing agent are deemed by MassMutual not to be representative of
market values, including restricted securities and securities for which no
market quotation is available, are valued at
285
<Page>
fair value in accordance with procedures approved by and determined in good
faith by the Trustees, although the actual calculation may be done by others.
Portfolio securities traded on more than one national securities exchange are
valued at the last price on the business day as of which such value is being
determined at the close of the exchange representing the principal market for
such securities. All assets and liabilities expressed in foreign currencies are
converted into U.S. dollars at the mean between the buying and selling rates of
such currencies against U.S. dollars last quoted by any major bank. If such
quotations are not available, the rate of exchange is determined in accordance
with policies established by the Trustees.
SECURITIES LENDING
Each Fund may lend its securities to qualified brokers; however, securities
lending cannot exceed 33% of the total assets of the Funds 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 the 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. At June 30, 2003, the Funds loaned securities having
the following market values, collateralized by cash, which was invested in
short-term instruments in the following amounts:
<Table>
<Caption>
SECURITIES ON LOAN COLLATERAL
------------------ ----------
Short-Duration Bond Fund $ 4,550,994 $ 4,655,003
Core Bond Fund 66,032,901 67,679,971
Balanced Fund 12,194,551 12,741,697
Core Value Equity Fund 38,117,376 40,156,665
Fundamental Value Fund 13,624,394 14,071,735
Value Equity Fund 7,487,409 7,769,718
Large Cap Value Fund 39,705,121 41,203,708
Indexed Equity Fund 64,240,754 67,502,651
Blue Chip Growth Fund 22,415,863 23,309,684
Large Cap Growth Fund 2,179,521 2,320,080
Growth Equity Fund 27,090,986 27,896,035
Aggressive Growth Fund 18,381,190 19,118,415
OTC 100 Fund 8,286,343 8,549,937
Focused Value Fund 80,088,017 83,834,739
Small Company Value Fund 9,414,091 9,892,724
Small Cap Equity Fund 43,050,226 44,362,720
Mid Cap Growth Equity Fund 26,876,725 27,929,804
Mid Cap Growth Equity II Fund 45,982,407 47,559,545
Small Cap Growth Equity Fund 65,822,268 68,173,116
Small Company Growth Fund 16,274,722 17,309,551
Emerging Growth Fund 21,492,313 22,340,369
International Equity Fund 85,303,226 90,402,389
Overseas Fund 9,488,511 9,981,496
</Table>
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. The Funds, through their custodian, take possession of the
securities collateralizing the repurchase agreement. The collateral is marked to
market daily to ensure that the market value of the underlying assets remains
sufficient to protect the Funds in the event of default by the seller.
Collateral for repurchase agreements is held at the counterparty's custodian in
286
<Page>
a segregated account for the benefit of the Funds and the counterparty. In
connection with transactions in repurchase agreements, if the seller defaults
and the value of the collateral declines or if the seller enters insolvency
proceedings, realization of collateral by the Funds may be delayed or limited.
ACCOUNTING FOR INVESTMENTS
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 on the specific identification cost method. Interest
income, adjusted for amortization of discounts and premiums on debt securities,
is earned from the settlement date and is recorded on the accrual basis.
Dividend income is recorded on the ex-dividend date.
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 will 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, no Federal income tax provision is
required.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income of each Fund, other than the Money Market
Fund, are declared and paid annually and at other times as may be required to
satisfy tax or regulatory requirements. Dividends from net investment income are
declared daily and paid monthly for the Money Market Fund. 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.
These differences are primarily due to investments in forward contracts, passive
foreign investment companies, the deferral of wash sale losses, and paydowns on
certain mortgage-backed securities. As a result, net investment income and net
realized gain on investment transactions for a reporting period may differ
significantly from distributions during such period.
Accordingly, the Funds may periodically make reclassifications among certain of
their capital accounts without impacting the net asset value of the Funds.
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 recorded on the
books of the Funds and the amount actually received.
FORWARD FOREIGN CURRENCY CONTRACTS
Each Fund may enter into forward foreign currency contracts in order to hedge
the effect of currency movements of foreign denominated securities or
obligations. A forward foreign currency contract is an agreement between two
parties to buy and sell a currency at a set price on a future date. The market
value of a forward foreign currency contract fluctuates with changes in foreign
currency exchange and interest rates. 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. 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.
287
<Page>
Forward foreign currency contracts involve a risk of loss from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in foreign currency values and interest rates.
The notional or contractual amounts of these instruments represent the
investments the Funds have in particular classes of financial instruments and 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 are considered.
At June 30, 2003, the Funds had no open forward foreign currency contracts.
FORWARD COMMITMENTS
Each Fund may purchase or sell securities on a "when issued" or delayed delivery
or on a forward commitment basis. The Funds use forward commitments to manage
interest rate exposure or as a temporary substitute for purchasing or selling
particular debt securities. Delivery and payment for securities purchased on a
forward commitment basis can take place a month or more after the date of the
transaction. The Funds instruct the custodian to segregate assets in a separate
account with a current market value at least equal to the amount of its forward
purchase commitments. The price of the underlying security and the date when the
securities will be delivered and paid for are fixed at the time the transaction
is negotiated. Forward commitments are valued on the basis of valuations
furnished by a pricing service, authorized 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 and determined in good faith by the Trustees,
although the actual calculation may be done by others. The Funds record on a
daily basis the unrealized appreciation (depreciation) based upon changes in the
value of the forward commitment. When a forward commitment contract is closed,
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. Forward commitments involve a risk of loss if the
value of the security to be purchased declines prior to the settlement date. The
Funds could also be exposed to loss if they cannot close out their forward
commitments because of an illiquid secondary market, or the inability of
counterparties to perform. The Funds monitor exposure to ensure counterparties
are creditworthy and concentration of exposure is minimized.
A summary of open obligations for the Core Bond Fund under these forward
commitments at June 30, 2003, is as follows:
<Table>
<Caption>
FORWARD EXPIRATION AGGREGATE UNREALIZED
COMMITMENT OF FACE VALUE MARKET APPRECIATION
CONTRACTS TO BUY CONTRACTS OF CONTRACTS COST VALUE (DEPRECIATION)
- ---------------- ---------- -------------- -------------- -------------- --------------
CORE BOND FUND
FHLMC
5.5% 07/01/2033 July-03 $ 15,000,000 $ 15,487,500 $ 15,476,954 $ (10,546)
FNMA
4.5% 07/01/2018 July-03 32,000,000 32,520,000 32,644,998 124,998
5.0% 07/01/2018 July-03 19,150,000 19,808,281 19,784,344 (23,937)
5.5% 07/01/2033 July-03 59,125,000 61,111,641 61,115,851 4,210
GNMA
5.5% 07/01/2033 July-03 60,000,000 62,343,750 62,460,936 117,186
--------------
$ 211,911
--------------
</Table>
288
<Page>
FINANCIAL FUTURES CONTRACTS
The Funds may purchase or sell financial futures contracts and options on such
futures contracts for the purpose of hedging the market risk on existing
securities or as a substitute for the purchase of securities. Futures contracts
are contracts for delayed delivery of securities at a specific future date and
at a specific price or yield. Upon entering into a contract, the Funds deposit
and maintain as collateral such initial margin as required by the exchange on
which the transaction is effected. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known as
variation margin and are recorded by the Funds as unrealized gains or losses.
When the contract is closed, each 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.
A summary of open futures contracts for the Indexed Equity Fund and the OTC 100
Fund at June 30, 2003, is as follows:
<Table>
<Caption>
NOTIONAL NET
NUMBER OF CONTRACT UNREALIZED
CONTRACTS TYPE EXPIRATION DATE VALUE DEPRECIATION
- ------------------- ---------------- --------------- ------------- ------------
INDEXED EQUITY FUND
BUYS
68 S&P 500 Index 09/19/03 $ 16,546,100 $ (380,106)
OTC 100 FUND
BUYS
10 NASDAQ 100 Index 09/18/03 1,204,500 (8,252)
</Table>
ALLOCATION OF OPERATING ACTIVITY
In maintaining the records for the Funds, the income and expense accounts are
allocated to each class of shares. Investment income, unrealized and realized
gains or losses are prorated among the classes of shares based on the relative
net assets of each. Expenses are allocated to each class of shares depending on
the nature of the expenditures. Administration and service fees, which are
directly attributable to a class of shares, are charged to that class'
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.
3. MANAGEMENT FEES AND OTHER TRANSACTIONS
INVESTMENT MANAGEMENT FEES
Under agreements between the Trust and Massachusetts Mutual Life Insurance
Company ("MassMutual") on behalf of each Fund, MassMutual is responsible for
providing investment management services for each Fund. In return for this
service, MassMutual receives advisory fees monthly based upon each Fund's
average daily net assets at the following annual rates:
<Table>
Money Market Fund 0.35%
Short-Duration Bond Fund 0.40%
Core Bond Fund 0.48%
Diversified Bond Fund 0.50%
Balanced Fund 0.48%
Core Value Equity Fund 0.50%
Fundamental Value Fund 0.65%
Value Equity Fund 0.70%
Large Cap Value Fund 0.65%
Indexed Equity Fund 0.10%
Blue Chip Growth Fund 0.70%
Large Cap Growth Fund 0.65%
Growth Equity Fund 0.68%
Aggressive Growth Fund 0.73%
OTC 100 Fund 0.15%
Focused Value Fund 0.69%
Small Company Value Fund 0.85%
Small Cap Equity Fund 0.58%
Mid Cap Growth Equity Fund 0.70%
Mid Cap Growth Equity II Fund 0.75%
Small Cap Growth Equity Fund 0.82%
Small Company Growth Fund 0.85%
Emerging Growth Fund 0.79%
International Equity Fund 0.85%
Overseas Fund 1.00%
</Table>
289
<Page>
MassMutual has entered into investment sub-advisory agreements with David L.
