<Page>
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: 12/31/2004
--------------------------
Date of reporting period: 6/30/2004
-------------------------
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS.
<Page>
[GRAPHIC]
RETIREMENT SERVICES
MASSMUTUAL INSTITUTIONAL FUNDS
SEMI-ANNUAL REPORT, JUNE 30, 2004
[GRAPHIC]
[MASSMUTUAL FINANCIAL GROUP(SM) LOGO]
INVEST
INSURE
RETIRE
YOU CAN'T PREDICT. YOU CAN PREPARE.(R)
<Page>
TABLE OF CONTENTS
<Table>
LETTER TO SHAREHOLDERS 1
PORTFOLIO MANAGER REPORTS 3
PORTFOLIO OF INVESTMENTS
MassMutual Money Market Fund 74
MassMutual Short-Duration Bond Fund 75
MassMutual Inflation-Protected Bond Fund 80
MassMutual Core Bond Fund 81
MassMutual Diversified Bond Fund 89
MassMutual Balanced Fund 96
MassMutual Strategic Balanced Fund 105
MassMutual Core Value Equity Fund 110
MassMutual Fundamental Value Fund 117
MassMutual Value Equity Fund 119
MassMutual Large Cap Value Fund 123
MassMutual Indexed Equity Fund 125
MassMutual Blue Chip Growth Fund 131
MassMutual Large Cap Growth Fund 134
MassMutual Growth Equity Fund 136
MassMutual Aggressive Growth Fund 140
MassMutual OTC 100 Fund 142
MassMutual Focused Value Fund 145
MassMutual Small Company Value Fund 147
MassMutual Small Cap Equity Fund 151
MassMutual Mid Cap Growth Equity Fund 153
MassMutual Mid Cap Growth Equity II Fund 155
MassMutual Small Cap Growth Equity Fund 161
MassMutual Small Company Growth Fund 165
MassMutual Emerging Growth Fund 169
MassMutual International Equity Fund 173
MassMutual Overseas Fund 176
MassMutual Destination Retirement Income Fund 179
MassMutual Destination Retirement 2010 Fund 181
MassMutual Destination Retirement 2020 Fund 183
MassMutual Destination Retirement 2030 Fund 184
MassMutual Destination Retirement 2040 Fund 185
STATEMENT OF ASSETS AND LIABILITIES 186
STATEMENT OF OPERATIONS 202
STATEMENT OF CHANGES IN NET ASSETS 210
FINANCIAL HIGHLIGHTS 226
NOTES TO FINANCIAL STATEMENTS 307
</Table>
THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS FOR THE
MASSMUTUAL INSTITUTIONAL FUNDS. INVESTORS SHOULD CONSIDER A FUND'S INVESTMENT
OBJECTIVE, RISKS AND CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THIS AND
OTHER INFORMATION ABOUT THE INVESTMENT COMPANY IS AVAILABLE IN THE PROSPECTUS.
READ IT CAREFULLY BEFORE INVESTING.
<Page>
[This page is intentionally left blank.]
<Page>
MASSMUTUAL INSTITUTIONAL FUNDS - LETTER TO SHAREHOLDERS
June 30, 2004
TO OUR SHAREHOLDERS
[PHOTO OF FREDERICK C. CASTELLANI]
FREDERICK C. CASTELLANI
"MASSMUTUAL BELIEVES INVESTORS SHOULD TAKE A LONG-TERM PERSPECTIVE WITH
INVESTING AND STRIVE FOR AN APPROPRIATELY DIVERSIFIED PORTFOLIO. WITH THE YEAR
HALF OVER, THIS MAY BE A GOOD TIME FOR INVESTORS TO REFLECT ON THE PERIOD JUST
ENDED, REVIEW THEIR LONG-TERM INVESTMENT STRATEGY, AND REALIGN THEIR ALLOCATIONS
WHERE NECESSARY."
MARKETS TAKE A BREATHER
In contrast to the accelerating scenario of 2003, the first six months of 2004
showcased a different investing environment. The prior year's advance slowed
dramatically through June 30, as investors digested news about world events, the
economy and the upcoming U.S. presidential election.
In the first quarter, concerns about a "jobless recovery" and terrorist
activities weighed heavily on investor sentiment, despite stronger-than-expected
U.S. economic activity and corporate profit growth. While the larger-cap and
technology-oriented market indexes of the respective Dow and NASDAQ lost some
ground in the first quarter, the S&P 500 held its own and small cap and
international stocks posted stronger gains, albeit in the single digits. The
bond market also benefited from slightly lower interest rates.
A seesaw of positives and negatives also kept many investors from making
definitive moves in the second quarter. On the plus side were stronger economic
growth and corporate profits, greater consumer confidence and improving
employment statistics. While 2004 began with some trepidation that we were
experiencing a jobless economic recovery, that worry was dispelled with the
positive April jobs report, which set the tone for the quarter. On the minus
side, higher oil prices, renewed inflation concerns and continued terrorist
threats kept investors jittery. As a result, for the second quarter, market
performance was mixed and meager, with many indexes nearly flat. The Lehman
Brothers Aggregate Bond Index was in negative territory for the period (-2.44%),
as climbing interest rates hampered the performance of fixed income investments.
SIX-MONTH RESULTS POSITIVE
Results for the six months ended June 30, 2004 reflected the slowdown in the
markets, but were in positive territory across the board. The major indexes
advanced for this period, led by small company stocks, which continued to
benefit from their ability to be quicker to adapt to economic uncertainty, lower
exposure to the overall economy, and less complex corporate accounting practices
(relative to their large cap counterparts). On the fixed income side, the Lehman
Brothers Aggregate Bond Index posted a modest 0.32% gain.
From a performance perspective, coming in second for the year-to-date period
were international stocks. The international equity markets have generally
benefited from the declining U.S. dollar and expectations for stronger global
economic growth.
THE INTEREST IN INTEREST RATES
As the second quarter drew to a close, the Federal Reserve (Fed) changed the
direction of its monetary policy from "easing" to "tightening" by raising the
benchmark federal funds rate by 0.25% to 1.25%, a clear indication of growth in
the U.S. economy. The move was significant for two reasons: (1) It marked the
first upward rate movement instituted by the Fed since 2000; and (2) It took the
federal funds rate from a 46-year low. In a related action, the Fed also raised
the discount rate 0.25% to 2.25%. The discount rate represents the amount the
Federal Reserve charges when it loans money to banks. Despite these increases,
the news had little immediate impact on the markets, as Fed policymakers had
indicated in May that they would raise rates at a measured pace. Investors had
considered the moves inevitable and had factored them into the markets long
before the announcement.
(CONTINUED)
1
<Page>
PUTTING THE RATE INCREASE INTO PERSPECTIVE
So what does the Fed's recent action mean to investors and savers? Very simply,
it is good news for some and not as good for others. For savers, buyers of
certificates of deposit and bond investors looking for higher coupons, it's good
news. For mortgage shoppers, credit card debtors and other credit seekers, and
current owners of bond portfolios (the prices of existing bonds decline when
interest rates rise), the news may not be as good. Stated plainly, money just
got a little more expensive.
Equity investors, however, may be encouraged by the fact that stocks can
represent an attractive investment option in a rising interest rate environment.
Rising rates often signal a growing, healthy economy, and rising inflation may
translate into corporate profits.
OUTLOOK
All indications from Fed officials are that the rate increases will continue,
but that they will proceed at a so-called measured pace.
We believe that investors may take cues from the growing economy, focus on
corporate earnings and fundamentals - and potentially, drive up equity
valuations. Bonds will likely continue to struggle against rising interest
rates, and many fixed income investors may turn their backs on debt instruments
in the near term to seek the growth potential of stocks. Furthermore, the
specter of terrorist threats and speculation about November's presidential
election will figure prominently in the minds of investors and have the
potential to weigh heavily on market performance.
MassMutual believes investors should take a long-term perspective with
investing. Most stock and bond indexes have shown an unmistakable trend of
advancement over the long term, rewarding many disciplined investors along the
way, although past performance is no guarantee of future results. Despite the
slowdown in the equity and bond markets in the first half of this year, the
current pause may be a good opportunity for investors to review their long-term
investment strategy, and realign their allocations where necessary.
/s/ Frederick C. Castellani
Frederick C. Castellani
PRESIDENT
2
<Page>
MASSMUTUAL MONEY MARKET FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL MONEY MARKET FUND?
This Fund seeks to maximize current income to the extent consistent with
liquidity and the preservation of capital by investing in a diversified
portfolio of money market instruments.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares had a return
of 0.27%, trailing the 0.47% return of the 91-Day U.S. Treasury bill.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The first quarter of 2004 was characterized by a lackluster stock market,
positive total returns for bonds, and a Federal Reserve (Fed) that remained on
hold. Yields on three- and six-month Treasury bills were little changed.
However, yields on two-year notes declined by 0.25% and three-year notes fared
even better, dropping 0.36%. Bond prices move in the opposite direction to
interest rates (or yields); when yields fall, the prices of existing bonds rise.
In the face of an expanding economy, the biggest factor behind the strong bond
performance was anemic job growth. Inflation remained in check, despite rising
oil and commodity prices. Bonds continued to benefit from tremendous overseas
demand for U.S. Treasuries, most notably from Asian Central banks. The
reemergence of terrorist threats also supported Treasuries, which benefited from
a flight to quality.
Stock and bond returns continued to be subdued in the second quarter. Reversing
the pattern of the first quarter, stocks outperformed bonds, whose prices were
negatively impacted by higher interest rates. On June 30, the Fed Open Market
Committee raised its target for the federal funds level 0.25% to 1.25%. The
anticipation of Fed action drove bond rates higher, particularly in the shorter
and intermediate maturities.
HOW DID YOU RESPOND TO THESE EVENTS?
The Fund opted to retain a defensive posture from a credit perspective, choosing
to give up yield rather than hold riskier corporate names. Corporate bonds have
not provided compelling yields relative to their risk, so we didn't consider
them an attractive value. Given the turmoil in the recent past with Fannie Mae
and Freddie Mac, the Fund reduced its exposure to Government Sponsored
Enterprises, in favor of U.S. Treasury bills.
WHAT IS YOUR OUTLOOK?
We believe that the Fed's approach will be gradual in raising interest rates,
striking a balance between the danger of choking off the recent economic
recovery and vigilance over the threat of inflationary pressures. Increases in
short-term rates should translate to improving money market yields, which will
likely benefit money market fund investors.
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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 10/3/94 - 6/30/04
Class S 0.27% 0.56% 3.10% 4.20%
91-Day Treasury Bills 0.47% 0.96% 3.13% 4.16%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S T-BILLS
10/3/94 $ 10,000 $ 10,000
6/95 $ 10,419 $ 10,420
6/96 $ 10,982 $ 10,987
6/97 $ 11,566 $ 11,565
6/98 $ 12,193 $ 12,172
6/99 $ 12,811 $ 12,746
6/00 $ 13,548 $ 13,422
6/01 $ 14,357 $ 14,179
6/02 $ 14,689 $ 14,527
6/03 $ 14,840 $ 14,732
6/04 $ 14,924 $ 14,873
</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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 1/1/98 - 6/30/04
Class A 0.07% 0.13% 2.60% 3.04%
Class Y 0.22% 0.46% 3.00% 3.47%
91-Day Treasury Bills 0.47% 0.96% 3.13% 3.54%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS Y T-BILLS
1/1/98 $ 10,000 $ 10,000 $ 10,000
6/98 $ 10,230 $ 10,250 $ 10,258
6/99 $ 10,683 $ 10,767 $ 10,742
6/00 $ 11,239 $ 11,375 $ 11,311
6/01 $ 11,850 $ 12,041 $ 11,949
6/02 $ 12,065 $ 12,310 $ 12,243
6/03 $ 12,129 $ 12,424 $ 12,415
6/04 $ 12,144 $ 12,481 $ 12,534
</Table>
Hypothetical Investments in MassMutual Money Market Fund Class L 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class L 0.18% 0.34% 2.85% 2.91%
91-Day Treasury Bills 0.47% 0.96% 3.13% 3.18%
</Table>
[CHART]
<Table>
<Caption>
CLASS L T-BILLS
5/3/99 $ 10,000 $ 10,000
6/99 $ 10,073 $ 10,076
6/00 $ 10,625 $ 10,610
6/01 $ 11,230 $ 11,208
6/02 $ 11,464 $ 11,484
6/03 $ 11,554 $ 11,645
6/04 $ 11,593 $ 11,757
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE 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. INVESTORS SHOULD
READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE,
RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS.
EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN
THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND
CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE
FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
AN INVESTMENT IN THE MASSMUTUAL MONEY MARKET FUND IS NOT INSURED OR GUARANTEED
BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY.
ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER
SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND.
4
<Page>
MASSMUTUAL SHORT-DURATION BOND FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL SHORT-DURATION BOND FUND?
This Fund seeks to achieve a high total rate of return, primarily from current
income, while minimizing fluctuations in capital values - by investing primarily
in a diversified portfolio of short-term investment-grade fixed-income
securities.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
0.00%, slightly outperforming the -0.04% 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 WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The first quarter of 2004 was characterized by a lackluster stock market,
positive total returns for bonds and a Federal Reserve (Fed) that remained on
hold. The broad stock indexes were largely unchanged throughout the period, with
the Dow Jones falling 0.92%, the NASDAQ losing 0.46% and the S&P advancing just
1.29%. In the face of an expanding economy, the biggest factor behind the strong
bond performance was anemic job growth.
Stock and bond returns continued to be subdued in the second quarter. Reversing
the pattern of the first quarter, stocks outperformed bonds, whose prices were
negatively impacted by higher interest rates. On June 30, the Fed Open Market
Committee raised its target for the federal funds level 0.25% to 1.25%.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Short-term bond yields moved into a tighter range during the first quarter.
Yields on three- and six-month Treasury bills were little changed, although
two-year notes declined 0.25% (from 1.82% to 1.57%). Three-year notes fared even
better, moving from 2.30% to 1.94%, a change of 0.36%.
In the second quarter, the anticipation of Fed action drove bond yields higher -
and prices lower - particularly in the shorter and intermediate maturities. Bond
prices move in the opposite direction to interest rates (or yields); when yields
rise, the prices of existing bonds fall, and vice versa. Yields on two-year
notes rose by 1.10% to 2.67%; three-year notes ended the quarter yielding 3.07%,
versus 1.94% at the end of March.