Babson & Company, Inc. ("DLB"), pursuant to which DLB serves as certain Funds'
sub-adviser providing day-to-day management of the Funds' investments. DLB is a
wholly-owned subsidiary of DLB Acquisition Corporation, which is a controlled
subsidiary of MassMutual. DLB receives a sub-advisory fee equal to an annual
rate of 0.05% of the average daily net assets of the Money Market Fund, 0.08% of
the average daily net assets of the Short-Duration Bond Fund, 0.10% of the
average daily net assets of the Core Bond Fund, 0.10% of the average daily net
assets of the Diversified Bond Fund, 0.09% of the average daily net assets of
the Money Market and Core Bond Segments of the Balanced Fund, 0.13% of the
average daily net assets under management of the Core Value Equity Fund and the
Core Equity sector of the Balanced Fund and 0.25% of the average daily net
assets of the Small Cap Equity Fund.
MassMutual has entered into an investment sub-advisory agreement with its
subsidiary OppenheimerFunds, Inc. ("OFI"). This agreement provides that OFI
manage the investment and reinvestment of the assets of the International Equity
Fund. OFI receives a fee equal to an annual rate of 0.50% of the average net
assets of the International Equity Fund.
MassMutual has also entered into investment sub-advisory agreements with the
following unaffiliated investment sub-advisers: Alliance Capital Management,
L.P. for the Large Cap Growth Fund and a portion of the Core Value Equity Fund;
Davis Advisors, L.P. for the Large Cap Value Fund; Northern Trust Investments,
Inc. for the Indexed Equity Fund and the OTC 100 Fund; Massachusetts Financial
Services Company for the Growth Equity Fund; Janus Capital Management LLC for
the Aggressive Growth Fund; Harris Associates, L.P. for the Focused Value Fund
and a portion of the Overseas Fund; Clover Capital Management, Inc. for a
portion of the Small Company Value Fund; Navellier & Associates, Inc. for the
Mid Cap Growth Equity Fund; T. Rowe Price Associates, Inc. for the Mid Cap
Growth Equity II Fund and a portion of the Small Company Value Fund; Waddell &
Reed Investment Management Company for a portion of the Small Cap Growth Equity
Fund; Mazama Capital Management, Inc. for a portion of the Small Company Growth
Fund; Allied Investment Advisers, Inc. for a portion of the Small Company Growth
Fund; RS Investment Management L.P. for the Emerging Growth Fund; Fidelity
Management and Research Company for the Value Equity Fund and the Blue Chip
Growth Fund; American Century Investment Management, Inc. for a portion of the
Overseas Fund and Wellington Management Company, LLP for the Fundamental Value
Fund and a portion of the Small Cap Growth Equity Fund. Prior to January 31,
2003, Deutche Asset Management, Inc. managed the investment and reinvestment of
the Indexed Equity Fund and the OTC 100 Fund. MassMutual pays a sub-advisory fee
to each of these sub-advisers based upon the aggregate net assets under
management which include (1) the average daily net assets of the specified Fund
which it manages, and (2) the average daily net assets of all other funds or
accounts of MassMutual or its affiliates for which the sub-adviser provides
sub-advisory services and which have substantially the same investment
objective, policies and investment strategies.
290
<Page>
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 monthly based
upon the average daily net assets of the applicable class of shares of the Fund
at the following annual rates:
<Table>
<Caption>
CLASS A CLASS L CLASS Y CLASS S CLASS Z CLASS N
------- ------- ------- ------- ------- -------
Money Market Fund 0.3323% 0.3323% 0.1823% 0.0823% NA NA
Short-Duration Bond Fund 0.3167% 0.3167% 0.1667% 0.1167% NA 0.3667%
Core Bond Fund 0.2932% 0.2932% 0.1432% 0.0932% NA 0.3432%
Diversified Bond Fund 0.3232% 0.3232% 0.1732% 0.1232% NA 0.3732%
Balanced Fund 0.3952% 0.3952% 0.2452% 0.0852% NA 0.4452%
Core Value Equity Fund 0.3175% 0.3175% 0.1675% 0.0675% NA 0.3675%
Fundamental Value Fund 0.3129% 0.3129% 0.1629% 0.1229% NA 0.3629%
Value Equity Fund 0.2785% 0.2785% 0.1285% 0.0785% NA 0.3285%
Large Cap Value Fund 0.3244% 0.3244% 0.1744% 0.0844% NA 0.3744%
Indexed Equity Fund 0.4797% 0.4797% 0.3297% 0.2997% 0.0855% 0.5297%
Blue Chip Growth Fund 0.4085% 0.4085% 0.2885% 0.1585% NA 0.4585%
Large Cap Growth Fund 0.3529% 0.3529% 0.2029% 0.1629% NA 0.4029%
Growth Equity Fund 0.2975% 0.2975% 0.1475% 0.0875% NA 0.3475%
Aggressive Growth Fund 0.3444% 0.3444% 0.1944% 0.0944% NA 0.3944%
OTC 100 Fund 0.6244% 0.6244% 0.4744% 0.3744% NA 0.6744%
Focused Value Fund 0.3344% 0.3344% 0.1844% 0.0844% NA 0.3844%
Small Company Value Fund 0.3593% 0.3593% 0.2093% 0.1693% NA 0.4093%
Small Cap Equity Fund 0.3345% 0.3345% 0.1845% 0.0845% NA 0.3845%
Mid Cap Growth Equity Fund 0.3075% 0.3075% 0.1575% 0.0875% NA 0.3575%
Mid Cap Growth Equity II Fund 0.3244% 0.3244% 0.1744% 0.0844% NA 0.3744%
Small Cap Growth Equity Fund 0.4075% 0.4075% 0.2575% 0.1175% NA 0.4575%
Small Company Growth Fund 0.3491% 0.3491% 0.1991% 0.1591% NA 0.3991%
Emerging Growth Fund 0.3344% 0.3344% 0.1844% 0.0844% NA 0.3844%
International Equity Fund 0.2952% 0.2952% 0.1452% 0.1152% NA 0.3452%
Overseas Fund 0.2443% 0.2443% 0.0943% 0.0443% NA 0.2943%
</Table>
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 a fee of 0.25% of the average daily net asset value of the Fund to: (i)
the Distributor for services provided and expenses incurred by its connection
with the distribution of Class A shares of the Fund; and (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 a fee of 0.50% of
the average daily net asset value of the Fund as follows: 0.25% of the average
daily net asset value of the Fund to the Distributor for services provided and
expenses incurred by its connection with the distribution of Class N shares of
the Fund; and 0.25% of the average daily net asset value of the Fund 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.
291
<Page>
EXPENSE WAIVERS
MassMutual agreed to cap the fees and expenses of the following Funds through
April 30, 2004, unless otherwise noted, as follows:
<Table>
<Caption>
CLASS A CLASS L CLASS Y CLASS S CLASS N
------- ------- ------- ------- -------
Fundamental Value Fund 1.24% 0.99% 0.84% 0.80% 1.54%
Value Equity Fund* 1.29% 1.04% 0.89% 0.84% 1.59%
Blue Chip Growth Fund* 1.38% 1.13% 1.01% 0.88% 1.68%
Large Cap Growth Fund 1.28% 1.03% 0.88% 0.84% 1.58%
OTC 100 Fund* 1.04% 0.79% 0.64% 0.54% 1.34%
Small Company Value Fund 1.49% 1.24% 1.09% 1.05% 1.79%
Small Company Growth Fund 1.49% 1.24% 1.09% 1.05% 1.79%
Emerging Growth Fund* 1.39% 1.14% 0.99% 0.89% 1.69%
Overseas Fund 1.65% 1.40% 1.25% 1.20% 1.95%
</Table>
* EXPENSE WAIVERS IN EFFECT FROM JANUARY 1, 2003 THROUGH APRIL 30, 2003.
EXPENSE REDUCTIONS
The Balanced Fund, Core Value Equity Fund, Fundamental Value Fund, Value Equity
Fund, Large Cap Value Fund, Blue Chip Growth Fund, Large Cap Growth Fund, Growth
Equity Fund, Aggressive Growth Fund, Focused Value Fund, Small Company Value
Fund, Small Cap Equity Fund, Mid Cap Growth Equity Fund, Mid Cap Growth Equity
II Fund, Small Cap Growth Equity Fund, Small Company Growth Fund, Emerging
Growth Fund, and the International Equity Fund have entered into agreements with
certain brokers whereby the brokers will rebate a portion of brokerage
commissions. Amounts earned by the Funds under such agreements are presented as
a reduction of expenses in the statement of operations. For the six months ended
June 30, 2003, expenses were reduced under these agreements as follows:
<Table>
<Caption>
REDUCTIONS
----------
Fundamental Value Fund $ 7,934
Value Equity Fund 3,704
Large Cap Value Fund 18,978
Blue Chip Growth Fund 10,138
Large Cap Growth Fund 4,759
Growth Equity Fund 295,246
Aggressive Growth Fund 33,267
Focused Value Fund 9,450
Small Company Value Fund 52,481
Small Cap Equity Fund 1,982
Mid Cap Growth Equity Fund 15,347
Mid Cap Growth Equity II Fund 14,664
Small Cap Growth Equity Fund 12,797
Small Company Growth Fund 43,103
International Equity Fund 100,361
Overseas Fund 7,419
</Table>
OTHER
Certain officers and trustees of the Funds are also officers of MassMutual. The
compensation of trustees of the Funds is borne by the Funds.
At June 30, 2003, MassMutual or separate investment accounts thereof owned
98.33% of the outstanding shares of the Trust.
DEFERRED COMPENSATION
Trustees of the Funds that are not employees of MassMutual or its subsidiaries
may elect to defer receipt of their annual fees in accordance with terms of the
Non-Qualified Deferred Compensation Plan. Any amounts deferred shall accrue
interest at a rate equal to eight percent (8%) per annum.
For the six months ended June 30, 2003, no significant amounts have been
deferred.
292
<Page>
4. PURCHASES AND SALES OF INVESTMENTS
Cost of purchases and proceeds from sales of investment securities (excluding
short-term investments) for the six months ended June 30, 2003 were as follows:
<Table>
<Caption>
LONG-TERM U.S. OTHER LONG-TERM
GOVERNMENT SECURITIES SECURITIES
--------------------- ---------------
PURCHASES
Short-Duration Bond Fund $ 17,063,549 $ 42,813,428
Core Bond Fund 729,381,947 254,680,224
Diversified Bond Fund 16,742,052 25,058,439
Balanced Fund 11,847,204 71,287,557
Core Value Equity Fund - 421,352,029
Fundamental Value Fund - 105,334,026
Value Equity Fund - 27,605,342
Large Cap Value Fund - 84,691,940
Indexed Equity Fund - 77,901,994
Blue Chip Growth Fund - 51,360,210
Large Cap Growth Fund - 10,358,851
Growth Equity Fund - 625,901,586
Aggressive Growth Fund - 71,817,100
OTC 100 Fund - 27,460,115
Focused Value Fund - 137,766,561
Small Company Value Fund - 42,090,264
Small Cap Equity Fund - 55,837,362
Mid Cap Growth Equity Fund - 85,447,498
Mid Cap Growth Equity II Fund - 113,268,803
Small Cap Growth Equity Fund - 55,154,105
Small Company Growth Fund - 50,312,976
Emerging Growth Fund - 61,249,078
International Equity Fund - 176,361,871
Overseas Fund - 129,075,266
SALES
Short-Duration Bond Fund $ 11,882,747 $ 24,847,618
Core Bond Fund 764,408,651 202,351,174
Diversified Bond Fund 24,727,005 11,397,325
Balanced Fund 16,560,239 93,094,641
Core Value Equity Fund - 470,843,597
Fundamental Value Fund - 30,674,988
Value Equity Fund - 22,409,037
Large Cap Value Fund - 10,938,068
Indexed Equity Fund - 3,006,096
Blue Chip Growth Fund - 33,018,648
Large Cap Growth Fund - 9,018,880
Growth Equity Fund - 550,213,041
Aggressive Growth Fund - 58,293,073
OTC 100 Fund - 10,961,184
Focused Value Fund - 48,135,589
Small Company Value Fund - 18,264,512
Small Cap Equity Fund - 98,120,981
Mid Cap Growth Equity Fund - 75,831,003
Mid Cap Growth Equity II Fund - 72,435,423
Small Cap Growth Equity Fund - 54,016,183
Small Company Growth Fund - 29,969,342
Emerging Growth Fund - 50,730,076
International Equity Fund - 225,643,373
Overseas Fund - 70,450,277
</Table>
293
<Page>
5. CAPITAL SHARE TRANSACTIONS
The Funds are authorized to issue an unlimited number of shares, with no par
value in each class of shares. Changes in shares outstanding for each Fund are
as follows:
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
MONEY MARKET FUND
Sold 710,742,583 $ 710,742,583 956,344,535 $ 957,113,157
Issued as reinvestment of dividends 188,712 188,712 779,061 779,073
Redeemed (700,350,938) (700,350,916) (956,885,539) (957,683,927)
--------------- --------------- --------------- ---------------
Net increase (decrease) 10,580,357 $ 10,580,379 238,057 $ 208,303
=============== =============== =============== ===============
SHORT-DURATION BOND FUND
Sold 1,294,847 $ 13,550,729 2,066,638 $ 21,239,504
Issued as reinvestment of dividends - - 78,480 811,483
Redeemed (644,050) (6,748,605) (1,238,514) (12,902,955)
--------------- --------------- --------------- ---------------
Net increase (decrease) 650,797 $ 6,802,124 906,604 $ 9,148,032
=============== =============== =============== ===============
CORE BOND FUND
Sold 7,983,898 $ 90,512,175 12,037,657 $ 133,832,446
Issued as reinvestment of dividends - - 560,741 6,274,686
Redeemed (4,290,989) (48,888,328) (4,259,883) (47,436,529)
--------------- --------------- --------------- ---------------
Net increase (decrease) 3,692,909 $ 41,623,847 8,338,515 $ 92,670,603
=============== =============== =============== ===============
DIVERSIFIED BOND FUND
Sold 841,503 $ 8,557,286 1,535,007 $ 15,302,452
Issued as reinvestment of dividends - - 70,720 711,439
Redeemed (436,448) (4,489,502) (196,218) (1,972,959)
--------------- --------------- --------------- ---------------
Net increase (decrease) 405,055 $ 4,067,784 1,409,509 $ 14,040,932
=============== =============== =============== ===============
BALANCED FUND
Sold 114,372 $ 891,918 243,347 $ 1,975,220
Issued as reinvestment of dividends - - 18,217 139,540
Redeemed (115,280) (889,244) (347,879) (2,875,586)
--------------- --------------- --------------- ---------------
Net increase (decrease) (908) $ 2,674 (86,315) $ (760,826)
=============== =============== =============== ===============
CORE VALUE EQUITY FUND
Sold 493,311 $ 3,368,779 576,001 $ 4,506,565
Issued as reinvestment of dividends - - 35,449 261,614
Redeemed (299,410) (2,111,897) (838,614) (6,585,255)
--------------- --------------- --------------- ---------------
Net increase (decrease) 193,901 $ 1,256,882 (227,164) $ (1,817,076)
=============== =============== =============== ===============
FUNDAMENTAL VALUE FUND
Sold 4,868,337 $ 39,164,234 5,463,421 $ 46,992,846
Issued as reinvestment of dividends - - 26,654 207,636
Redeemed (1,198,122) (9,296,818) (618,572) (5,019,505)
--------------- --------------- --------------- ---------------
Net increase (decrease) 3,670,215 $ 29,867,416 4,871,503 $ 42,180,977
=============== =============== =============== ===============
VALUE EQUITY FUND
Sold 339,328 $ 2,583,474 1,943,723 $ 16,597,671
Issued as reinvestment of dividends - - 17,713 135,508
Redeemed (192,313) (1,495,834) (843,885) (6,803,946)
--------------- --------------- --------------- ---------------
Net increase (decrease) 147,015 $ 1,087,640 1,117,551 $ 9,929,233
=============== =============== =============== ===============
LARGE CAP VALUE FUND
Sold 3,410,970 $ 25,043,590 8,029,747 $ 62,918,310
Issued as reinvestment of dividends - - 43,430 313,566
Redeemed (1,856,252) (13,663,755) (3,770,538) (28,946,096)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,554,718 $ 11,379,835 4,302,639 $ 34,285,780
=============== =============== =============== ===============
INDEXED EQUITY FUND
Sold 5,871,779 $ 48,710,490 6,253,865 $ 57,950,379
Issued as reinvestment of dividends - - 65,510 529,319
Redeemed (2,143,180) (17,549,359) (5,318,843) (51,459,729)
--------------- --------------- --------------- ---------------
Net increase (decrease) 3,728,599 $ 31,161,131 1,000,532 $ 7,019,969
=============== =============== =============== ===============
</Table>
294
<Page>
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
BLUE CHIP GROWTH FUND
Sold 1,156,108 $ 8,157,718 781,310 $ 5,872,313
Issued as reinvestment of dividends - - 42 279
Redeemed (207,532) (1,466,553) (161,580) (1,187,089)
--------------- --------------- --------------- ---------------
Net increase (decrease) 948,576 $ 6,691,165 619,772 $ 4,685,503
=============== =============== =============== ===============
LARGE CAP GROWTH FUND
Sold 100,310 $ 724,063 158,641 $ 1,284,214
Issued as reinvestment of dividends - - - -
Redeemed (92,787) (654,889) (40,331) (300,786)
--------------- --------------- --------------- ---------------
Net increase (decrease) 7,523 $ 69,174 118,310 $ 983,428
=============== =============== =============== ===============
GROWTH EQUITY FUND
Sold 8,651,427 $ 55,366,737 7,375,758 $ 53,394,408
Issued as reinvestment of dividends - - - -
Redeemed (2,329,397) (14,498,618) (3,213,477) (22,132,795)
--------------- --------------- --------------- ---------------
Net increase (decrease) 6,322,030 $ 40,868,119 4,162,281 $ 31,261,613
=============== =============== =============== ===============
AGGRESSIVE GROWTH FUND
Sold 5,203,511 $ 20,169,087 6,098,284 $ 27,013,649
Issued as reinvestment of dividends - - - -
Redeemed (3,025,172) (11,956,186) (2,873,470) (12,683,035)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,178,339 $ 8,212,901 3,224,814 $ 14,330,614
=============== =============== =============== ===============
OTC 100 FUND
Sold 3,541,387 $ 10,046,591 3,788,255 $ 11,480,257
Issued as reinvestment of dividends - - - -
Redeemed (1,685,584) (4,625,005) (2,233,042) (6,427,882)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,855,803 $ 5,421,586 1,555,213 $ 5,052,375
=============== =============== =============== ===============
FOCUSED VALUE FUND
Sold 3,254,173 $ 43,229,944 4,368,596 $ 54,310,872
Issued as reinvestment of dividends - - 30,387 358,865
Redeemed (1,180,206) (14,935,530) (1,680,049) (19,837,138)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,073,967 $ 28,294,414 2,718,934 $ 34,832,599
=============== =============== =============== ===============
SMALL COMPANY VALUE FUND
Sold 2,325,412 $ 21,492,572 1,130,086 $ 10,865,282
Issued as reinvestment of dividends - - 2,594 22,358
Redeemed (256,331) (2,267,170) (138,889) (1,226,862)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,069,081 $ 19,225,402 993,791 $ 9,660,778
=============== =============== =============== ===============
SMALL CAP EQUITY FUND