WHAT IS YOUR OUTLOOK - AND HOW HAVE YOU POSITIONED THE FUND AS A RESULT?
We believe that the Fed's approach will be gradual in raising rates - balancing
the risks of inflation on the one hand, with choking off the economic recovery
of the recent past. The Fund is no longer positioned at its maximum duration
exposure, but is poised to benefit from the continued strong performance of
corporate bonds.
[CHART]
DURATION DIVERSIFICATION (6/30/04)
MASSMUTUAL SHORT-DURATION
BOND FUND
AVERAGE DURATION=2.90 YEARS
<Table>
LESS THAN 1 Year 28.8%
1 - 3 Years 31.6%
3 - 5 Years 8.5%
5 - 10 Years 31.1%
</Table>
[CHART]
QUALITY STRUCTURE (6/30/04)
MASSMUTUAL SHORT-DURATION
BOND FUND
<Table>
U.S. Governments Cash Equivalents Aaa/AAA 67.2%
Aa/AA 2.3%
A/A 8.8%
Baa/BBB 19.8%
Ba/BB 1.8%
B/B 0.1%
</Table>
5
<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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 10/3/94 - 6/30/04
Class S 0.00% 0.03% 5.17% 5.92%
Lehman Brothers 1-3
Year Government Bond
Index -0.04% 0.52% 5.25% 5.82%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S LEHMAN 1-3 YR. GOVT.
10/3/94 $ 10,000 $ 10,000
6/95 $ 10,816 $ 10,660
6/96 $ 11,380 $ 11,244
6/97 $ 12,120 $ 11,983
6/98 $ 13,006 $ 12,795
6/99 $ 13,613 $ 13,440
6/00 $ 14,251 $ 14,093
6/01 $ 15,231 $ 15,399
6/02 $ 16,081 $ 16,472
6/03 $ 17,509 $ 17,276
6/04 $ 17,514 $ 17,359
</Table>
Hypothetical Investments in MassMutual Short-Duration Bond Fund Class A, Class A
(sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 1/1/98 - 6/30/04
Class A -0.19% -0.35% 4.70% 4.67%
Class A
(sales load
deducted)* -3.67% -3.86% 3.95% 4.09%
Class Y 0.00% 0.02% 5.10% 5.08%
Lehman
Brothers
1-3 Year
Government
Bond
Index -0.04% 0.52% 5.25% 5.28%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS A (FRONT-END FEES DEDUCTED) CLASS Y LEHMAN 1-3 YR. GOVT.
1/1/98 $ 10,000 $ 9,650 $ 10,000 $ 10,000
6/98 $ 10,270 $ 9,911 $ 10,300 $ 10,300
6/99 $ 10,689 $ 10,315 $ 10,762 $ 10,819
6/00 $ 11,144 $ 10,754 $ 11,263 $ 11,345
6/01 $ 11,852 $ 11,437 $ 12,010 $ 12,396
6/02 $ 12,457 $ 12,021 $ 12,684 $ 13,259
6/03 $ 13,496 $ 13,023 $ 13,796 $ 13,906
6/04 $ 13,448 $ 12,977 $ 13,799 $ 13,974
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 3.50% MAXIMUM SALES CHARGE.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS 1-3 YEAR GOVERNMENT BOND INDEX IS
UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY
INVESTORS. INVESTORS SHOULD READ THE FUND'S PROSPECTUS WITH REGARDS TO THE
FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH
THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN
ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN
CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE
PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A
SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND
SHARES.
6
<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>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class L -0.10% -0.13% 4.94% 4.80%
Lehman
Brothers
1-3 Year
Government
Bond Index -0.04% 0.52% 5.25% 5.12%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS L LEHMAN 1-3 YR. GOVT.
5/3/99 $ 10,000 $ 10,000
6/99 $ 10,010 $ 10,022
6/00 $ 10,455 $ 10,509
6/2001 $ 11,142 $ 11,483
6/2002 $ 11,746 $ 12,283
6/2003 $ 12,757 $ 12,882
6/2004 $ 12,740 $ 12,945
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N -0.29% -0.60% 1.71%
Class N (CDSC
fees deducted)* -1.29% -1.56% 1.71%
Lehman
Brothers
1-3 Year
Government
Bond Index -0.04% 0.52% 1.31%
</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
6/2003 $ 10,320 $ 10,220 $ 10,144
6/2004 $ 10,258 $ 10,258 $ 10,197
</Table>
* CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS 1-3 YEAR GOVERNMENT BOND INDEX IS
UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY
INVESTORS. INVESTORS SHOULD READ THE FUND'S PROSPECTUS WITH REGARDS TO THE
FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH
THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN
ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN
CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES
WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE
PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A
SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND
SHARES.
7
<Page>
MASSMUTUAL INFLATION-PROTECTED BOND FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL INFLATION-PROTECTED BOND
FUND?
This Fund seeks to achieve as high a total rate of real return on an annual
basis as is considered consistent with prudent investment risk and the
preservation of capital. The Fund normally invests:
- - at least 80% of its assets in inflation-indexed bonds of varying maturities
issued by the U.S. and non-U.S. governments, their agencies or
government-sponsored enterprises and corporations; and
- - up to 20% of its assets in non-inflation-indexed U.S. securities or non-U.S.
securities.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
1.70%, underperforming the 1.88% return for the Lehman U.S. Treasury Inflation
Note Index.
HOW DO INFLATION-INDEXED BONDS PROTECT AGAINST INFLATION?
Like many other fixed-income securities, inflation-indexed bonds pay income
twice a year, based on a fixed coupon rate. However, both the principal and the
interest payment are adjusted for the level of inflation. The inflation rate -
as measured by the Consumer Price Index - results in an adjustment to the
principal amount of an inflation-protected security. The coupon rate is then
applied to the adjusted principal amount to determine the interest payment. For
example, assuming an inflation rate of 3% and a security with a par value of
$1,000 and a coupon rate of 1.75%, the adjusted principal amount after one year
would be $1,030 ($1,000 increased by 3%). The interest payment would be
calculated by multiplying $1,030 by 1.75% instead of using the original $1,000
par value to calculate the amount of interest.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The first quarter of 2004 was characterized by a lackluster stock market,
positive total returns for bonds, and a Federal Reserve (Fed) that remained on
hold. Yields on three- and six-month Treasury bills were little changed.
However, yields on two-year notes declined by 0.25% and three-year notes fared
even better, dropping 0.36%. Bond prices move in the opposite direction to
interest rates (or yields); when yields fall, the prices of existing bonds rise.
In the face of an expanding economy, the biggest factor behind the strong bond
performance was anemic job growth - underscored early in March by the February
employment number, which showed only 21,000 jobs being created instead of a
forecasted 100,000+. In late January, we saw a dramatic spike in yields, due to
the Federal Open Markets Committee's (FOMC) January statement. In previous
months, the FOMC had signaled that it remained staunchly committed to leaving
rates unchanged for the foreseeable future. In its January statement, however,
it removed a reference to maintaining this policy for "a considerable period,"
instead stating that it could remain "patient." Many in the market saw this as
an early indicator that there was more consensus to the possibility of an
upcoming rate increase, and this sparked a sharp one-day rise in the yields of
two- and three-year Treasury notes of 0.17% and 0.18%, respectively.
Stock and bond returns continued to be subdued in the second quarter. Reversing
the pattern of the first quarter, stocks outperformed bonds, whose prices were
negatively impacted by higher interest rates. On June 30, the FOMC raised its
target for the federal funds level 0.25% to 1.25%. The Fed's release cited
evidence, "accumulated over the inter-meeting period....that output is
continuing to expand at a solid pace and labor market conditions have improved."
Indeed, after months of sluggish growth, employment data from March through June
cumulatively added over one million jobs. However, June's non-farm payroll
release was weaker than expected, with an increase of only 112,000 jobs and a
downward revision of the prior two months' reports.
WHAT IS YOUR OUTLOOK?
We believe that the Fed's approach will be gradual in raising interest rates,
balancing the risks of inflation on the one hand, without choking off the
economic recovery of the recent past on the other. Inflation, while on an
uptrend, remains benign outside of the energy sector - although it is an
economic indicator that the Fed continues to monitor closely, and one that will
certainly impact the performance of this Fund.
8
<Page>
[CHART]
DURATION DIVERSIFICATION (6/30/04)
MASSMUTUAL INFLATION-PROTECTED BOND FUND
AVERAGE DURATION=4.26 YEARS
<Table>
LESS THAN 1 Year 1.3%
1 - 3 Years 39.9%
3 - 5 Years 32.8%
5 - 10 Years 26.0%
</Table>
[CHART]
QUALITY STRUCTURE (6/30/04)
MASSMUTUAL INFLATION-PROTECTED BOND FUND
<Table>
U.S. Governments Cash Equivalents Aaa/AAA 100.0%
</Table>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Inflation-Protected Bond Fund Class S,
Class A, Class A (sales load deducted), Class Y and the Lehman U.S. Treasury
Inflation Note Index
MASSMUTUAL INFLATION-PROTECTED BOND FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class S 1.70% 1.70%
Class A 1.10% 1.10%
Class A (sales load deducted)* -3.71% -3.71%
Class Y 1.60% 1.60%
Lehman U.S. Treasury Inflation
Note Index 1.88% 2.12%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y LEHMAN U.S. TREASURY INFLATION NOTE INDEX
12/31/2003 $ 10,000 $ 10,000 $ 9,525 $ 10,000 $ 10,000
3/04 $ 10,490 $ 10,440 $ 9,944 $ 10,480 $ 10,105
6/04 $ 10,170 $ 10,110 $ 9,630 $ 10,160 $ 10,211
</Table>
Hypothetical Investments in MassMutual Inflation-Protected Bond Fund Class L,
Class N, Class N (CDSC fees deducted) and the Lehman U.S. Treasury Inflation
Note Index
MASSMUTUAL INFLATION-PROTECTED BOND FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class L 1.60% 1.60%
Class N 1.30% 1.30%
Class N (CDSC fees deducted)* 0.30% 0.30%
Lehman U.S. Treasury Inflation
Note Index 1.88% 2.12%
</Table>
[CHART]
<Table>
<Caption>
CLASS L CLASS N CLASS N (CDSC FEES DEDUCTED) LEHMAN U.S. TREASURY INFLATION NOTE INDEX
12/31/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/04 $ 10,480 $ 10,460 $ 10,460 $ 10,105
6/04 $ 10,160 $ 10,130 $ 10,030 $ 10,211
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 4.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN U.S. TREASURY INFLATION NOTE INDEX IS UNMANAGED
AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS.
INVESTORS SHOULD READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S
INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE
FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS
IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE
TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD
PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
9
<Page>
MASSMUTUAL CORE BOND FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL CORE BOND FUND?
This Fund seeks to achieve a high total rate of return consistent with prudent
investment risk and the preservation of capital by investing primarily in a
diversified portfolio of investment-grade fixed-income securities.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
0.09%, slightly underperforming the 0.16% return of the Lehman Brothers
Aggregate Bond Index, an index of fixed-income securities primarily from the
Treasury, mortgage-backed, and corporate asset classes.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The first quarter of 2004 was characterized by a lackluster stock market,
positive total returns for bonds, and a Federal Reserve (Fed) that remained on
hold. After spiking upward at the end of 2003 and early in January, interest
rates were broadly lower, with the benchmark 30-year Treasury declining 0.30% to
end the quarter at 4.77%. In the face of an expanding economy, the biggest
factor behind the strong bond performance was anemic job growth. Inflation
remained in check, despite rising oil and commodity prices. Bonds also continued
to benefit from tremendous overseas demand for U.S. Treasuries, most notably
from Asian Central banks. The reemergence of terrorist threats also supported
Treasuries, which benefited from a flight to quality.
Stock and bond returns continued to be subdued in the second quarter. Reversing
the pattern of the first quarter, stocks outperformed bonds, whose prices were
negatively impacted by higher interest rates. On June 30, the Fed Open Market
Committee raised its target for the federal funds level 0.25% to 1.25%.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Asset-backed securities made up the best-performing sector in the first quarter.
Fixed-rate mortgages also turned in strong results, aided by a declining supply
and lower volatility. In general, however, this was not the best quarter for
bonds. Of note was the remarkably strong performance of Treasury
Inflation-Protected Securities (TIPS), with the 30-year benchmark rising in
price by approximately 0.09% over the quarter.
In the second quarter, the anticipation of Fed action drove bond yields higher -
and prices lower - particularly in the shorter and intermediate maturities. Bond
prices move in the opposite direction to interest rates (or yields); when yields
rise, the prices of existing bonds fall - and vice versa. Yields on two-year
notes rose by 1.10% to 2.67%; three-year notes ended the quarter yielding 3.07%
versus 1.94% at the end of March. The five-year Treasury note yield increased by
1% to 3.76%. Long-term bonds fared better - 30-year Treasuries rose by only
0.50% during the period, to yield 5.29% at the end of June.
The Lehman Brothers Aggregate Bond Index essentially performed in line with
Treasuries for the second quarter. Mortgages slightly outperformed credit during
the period, as mortgage securities benefited from lowered volatility in the
interest rate markets. In general, there were no dramatic differences in
performance between different fixed-income sectors or between higher- and
lower-quality assets.
WHAT IS YOUR OUTLOOK?
We believe that the Fed's approach will be gradual in raising interest rates.
The strength of the economy has given us confidence with respect to owning
corporate bonds. Profitability trends are likely to remain positive, leading to
further credit quality improvement. Typically, when the Fed is active,
significant trading opportunities present themselves in mortgage securities. We
anticipate becoming more active in this sector relative to the first half of the
year and will pursue compelling opportunities in other sectors as they emerge.