Sold 153,611 $ 1,578,683 465,360 $ 5,730,896
Issued as reinvestment of dividends - - 64,696 650,837
Redeemed (207,535) (2,100,734) (298,373) (3,524,164)
--------------- --------------- --------------- ---------------
Net increase (decrease) (53,924) $ (522,051) 231,683 $ 2,857,569
=============== =============== =============== ===============
MID CAP GROWTH EQUITY FUND
Sold 1,600,835 $ 10,071,728 2,101,871 $ 14,747,522
Issued as reinvestment of dividends - - - -
Redeemed (843,843) (5,138,708) (1,453,312) (9,899,017)
--------------- --------------- --------------- ---------------
Net increase (decrease) 756,992 $ 4,933,020 648,559 $ 4,848,505
=============== =============== =============== ===============
MID CAP GROWTH EQUITY II FUND
Sold 3,126,585 $ 26,372,262 4,401,687 $ 39,414,505
Issued as reinvestment of dividends - - - -
Redeemed (827,831) (6,949,490) (1,952,617) (16,477,065)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,298,754 $ 19,422,772 2,449,070 $ 22,937,440
=============== =============== =============== ===============
SMALL CAP GROWTH EQUITY FUND
Sold 1,134,467 $ 10,640,698 2,478,277 $ 25,500,186
Issued as reinvestment of dividends - - - -
Redeemed (679,745) (6,266,642) (1,148,430) (11,121,669)
--------------- --------------- --------------- ---------------
Net increase (decrease) 454,722 $ 4,374,056 1,329,847 $ 14,378,517
=============== =============== =============== ===============
</Table>
295
<Page>
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
SMALL COMPANY GROWTH FUND
Sold 1,553,378 $ 12,040,320 908,934 $ 6,945,392
Issued as reinvestment of dividends - - - -
Redeemed (207,906) (1,504,531) (187,979) (1,345,136)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,345,472 $ 10,535,789 720,955 $ 5,600,256
=============== =============== =============== ===============
EMERGING GROWTH FUND
Sold 1,732,185 $ 6,296,309 1,973,012 $ 8,884,147
Issued as reinvestment of dividends - - - -
Redeemed (807,194) (2,914,279) (1,184,829) (5,264,116)
--------------- --------------- --------------- ---------------
Net increase (decrease) 924,991 $ 3,382,030 788,183 $ 3,620,031
=============== =============== =============== ===============
INTERNATIONAL EQUITY FUND
Sold 1,533,670 $ 9,209,832 5,485,614 $ 40,880,222
Issued as reinvestment of dividends - - 39,195 266,169
Redeemed (1,208,457) (7,560,940) (5,004,226) (35,863,223)
--------------- --------------- --------------- ---------------
Net increase (decrease) 325,213 $ 1,648,892 520,583 $ 5,283,168
=============== =============== =============== ===============
OVERSEAS FUND
Sold 2,750,475 $ 19,728,468 2,817,763 $ 21,951,087
Issued as reinvestment of dividends - - 1,331 9,676
Redeemed (862,575) (6,246,754) (418,259) (3,288,485)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,887,900 $ 13,481,714 2,400,835 $ 18,672,278
=============== =============== =============== ===============
<Caption>
CLASS L
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
MONEY MARKET FUND
Sold 181,069,776 $ 181,069,777 443,681,600 $ 444,041,707
Issued as reinvestment of dividends 198,613 198,613 643,630 643,592
Redeemed (177,569,538) (177,569,522) (430,561,658) (430,929,991)
--------------- --------------- --------------- ---------------
Net increase (decrease) 3,698,851 $ 3,698,868 13,763,572 $ 13,755,308
=============== =============== =============== ===============
SHORT-DURATION BOND FUND
Sold 3,382,535 $ 35,590,858 7,278,457 $ 74,685,966
Issued as reinvestment of dividends - - 550,094 5,682,472
Redeemed (1,738,216) (18,159,895) (2,077,596) (21,543,860)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,644,319 $ 17,430,963 5,750,955 $ 58,824,578
=============== =============== =============== ===============
CORE BOND FUND
Sold 9,268,553 $ 105,665,487 13,919,986 $ 154,694,198
Issued as reinvestment of dividends - - 1,072,693 12,046,343
Redeemed (4,689,328) (53,927,812) (5,393,451) (60,107,484)
--------------- --------------- --------------- ---------------
Net increase (decrease) 4,579,225 $ 51,737,675 9,599,228 $ 106,633,057
=============== =============== =============== ===============
DIVERSIFIED BOND FUND
Sold 9,299 $ 95,678 16,194 $ 162,545
Issued as reinvestment of dividends - - 13,374 134,405
Redeemed (11,107) (114,405) (383,770) (3,839,998)
--------------- --------------- --------------- ---------------
Net increase (decrease) (1,808) $ (18,727) (354,202) $ (3,543,048)
=============== =============== =============== ===============
BALANCED FUND
Sold 20,809 $ 161,667 67,588 $ 553,939
Issued as reinvestment of dividends - - 11,880 91,598
Redeemed (168,017) (1,370,576) (96,597) (793,938)
--------------- --------------- --------------- ---------------
Net increase (decrease) (147,208) $ (1,208,909) (17,129) $ (148,401)
=============== =============== =============== ===============
CORE VALUE EQUITY FUND
Sold 3,140,007 $ 22,630,871 3,343,302 $ 27,062,294
Issued as reinvestment of dividends - - 113,241 843,645
Redeemed (1,143,721) (8,106,075) (1,287,750) (9,972,402)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,996,286 $ 14,524,796 2,168,793 $ 17,933,537
=============== =============== =============== ===============
</Table>
296
<Page>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
FUNDAMENTAL VALUE FUND
Sold 2,660,478 $ 20,581,190 6,505,347 $ 57,442,791
Issued as reinvestment of dividends - - 36,050 281,189
Redeemed (959,684) (7,476,320) (875,206) (7,197,520)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,700,794 $ 13,104,870 5,666,191 $ 50,526,460
=============== =============== =============== ===============
VALUE EQUITY FUND
Sold 85,324 $ 658,604 405,716 $ 3,327,936
Issued as reinvestment of dividends - - 6,815 52,201
Redeemed (83,031) (647,554) (80,574) (664,752)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,293 $ 11,050 331,957 $ 2,715,385
=============== =============== =============== ===============
LARGE CAP VALUE FUND
Sold 3,885,067 $ 28,685,784 6,633,193 $ 53,224,713
Issued as reinvestment of dividends - - 91,024 659,016
Redeemed (1,674,452) (12,176,487) (2,984,058) (23,356,098)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,210,615 $ 16,509,297 3,740,159 $ 30,527,631
=============== =============== =============== ===============
INDEXED EQUITY FUND
Sold 2,140,334 $ 17,576,596 4,615,838 $ 43,659,762
Issued as reinvestment of dividends - - 71,423 578,753
Redeemed (1,034,255) (8,533,022) (1,753,951) (15,753,610)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,106,079 $ 9,043,574 2,933,310 $ 28,484,905
=============== =============== =============== ===============
BLUE CHIP GROWTH FUND
Sold 14,295,442 $ 99,780,704 22,779,440 $ 177,091,750
Issued as reinvestment of dividends - - - -
Redeemed (11,836,872) (82,132,843) (25,173,306) (193,740,055)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,458,570 $ 17,647,861 (2,393,866) $ (16,648,305)
=============== =============== =============== ===============
LARGE CAP GROWTH FUND
Sold 239,022 $ 1,736,800 627,007 $ 4,635,107
Issued as reinvestment of dividends - - - -
Redeemed (67,368) (471,636) (71,264) (516,243)
--------------- --------------- --------------- ---------------
Net increase (decrease) 171,654 $ 1,265,164 555,743 $ 4,118,864
=============== =============== =============== ===============
GROWTH EQUITY FUND
Sold 5,838,677 $ 36,262,385 5,709,003 $ 41,050,586
Issued as reinvestment of dividends - - - -
Redeemed (1,897,913) (11,823,102) (2,690,797) (18,777,531)
--------------- --------------- --------------- ---------------
Net increase (decrease) 3,940,764 $ 24,439,283 3,018,206 $ 22,273,055
=============== =============== =============== ===============
AGGRESSIVE GROWTH FUND
Sold 3,317,938 $ 13,086,666 4,481,015 $ 21,282,215
Issued as reinvestment of dividends - - - -
Redeemed (1,382,076) (5,480,595) (1,640,476) (7,250,736)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,935,862 $ 7,606,071 2,840,539 $ 14,031,479
=============== =============== =============== ===============
OTC 100 FUND
Sold 1,563,445 $ 4,450,448 1,926,240 $ 5,829,119
Issued as reinvestment of dividends - - - -
Redeemed (825,509) (2,303,025) (1,420,212) (4,034,256)
--------------- --------------- --------------- ---------------
Net increase (decrease) 737,936 $ 2,147,423 506,028 $ 1,794,863
=============== =============== =============== ===============
FOCUSED VALUE FUND
Sold 2,591,743 $ 33,482,628 2,802,279 $ 35,324,572
Issued as reinvestment of dividends - - 26,794 317,777
Redeemed (694,466) (8,905,923) (1,404,516) (16,768,227)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,897,277 $ 24,576,705 1,424,557 $ 18,874,122
=============== =============== =============== ===============
SMALL COMPANY VALUE FUND
Sold 672,701 $ 5,648,622 465,510 $ 4,357,510
Issued as reinvestment of dividends - - 1,740 14,979
Redeemed (210,130) (1,840,733) (91,359) (827,530)
--------------- --------------- --------------- ---------------
Net increase (decrease) 462,571 $ 3,807,889 375,891 $ 3,544,959
=============== =============== =============== ===============
</Table>
297
<Page>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
SMALL CAP EQUITY FUND
Sold 1,425,846 $ 14,668,858 1,606,479 $ 19,222,905
Issued as reinvestment of dividends - - 333,905 3,369,105
Redeemed (540,913) (5,468,550) (768,181) (9,040,322)
--------------- --------------- --------------- ---------------
Net increase (decrease) 884,933 $ 9,200,308 1,172,203 $ 13,551,688
=============== =============== =============== ===============
MID CAP GROWTH EQUITY FUND
Sold 1,411,191 $ 8,727,511 1,622,656 $ 11,488,599
Issued as reinvestment of dividends - - - -
Redeemed (742,073) (4,549,074) (981,681) (6,849,889)
--------------- --------------- --------------- ---------------
Net increase (decrease) 669,118 $ 4,178,437 640,975 $ 4,638,710
=============== =============== =============== ===============
MID CAP GROWTH EQUITY II FUND
Sold 5,366,759 $ 46,426,849 7,348,006 $ 66,430,558
Issued as reinvestment of dividends - - - -
Redeemed (3,459,296) (29,435,226) (6,181,848) (55,609,542)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,907,463 $ 16,991,623 1,166,158 $ 10,821,016
=============== =============== =============== ===============
SMALL CAP GROWTH EQUITY FUND
Sold 1,119,854 $ 10,535,075 2,743,092 $ 28,566,652
Issued as reinvestment of dividends - - - -
Redeemed (817,030) (7,344,887) (1,412,274) (14,008,095)
--------------- --------------- --------------- ---------------
Net increase (decrease) 302,824 $ 3,190,188 1,330,818 $ 14,558,557
=============== =============== =============== ===============
SMALL COMPANY GROWTH FUND
Sold 1,091,037 $ 7,537,285 1,690,999 $ 12,567,705
Issued as reinvestment of dividends - - - -
Redeemed (193,031) (1,390,370) (219,043) (1,549,931)
--------------- --------------- --------------- ---------------
Net increase (decrease) 898,006 $ 6,146,915 1,471,956 $ 11,017,774
=============== =============== =============== ===============
EMERGING GROWTH FUND
Sold 2,901,870 $ 10,621,496 2,955,141 $ 13,694,923
Issued as reinvestment of dividends - - - -
Redeemed (1,078,710) (3,872,332) (1,321,194) (5,696,768)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,823,160 $ 6,749,164 1,633,947 $ 7,998,155
=============== =============== =============== ===============
INTERNATIONAL EQUITY FUND
Sold 6,686,693 $ 41,255,853 7,115,469 $ 57,016,276
Issued as reinvestment of dividends - - 141,521 944,147
Redeemed (2,964,197) (17,950,212) (3,841,517) (30,307,564)
--------------- --------------- --------------- ---------------
Net increase (decrease) 3,722,496 $ 23,305,641 3,415,473 $ 27,652,859
=============== =============== =============== ===============
OVERSEAS FUND
Sold 2,565,072 $ 17,993,664 3,456,243 $ 27,663,433
Issued as reinvestment of dividends - - 4,344 31,671
Redeemed (714,199) (5,132,409) (951,705) (7,253,222)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,850,873 $ 12,861,255 2,508,882 $ 20,441,882
=============== =============== =============== ===============
<Caption>
CLASS Y
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
MONEY MARKET FUND
Sold 654,801,490 $ 654,801,489 1,319,694,210 $ 1,320,687,866
Issued as reinvestment of dividends 350,496 350,496 1,298,045 1,298,045
Redeemed (681,749,449) (681,749,411) (1,298,349,733) (1,299,294,623)
--------------- --------------- --------------- ---------------
Net increase (decrease) (26,597,463) $ (26,597,426) 22,642,522 $ 22,691,288
=============== =============== =============== ===============
SHORT-DURATION BOND FUND
Sold 333,391 $ 3,516,621 3,226,864 $ 34,120,108
Issued as reinvestment of dividends - - 164,905 1,759,799
Redeemed (1,029,375) (10,848,613) (734,377) (7,626,762)
--------------- --------------- --------------- ---------------
Net increase (decrease) (695,984) $ (7,331,992) 2,657,392 $ 28,253,145
=============== =============== =============== ===============
</Table>
298
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
CORE BOND FUND
Sold 5,086,912 $ 58,185,734 9,941,878 $ 112,226,943
Issued as reinvestment of dividends - - 650,458 7,324,155
Redeemed (6,830,346) (78,125,257) (5,235,158) (58,297,263)
--------------- --------------- --------------- ---------------
Net increase (decrease) (1,743,434) $ (19,939,523) 5,357,178 $ 61,253,835
=============== =============== =============== ===============
DIVERSIFIED BOND FUND
Sold 411,295 $ 4,166,627 779,521 $ 7,805,315
Issued as reinvestment of dividends - - 6,071 61,252
Redeemed (667,715) (6,790,951) (422,726) (4,218,752)
--------------- --------------- --------------- ---------------
Net increase (decrease) (256,420) $ (2,624,324) 362,866 $ 3,647,815
=============== =============== =============== ===============
BALANCED FUND
Sold 23,604 $ 188,739 114,568 $ 1,000,401
Issued as reinvestment of dividends - - 8,762 69,654
Redeemed (131,415) (1,056,821) (150,249) (1,303,992)
--------------- --------------- --------------- ---------------
Net increase (decrease) (107,811) $ (868,082) (26,919) $ (233,937)
=============== =============== =============== ===============
CORE VALUE EQUITY FUND
Sold 223,740 $ 1,639,053 366,650 $ 2,936,612
Issued as reinvestment of dividends - - 18,741 140,183
Redeemed (783,996) (5,860,624) (743,087) (6,196,516)
--------------- --------------- --------------- ---------------
Net increase (decrease) (560,256) $ (4,221,571) (357,696) $ (3,119,721)
=============== =============== =============== ===============
FUNDAMENTAL VALUE FUND
Sold 1,087,683 $ 8,952,342 5,375,991 $ 43,088,201
Issued as reinvestment of dividends - - 39,268 306,288
Redeemed (206,406) (1,633,760) (222,974) (1,848,124)
--------------- --------------- --------------- ---------------
Net increase (decrease) 881,277 $ 7,318,582 5,192,285 $ 41,546,365
=============== =============== =============== ===============
VALUE EQUITY FUND
Sold 119,824 $ 917,050 542,994 $ 4,782,755
Issued as reinvestment of dividends - - 11,705 89,774
Redeemed (59,210) (454,929) (211,607) (1,815,628)
--------------- --------------- --------------- ---------------
Net increase (decrease) 60,614 $ 462,121 343,092 $ 3,056,901
=============== =============== =============== ===============
LARGE CAP VALUE FUND
Sold 1,677,122 $ 12,334,998 2,102,859 $ 16,953,215
Issued as reinvestment of dividends - - 37,553 272,257
Redeemed (670,366) (4,884,404) (2,632,372) (22,000,518)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,006,756 $ 7,450,594 (491,960) $ (4,775,046)
=============== =============== =============== ===============
INDEXED EQUITY FUND
Sold 11,640,037 $ 96,601,980 17,377,290 $ 160,550,651
Issued as reinvestment of dividends - - 287,825 2,337,842
Redeemed (9,471,322) (78,773,612) (9,501,737) (90,693,086)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,168,715 $ 17,828,368 8,163,378 $ 72,195,407
=============== =============== =============== ===============
BLUE CHIP GROWTH FUND
Sold 298,273 $ 2,084,696 128,565 $ 972,451
Issued as reinvestment of dividends - - 75 509
Redeemed (82,599) (563,906) (74,264) (537,066)
--------------- --------------- --------------- ---------------
Net increase (decrease) 215,674 $ 1,520,790 54,376 $ 435,894
=============== =============== =============== ===============
LARGE CAP GROWTH FUND
Sold 818 $ 5,994 11,109 $ 109,754
Issued as reinvestment of dividends - - - -
Redeemed (230) (1,609) (59) (431)
--------------- --------------- --------------- ---------------
Net increase (decrease) 588 $ 4,385 11,050 $ 109,323
=============== =============== =============== ===============
GROWTH EQUITY FUND
Sold 1,295,688 $ 8,276,167 5,704,069 $ 39,619,355
Issued as reinvestment of dividends - - - -
Redeemed (870,544) (5,563,690) (3,821,462) (28,457,529)
--------------- --------------- --------------- ---------------
Net increase (decrease) 425,144 $ 2,712,477 1,882,607 $ 11,161,826
=============== =============== =============== ===============
</Table>
299
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
AGGRESSIVE GROWTH FUND
Sold 982,185 $ 3,916,573 1,189,319 $ 5,469,035
Issued as reinvestment of dividends - - - -
Redeemed (504,904) (1,977,939) (818,765) (3,657,457)
--------------- --------------- --------------- ---------------
Net increase (decrease) 477,281 $ 1,938,634 370,554 $ 1,811,578
=============== =============== =============== ===============
OTC 100 FUND
Sold 393,664 $ 1,136,731 360,214 $ 981,153
Issued as reinvestment of dividends - - - -
Redeemed (78,929) (220,439) (53,120) (155,562)
--------------- --------------- --------------- ---------------
Net increase (decrease) 314,735 $ 916,292 307,094 $ 825,591
=============== =============== =============== ===============
FOCUSED VALUE FUND
Sold 1,505,323 $ 19,802,693 4,113,570 $ 47,439,834
Issued as reinvestment of dividends - - 10,595 125,874
Redeemed (762,902) (9,678,647) (1,111,798) (13,304,328)
--------------- --------------- --------------- ---------------
Net increase (decrease) 742,421 $ 10,124,046 3,012,367 $ 34,261,380
=============== =============== =============== ===============
SMALL COMPANY VALUE FUND
Sold 358,219 $ 3,164,102 2,402,524 $ 20,790,406
Issued as reinvestment of dividends - - 12,404 106,919
Redeemed (323,979) (2,836,273) (138,633) (1,177,724)
--------------- --------------- --------------- ---------------