10
<Page>
[CHART]
DURATION DIVERSIFICATION (6/30/04)
MASSMUTUAL CORE
BOND FUND
AVERAGE DURATION=4.69 YEARS
<Table>
LESS THAN 1 Year 8.3%
1 - 3 Years 25.2%
3 - 5 Years 22.8%
5 - 10 Years 36.0%
10 - 20 Years 7.7%
</Table>
[CHART]
QUALITY STRUCTURE (6/30/04)
MASSMUTUAL CORE
BOND FUND
<Table>
U.S. Governments Cash Equivalents Aaa/AAA 53.4%
Aa/AA 4.2%
A/A 12.8%
Baa/BBB 26.4%
Ba/BB 2.3%
B/B 0.9%
</Table>
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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 10/3/94 - 6/30/04
Class S 0.09% 0.69% 6.58% 7.17%
Lehman
Brothers
Aggregate
Bond Index 0.16% 0.32% 6.95% 7.52%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S LEHMAN BROTHERS AGGREGATE
10/3/94 $ 10,000 $ 10,000
6/95 $ 11,212 $ 11,186
6/96 $ 11,695 $ 11,748
6/97 $ 12,626 $ 12,705
6/98 $ 14,035 $ 14,044
6/99 $ 14,282 $ 14,486
6/00 $ 14,887 $ 15,148
6/01 $ 16,401 $ 16,849
6/02 $ 17,580 $ 18,303
6/03 $ 19,505 $ 20,206
6/04 $ 19,640 $ 20,272
</Table>
Hypothetical Investments in MassMutual Core Bond Fund Class A, Class A (sales
load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 1/1/98 - 6/30/04
Class A -0.09% 0.21% 6.12% 5.49%
Class A
(sales load
deducted)* -4.88% -4.53% 5.09% 4.69%
Class Y 0.09% 0.58% 6.52% 5.89%
Lehman
Brothers
Aggregate
Bond Index 0.16% 0.32% 6.95% 6.44%
</Table>
[CHART]
<Table>
CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y LEHMAN BROTHERS AGGREGATE
1/1/98 $ 10,000 $ 9,525 $ 10,000 $ 10,000
6/98 $ 10,380 $ 9,887 $ 10,410 $ 10,393
6/99 $ 10,512 $ 10,013 $ 10,575 $ 10,720
6/00 $ 10,918 $ 10,400 $ 11,020 $ 11,209
6/01 $ 11,968 $ 11,399 $ 12,132 $ 12,468
6/02 $ 12,770 $ 12,164 $ 12,995 $ 13,544
6/03 $ 14,117 $ 13,447 $ 14,419 $ 14,953
6/04 $ 14,147 $ 13,475 $ 14,503 $ 15,001
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 4.75% MAXIMUM SALES CHARGE.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS UNMANAGED AND
DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS.
INVESTORS SHOULD READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S
INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE
FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS
IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE
TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD
PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
11
<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>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class L 0.00% 0.44% 6.35% 5.83%
Lehman
Brothers
Aggregate
Bond
Index 0.16% 0.32% 6.95% 6.47%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS L LEHMAN BROTHERS AGGREGATE
5/3/99 $ 10,000 $ 10,000
6/99 $ 9,845 $ 9,881
6/00 $ 10,238 $ 10,332
6/01 $ 11,255 $ 11,493
6/02 $ 12,032 $ 12,484
6/03 $ 13,337 $ 13,782
6/04 $ 13,395 $ 13,827
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N -0.28% -0.08% 2.74%
Class N (CDSC
fees deducted)* -1.27% -1.01% 2.74%
Lehman
Brothers
Aggregate
Bond
Index 0.16% 0.32% 2.76%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) LEHMAN BROTHERS AGGREGATE
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 10,421 $ 10,321 $ 10,393
6/04 $ 10,413 $ 10,413 $ 10,417
</Table>
* CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS UNMANAGED AND
DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS.
INVESTORS SHOULD READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S
INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE
FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS
IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE
TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD
PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
12
<Page>
MASSMUTUAL DIVERSIFIED BOND FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL DIVERSIFIED BOND FUND?
This Fund seeks a superior total rate of return by investing in fixed-income
instruments. Normally, the Fund pursues its objective by investing primarily in
fixed-income debt securities, including U.S. dollar-denominated corporate
obligations; securities issued or guaranteed by the U.S. government or its
agencies; U.S. dollar-denominated bonds of foreign issuers; private placement
bonds, including securities issued pursuant to Rule 144A; and mortgage-backed
and other asset-backed securities.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
0.28%, ahead of the 0.16% 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 WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The first quarter of 2004 was characterized by a lackluster stock market,
positive total returns for bonds, and a Federal Reserve (Fed) that remained on
hold. After spiking upward at the end of 2003 and early in January, interest
rates were broadly lower, with the benchmark 30-year Treasury declining 0.30% to
end the quarter at 4.77%. In the face of an expanding economy, the biggest
factor behind the strong bond performance was anemic job growth. Inflation
remained in check, despite rising oil and commodity prices. Bonds also continued
to benefit from tremendous overseas demand for U.S. Treasuries, most notably
from Asian Central banks. The reemergence of terrorist threats also supported
Treasuries, which benefited from a flight to quality.
Stock and bond returns continued to be subdued in the second quarter. Reversing
the pattern of the first quarter, stocks outperformed bonds, whose prices were
negatively impacted by higher interest rates. On June 30, the Federal Reserve
Open Market Committee raised its target for the federal funds level 0.25% to
1.25%.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Asset-backed securities made up the best-performing sector in the first quarter.
Fixed-rate mortgages also turned in strong results, aided by a declining supply
and lower volatility. In general, however, this was not the best quarter for
bonds. Of note was the remarkably strong performance of Treasury
Inflation-Protected Securities (TIPS), with the 30-year benchmark rising in
price by approximately 0.09% over the quarter.
In the second quarter, the anticipation of Fed action drove bond yields higher -
and prices lower - particularly in the shorter and intermediate maturities. Bond
prices move in the opposite direction to interest rates (or yields); when yields
rise, the prices of existing bonds fall - and vice versa. Yields on two-year
notes rose by 1.10% to 2.67%; the five-year Treasury note yield increased by 1%
to 3.76%. Long-term bonds fared better - 30-year Treasuries rose by only 0.50%
during the period, to yield 5.29% at the end of June. During the period,
high-yield bonds outperformed their investment-grade counterparts. Within the
high-yield universe, intermediate bonds outpaced longer maturities. Chemicals
and automotive were two sectors that advanced strongly. In general,
lower-quality sectors outperformed.
WHAT IS YOUR OUTLOOK?
We believe that the Fed's approach will be gradual in raising interest rates.
The strength of the economy has given us confidence with respect to owning
corporate bonds. Profitability trends are likely to remain positive, leading to
further credit quality improvement. Typically, when the Fed is active,
significant trading opportunities present themselves in mortgage securities. We
anticipate becoming more active in this sector relative to the first half of the
year and will pursue compelling opportunities in other sectors as they emerge.
13
<Page>
[CHART]
DURATION DIVERSIFICATION (6/30/04)
MASS MUTUAL DIVERSIFIED
BOND FUND
AVERAGE DURATION=4.70 YEARS
<Table>
LESS THAN 1 Year 7.9%
1 - 3 Years 23.5%
3 - 5 Years 29.9%
5 - 10 Years 30.6%
10-20 Years 8.1%
</Table>
[CHART]
QUALITY STRUCTURE (6/30/04)
MASSMUTUAL DIVERSIFIED
BOND FUND
<Table>
U.S. Governments Cash Equivalents Aaa/AAA 60.1%
Aa/AA 2.5%
A/A 7.0%
Baa/BBB 16.9%
Ba/BB 3.1%
B/B 8.8%
CCC 1.3%
CC and below 0.3%
</Table>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Diversified Bond Fund Class S, Class A,
Class A (sales load deducted), Class Y, Class L and the Lehman Brothers
Aggregate Bond Index
MASSMUTUAL DIVERSIFIED BOND FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class S 0.28% 2.68% 6.43% 6.00%
Class A 0.09% 2.15% 5.96% 5.52%
Class A
(sales load
deducted)* -4.66% -2.71% 4.94% 4.53%
Class Y 0.28% 2.61% 6.36% 5.92%
Class L 0.28% 2.63% 6.23% 5.80%
Lehman
Brothers
Aggregate
Bond Index 0.16% 0.32% 6.95% 6.47%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L LEHMAN BROTHERS AGGREGATE
5/3/99 $ 10,000 $ 10,000 $ 9,525 $ 10,000 $ 10,000 $ 10,000
6/99 $ 9,890 $ 9,880 $ 9,411 $ 9,890 $ 9,890 $ 9,881
6/00 $ 10,226 $ 10,175 $ 9,692 $ 10,214 $ 10,202 $ 10,332
6/01 $ 11,073 $ 10,967 $ 10,446 $ 11,044 $ 11,014 $ 11,493
6/02 $ 11,725 $ 11,568 $ 11,019 $ 11,690 $ 11,638 $ 12,484
6/03 $ 13,155 $ 12,921 $ 12,308 $ 13,116 $ 13,036 $ 13,782
6/04 $ 13,508 $ 13,199 $ 12,572 $ 13,459 $ 13,380 $ 13,827
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 4.75% MAXIMUM SALES CHARGE.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS UNMANAGED AND
DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS.
INVESTORS SHOULD READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S
INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE
FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS
IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE
TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD
PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
14
<Page>
GROWTH OF A $10,000 INVESTMENT
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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N -0.09% 1.86% 4.91%
Class N (CDSC
fees deducted)* -1.09% 0.86% 4.91%
Lehman Brothers
Aggregate Bond Index 0.16% 0.32% 2.76%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) LEHMAN BROTHERS AGGREGATE
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 10,548 $ 10,448 $ 10,393
6/04 $ 10,744 $ 10,744 $ 10,417
</Table>
* CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS UNMANAGED AND
DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS.
INVESTORS SHOULD READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S
INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE
FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS
IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS
SET FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE
LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE
TABLES AND CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD
PAY ON THE FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
15
<Page>
MASSMUTUAL BALANCED FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL BALANCED FUND?
This Fund seeks to achieve a high total rate of return over an extended period
of time consistent with the preservation of capital by investing in a
diversified portfolio of equity securities, fixed-income securities and money
market instruments.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
2.35%, outpacing the 2.25% return of the Lipper Balanced Fund Index, an
unmanaged index of stock and bond portfolios.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Equity markets recorded modest gains in the first quarter of 2004, as renewed
concerns over terrorism and rising oil prices dampened investor psychology and
enthusiasm after a strong start in January. During the period, small-cap stocks,
which once again outpaced their large-cap counterparts, continued to benefit
from low interest rates and leverage to the economic expansion.
Bonds outperformed stocks during the first quarter, also benefiting from lower
interest rates. Bond prices move in the opposite direction to interest rates (or
yields); when yields fall, the prices of existing bonds rise. The yield on the
benchmark 30-year Treasury declined 0.30%. Intermediate-term bonds fared best in
this environment. Yields on five- and 10-year notes declined 0.47% and 0.41%,
respectively, over the period - movements that were reflected in their price
increases.
During the second quarter, the pace of the economic recovery quickened, with
employment gains, higher commodity prices and increased capital spending. In
response, interest rates increased by more than 1.00% on two- and three-year
Treasuries. The Federal Reserve increased the federal funds and discount rate by
0.25% on June 30, a move the bond market had been discounting for months.
Throughout the second quarter, investors became increasingly concerned that
higher energy prices would squeeze margins and threaten the economic recovery.
WHAT ASSET ALLOCATION DECISIONS WERE MADE?
We entered the quarter significantly overweight in stocks. During January and
early February, we reduced that overweight to a neutral position based on high
valuations and an overly ebullient sentiment. During mid-May, we put some of our
cash position to work and increased the weight of both bonds and stocks, as the
market appeared to be discounting still-higher interest rates.
HOW DID THE FUND'S STOCK SELECTION AFFECT PERFORMANCE DURING THE PERIOD?
The Fund's stock component outperformed its respective benchmarks during the
first quarter, benefiting from an emphasis on stocks with compelling valuations.
The greatest contributions came from the financial services, materials and
processing, producer durables, consumer discretionary, and health care sectors.
Detractors included the consumer discretionary, utilities and technology
sectors. In the second quarter, performance was mostly positive, but relatively
muted, as the portfolio experienced weakness in the consumer discretionary,
technology, producer durables, consumer holdings and health care sectors.
Bolstering performance were the energy, autos and transportation, materials and
processing, technology, utilities, and financial services sectors.
HOW DID THE BOND PORTFOLIO PERFORM?
The Fund's bond portfolio slightly underperformed the Lehman Brothers Aggregate
Bond Index in the first quarter. Contributing to this underperformance were the
Fund's overweight position in lower-rated corporates, and underweights in
mortgage-backed securities and intermediate-term bonds. Performance for the
second quarter was relatively in line with the Lehman Brothers Aggregate Bond
Index. On the positive side were the Fund's reduced exposure to long corporate
bonds and its stake in lower-quality corporate bonds. On the negative side, the
Fund prematurely dispensed with its "barbell" approach - the practice of
investing more heavily in bonds at the short and long ends of the maturity range
- - believing there was little to gain in this environment of bond yields that
didn't vary greatly from short to long bonds.
16
<Page>
WHAT IS YOUR OUTLOOK?
The two greatest risks to financial markets moving forward are the pace of
interest rate movement and the threat of a more dramatic economic slowdown. If
rates and the pace of economic activity remain fairly stable, current positives
- - such as solid corporate earnings and a U.S. economy that is forecast to expand
by approximately 4.6% in 2004 (the fastest rate of growth since 1984) - should
prevail and be supportive of financial markets in the second half of 2004.
Unforeseen surprises related to terrorism or the upcoming election could spook
investors, however.
[CHART]
MASSMUTUAL BALANCED FUND
ASSET ALLOCATION
(% OF INVESTMENTS) ON 6/30/04
<Table>
Common Stocks 57.7%
Bonds 26.9%
Short-term Issues 15.4%
</Table>
MASSMUTUAL BALANCED FUND
LARGEST STOCK HOLDINGS (6/30/04)
Microsoft Corp.
General Electric Co.
Pfizer, Inc.
Exxon Mobil Corp.
Citigroup, Inc.
Wal-Mart Stores, Inc.
Bank of America Corp.
Intel Corp.
Johnson & Johnson
Cisco Systems, Inc.
17
<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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 10/3/94 - 6/30/04
Class S 2.35% 11.68% -0.95% 6.42%
Lipper
Balanced
Fund Index 2.25% 12.64% 2.18% 8.81%
Lehman
Brothers
Aggregate
Bond Index 0.16% 0.32% 6.95% 7.52%
S&P 500
Index 3.44% 19.10% -2.20% 11.60%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S LIPPER BALANCED LEHMAN BROTHERS AGGREGATE S&P 500 INDEX
10/3/94 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/95 $ 11,179 $ 11,203 $ 11,186 $ 12,017
6/96 $ 12,788 $ 12,860 $ 11,748 $ 15,139
6/97 $ 15,126 $ 15,455 $ 12,705 $ 20,389
6/98 $ 17,361 $ 18,328 $ 14,044 $ 26,535
6/99 $ 19,223 $ 20,448 $ 14,486 $ 32,575
6/00 $ 18,119 $ 21,354 $ 15,148 $ 34,939
6/01 $ 17,391 $ 21,146 $ 16,849 $ 29,760
6/02 $ 15,918 $ 19,538 $ 18,303 $ 24,411
6/03 $ 16,410 $ 20,220 $ 20,206 $ 24,471
6/04 $ 18,327 $ 22,776 $ 20,272 $ 29,145
</Table>
Hypothetical Investments in MassMutual Balanced Fund Class A, Class A (sales
load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 1/1/98 - 6/30/04
Class A 2.15% 11.06% -1.49% 1.24%
Class A
(sales load
deducted)* -3.73% 4.62% -2.65% 0.33%
Class Y 2.40% 11.57% -1.11% 1.64%
Lipper
Balanced
Fund Index 2.25% 12.64% 2.18% 4.90%
Lehman
Brothers
Aggregate
Bond Index 0.16% 0.32% 6.95% 6.44%
S&P 500
Index 3.44% 19.10% -2.20% 4.03%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y LIPPER BALANCED LEHMAN BROTHERS AGGREGATE S&P 500 INDEX
1/1/98 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/98 $ 10,620 $ 10,009 $ 10,640 $ 10,979 $ 10,393 $ 11,770
6/99 $ 11,681 $ 11,009 $ 11,756 $ 12,249 $ 10,720 $ 14,449
6/00 $ 10,958 $ 10,328 $ 11,073 $ 12,791 $ 11,209 $ 15,497
6/01 $ 10,455 $ 9,854 $ 10,595 $ 12,667 $ 12,468 $ 13,200
6/02 $ 9,520 $ 8,973 $ 9,680 $ 11,703 $ 13,544 $ 10,828
6/03 $ 9,757 $ 9,196 $ 9,965 $ 12,112 $ 14,953 $ 10,854
6/04 $ 10,836 $ 10,213 $ 11,117 $ 13,643 $ 15,001 $ 12,927
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LIPPER BALANCED FUND INDEX, THE LEHMAN BROTHERS AGGREGATE
BOND INDEX AND THE S&P 500 INDEX ARE UNMANAGED AND DO NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
18
<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>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class L 2.24% 11.31% -1.26% -1.06%
Lipper
Balanced
Fund
Index 2.25% 12.64% 2.18% 2.34%
Lehman
Brothers
Aggregate
Bond
Index 0.16% 0.32% 6.95% 6.47%
S&P 500
Index 3.44% 19.10% -2.20% -1.56%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS L LIPPER BALANCED LEHMAN BROTHERS AGGREGATE S&P 500 INDEX
5/3/1999 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/99 $ 10,082 $ 10,118 $ 9,881 $ 10,306
6/00 $ 9,481 $ 10,566 $ 10,332 $ 11,053
6/01 $ 9,064 $ 10,463 $ 11,493 $ 9,415
6/02 $ 8,274 $ 9,668 $ 12,484 $ 7,723
6/03 $ 8,502 $ 10,005 $ 13,782 $ 7,742
6/04 $ 9,464 $ 11,270 $ 13,827 $ 9,220
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 1.94% 10.78% 12.62%
Class N (CDSC
fees deducted)* 0.94% 9.78% 12.62%
Lipper Balanced
Fund Index 2.25% 12.64% 14.57%
Lehman Brothers
Aggregate Bond
Index 0.16% 0.32% 2.76%
S&P 500 Index 3.44% 19.10% 21.05%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) LIPPER BALANCED LEHMAN BROTHERS AGGREGATE S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
6/04 $ 10,786 $ 10,686 $ 10,887 $ 10,393 $ 11,175
6/04 $ 11,949 $ 11,949 $ 12,263 $ 10,417 $ 13,318
</Table>
* CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LIPPER BALANCED FUND INDEX, THE LEHMAN BROTHERS AGGREGATE
BOND INDEX AND THE S&P 500 INDEX ARE UNMANAGED AND DO NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
19
<Page>
MASSMUTUAL STRATEGIC BALANCED FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL STRATEGIC BALANCED FUND?
This Fund seeks long-term capital growth, consistent with preservation of
capital and balanced by current income.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ending June 30, 2004, the Fund's Class S shares returned
1.80%, underperforming the 2.25% return of the Lipper Balanced Fund Index, an
unmanaged index of stock and bond portfolios.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The major U.S. equity indexes ended the first quarter mixed, but little changed.
There were conflicting economic signals throughout the period, with a lack of
substantial improvement in the domestic employment picture and the overhanging
terrorism threat - both of which weighed on investor sentiment.
In the second quarter, stronger-than-expected economic activity and rising
inflation expectations drove bond yields higher, while increased demand for
Treasury Inflation-Protected Securities (TIPS) kept real yields from rising as
much as their nominal counterparts. Non-U.S. fixed-income markets experienced
similar conditions for the most part, but with substantially less volatility.
The Bank of England raised its target rate two times during the period, while
the European Central Bank remained on hold and the Federal Reserve tightened
modestly. Although bolstered by a stronger economy and accommodative monetary
policy, the threat of higher interest rates and general uncertainty over the
future course of monetary policy caused credit spreads - the disparity between
the price received for a bond (less) and the price paid for a bond (more) - to
widen somewhat, with most of that disparity affecting the emerging market
sector. Despite rising yields and a flatter yield curve, spreads on
mortgage-backed issues tightened.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
In the first quarter, the equity portfolio's overweight position in information
technology relative to the S&P 500 Index and an underweight position in energy
and health care had a positive impact on performance. Detracting from
performance were overweight positions in the consumer discretionary sector and
an underweight in consumer staples. In the fixed-income segment of the Fund's
portfolio, portfolio strategies produced generally positive results, as moderate
exposure to TIPS was the biggest contributor to performance. Our emphasis on
longer maturity issues was significantly rewarded as real yields fell and prices
rose. Broadly neutral exposure to the corporate and mortgage sectors had a small
positive impact on returns for the period. Our issue selection and maturity
emphasis on credit helped generate positive returns when spreads widened. Where
allowed, moderate and highly diversified exposure to emerging-market and
non-dollar securities contributed to returns for the period. Our interest rate
strategies, on the other hand, detracted.
Turning to the second quarter, in the Fund's equity segment of the portfolio,
our underweighted position in industrials, along with weaker stock selection in
telecommunications and technology, hindered performance. Contributing to returns
was strong stock selection in consumer staples, utilities and financials. In the
fixed-income portion of the Fund's portfolio, our strategies produced mixed, but
generally positive, results in the second quarter. Exposure to TIPS detracted
from returns, since they underperformed comparable Treasuries. Our effectively
neutral duration posture had little impact on performance, but our barbelled
exposure - where we invested more heavily in bonds at the short and long ends of
the maturity range - added significantly to returns as differences in yields at
different maturities moved into a tighter range. Emerging-market exposure
detracted from returns as their yields increased and prices declined. High-yield
exposure benefited from stable yields, and our modestly overweight exposure to
the mortgage-backed sector benefited from a narrower range of yields. Neutral
exposure to investment-grade bonds had little impact on returns, but our
emphasis on intermediate-term and BBB-rated issues was rewarded, as those
sectors outperformed. Non-dollar bond exposure added to returns, as European
bonds outperformed their domestic counterparts, while modest currency exposure
had little impact on performance.
20
<Page>
WHAT IS YOUR OUTLOOK?
In recent months, investors were concerned about many issues - including the
prospect of rising interest rates, the war in Iraq, higher oil prices and
China's rapid growth. We feel that most investor concerns have been aired long
enough and were likely discounted by stock prices at the close of the second
quarter. We also feel that positive surprises may occur in the next few months,
oil prices may decline from recent highs and the federal deficit may be lower
than projected.
[CHART]
MASSMUTUAL STRATEGIC
BALANCED FUND
ASSET ALLOCATION
(% OF INVESTMENTS) ON 6/30/04
<Table>
Short-term Issues 9.4%
Common Stocks 57.7%
Bonds 32.9%
</Table>
MASSMUTUAL STRATEGIC BALANCED FUND
LARGEST STOCK HOLDINGS (6/30/04)
Motorola, Inc.
Solectron Corp.
ChevronTexaco Corp.
Raytheon Co.
Merck & Co., Inc.
Carnival Corp.
Johnson & Johnson
Agilent Technologies, Inc.
American Express Co.
Pfizer, Inc.
21
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Strategic Balanced Fund Class S, Class A,
Class A (sales load deducted), Class Y, the Lipper Balanced Fund Index, the
Lehman Brothers Aggregate Bond Index and the Russell 3000 Index
MASSMUTUAL STRATEGIC BALANCED FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class S 1.80% 1.80%
Class A 1.60% 1.60%
Class A (sales load deducted)* -4.24% -4.24%
Class Y 1.80% 1.80%
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
Russell 3000 Index 3.60% 3.62%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS A (SALES LIPPER LEHMAN BROTHERS
CLASS S CLASS A LOAD DEDUCTED) CLASS Y BALANCED FUND INDEX AGGREGATE BOND INDEX RUSSELL 3000 INDEX
12/31/2003 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/04 $ 10,200 $ 10,180 $ 9,595 $ 10,190 $ 10,112 $ 10,012 $ 10,226
6/04 $ 10,180 $ 10,160 $ 9,576 $ 10,180 $ 10,224 $ 10,024 $ 10,362
</Table>
Hypothetical Investments in MassMutual Strategic Balanced Fund Class L, Class N,
Class N (CDSC fees deducted), the Lipper Balanced Fund Index, the Lehman
Brothers Aggregate Bond Index and the Russell 3000 Index
MASSMUTUAL STRATEGIC BALANCED FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class L 1.70% 1.70%
Class N 1.50% 1.50%
Class N (CDSC fees deducted)* 0.50% 0.50%
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
Russell 3000 Index 3.60% 3.62%
</Table>
[CHART]
<Table>
<Caption>
CLASS N (CDSC LIPPER BALANCED LEHMAN BROTHERS
CLASS L CLASS N FEES DEDUCTED) FUND INDEX AGGREGATE BOND INDEX RUSSELL 3000 INDEX
12/31/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/04 $ 10,190 $ 10,180 $ 10,180 $ 10,112 $ 10,012 $ 10,226
6/04 $ 10,170 $ 10,150 $ 10,050 $ 10,224 $ 10,024 $ 10,362
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE LIPPER BALANCED FUND INDEX, THE LEHMAN BROTHERS AGGREGATE
BOND INDEX AND THE RUSSELL 3000 INDEX ARE UNMANAGED AND DO NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
22
<Page>
MASSMUTUAL CORE VALUE EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL CORE VALUE EQUITY FUND?
This Fund seeks to achieve long-term growth of capital and income by investing
primarily in a diversified portfolio of equity securities of larger,
well-established companies.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
3.68%, outpacing the 3.44% return of the Standard & Poor's 500 Index, but
lagging the 3.93% return of the Russell 1000 Value Index.
The S&P 500 is a market capitalization-weighted, unmanaged index of 500 common
stocks. 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.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Equity markets recorded modest gains in the first quarter of 2004, as renewed
concerns over terrorism and rising oil prices dampened investor psychology and
enthusiasm after a strong start in January. During the period, small-cap stocks,
once again outpacing large-cap stocks, continued to benefit from low interest
rates and leverage to the economic expansion. Defensive sectors, such as
consumer staples and utilities, took the lead from the higher-beta, pro-cyclical
stocks that had dominated the market last year. The market shift primarily
reflected investor concerns about a possible slowdown in economic growth and its
implications for corporate earnings. Renewed worries over terrorist attacks also
took a toll. Value stocks outperformed both growth stocks and the broad market
during the period.
Turning to the second quarter, equities posted only a slight gain as a bit of a
holding pattern set in due to anxiety over how much and when the Federal Reserve
would raise interest rates. Investors got closure at the end of June when the
central bank boosted rates for the first time since May 2000 by a quarter of a
percentage point. Additional economic measures released during the quarter were
largely favorable, with improvements in consumer spending, inventory investment,
and equipment and software spending. Despite this, a few wrinkles remained in an
otherwise smooth path, namely job growth and oil prices. Against this backdrop,
large-cap stocks narrowly outperformed small caps, growth stocks outperformed
value stocks among large caps, and value stocks outperformed growth stocks among
small caps, indicating no clear trend either way. Within the U.S. large-cap
market, pro-cyclical sectors led, but interest-rate sensitive sectors - such as
financials, construction and housing as well as utilities - performed poorly.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, security selection was strongest in the technology,
auto/transportation and producer durables sectors. Performance was also
favorable in the consumer discretionary and utilities sectors. Conversely,
results in financial services were particularly detrimental to relative
performance, as financials outperformed the market - and the Fund held an
underweight position in this space.
In the second quarter, favorable stock selection in the technology and producer
durables sectors contributed to returns. In addition, although the financial
services sector was dragged down by lingering concerns over the effect of rising
interest rates, strong stock selection within the sector made it one of our
largest contributors to performance. Areas that detracted from second quarter
results were the health care and consumer discretionary sectors. Retailers also
felt the pressure of rising interest rates, and a number of our holdings in that
sector fell.
WHAT IS YOUR OUTLOOK?
The majority of economic measures currently appear supportive of continued
equity market gains moving into the second half of 2004. Unless unforeseen
surprises, such as terrorism or election-year angst, prevent investors from
focusing on the positives, equities should continue to advance.
23
<Page>
MASSMUTUAL CORE VALUE EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/04)
Exxon Mobil Corp.