Net increase (decrease) 34,240 $ 327,829 2,276,295 $ 19,719,601
=============== =============== =============== ===============
SMALL CAP EQUITY FUND
Sold 110,244 $ 1,122,746 516,504 $ 6,411,414
Issued as reinvestment of dividends - - 110,534 1,115,276
Redeemed (576,234) (5,826,046) (378,717) (4,671,247)
--------------- --------------- --------------- ---------------
Net increase (decrease) (465,990) $ (4,703,300) 248,321 $ 2,855,443
=============== =============== =============== ===============
MID CAP GROWTH EQUITY FUND
Sold 463,852 $ 2,914,696 709,437 $ 4,955,169
Issued as reinvestment of dividends - - - -
Redeemed (222,148) (1,372,700) (646,118) (4,479,130)
--------------- --------------- --------------- ---------------
Net increase (decrease) 241,704 $ 1,541,996 63,319 $ 476,039
=============== =============== =============== ===============
MID CAP GROWTH EQUITY II FUND
Sold 1,195,949 $ 10,094,415 3,572,497 $ 29,366,442
Issued as reinvestment of dividends - - - -
Redeemed (493,758) (4,079,672) (242,421) (1,970,020)
--------------- --------------- --------------- ---------------
Net increase (decrease) 702,191 $ 6,014,743 3,330,076 $ 27,396,422
=============== =============== =============== ===============
SMALL CAP GROWTH EQUITY FUND
Sold 1,389,422 $ 13,125,799 3,109,844 $ 31,809,395
Issued as reinvestment of dividends - - - -
Redeemed (900,732) (8,455,722) (2,014,591) (20,898,240)
--------------- --------------- --------------- ---------------
Net increase (decrease) 488,690 $ 4,670,077 1,095,253 $ 10,911,155
=============== =============== =============== ===============
SMALL COMPANY GROWTH FUND
Sold 459,310 $ 3,431,982 1,568,018 $ 11,147,652
Issued as reinvestment of dividends - - - -
Redeemed (295,446) (2,134,094) (66,124) (475,196)
--------------- --------------- --------------- ---------------
Net increase (decrease) 163,864 $ 1,297,888 1,501,894 $ 10,672,456
=============== =============== =============== ===============
EMERGING GROWTH FUND
Sold 101,198 $ 358,563 189,035 $ 900,997
Issued as reinvestment of dividends - - - -
Redeemed (36,503) (131,500) (260,805) (1,095,553)
--------------- --------------- --------------- ---------------
Net increase (decrease) 64,695 $ 227,063 (71,770) $ (194,556)
=============== =============== =============== ===============
INTERNATIONAL EQUITY FUND
Sold 8,146,203 $ 49,837,483 76,349,611 $ 567,689,298
Issued as reinvestment of dividends - - 71,013 471,981
Redeemed (9,256,620) (58,533,327) (75,526,540) (567,508,413)
--------------- --------------- --------------- ---------------
Net increase (decrease) (1,110,417) $ (8,695,844) 894,084 $ 652,866
=============== =============== =============== ===============
</Table>
300
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
OVERSEAS FUND
Sold 1,744,764 $ 12,931,573 2,701,239 $ 19,319,138
Issued as reinvestment of dividends - - 6,815 49,753
Redeemed (190,668) (1,363,328) (110,831) (862,488)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,554,096 $ 11,568,245 2,597,223 $ 18,506,403
=============== =============== =============== ===============
<Caption>
CLASS S
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
MONEY MARKET FUND
Sold 366,402,239 $ 366,402,238 942,789,241 $ 943,622,913
Issued as reinvestment of dividends 1,434,126 1,434,126 4,380,168 4,380,342
Redeemed (392,349,002) (392,348,983) (1,007,526,527) (1,008,638,463)
--------------- --------------- --------------- ---------------
Net increase (decrease) (24,512,637) $ (24,512,619) (60,357,118) $ (60,635,208)
=============== =============== =============== ===============
SHORT-DURATION BOND FUND
Sold 1,536,179 $ 16,223,893 5,922,769 $ 61,577,544
Issued as reinvestment of dividends - - 584,546 6,085,127
Redeemed (2,748,870) (28,905,355) (8,514,413) (89,025,384)
--------------- --------------- --------------- ---------------
Net increase (decrease) (1,212,691) $ (12,681,462) (2,007,098) $ (21,362,713)
=============== =============== =============== ===============
CORE BOND FUND
Sold 28,011,701 $ 322,123,040 71,743,013 $ 809,938,526
Issued as reinvestment of dividends - - 4,729,791 53,446,635
Redeemed (30,880,278) (355,378,987) (47,328,864) (531,035,970)
--------------- --------------- --------------- ---------------
Net increase (decrease) (2,868,577) $ (33,255,947) 29,143,940 $ 332,349,191
=============== =============== =============== ===============
DIVERSIFIED BOND FUND
Sold 2,419,146 $ 25,016,509 1,228,125 $ 12,673,884
Issued as reinvestment of dividends - - 154,932 1,566,360
Redeemed (2,087,081) (21,608,317) (496,605) (5,130,256)
--------------- --------------- --------------- ---------------
Net increase (decrease) 332,065 $ 3,408,192 886,452 $ 9,109,988
=============== =============== =============== ===============
BALANCED FUND
Sold 4,664,198 $ 36,712,107 8,208,802 $ 68,940,310
Issued as reinvestment of dividends - - 1,058,364 8,181,156
Redeemed (7,279,671) (57,027,747) (14,356,858) (119,838,211)
--------------- --------------- --------------- ---------------
Net increase (decrease) (2,615,473) $ (20,315,640) (5,089,692) $ (42,716,745)
=============== =============== =============== ===============
CORE VALUE EQUITY FUND
Sold 9,078,761 $ 65,433,240 20,195,988 $ 161,990,312
Issued as reinvestment of dividends - - 1,866,226 13,996,694
Redeemed (18,889,733) (135,244,593) (65,480,857) (535,841,970)
--------------- --------------- --------------- ---------------
Net increase (decrease) (9,810,972) $ (69,811,353) (43,418,643) $ (359,854,964)
=============== =============== =============== ===============
FUNDAMENTAL VALUE FUND
Sold 4,394,355 $ 35,387,779 14,496,961 $ 132,336,202
Issued as reinvestment of dividends - - 89,142 696,201
Redeemed (2,291,042) (18,077,331) (2,630,120) (22,007,723)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,103,313 $ 17,310,448 11,955,983 $ 111,024,680
=============== =============== =============== ===============
VALUE EQUITY FUND
Sold 1,233,368 $ 9,435,672 4,436,037 $ 39,616,545
Issued as reinvestment of dividends - - 97,559 748,274
Redeemed (841,207) (6,495,092) (2,174,235) (18,207,086)
--------------- --------------- --------------- ---------------
Net increase (decrease) 392,161 $ 2,940,580 2,359,361 $ 22,157,733
=============== =============== =============== ===============
LARGE CAP VALUE FUND
Sold 5,148,631 $ 38,887,709 8,514,948 $ 68,637,199
Issued as reinvestment of dividends - - 258,610 1,874,921
Redeemed (4,170,189) (30,658,457) (8,329,628) (64,765,921)
--------------- --------------- --------------- ---------------
Net increase (decrease) 978,442 $ 8,229,252 443,930 $ 5,746,199
=============== =============== =============== ===============
</Table>
301
<Page>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
INDEXED EQUITY FUND
Sold 17,655,482 $ 149,188,637 33,396,629 $ 306,179,882
Issued as reinvestment of dividends - - 810,650 6,633,682
Redeemed (17,192,459) (143,993,838) (25,092,597) (229,897,440)
--------------- --------------- --------------- ---------------
Net increase (decrease) 463,023 $ 5,194,799 9,114,682 $ 82,916,124
=============== =============== =============== ===============
BLUE CHIP GROWTH FUND
Sold 3,067,443 $ 21,570,089 3,601,383 $ 27,695,126
Issued as reinvestment of dividends - - 8,662 58,731
Redeemed (3,214,684) (22,478,456) (5,370,099) (41,294,170)
--------------- --------------- --------------- ---------------
Net increase (decrease) (147,241) $ (908,367) (1,760,054) $ (13,540,313)
=============== =============== =============== ===============
LARGE CAP GROWTH FUND
Sold 326,610 $ 2,379,389 3,062,402 $ 27,517,043
Issued as reinvestment of dividends - - - -
Redeemed (365,626) (2,683,243) (62,243) (547,228)
--------------- --------------- --------------- ---------------
Net increase (decrease) (39,016) $ (303,854) 3,000,159 $ 26,969,815
=============== =============== =============== ===============
GROWTH EQUITY FUND
Sold 4,478,841 $ 29,158,267 7,368,954 $ 52,795,872
Issued as reinvestment of dividends - - - -
Redeemed (2,554,718) (16,098,742) (6,734,756) (47,729,420)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,924,123 $ 13,059,525 634,198 $ 5,066,452
=============== =============== =============== ===============
AGGRESSIVE GROWTH FUND
Sold 5,132,727 $ 20,766,821 7,198,909 $ 33,151,366
Issued as reinvestment of dividends - - - -
Redeemed (2,851,686) (11,347,659) (9,635,786) (42,684,416)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,281,041 $ 9,419,162 (2,436,877) $ (9,533,050)
=============== =============== =============== ===============
OTC 100 FUND
Sold 17,689,012 $ 50,504,225 15,444,594 $ 44,282,199
Issued as reinvestment of dividends - - - -
Redeemed (15,440,116) (43,761,327) (17,387,347) (49,137,544)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,248,896 $ 6,742,898 (1,942,753) $ (4,855,345)
=============== =============== =============== ===============
FOCUSED VALUE FUND
Sold 7,218,172 $ 97,525,202 8,028,008 $ 98,916,416
Issued as reinvestment of dividends - - 72,675 865,563
Redeemed (3,200,650) (41,215,775) (6,802,114) (83,444,101)
--------------- --------------- --------------- ---------------
Net increase (decrease) 4,017,522 $ 56,309,427 1,298,569 $ 16,337,878
=============== =============== =============== ===============
SMALL COMPANY VALUE FUND
Sold 1,595,840 $ 14,143,849 7,287,945 $ 72,489,846
Issued as reinvestment of dividends - - 22,860 197,514
Redeemed (1,530,630) (13,260,164) (3,197,728) (30,484,433)
--------------- --------------- --------------- ---------------
Net increase (decrease) 65,210 $ 883,685 4,113,077 $ 42,202,927
=============== =============== =============== ===============
SMALL CAP EQUITY FUND
Sold 4,649,983 $ 48,634,205 15,421,968 $ 192,315,407
Issued as reinvestment of dividends - - 2,580,258 26,163,818
Redeemed (7,150,043) (73,040,116) (27,276,659) (330,466,529)
--------------- --------------- --------------- ---------------
Net increase (decrease) (2,500,060) $ (24,405,911) (9,274,433) $ (111,987,304)
=============== =============== =============== ===============
MID CAP GROWTH EQUITY FUND
Sold 2,948,283 $ 18,768,970 3,876,882 $ 27,372,357
Issued as reinvestment of dividends - - - -
Redeemed (2,117,564) (13,061,755) (5,748,400) (40,525,597)
--------------- --------------- --------------- ---------------
Net increase (decrease) 830,719 $ 5,707,215 (1,871,518) $ (13,153,240)
=============== =============== =============== ===============
MID CAP GROWTH EQUITY II FUND
Sold 2,107,833 $ 18,534,276 3,793,507 $ 35,104,486
Issued as reinvestment of dividends - - - -
Redeemed (1,840,213) (15,402,206) (3,504,773) (31,878,046)
--------------- --------------- --------------- ---------------
Net increase (decrease) 267,620 $ 3,132,070 288,734 $ 3,226,440
=============== =============== =============== ===============
</Table>
302
<Page>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
SMALL CAP GROWTH EQUITY FUND
Sold 4,264,363 $ 41,299,415 5,940,006 $ 61,526,529
Issued as reinvestment of dividends - - - -
Redeemed (3,058,252) (28,692,143) (5,181,440) (51,808,791)
--------------- --------------- --------------- ---------------
Net increase (decrease) 1,206,111 $ 12,607,272 758,566 $ 9,717,738
=============== =============== =============== ===============
SMALL COMPANY GROWTH FUND
Sold 590,815 $ 4,678,830 306,398 $ 2,517,186
Issued as reinvestment of dividends - - - -
Redeemed (293,589) (2,285,056) (59,111) (508,978)
--------------- --------------- --------------- ---------------
Net increase (decrease) 297,226 $ 2,393,774 247,287 $ 2,008,208
=============== =============== =============== ===============
EMERGING GROWTH FUND
Sold 1,240,006 $ 4,708,199 2,882,490 $ 12,236,205
Issued as reinvestment of dividends - - - -
Redeemed (903,982) (3,241,795) (5,132,528) (20,484,485)
--------------- --------------- --------------- ---------------
Net increase (decrease) 336,024 $ 1,466,404 (2,250,038) $ (8,248,280)
=============== =============== =============== ===============
INTERNATIONAL EQUITY FUND
Sold 29,206,782 $ 182,051,976 296,154,757 $ 2,237,494,178
Issued as reinvestment of dividends - - 810,001 5,429,706
Redeemed (34,637,760) (218,347,030) (306,172,482) (2,328,854,575)
--------------- --------------- --------------- ---------------
Net increase (decrease) (5,430,978) $ (36,295,054) (9,207,724) $ (85,930,691)
=============== =============== =============== ===============
OVERSEAS FUND
Sold 3,169,614 $ 23,553,915 5,268,222 $ 41,755,741
Issued as reinvestment of dividends - - 19,184 140,234
Redeemed (579,381) (4,298,021) (380,889) (2,992,780)
--------------- --------------- --------------- ---------------
Net increase (decrease) 2,590,233 $ 19,255,894 4,906,517 $ 38,903,195
=============== =============== =============== ===============
<Caption>
CLASS Z
-------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
INDEXED EQUITY FUND
Sold 427,120 $ 3,706,344 4,995,445 $ 49,094,422
Issued as reinvestment of dividends - - 28,868 236,834
Redeemed (412,819) (3,521,420) (2,980,141) (26,025,410)
--------------- --------------- --------------- ---------------
Net increase (decrease) 14,301 $ 184,924 2,044,172 $ 23,305,846
=============== =============== =============== ===============
<Caption>
CLASS N*
--------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
SHORT-DURATION BOND FUND
Sold - $ - 9,796 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 9,796 $ 101,000
=============== =============== =============== ===============
CORE BOND FUND
Sold 51 $ 589 9,050 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) 51 $ 589 9,050 $ 101,000
=============== =============== =============== ===============
DIVERSIFIED BOND FUND
Sold - $ - 10,070 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 10,070 $ 101,000
=============== =============== =============== ===============
</Table>
303
<Page>
<Table>
<Caption>
CLASS N*
--------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
BALANCED FUND
Sold - $ - 13,237 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 13,237 $ 101,000
=============== =============== =============== ===============
CORE VALUE EQUITY FUND
Sold - $ - 14,511 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 14,511 $ 101,000
=============== =============== =============== ===============
FUNDAMENTAL VALUE FUND
Sold - $ - 13,015 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 13,015 $ 101,000
=============== =============== =============== ===============
VALUE EQUITY FUND
Sold - $ - 13,254 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 13,254 $ 101,000
=============== =============== =============== ===============
LARGE CAP VALUE FUND
Sold - $ - 14,047 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 14,047 $ 101,000
=============== =============== =============== ===============
INDEXED EQUITY FUND
Sold 68,906 $ 588,455 12,484 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) 68,906 $ 588,455 12,484 $ 100,500
=============== =============== =============== ===============
BLUE CHIP GROWTH FUND
Sold 18,138 $ 129,143 15,097 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) 18,138 $ 129,143 15,097 $ 101,000
=============== =============== =============== ===============
LARGE CAP GROWTH FUND
Sold - $ - 14,518 $ 100,900
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 14,518 $ 100,900
=============== =============== =============== ===============
GROWTH EQUITY FUND
Sold - $ - 16,805 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 16,805 $ 101,000
=============== =============== =============== ===============
AGGRESSIVE GROWTH FUND
Sold - $ - 26,790 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 26,790 $ 101,000
=============== =============== =============== ===============
OTC 100 FUND
Sold - $ - 39,923 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 39,923 $ 101,000
=============== =============== =============== ===============
</Table>
304
<Page>
<Table>
<Caption>
CLASS N*
--------
SIX MONTHS ENDED JUNE 30, 2003 YEAR ENDED DECEMBER 31, 2002
SHARES AMOUNT SHARES AMOUNT
--------------- --------------- --------------- ---------------
FOCUSED VALUE FUND
Sold 69 $ 941 8,580 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) 69 $ 941 8,580 $ 101,000
=============== =============== =============== ===============
SMALL COMPANY VALUE FUND
Sold 4,324 $ 38,871 11,699 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) 4,324 $ 38,871 11,699 $ 100,500
=============== =============== =============== ===============
SMALL CAP EQUITY FUND
Sold - $ - 10,029 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 10,029 $ 100,500
=============== =============== =============== ===============
MID CAP GROWTH EQUITY FUND
Sold - $ - 17,150 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 17,150 $ 100,500
=============== =============== =============== ===============
MID CAP GROWTH EQUITY II FUND
Sold 4,663 $ 40,612 12,484 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) 4,663 $ 40,612 12,484 $ 100,500
=============== =============== =============== ===============
SMALL CAP GROWTH EQUITY FUND
Sold - $ - 11,635 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 11,635 $ 101,000
=============== =============== =============== ===============
SMALL COMPANY GROWTH FUND
Sold - $ - 14,565 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 14,565 $ 100,500
=============== =============== =============== ===============
EMERGING GROWTH FUND
Sold - $ - 28,856 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 28,856 $ 101,000
=============== =============== =============== ===============
INTERNATIONAL EQUITY FUND
Sold - $ - 16,133 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) - $ - 16,133 $ 101,000
=============== =============== =============== ===============
OVERSEAS FUND
Sold 6,635 $ 48,301 13,949 $ 101,000
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- --------------- --------------- ---------------
Net increase (decrease) 6,635 $ 48,301 13,949 $ 101,000
=============== =============== =============== ===============
</Table>
* CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
305
<Page>
Redemptions or exchanges of Class N made within eighteen months of purchase are
subject to a contingent deferred sales charge of 1% of the amount redeemed.