Citigroup, Inc.
Bank of America Corp.
American International Group, Inc.
Wells Fargo & Co.
Verizon Communications, Inc.
Freddie Mac
McDonald's Corp.
Weyerhaeuser Co.
Morgan Stanley
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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 10/3/94 - 6/30/04
Class S 3.68% 20.01% -2.94% 8.45%
S&P 500
Index 3.44% 19.10% -2.20% 11.60%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S S&P 500 INDEX
10/3/94 $ 10,000 $ 10,000
6/95 $ 11,613 $ 12,017
6/96 $ 14,276 $ 15,139
6/97 $ 18,435 $ 20,389
6/98 $ 22,196 $ 26,535
6/99 $ 25,584 $ 32,575
6/00 $ 22,247 $ 34,939
6/01 $ 21,913 $ 29,760
6/02 $ 18,963 $ 24,411
6/03 $ 18,364 $ 24,471
6/04 $ 22,039 $ 29,145
</Table>
Hypothetical Investments in MassMutual Core Value Equity Fund Class A, Class A
(sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 1/1/98 - 6/30/04
Class A 3.42% 19.36% -3.42% 0.67%
Class A
(sales load
deducted)* -2.48% 12.49% -4.56% -0.24%
Class Y 3.70% 19.95% -3.02% 1.10%
S&P 500
Index 3.44% 19.10% -2.20% 4.03%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y S&P 500 INDEX
1/1/98 $ 10,000 $ 9,425 $ 10,000 $ 10,000
6/98 $ 10,860 $ 10,236 $ 10,880 $ 11,770
6/99 $ 12,431 $ 11,716 $ 12,517 $ 14,449
6/00 $ 10,751 $ 10,133 $ 10,868 $ 15,497
6/01 $ 10,537 $ 9,932 $ 10,702 $ 13,200
6/02 $ 9,076 $ 8,554 $ 9,257 $ 10,828
6/03 $ 8,750 $ 8,248 $ 8,952 $ 10,854
6/04 $ 10,445 $ 9,844 $ 10,738 $ 12,927
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
24
<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>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class L 3.72% 19.80% -3.15% -2.67%
S&P 500
Index 3.44% 19.10% -2.20% -1.56%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS L S&P 500 INDEX
5/3/99 $ 10,000 $ 10,000
6/99 $ 10,207 $ 10,306
6/00 $ 8,859 $ 11,053
6/01 $ 8,704 $ 9,415
6/02 $ 7,516 $ 7,723
6/03 $ 7,258 $ 7,742
6/04 $ 8,696 $ 9,220
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 3.34% 19.12% 19.70%
Class N (CDSC
fees deducted)* 2.34% 18.12% 19.70%
S&P 500 Index 3.44% 19.10% 21.05%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 10,991 $ 10,891 $ 11,175
6/04 $ 13,092 $ 13,092 $ 13,318
</Table>
* CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
25
<Page>
MASSMUTUAL FUNDAMENTAL VALUE FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL FUNDAMENTAL VALUE FUND?
The Fund seeks long-term total return by primarily investing in equity
securities, with a focus on companies with large capitalizations.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
2.49%, trailing the 3.44% return of the S&P 500 Index, a market
capitalization-weighted, unmanaged index of 500 common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Equity markets treaded water in the first quarter, as fears of lackluster job
growth offset positive company comments and improved prospects for corporate
profit growth. Entering the second week of March, the S&P 500 had risen more
than 4%, before declining following the Madrid bombing to finish the quarter up
1.7%. Sluggish job growth weighed on consumer confidence, which sank to its
lowest level since October 2003. Within the large-cap universe, value issues
outperformed their growth counterparts.
In the second quarter, equity markets moved modestly higher, battling against
higher energy prices, rising interest rates and the potential for an economic
slowdown in China, which offset an improving economic picture. In this
environment, large-cap growth stocks outpaced their value competitors.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
Stock selection in two of ten broad industry sectors added to the portfolio's
benchmark-relative performance in the first quarter. Holdings in health care and
consumer staples were the largest contributors, while holdings in consumer
discretionary, energy and materials detracted the most from relative results.
Furthermore, the Fund's overweight allocation to semiconductors contributed to
relative results, while an underweight allocation to real estate detracted.
Individual stocks that added the most to relative results during the first
quarter included Bank One (+21%), C.R. Bard (+21%) and Nokia (+22%).
Benchmark-relative performance was negatively impacted during the period by
Alcoa (-8%), Shell (-8%) and CSX (-15%).
In the second quarter, stock selection in six of ten broad industry sectors
contributed to the portfolio's benchmark-relative performance. The Fund's
holdings in industrials, consumer staples and energy were among the largest
contributors - while holdings in information technology, materials and
financials detracted the most from relative results. On an individual basis,
stocks that contributed the most to relative returns were Tyco International
(+16%), Shell (+12%) and Illinois Tool Works (+21%). Benchmark-relative
performance was hampered by holdings in Citigroup (-9%), Nokia (-27%), Goldman
Sachs (-9%) and Applied Materials (-8%).
WHAT IS YOUR OUTLOOK?
Going into the second half of the year, investor concerns are centered on the
impact of rising interest rates on the U.S. consumer, the threat of terrorist
activity, high energy prices and an economic slowdown in China. While each of
these concerns carries some validity and might curtail unsustainably high
growth, the global economy has good momentum that should support durable
expansion in the quarters ahead.
26
<Page>
MASSMUTUAL FUNDAMENTAL VALUE FUND
LARGEST STOCK HOLDINGS (6/30/04)
Exxon Mobil Corp.
Citigroup, Inc.
Bank of America Corp.
Shell Transport & Trading Co. PLC
Alcoa, Inc.
Tyco International Limited
Caterpillar, Inc.
Pfizer, Inc.
Teradyne, Inc.
Bank One Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Fundamental Value Fund Class S, Class A,
Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/01 - 6/30/04
Class S 2.49% 19.16% 1.88%
Class A 2.30% 18.69% 1.47%
Class A (sales
load deducted)* -3.58% 11.86% -0.91%
Class Y 2.49% 19.02% 1.81%
Class L 2.39% 18.82% 1.69%
S&P 500 Index 3.44% 19.10% 1.01%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L S&P 500 INDEX
12/31/2001 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/02 $ 9,200 $ 9,180 $ 8,652 $ 9,190 $ 9,190 $ 8,685
6/03 $ 8,792 $ 8,738 $ 8,235 $ 8,786 $ 8,776 $ 8,706
6/04 $ 10,476 $ 10,371 $ 9,774 $ 10,458 $ 10,428 $ 10,254
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 2.21% 18.32% 20.28%
Class N (CDSC
fees deducted)* 1.21% 17.32% 20.28%
S&P 500 Index 3.44% 19.10% 21.05%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,147 $ 11,047 $ 11,175
6/04 $ 13,189 $ 13,189 $ 13,318
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
27
<Page>
MASSMUTUAL VALUE EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL VALUE EQUITY FUND?
The Fund seeks long-term growth of capital by investing in securities of
companies that Fund management believes are undervalued in the marketplace in
relation to factors such as the company's assets, sales, earnings, growth
potential, or cash flow - or in relation to securities of other companies in the
same industry.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
3.13%, trailing the 3.93% 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 WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Stock returns were mixed during the first quarter of 2004. The broader market,
as measured by the Standard & Poor's(SM) 500 Index, posted modest gains due to
strong corporate earnings, positive economic news and continued low interest
rates. Sluggish job growth, high energy prices and geopolitical concerns,
however, made investors cautious about some sectors of the market. These
conditions benefited value stocks, as investors shifted away from the riskier,
high-growth stocks that were standouts in 2003.
The second quarter was similar to the first, with stock returns that were, once
again, mixed. The Standard & Poor's 500 Index posted slight gains due to
improving corporate earnings and positive economic news, including stronger
employment growth. However, rising interest rates, high energy prices and
geopolitical concerns once again gave investors pause about certain sectors of
the market. As a result, these conditions benefited sectors such as industrials
and energy, but hampered the more interest-rate-sensitive industries, such as
financials. From a style perspective, value stocks underperformed their growth
counterparts.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
In the first quarter, the Fund suffered relative to the Russell 1000 Value Index
from both weak industry selection and negative stock selection, particularly
within the financials and information technology sectors. Specifically, our
overweighting in technology detracted from performance, as investors shifted
towards the more defensive areas of the market. An underweighted position in
financials also hurt, as that sector benefited from rising equity markets and
increased revenue from merger and acquisition activity. Additionally, the Fund's
underweight of wireless telecommunication services was a drag, as these stocks
benefited from industry consolidation. On a positive note, the Fund benefited
from positive security and industry selection in the consumer discretionary
sector. Leading the way were some good picks and underweighting in the
poor-performing automobiles industry, which declined due to the potential for
increased interest rates. The Fund also outperformed in the media industry,
which as a group struggled due to concerns about a slow recovery in advertising
spending.
Turning to the second quarter, the Fund benefited on a relative basis from both
strong industry selection and positive stock selection, particularly within the
industrials and health care sectors. Specifically, the Fund's overweight to
industrials added to performance, as the global economic recovery continued and
boosted industrial conglomerates. Additionally, our underweighting in financials
fueled returns, as concerns surrounding higher interest rates weighed heavily on
the returns of the larger diversified banks and real estate companies.
Detracting from performance during the period were our holdings within the
consumer discretionary sector. Media stocks, particularly those involved with
radio broadcasting, continued to suffer from a slow recovery in advertising
spending and issues related to the broadcasting of indecent material. The Fund's
positioning in the energy sector also hurt performance - particularly an
underweighting in the large integrated oil companies - as higher oil and natural
gas prices created a positive environment for these stocks.
28
<Page>
MASSMUTUAL VALUE EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/04)
General Electric Co.
Bank of America Corp.
Exxon Mobil Corp.
Tyco International Limited
American International Group, Inc.
SBC Communications, Inc.
Honeywell International, Inc.
ChevronTexaco Corp.
Citigroup, Inc.
Merrill Lynch & Co., Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Value Equity Fund Class S, Class A, Class
A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 5/1/01 - 6/30/04
Class S 3.13% 19.54% 0.62%
Class A 2.93% 18.94% 0.16%
Class A (sales
load deducted)* -2.96% 12.09% -1.69%
Class Y 3.23% 19.44% 0.58%
Class L 3.03% 19.28% 0.43%
Russell 1000 Value Index 3.93% 21.13% 2.80%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L RUSSELL 1000 VALUE INDEX
5/1/2001 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/01 $ 9,880 $ 9,880 $ 9,312 $ 9,880 $ 9,880 $ 9,998
6/02 $ 8,868 $ 8,830 $ 8,322 $ 8,866 $ 8,857 $ 9,103
6/03 $ 8,532 $ 8,451 $ 7,965 $ 8,526 $ 8,499 $ 9,010
6/04 $ 10,199 $ 10,051 $ 9,473 $ 10,183 $ 10,137 $ 10,914
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 2.72% 18.73% 18.72%
Class N (CDSC
fees deducted)* 1.72% 17.73% 18.72%
Russell 1000 Value Index 3.93% 21.13% 22.39%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 1000 VALUE INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 10,892 $ 10,792 $ 11,157
6/04 $ 12,932 $ 12,932 $ 13,540
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 1000 VALUE INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
29
<Page>
MASSMUTUAL LARGE CAP VALUE FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL LARGE CAP VALUE FUND?
This Fund seeks both capital growth and income by selecting high-quality,
large-capitalization companies primarily in the S&P 500 Index(R).
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
4.57%, outpacing the 3.44% return of the S&P 500 Index, a
market-capitalization-weighted, unmanaged index of 500 common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The U.S. stock market moved sideways in the first quarter against a backdrop of
unsettling geopolitical events and mixed economic data. In the second quarter,
geopolitical concerns, high energy prices and expectations of rising interest
rates also kept the equity markets in a narrow trading range.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE - AND HOW DID YOU RESPOND?
During the first quarter, the Fund's top-performing positions included Bank One,
American Express, Berkshire Hathaway, American International Group, Loews and
Tyco. Microsoft, Sealed Air, Comcast, HSBC Holdings and Wells Fargo were among
the positions that detracted from performance during the first three months of
2004. In the first quarter, we made notable changes to the portfolio, including
the purchase of Comcast, the largest cable provider in the U.S. We added this
holding at what we believe represents a reasonable valuation based on our
analysis of its management quality, business fundamentals and competitive
advantages. CEO Brian Roberts and his management team have a proven track record
of creating value for shareholders. In terms of business fundamentals and
competitive advantages, Comcast operates in one of the few industries that still
have significant pricing power with consumers - stemming from the fact that
cable providers have a virtual monopoly in their regions, since the cost of
laying cable is prohibitive to new entrants.
During the second quarter, top contributors to the Fund's results included Tyco
International, EOG Resources, Costco Wholesale, Devon Energy and ConocoPhillips.
Positions that detracted from performance during the period included Altria
Group, Citigroup, Bank One, Berkshire Hathaway and Golden West Financial. We
made no significant changes to the portfolio during the second quarter.
WHAT IS YOUR OUTLOOK?
Looking ahead, there are a number of "headwinds" and "tailwinds" that have the
potential to exert an influence on the markets. Consequently, we have structured
our portfolios in such a way as to avoid "optimizing" on any single macro
scenario. We are invested in many diverse businesses that we find attractive on
their own merits without regard for how the stock market or the U.S. economy
might perform. Our holdings have lower valuations than the market on average,
even while our analysis suggests they possess above-average balance sheet
strength, competitive advantages, management quality and opportunities to create
long-term value for shareholders.
30
<Page>
MASSMUTUAL LARGE CAP VALUE FUND
LARGEST STOCK HOLDINGS (6/30/04)
American Express Co.
American International Group, Inc.
Altria Group, Inc.
Berkshire Hathaway, Inc. Cl. A
Tyco International Limited
Bank One Corp.
Citigroup, Inc.
Wells Fargo & Co.
Sealed Air Corp.
Costco Wholesale Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Large Cap Value Fund Class S, Class A,
Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 5/1/00 - 6/30/04
Class S 4.57% 21.79% 0.21%
Class A 4.39% 21.38% -0.26%
Class A (sales
load deducted)* -1.61% 14.43% -1.67%
Class Y 4.58% 21.76% 0.14%
Class L 4.48% 21.54% -0.05%
S&P 500 Index 3.44% 19.10% -4.17%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L S&P 500 INDEX
5/1/2000 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/00 $ 9,790 $ 9,780 $ 9,218 $ 9,790 $ 9,780 $ 10,037
6/01 $ 9,278 $ 9,231 $ 8,700 $ 9,268 $ 9,241 $ 8,549
6/02 $ 7,964 $ 7,878 $ 7,425 $ 7,949 $ 7,923 $ 7,012
6/03 $ 8,283 $ 8,150 $ 7,681 $ 8,259 $ 8,212 $ 7,030
6/04 $ 10,088 $ 9,892 $ 9,323 $ 10,057 $ 9,981 $ 8,372
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 4.22% 20.88% 22.17%
Class N (CDSC
fees deducted)* 3.22% 19.88% 22.17%
S&P 500 Index 3.44% 19.10% 21.05%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,168 $ 11,068 $ 11,175
6/04 $ 13,501 $ 13,501 $ 13,318
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
31
<Page>
MASSMUTUAL INDEXED EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL INDEXED EQUITY FUND?
The Fund seeks to approximate as closely as practicable (before fees and
expenses) the capitalization-weighted total rate of return of that portion of
the U.S. market for publicly traded common stocks composed of larger-capitalized
companies. The Fund pursues this objective by investing at least 80% of its
assets in the equity securities of companies that make up the S&P 500(R) Index.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
3.18%, nearly in line with the 3.44% 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?
While the U.S. economy continued to demonstrate signs of improvement during the
first few months of 2004, a muted improvement in job growth dampened enthusiasm.
Given the pace of economic growth, the sluggish job market implied a significant
increase in corporate productivity, expected to translate into continued strong
corporate profits. While strengthening corporate profits is favorable to equity
owners, continued improvement in financial markets has mainly been contingent on
translating growth in profits to jobs. Globally, continued improvement in the
economic landscape - and in particular, momentum in the Asian markets - boded
well for foreign investments. In this environment, value stocks continued to
outpace growth stocks as they did last year. Also following a pattern
established throughout 2003, returns continued to increase as capitalization
decreased. The small- and mid-cap segments continued to rise, but at a less
robust pace than in 2003.
During the second quarter, the U.S. economy was positively impacted by a number
of factors, including a rise in consumer confidence, rising corporate profits
and improvements in the labor market (which helped to boost consumer spending
during the period). Despite these positive signs of economic growth, the market
was held back by a number of factors, including concerns of a Federal Reserve
interest rate hike and the handover of power in Iraq. The market gained some
stability with both events taking place at the end of June; however, investors
remained cautious in the rising interest rate environment and seemed to be
waiting to see how corporations would begin to use the large cash reserves that
have built over the last two years. Fixed-income markets struggled during the
period, sparked by the increase and anticipation of further increases in
interest rates. Against this backdrop, growth stocks outpaced value issues, as
many corporations continued to recognize record profits - and small-cap stocks
once again dominated the market.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
In the first quarter, sector performance was mixed. The financials sector, up
4.88%, provided the greatest contribution to the market's first quarter return.
Consumer staples and energy also helped boost index performance, returning 5.63%
and 5.18%, respectively. Conversely, the information technology sector, which
drove the performance of the Index in 2003, lagged in the first quarter, with a
return of -2.53%.
Sector results were also mixed in the second quarter, as the financial services
sector, which has the largest weight in the S&P 500, underperformed all other
groups with a 2.4% loss. On the other hand, the S&P's second-largest sector,
information technology, was up 2.84% for the period. Energy was the
best-performing sector, generating a 7.56% increase.
WHAT IS YOUR OUTLOOK?
As managers of a passive fund, we do not make market forecasts, but seek to
replicate the return and risk characteristics of the benchmark. Stock prices
have been held back by concerns over interest rates, oil prices, geopolitics
and, just recently, economic growth. In the near term, however, we believe
continued strong profit and free cash flow growth should lead to improved equity
performance.
32
<Page>
MASSMUTUAL INDEXED EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/04)
General Electric Co.
Microsoft Corp.
Exxon Mobil Corp.
Pfizer, Inc.
Citigroup, Inc.
Wal-Mart Stores, Inc.
American International Group, Inc.
Intel Corp.
Bank of America Corp.
Johnson & Johnson
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Indexed Equity Fund Class S, Class A,
Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 3/1/98 - 6/30/04
Class S 3.18% 18.56% -2.63% 2.37%
Class A 2.93% 17.96% -3.06% 1.88%
Class A
(sales load deducted)* -2.95% 11.16% -4.20% 0.94%
Class Y 3.11% 18.38% -2.68% 2.30%
S&P 500 Index 3.44% 19.10% -2.20% 2.82%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y S&P 500 INDEX
3/1/98 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000
6/98 $ 10,840 $ 10,820 $ 10,198 $ 10,840 $ 10,859
6/99 $ 13,254 $ 13,144 $ 12,388 $ 13,230 $ 13,330
6/00 $ 14,147 $ 13,974 $ 13,171 $ 14,120 $ 14,297
6/01 $ 12,008 $ 11,805 $ 11,126 $ 11,972 $ 12,178
6/02 $ 9,796 $ 9,596 $ 9,044 $ 9,766 $ 9,989
6/03 $ 9,783 $ 9,541 $ 8,993 $ 9,754 $ 10,014
6/04 $ 11,600 $ 11,254 $ 10,607 $ 11,547 $ 11,926
</Table>
Hypothetical Investments in MassMutual Indexed Equity Fund Class L 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 7/1/99 - 6/30/04
Class L 3.12% 18.30% -2.79% -2.79%
S&P 500 Index 3.44% 19.10% -2.20% -2.20%
</Table>
[CHART]
<Table>
<Caption>
CLASS L S&P 500 INDEX
7/1/99 $ 10,000 $ 10,000
6/00 $ 10,660 $ 10,725
6/01 $ 9,028 $ 9,136
6/02 $ 7,356 $ 7,494
6/03 $ 7,337 $ 7,512
6/04 $ 8,679 $ 8,947
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
33
<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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 5/1/01 - 6/30/04
Class Z 3.28% 18.68% -1.43%
S&P 500 Index 3.44% 19.10% -1.22%
</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
6/01 $ 9,820 $ 9,822
6/02 $ 8,034 $ 8,057
6/03 $ 8,051 $ 8,076
6/04 $ 9,555 $ 9,619
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 2.76% 17.56% 19.65%
Class N (CDSC
fees deducted)* 1.76% 16.56% 19.65%
S&P 500 Index 3.44% 19.10% 21.05%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,130 $ 11,030 $ 11,175
6/04 $ 13,085 $ 13,085 $ 13,318
</Table>
* CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
34
<Page>
MASSMUTUAL BLUE CHIP GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL BLUE CHIP GROWTH FUND?
This Fund seeks growth of capital over the long term by normally investing at
least 80% of assets in blue chip companies. Blue chip companies include
companies whose stock is included in the Standard & Poor's 500(SM) Index (S&P
500(R)) or the Dow Jones Industrial Average, and companies with market
capitalizations of at least $1 billion if not included in either index. A
company's market capitalization is based on its current market capitalization or
its market capitalization at the time of the Fund's investment.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
2.38%, lagging the 3.44% return of the S&P 500(R) Index, a
market-capitalization-weighted, unmanaged index of 500 common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The U.S. market, as measured by the S&P 500 Index, eked out a small gain in the
first quarter of 2004. The year started off strongly with a rally in January,
but some of the market's initial enthusiasm was dampened as the quarter wore on.
In February, the market declined when the Federal Reserve Board (Fed) softened
its language against raising interest rates. The market stayed in a trading
range for most of February, but declined further in March with the issuance of a
disappointing payroll report and news of the Madrid train bombings, which
indicated a resurgence of al Qaeda.
The S&P 500 Index posted a modest return in the second quarter, as employment
gains underscored a robust economic recovery with corporations posting strong
earnings growth. However, anticipation of higher interest rates overshadowed the
good economic news. The Fed met expectations when it raised the federal funds
rate by 0.25% at the end of June.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
The Fund's overweighted position in technology stocks was the largest detractor
from performance in the first quarter, as the group was the worst-performing
sector in the Index during the period. Further hampering returns was security
selection in the consumer discretionary sector. Specifically, the Fund owned an
online retailer that lost ground after investors became concerned about a
decline in gross margins. The Fund also underweighted a large discount retailer
that performed well as its business improved. Although technology as a broad
sector struggled during the period, our security selection in the sector was a
positive for performance. The Fund owned several telecommunications companies
that rallied amid a generally improving business outlook for the group. The Fund
also benefited from strong security selection in the health care sector by
underweighting a large pharmaceutical company that declined following a study
that showed one of its drugs was inferior to that of a competitor.
In the second quarter, a rebound in overall corporate technology helped software
companies advance. Top-ten holding Microsoft, a software industry bellwether,
added to the Fund's performance, as a potential rebound in sales growth and
industry analysts' predictions that the company might consider a dividend
increase to address its large cash reserves sent the stock higher. The Fund also
benefited from its position in an online services provider that posted solid
first-quarter results owing to its strong Internet traffic, coupled with
increased advertising revenues. Elsewhere, oil prices rose to a record high of
$42 per barrel during the quarter, as turmoil in Iraq and attacks on Saudi oil
interests raised concerns about the stability of future oil production. Prices
eased when OPEC announced it would increase production by 2.5 million barrels in
the summer months. The large integrated energy companies were the big
beneficiaries of the increasing commodity prices. The Fund's underweighting in
the energy sector, however, detracted from returns. Within the health care
sector, security selection in the pharmaceuticals industry impaired the Fund's
performance, as increasing generic drug competition and negative news regarding
one company's antidepressant drug offset gains by our other pharmaceutical
positions.
35
<Page>
MASSMUTUAL BLUE CHIP GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/04)
Microsoft Corp.
General Electric Co.
Pfizer, Inc.
Intel Corp.
Cisco Systems, Inc.
Johnson & Johnson
American International Group, Inc.
Citigroup, Inc.
Wal-Mart Stores, Inc.
The Procter & Gamble Co.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Blue Chip Growth Fund Class S, Class A,
Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 6/1/01 - 6/30/04
Class S 2.38% 14.69% -4.58%
Class A 2.16% 14.04% -5.07%
Class A (sales
load deducted)* -3.73% 7.43% -6.87%
Class Y 2.50% 14.51% -4.68%
Class L 2.26% 14.37% -4.81%
S&P 500 Index 3.44% 19.10% -1.47%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L S&P 500 INDEX
6/1/2001 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/01 $ 9,840 $ 9,830 $ 9,265 $ 9,840 $ 9,840 $ 9,757
6/02 $ 7,570 $ 7,520 $ 7,088 $ 7,560 $ 7,550 $ 8,003
6/03 $ 7,546 $ 7,470 $ 7,041 $ 7,534 $ 7,510 $ 8,023
6/04 $ 8,654 $ 8,519 $ 8,030 $ 8,628 $ 8,589 $ 9,555
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 2.06% 13.77% 16.79%
Class N (CDSC
fees deducted)* 1.06% 12.77% 16.79%
S&P 500 Index 3.44% 19.10% 21.05%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/02 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,091 $ 10,991 $ 11,175
6/04 $ 12,618 $ 12,618 $ 13,318
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
36
<Page>
MASSMUTUAL LARGE CAP GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL LARGE CAP GROWTH FUND?
The Fund seeks long-term growth of capital and future income by normally
investing primarily in the common stocks and securities convertible into common
stocks of companies the Fund's Sub-Adviser believes offer prospects for
long-term growth and that, at the time of purchase, have market capitalizations
of at least approximately $10 billion.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
2.81%, lagging the 3.44% return of the S&P 500 Index, a market
capitalization-weighted, unmanaged index of 500 common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
In the first quarter, the Fund's large-capitalization growth investment style
was out of favor, as value stocks outperformed growth issues and, continuing the
trend of the 2003 rally, smaller-capitalization stocks significantly outpaced
large-capitalization issues. For the six-month period as well,
small-capitalization stocks outperformed their large-cap counterparts.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE - AND HOW DID YOU RESPOND?
During the first quarter, the portfolio gained the most ground on a relative
basis in the financial services sector, due to both good stock selection and an
overweight to this outperforming portfolio component. Strong stock selection in
the producer durables sector also contributed to performance. Conversely, the
Fund lost the most ground on a relative basis during the period as a result of
choices made in the consumer staples sector - both less-than-favorable stock
selection and an underweighting in this outperforming sector provided a headwind
to the Fund's progress. The technology sector also hampered the Fund's results
on a stock-specific basis, as large positions in Intel and Microsoft detracted
the most from the portfolio's return in the sector. The five largest individual
contributors to performance during the first quarter were Wal-Mart (+0.45%),
Nokia (+0.34%), MBNA Corporation (+0.32%), Electronic Arts (+0.30%) and Avon
Products (0.28%). The five largest detractors from performance included Intel
(-0.64%), Microsoft (-0.49%), Viacom (-0.42%), Veritas Software (-0.28%) and
Boston Scientific (-0.19%).
In the second quarter, the portfolio gained the most ground on a relative basis
in the consumer discretionary sector, as the benefit gained from a single
holding significantly exceeded the loss from overweighting this underperforming
sector. The Fund advanced considerably on a relative basis due to good stock
selection in the technology sector, where much of the outperformance was
attributable to one stock - a large position in Microsoft. On the other hand,
the Fund was hampered the most from a relative performance perspective by the
financial services sector, where both sub-par stock selection and an overweight
to this underperforming area impaired returns. The five largest individual
contributors to performance during the second quarter were Yahoo (+1.45%), eBay
(+0.76%), Microsoft (+0.46%), Avon Products (+0.45%) and Alcon (+0.39%). The
five largest detractors from performance during the quarter were Wal-Mart
(-0.37%), Forest Laboratories (-0.31%), Nokia (-0.30%), EMC Corporation (-0.28%)
and Citigroup (-0.28%).
WHAT IS YOUR OUTLOOK - AND HOW HAVE YOU POSITIONED THE FUND AS A RESULT?