There were no such charges at June 30, 2003.
6. FOREIGN SECURITIES
The International Equity and Overseas Funds invest substantially all of their
assets in foreign securities. The other Funds may also invest in foreign
securities, subject to certain percentage restrictions. Investing in securities
of foreign companies and foreign governments involves special risks and
considerations not typically associated with investing in securities of U.S.
companies and the U.S. Government. These risks include revaluation of currencies
and future adverse political and economic developments. Moreover, securities of
many foreign companies and foreign governments and their markets may be less
liquid and their prices more volatile than those of securities of comparable
U.S. companies and the U.S. Government.
7. FEDERAL INCOME TAX INFORMATION
At June 30, 2003, 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:
<Table>
<Caption>
FEDERAL TAX BASIS TAX BASIS NET UNREALIZED
INCOME TAX UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION (DEPRECIATION)
--------------- --------------- --------------- ---------------
Short-Duration Bond Fund $ 351,260,666 $ 20,084,984 $ (1,968,358) $ 18,116,626
Core Bond Fund 1,966,979,392 96,055,938 (13,418,303) 82,637,635
Diversified Bond Fund 67,877,688 3,317,195 (914,328) 2,402,867
Balanced Fund 276,548,267 17,616,207 (11,000,397) 6,615,810
Core Value Equity Fund 951,698,263 71,562,639 (38,570,829) 32,991,810
Fundamental Value Fund 325,962,878 20,811,759 (6,171,345) 14,640,414
Value Equity Fund 109,405,041 6,497,301 (6,472,774) 24,527
Large Cap Value Fund 637,582,121 44,597,281 (58,996,497) (14,399,216)
Indexed Equity Fund 1,344,990,358 88,801,435 (286,504,350) (197,702,915)
Blue Chip Growth Fund 422,499,246 16,674,845 (60,505,947) (43,831,102)
Large Cap Growth Fund 38,811,525 2,608,626 (1,481,393) 1,127,233
Growth Equity Fund 517,176,239 41,209,290 (3,230,079) 37,979,211
Aggressive Growth Fund 172,590,404 16,529,256 (4,609,695) 11,919,561
OTC 100 Fund 55,410,913 3,945,069 (1,798,430) 2,146,639
Focused Value Fund 448,482,950 82,585,686 (3,400,937) 79,184,749
Small Company Value Fund 115,146,726 9,798,848 (4,410,902) 5,387,946
Small Cap Equity Fund 477,649,807 55,791,215 (46,802,082) 8,989,133
Mid Cap Growth Equity Fund 146,187,718 18,448,361 (1,271,046) 17,177,315
Mid Cap Growth Equity II Fund 354,471,900 58,115,683 (17,954,939) 40,160,744
Small Cap Growth Equity Fund 331,099,237 43,995,070 (16,509,101) 27,485,969
Small Company Growth Fund 73,968,487 10,551,007 (1,461,576) 9,089,431
Emerging Growth Fund 92,103,971 13,373,698 (1,584,351) 11,789,347
International Equity Fund 848,522,892 78,376,109 (159,281,073) (80,904,964)
Overseas Fund 178,410,030 18,588,039 (2,959,276) 15,628,763
</Table>
Note: The aggregate cost for the Money Market Fund as of June 30, 2003, is the
same for financial reporting and Federal income tax purposes.
306
<Page>
At December 31, 2002, the following Funds had available, for Federal income tax
purposes, unused capital losses:
<Table>
<Caption>
AMOUNT EXPIRATION DATE
----------------- -----------------
Money Market Fund $ 4,772 December 31, 2010
Short-Duration Bond Fund 793,290 December 31, 2008
Short-Duration Bond Fund 860,882 December 31, 2010
Diversified Bond Fund 108,510 December 31, 2007
Diversified Bond Fund 13,007 December 31, 2008
Diversified Bond Fund 215,281 December 31, 2009
Diversified Bond Fund 146,447 December 31, 2010
Balanced Fund 22,166,384 December 31, 2009
Balanced Fund 23,316,861 December 31, 2010
Core Value Equity Fund 132,106,774 December 31, 2010
Fundamental Value Fund 5,740,978 December 31, 2010
Value Equity Fund 1,119,587 December 31, 2009
Value Equity Fund 4,733,279 December 31, 2010
Large Cap Value Fund 22,553,575 December 31, 2009
Large Cap Value Fund 38,867,223 December 31, 2010
Indexed Equity Fund 5,152,617 December 31, 2009
Indexed Equity Fund 34,979,965 December 31, 2010
Blue Chip Growth Fund 17,582,488 December 31, 2009
Blue Chip Growth Fund 42,088,672 December 31, 2010
Large Cap Growth Fund 3,599,944 December 31, 2010
Growth Equity Fund 128,376,760 December 31, 2009
Growth Equity Fund 98,921,183 December 31, 2010
Aggressive Growth Fund 4,316,566 December 31, 2008
Aggressive Growth Fund 74,645,245 December 31, 2009
Aggressive Growth Fund 39,256,002 December 31, 2010
OTC 100 Fund 2,229,926 December 31, 2009
OTC 100 Fund 5,742,042 December 31, 2010
Focused Value Fund 6,382,487 December 31, 2010
Small Company Value Fund 2,054,405 December 31, 2010
Mid Cap Growth Equity Fund 86,096,985 December 31, 2009
Mid Cap Growth Equity Fund 35,977,324 December 31, 2010
Mid Cap Growth Equity II Fund 548,174 December 31, 2008
Mid Cap Growth Equity II Fund 16,259,824 December 31, 2009
Mid Cap Growth Equity II Fund 16,323,894 December 31, 2010
Small Cap Growth Equity Fund 1,738,099 December 31, 2008
Small Cap Growth Equity Fund 37,737,954 December 31, 2009
Small Cap Growth Equity Fund 49,322,723 December 31, 2010
Small Company Growth Fund 1,668,126 December 31, 2010
Emerging Growth Fund 8,967,181 December 31, 2008
Emerging Growth Fund 39,418,506 December 31, 2009
Emerging Growth Fund 28,322,542 December 31, 2010
International Equity Fund 98,446,792 December 31, 2009
International Equity Fund 115,846,145 December 31, 2010
Overseas Fund 2,240,695 December 31, 2009
Overseas Fund 5,798,941 December 31, 2010
</Table>
307
<Page>
The following Funds have elected to defer to January 1, 2003 post-October
losses:
<Table>
<Caption>
AMOUNT
--------------
Short-Duration Bond Fund $ 111,040
Core Bond Fund 930,240
Diversified Bond Fund 21,246
Balanced Fund 8,019,005
Core Value Equity Fund 5,115,373
Fundamental Value Fund 4,258,993
Value Equity Fund 675,197
Large Cap Value Fund 1,375,226
Indexed Equity Fund 1,601,780
Blue Chip Growth Fund 6,089,772
Large Cap Growth Fund 459,840
Growth Equity Fund 9,521,791
Aggressive Growth Fund 479,939
OTC 100 Fund 14,474,459
Focused Value Fund 182,642
Small Company Value Fund 340,731
Small Cap Equity Fund 4,893,995
Mid Cap Growth Equity Fund 4,423,294
Mid Cap Growth Equity II Fund 3,255,670
Small Cap Growth Equity Fund 4,378,585
Small Company Growth Fund 1,190,382
Emerging Growth Fund 1,858,791
International Equity Fund 44,606,820
Overseas Fund 2,367,344
</Table>
The following Funds have elected to defer to January 1, 2003 post-October
currency losses:
<Table>
<Caption>
AMOUNT
--------------
Growth Equity Fund $ 2,657
Aggressive Growth Fund 61
International Equity Fund 1,755,583
Overseas Fund 34,494
</Table>
Pursuant to Section 852 of the Internal Revenue Code, the Funds designate the
following capital gain dividends for the year ended December 31, 2002:
<Table>
<Caption>
CAPITAL GAINS DIVIDEND
----------------------
Core Bond Fund $ 4,121,089
Focused Value Fund 2,337,180
Small Cap Equity Fund 29,583,761
</Table>
308
<Page>
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 [RESERVED]
ITEM 7 DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8 [RESERVED]
ITEM 9 CONTROLS AND PROCEDURES.
(a) The Registrant's Principal Executive Officer and Principal Financial
Officer concluded that the Registrant's disclosure controls and
procedures are effective based on their evaluation of the Registrant's
disclosure controls and procedures as of a date within 90 days prior to
the filing date of this report (the "Evaluation Date").
(b) There were no significant changes in the Registrant's internal
controls or in other factors that could significantly affect internal
controls subsequent to the Evaluation Date, including any corrective
actions with regard to significant deficiencies and material weaknesses.
ITEM 10 (EXHIBITS):
(a)(1) Code of Ethics Described in Item 2: 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 Investment Company Act of 1940 (17 CFR 270.30a-2(a) are attached
hereto as Exhibit 99CERT.302
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 are attached hereto as Exhibit 99CERT.906.
<Page>
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 Institutional Funds
By (Signature and Title): /s/ Frederick C. Castellani
---------------------------
Frederick C. Castellani, President and Principal
Executive Officer
Date 8/20/03
-------------
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/ Frederick C. Castellani
---------------------------
Frederick C. Castellani, President and Principal
Executive Officer
Date 8/20/03
------------
By (Signature and Title): /s/ James S. Collins
--------------------
James S. Collins, Treasurer and Principal
Financial Officer
Date 8/26/03
-------------