In our view, investors are underestimating the staying power of the U.S.-led
global economic recovery. Corporate fundamentals are the primary driver of stock
prices and corporate fundamentals remain quite strong. Valuations for large-cap
growth stocks remain attractive as well. Given the level of opportunity we
currently see, we have chosen to adopt a more aggressive growth posture. At the
sector level, we have trimmed our financial holdings meaningfully and moved from
an underweight in consumer services to a slight overweight, reflecting an
increasing emphasis on Internet-retailing and media stocks.
37
<Page>
MASSMUTUAL LARGE CAP GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/04)
Yahoo!, Inc.
Dell, Inc.
Intel Corp.
General Electric Co.
American International Group, Inc.
Microsoft Corp.
Pfizer, Inc.
eBay, Inc.
Citigroup, Inc.
Lowe's Companies, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Large Cap Growth Fund Class S, Class A,
Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/01 - 6/30/04
Class S 2.81% 14.08% -5.01%
Class A 2.59% 13.73% -5.42%
Class A (sales
load deducted)* -3.33% 7.14% -7.64%
Class Y 2.70% 13.94% -5.10%
Class L 2.70% 13.93% -5.20%
S&P 500 Index 3.44% 19.10% 1.01%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/02 $ 7,840 $ 7,810 $ 7,361 $ 7,830 $ 7,820 $ 8,685
6/03 $ 7,710 $ 7,650 $ 7,210 $ 7,700 $ 7,680 $ 8,706
6/04 $ 8,796 $ 8,700 $ 8,200 $ 8,773 $ 8,750 $ 10,254
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 2.38% 13.27% 15.45%
Class N (CDSC
fees deducted)* 1.38% 12.27% 15.45%
S&P 500 Index 3.44% 19.10% 21.05%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 10,950 $ 10,850 $ 11,175
6/04 $ 12,403 $ 12,403 $ 13,318
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
38
<Page>
MASSMUTUAL GROWTH EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL GROWTH EQUITY FUND?
This Fund seeks long-term growth of capital and future income by normally
investing at least 80% of its assets in the common stocks and securities
convertible into common stocks of companies the Fund's sub-adviser believes
offer prospects for long-term growth.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
2.38%, trailing the 3.44% return of the S&P 500 Index, a
market-capitalization-weighted, unmanaged index of 500 common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The close of the first six months of 2004 saw U.S. equity markets in the black,
putting a more positive spin on the overall state of affairs for the economy.
The S&P 500 Index recovered from a weak April, and exhibited strength in both
May and June, resulting in its fifth consecutive quarter of positive returns.
The NASDAQ and the Dow Jones Industrial Average, like the S&P 500, had modest
gains during the period. In this environment, large-cap stocks beat their
small-cap counterparts and, in the large-cap universe, growth stocks
outperformed value stocks - while in the small-cap universe, value outpaced
growth. The dollar strengthened in anticipation of the Federal Reserve's
interest rate increase as well as on news of positive consumer-confidence data.
During the three-month period ended June 30, crude oil futures climbed, while
inventories dropped, as demand exceeded supplies. However, crude oil prices
ended June down nearly 7%, as OPEC had agreed earlier in the month to raise oil
production targets by 2 million barrels per day beginning July 1.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, the largest relative contributor to performance was
strong stock selection in the technology sector. Other contributors included our
overweight position and several strong-performing stocks in both financial
services and utilities/communications. On the other hand, the largest detractor
during the first quarter came from our overweight position in the leisure sector
(which included several underperforming stocks). In this sector, advertising
companies have suffered waiting for a rebound in local advertising revenues.
Also hampering performance were our holdings in the health care sector, where a
positive contribution from pharmaceuticals was offset by poor performance in
biotechnology. Our significantly underweight position in pharmaceutical
providers proved timely, however, as these stocks struggled against concerns
that Congress might pass legislation allowing the re-importation of drugs from
Canada in an effort to lower drug prices.
In the second quarter, sector selection hampered returns, and detractors
included overweight positions in retail stores and manufacturing. Overweight
positions in automotive and consumer goods and an underweight position in food
and beverage contributed to relative returns, but not enough to offset overall
negative sector performance. Conversely, stock-specific selection contributed to
positive relative performance, with strong choices including retail store,
health care and consumer goods securities.
WHAT IS YOUR OUTLOOK?
We believe that, as the U.S. economy passes the halfway mark of the fourth year
in the presidential cycle, quality companies will continue to be more attractive
than junk companies. Despite the fact that growth stocks dominated the U.S.
large-cap universe during the second quarter, year-to-date data show value
stocks outpacing growth stocks in both large caps and small caps. Going forward,
we encourage investors to continue their belief in the value style.
39
<Page>
MASSMUTUAL GROWTH EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/04)
Intel Corp.
Merck & Co., Inc.
The Home Depot, Inc.
Pfizer, Inc.
Qualcomm, Inc.
Dell, Inc.
American International Group, Inc.
The Procter & Gamble Co.
Fannie Mae
Texas Instruments, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Growth Equity Fund Class S, Class A,
Class A (sales load deducted), Class Y, Class L and the S&P 500 Index
MASSMUTUAL GROWTH EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class S 2.38% 11.37% -4.72% -3.41%
Class A 2.16% 10.85% -5.14% -3.84%
Class A
(sales load
deducted)* -3.69% 4.42% -6.26% -4.93%
Class Y 2.25% 11.26% -4.80% -3.48%
Class L 2.27% 11.18% -4.92% -3.60%
S&P 500
Index 3.44% 19.10% -2.20% -1.56%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L S&P 500 INDEX
5/3/99 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/99 $ 10,650 $ 10,640 $ 10,028 $ 10,650 $ 10,650 $ 10,306
6/00 $ 13,508 $ 13,448 $ 12,674 $ 13,498 $ 13,488 $ 11,053
6/01 $ 10,166 $ 10,074 $ 9,495 $ 10,145 $ 10,124 $ 9,415
6/02 $ 7,519 $ 7,415 $ 6,989 $ 7,498 $ 7,477 $ 7,723
6/03 $ 7,508 $ 7,372 $ 6,948 $ 7,487 $ 7,445 $ 7,742
6/04 $ 8,362 $ 8,172 $ 7,702 $ 8,330 $ 8,277 $ 9,220
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 1.91% 10.49% 15.72%
Class N (CDSC
fees deducted)* 0.91% 9.49% 15.72%
S&P 500 Index 3.44% 19.10% 21.05%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,265 $ 11,165 $ 11,175
6/04 $ 12,446 $ 12,446 $ 13,318
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
40
<Page>
MASSMUTUAL AGGRESSIVE GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL AGGRESSIVE GROWTH FUND?
This Fund seeks long-term capital appreciation by investing primarily in U.S.
common stocks and other equity securities.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
11.49%, strongly outperforming the 3.44% 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 PERIOD?
Several long-term trends continued to bear fruit through the beginning of 2004,
affirming the "buy" case for many of our companies. In health care, pioneering
research and highly innovative products from leading biotechnology and medical
device companies, like Genentech and Stryker, either began entering the market
or demonstrated significant promise in late-stage trials. In the consumer
segment, the increasing presence of high-speed, broadband Internet access helped
drive Apollo Group's favorable results. In addition, the phenomenon of trading
up to luxury goods as household discretionary income increases began to take
hold against a backdrop of solid economic growth. Starbucks and Lowe's were
direct beneficiaries of this consumer trend.
In the second quarter, the companies in the Fund's portfolio reported 27% sales
growth and 31% earnings-per-share (EPS) growth on a weighted-average basis. Of
particular note is that while some sectors fared better than others on the
margin, no one sector dominated the results and none were left behind. The EPS
growth rates for the four major sectors on a weighted-average basis were
consumer discretionary, +40%; information technology, +28%; health care, +19%;
and financial services, +32%.
The biggest contributors to investment results, on a relative basis, were eBay,
Harley-Davidson, Starbucks, Stryker, and Qualcomm. Conversely, the biggest
detractors from returns included Bed, Bath and Beyond, Capital One, Krispy
Kreme, Kohl's, and Lowe's.
Clearly, the positive contributions from the best-performing stocks prevailed
over the negative effects of the worst-performing stocks.
WHAT IS YOUR OUTLOOK?
Going forward, we continue to expect the companies in the Fund's portfolio to
continue to generate above-average growth. As we have experienced time and
again, it is high-quality, leading companies in growing business spaces that are
best positioned to deliver consistent and growing earnings.
41
<Page>
MASSMUTUAL AGGRESSIVE GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/04)
eBay, Inc.
Apollo Group, Inc. Cl. A
Genentech, Inc.
Harley-Davidson, Inc.
Starbucks Corp.
Dell, Inc.
Lowe's Companies, Inc.
Cisco Systems, Inc.
Qualcomm, Inc.
Capital One Financial Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Aggressive Growth Fund Class S, Class A,
Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 5/1/00 - 6/30/04
Class S 11.49% 29.13% -12.81%
Class A 11.29% 28.67% -13.24%
Class A (sales
load deducted)* 4.94% 21.32% -14.47%
Class Y 11.53% 29.26% -12.89%
Class L 11.38% 28.87% -13.01%
S&P 500 Index 3.44% 19.10% -4.17%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L S&P 500 INDEX
5/1/2000 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/00 $ 9,780 $ 9,770 $ 9,208 $ 9,770 $ 9,780 $ 10,037
6/01 $ 5,970 $ 5,934 $ 5,592 $ 5,969 $ 5,955 $ 8,549
6/02 $ 4,505 $ 4,460 $ 4,204 $ 4,494 $ 4,481 $ 7,012
6/03 $ 4,374 $ 4,300 $ 4,053 $ 4,354 $ 4,341 $ 7,030
6/04 $ 5,648 $ 5,533 $ 5,215 $ 5,627 $ 5,594 $ 8,372
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 10.98% 28.17% 28.04%
Class N (CDSC
fees deducted)* 9.98% 27.17% 28.04%
S&P 500 Index 3.44% 19.10% 21.05%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P 500 INDEX
12/31/02 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,300 $ 11,200 $ 11,175
6/04 $ 14,483 $ 14,483 $ 13,318
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES,
AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SAET 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.
42
<Page>
MASSMUTUAL OTC 100 FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL OTC 100 FUND?
This Fund seeks to approximate, as closely as practicable (before fees and
expenses), the total return of the 100 largest publicly traded over-the-counter
common stocks. The Fund pursues this objective by investing at least 80% of its
assets in the equity securities of companies included in the NASDAQ 100
Index(R), which is generally recognized as representative of the
over-the-counter market.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
3.15%, slightly underperforming the 3.32% 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 WAS THE INVESTMENT BACKDROP DURING THE PERIOD?
While the U.S. economy continued to demonstrate signs of improvement during the
first few months of 2004, a muted improvement in job growth dampened enthusiasm.
Given the pace of economic growth, the sluggish job market implied a significant
increase in corporate productivity, expected to translate into continued strong
corporate profits. While strengthening corporate profits is favorable to equity
owners, continued improvement in financial markets has mainly been contingent on
translating growth in profits to jobs. Globally, continued improvement in the
economic landscape - and in particular, momentum in the Asian markets - boded
well for foreign investments.
During the second quarter, the U.S. economy was positively impacted by a number
of factors, including a rise in consumer confidence, rising corporate profits
and improvements in the labor market (which helped to boost consumer spending
during the period). Despite these positive signs of economic growth, the market
was held back by a number of factors, including concerns of a Federal Reserve
interest rate hike and the handover of power in Iraq. The market gained some
stability with both events taking place at the end of June; however, investors
remained cautious in the rising interest rate environment and seemed to be
waiting to see how corporations would begin to use the large cash reserves that
have been built over the last two years. Fixed-income markets struggled during
the period, sparked by the increase and anticipation of further increases in
interest rates.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, sector performance was mixed. Information technology,
which comprises over 60% of the NASDAQ Index, was down 2.77%. Overall,
telecommunication services was the worst-performing sector (-13.45%), while
energy was the best-performing sector (+7.56%).
The strongest sector of the second quarter was consumer staples (+15.61%),
reflecting a surge in consumer spending during the month of May.
WHAT IS YOUR OUTLOOK?
As managers of a passive fund, we do not make market forecasts, but seek to
replicate the return and risk characteristics of the benchmark. Stock prices
have been held back by concerns over interest rates, oil prices, geopolitics
and, just recently, economic growth. In the near term, however, we believe
continued strong profit and free cash flow growth should lead to improved equity
performance.
43
<Page>
MASSMUTUAL OTC 100 FUND
LARGEST STOCK HOLDINGS (6/30/04)
Microsoft Corp.
Qualcomm, Inc.
Intel Corp.
Cisco Systems, Inc.
eBay, Inc.
Nextel Communications, Inc. Cl. A
Dell, Inc.
Amgen, Inc.
Comcast Corp. Cl. A
Oracle Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual OTC 100 Fund Class S, Class A, Class A
(sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 5/1/00 - 6/30/04
Class S 3.15% 25.96% -20.08%
Class A 2.67% 25.08% -20.52%
Class A (sales
load deducted)* -3.27% 17.79% -21.64%
Class Y 3.17% 26.13% -20.18%
Class L 2.92% 25.57% -20.32%
NASDAQ 100 Index 3.32% 26.21% -19.65%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L NASDAQ 100 INDEX
5/1/2000 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/00 $ 9,820 $ 9,820 $ 9,255 $ 9,820 $ 9,820 $ 9,976
6/01 $ 4,790 $ 4,760 $ 4,486 $ 4,780 $ 4,770 $ 4,858
6/02 $ 2,720 $ 2,700 $ 2,545 $ 2,720 $ 2,710 $ 2,787
6/03 $ 3,120 $ 3,070 $ 2,893 $ 3,100 $ 3,090 $ 3,185
6/04 $ 3,930 $ 3,840 $ 3,619 $ 3,910 $ 3,880 $ 4,020
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 2.70% 24.92% 31.41%
Class N (CDSC
fees deducted)* 1.70% 23.92% 31.41%
NASDAQ 100 Index 3.32% 26.21% 33.19%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) NASDAQ 100 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 12,055 $ 11,955 $ 12,208
6/04 $ 15,059 $ 15,059 $ 15,371
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE NASDAQ 100 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
44
<Page>
MASSMUTUAL FOCUSED VALUE FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL FOCUSED VALUE FUND?
This Fund seeks growth of capital over the long term by investing primarily in a
non-diversified portfolio of U.S. equity securities. As a non-diversified fund,
the Fund is not limited in the percentage of its assets that it may invest in
any one company. This means that the Fund may hold larger positions in a smaller
number of stocks than a diversified fund. As a result, an increase or decrease
in value of a single stock could have a greater impact on the Fund's net asset
value and its total return.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ending June 30, 2004, the Fund's Class S shares returned
4.42%, lagging the 6.24% return of the Russell 2500 Index, a broadly based,
unmanaged index of 2500 medium- and small-capitalization common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Early 2004 continued in a fashion similar to the end of 2003, as equity markets
continued to surge and higher-beta investments outperformed. These trends slowed
or reversed later in the quarter, however, when job growth appeared to pause,
terrorist attacks resurfaced overseas, energy prices advanced and prospects
emerged for a contentious U.S. presidential election. Bond yields declined and
domestic equity markets decelerated, as investors expressed a preference for
less-risky assets.
As we entered the second quarter, the rising price of oil, China's slowdown and
inflationary concerns formed a headwind for equity markets. However, as the
quarter progressed, corporate profits impressed, economic strength appeared to
be broad based and oil prices receded somewhat.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE - AND HOW DID YOU RESPOND?
During the first quarter, Brunswick Corporation, Pepsi Bottling Group and Waters
Corporation had a positive effect on the Fund's performance. The acquisition of
three aluminum boat brands helped Brunswick turn in positive results. Pepsi
Bottling Group has been experiencing strong growth in the U.S. market due to the
pricing environment for soft drinks, new products and packaging innovations.
Waters Corporation had very strong fundamentals during the quarter and
introduced new products welcomed by the market. Conversely, Tiffany & Co.,
Sovereign Bancorp and Liberty Media hampered performance during the period.
Tiffany & Co. struggled against general weakness in the retail sector. Sovereign
Bancorp's stock declined after announcing two acquisitions during the quarter.
Liberty Media continued to suffer from general weakness in the media sector.
During the period, we initiated a position in Baxter International, Inc., which
develops, manufactures and markets products and technologies related to the
blood and circulatory systems. We eliminated our positions in Automatic Data
Processing and Starwood Hotels & Resorts because of the availability of more
attractive investment alternatives.
Turning to the second quarter, our industrial stocks rallied strongly, offset by
weakness in our retail-oriented companies (which we believe is attributable to
higher energy prices). On a stock-specific basis, Gap Inc., Baxter International
Inc. and Waters Corporation had the most significant positive impact upon
performance during the period. The turnaround at Gap continued to proceed in a
positive direction, as first-quarter earnings were up 50% over 2003's first
quarter and same-store sales remained strong. Baxter is a global health care
company that provides very solid cash flow and trades at an attractive
valuation. Waters experienced strong demand for its lab products and benefited
from increased spending by pharmaceutical companies. On the downside,
Cablevision Systems Corporation, Guidant Corporation and Interpublic Group of
Companies had the most significant negative impact upon performance during the
period. Cablevision was weak on speculation by investors over potential capital
allocation issues. Guidant experienced unexpected problems with its drug-eluting
stent program. Lastly, although Interpublic has strengthened its core business,
the company's other agencies experienced weakness, which dragged down the stock.
During the quarter, we initiated positions in Hospira, Inc. and McDonald's
Corporation. We eliminated our position in Cendant Corporation and channeled the
proceeds into more attractive investment alternatives.
45
<Page>
MASSMUTUAL FOCUSED VALUE FUND
LARGEST STOCK HOLDINGS (6/30/04)
Sovereign Bancorp, Inc.
The Gap, Inc.
The Pepsi Bottling Group, Inc.
Time Warner, Inc.
Baxter International, Inc.
Carnival Corp.
Yum! Brands, Inc.
First Data Corp.
Cablevision Systems Corp. Cl. A
Costco Wholesale Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Focused Value Fund Class S, Class A,
Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 5/1/00 - 6/30/04
Class S 4.42% 22.85% 16.88%
Class A 4.20% 22.33% 16.31%
Class A (sales
load deducted)* -1.78% 15.30% 14.67%
Class Y 4.44% 22.78% 16.77%
Class L 4.34% 22.59% 16.58%
Russell 2500 Index 6.24% 32.21% 6.25%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L RUSSELL 2500 INDEX
5/31/2000 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/00 $ 9,450 $ 9,440 $ 8,897 $ 9,440 $ 9,440 $ 10,146
6/01 $ 12,918 $ 12,838 $ 12,100 $ 12,896 $ 12,867 $ 10,393
6/02 $ 12,639 $ 12,498 $ 11,780 $ 12,604 $ 12,562 $ 9,602
6/03 $ 15,594 $ 15,341 $ 14,459 $ 15,537 $ 15,459 $ 9,737
6/04 $ 19,157 $ 18,767 $ 17,688 $ 19,077 $ 18,951 $ 12,874
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 4.05% 21.88% 32.36%
Class N (CDSC
fees deducted)* 3.05% 20.88% 32.36%
Russell 2500 Index 6.24% 32.21% 34.12%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 12,489 $ 12,389 $ 11,692
6/04 $ 15,222 $ 15,222 $ 15,532
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2500 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
46
<Page>
MASSMUTUAL SMALL COMPANY VALUE FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL SMALL COMPANY VALUE FUND?
The Fund seeks to achieve long-term growth of capital by investing primarily in
a diversified portfolio of equity securities of smaller companies.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
10.73%, outperforming the 6.76% return of the Russell 2000 Index, a broadly
based, unmanaged index of 2000 small-capitalization common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Financial markets were unsettled during the first quarter of 2004. Mixed
economic and political news impacted investor sentiment unevenly, and equity
markets swung back and forth with the news flow. During the period, small-cap
stocks outperformed mid- and large-cap shares and value stocks outpaced their
growth counterparts across all market capitalizations.
During the second quarter, financial markets delivered modest gains. Equity
returns once again see-sawed between positive and negative, as investors
continued to grapple with conflicting signals - from the orderly economic
expansion and steadily improving corporate earnings - to geopolitical
uncertainty, high fuel prices and the likelihood of rising interest rates. In
this uncertain environment, stocks experienced the first substantive correction
in over a year during April and May, only to bounce back in June.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
In the first quarter, the Fund's strongest relative performance came from its
financial, health care and materials holdings; an overweight in energy stocks
and an underweight in telecommunications were positives as well. Also
contributing to performance were stocks in the industrials, financial and
consumer staples sectors, and the Fund's insurance positions. Although our
energy exposure detracted relative to the benchmark, only one energy holding
with a meaningful position in the portfolio was down. The Fund's technology
holdings also detracted during the period. At quarter-end, the portfolio
remained slightly overweight in health care, and slightly underweight in
financials and industrials relative to the Fund's benchmark.
Turning to the second quarter, the Fund experienced positive returns in every
sector except financials and information technology, which were hurt by rising
interest rates and earnings shortfalls, respectively. Fortunately, our stock
selection was better than the sector average and the impact was minor.
Performance leadership came from industrials, materials and energy. We also had
positive contributions from the consumer discretionary and the health care
sectors, where strong stock selection aided performance.
WHAT IS YOUR OUTLOOK?
As the economic cycle matures, we believe investors' focus will narrow and
sector performance will increasingly diverge. Within the context of our caution
about small-cap stocks (versus their large-cap brethren), we're still bullish
for the portfolio for the second half of 2004.
47
<Page>
MASSMUTUAL SMALL COMPANY VALUE FUND
LARGEST STOCK HOLDINGS (6/30/04)
Landstar System, Inc.
Texas Regional Bancshares, Inc.
Triad Guaranty, Inc.
Ruby Tuesday, Inc.
Aaron Rents, Inc.
FelCor Lodging Trust, Inc.
Scottish Re Group Limited
Dollar Thrifty Automotive Group, Inc.
Silicon Valley Bancshares
East West Bancorp, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Small Company Value Fund Class S, Class
A, Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/01 - 6/30/04
Class S 10.73% 36.95% 12.56%
Class A 10.54% 36.26% 12.06%
Class A (sales
load deducted)* 4.18% 28.47% 9.44%
Class Y 10.76% 36.90% 12.50%
Class L 10.70% 36.58% 12.31%
Russell 2000 Index 6.76% 33.36% 8.89%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L RUSSELL 2000 INDEX
12/31/2001 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/02 $ 10,380 $ 10,360 $ 9,764 $ 10,380 $ 10,370 $ 9,530
6/03 $ 9,813 $ 9,756 $ 9,195 $ 9,804 $ 9,785 $ 9,373
6/04 $ 13,439 $ 13,292 $ 12,528 $ 13,421 $ 13,365 $ 12,373
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 10.34% 35.94% 32.92%
Class N (CDSC
fees deducted)* 9.34% 34.94% 32.92%
Russell 2000 Index 6.76% 33.36% 35.40%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2000 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,269 $ 11,169 $ 11,788
6/04 $ 15,319 $ 15,319 $ 15,755
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
48
<Page>
MASSMUTUAL SMALL CAP EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL SMALL CAP EQUITY FUND?
This Fund seeks to achieve long-term growth of capital and income by investing
primarily in a diversified portfolio of equity securities of smaller companies.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
5.19%, trailing the 6.76% return of the Russell 2000 Index, a broadly based,
unmanaged index of 2000 small-capitalization common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Equity markets recorded modest gains in the first quarter of 2004, as renewed
concerns over terrorism and rising oil prices dampened investor psychology and
enthusiasm after a strong start in January. Although the employment picture
continued to elicit concern, job growth improved during the period, with an
increase in temporary employment across most industries. Other positive
indicators included favorable corporate earnings, declining interest rates and
healthy consumer spending. During the period, small-cap stocks, once again
outpacing large-cap stocks, continued to benefit from low interest rates and
leverage to the economic expansion. While value strategies outperformed growth
strategies among both large caps and small caps, the quarter's performance
disparity across styles was narrow.
During the second quarter, equities posted only a slight gain, as a bit of a
holding pattern set in due to anxiety over how much and when the Federal Reserve
would raise interest rates. Investors got closure at the end of June, when the
central bank boosted rates for the first time since May 2000 by a quarter of a
percentage point. The move, which was widely anticipated by investors, was
accompanied by reassuring language that future increases would occur at a
"measured" pace. Equity markets, relieved, rose modestly. Additional economic
measures released during the quarter were largely favorable, with improvements
realized in consumer spending, inventory investment, and equipment and software
spending. Despite this, a few wrinkles remained - namely jobs and oil. On the
jobs front, the pace of U.S. hiring slumped sharply in June after several months
of robust gains. Meanwhile, oil prices continued to rise, with the potential to
drive up the cost of goods and services. In this environment, U.S. equity
markets were largely flat, with large-cap stocks narrowly outperforming small
caps, growth stocks outperforming value issues among large caps, and value
stocks outperforming growth stocks among small caps.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
The first quarter of 2004 was a challenging period for the Fund, as
less-than-favorable stock selection hampered the Fund's progress. In particular,
the Fund's selection difficulty in some of the largest and best-performing
market sectors - such as consumer discretionary, financial services and health
care - caused additional challenges. The Fund's emphasis on oil services
companies in the energy sector and semiconductor names in the technology sector
also detracted from results, as both areas experienced a significant price
correction during the quarter. On a favorable note, the Fund did realize strong
results in autos/transportation, which is notable, since this sector
categorically posted the lowest returns within the Russell 2000 universe.
In the second quarter, favorable stock selection across the Fund's portfolio,
from the autos/transportation and financial services sectors to the producer
durables and technology sectors, helped to drive returns. Several of the Fund's
energy services holdings and companies specializing in electrical components and
equipment realized particularly strong results. Additionally, in technology, the
area of the market that performed the poorest during the period, the Fund's
holdings significantly outperformed corresponding benchmark positions. Even in
the consumer discretionary sector, in which 2004 performance has been at times
challenging, holdings added value. Health care holdings hampered performance
somewhat, although the portfolio held only minimal positions.
WHAT IS YOUR OUTLOOK?
The majority of economic measures currently appear supportive of continued
equity market gains moving into the second half of 2004. The cloud of
interest-rate uncertainty has lifted and upcoming corporate earnings are
expected to be solid. Moreover, economists have forecasted that the U.S. economy
will expand by approximately 4.6% in 2004, the fastest rate of growth since
1984. Unless unforeseen surprises, such as terrorism or election-year angst,
prevent investors from focusing on the positives, equities should continue to
advance.
49
<Page>
MASSMUTUAL SMALL CAP EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/04)
Roper Industries, Inc.
Teleflex, Inc.
Coherent, Inc.
Carlisle Companies, Inc.
Cognex Corp.
Eaton Vance Corp.
Chittenden Corp.
Webster Financial Corp.
Helix Technology Corp.
Kaydon Corp.
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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 10/3/94 - 6/30/04
Class S 5.19% 24.17% 6.43% 10.11%
Russell 2000 Index 6.76% 33.36% 6.63% 10.46%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S RUSSELL 2000 INDEX
10/3/94 $ 10,000 $ 10,000
6/95 $ 10,507 $ 11,228
6/96 $ 12,794 $ 13,910
6/97 $ 16,665 $ 16,181
6/98 $ 20,010 $ 18,852
6/99 $ 18,721 $ 19,134
6/00 $ 19,378 $ 21,875
6/01 $ 21,130 $ 22,000
6/02 $ 21,229 $ 20,109
6/03 $ 20,585 $ 19,779
6/04 $ 25,561 $ 26,378
</Table>
Hypothetical Investments in MassMutual Small Cap Equity Fund Class A, Class A
(sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 1/1/98 - 6/30/04
Class A 4.87% 23.48% 5.90% 3.65%
Class A (sales load deducted)* -1.13% 16.39% 4.65% 2.71%
Class Y 5.07% 23.99% 6.30% 4.06%
Russell 2000 Index 6.76% 33.36% 6.63% 6.09%
</Table>
[CHART]
<Table>
<Caption>
CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y RUSSELL 2000 INDEX
1/1/98 $ 10,000 $ 9,425 $ 10,000 $ 10,000
6/98 $ 10,200 $ 9,613 $ 10,220 $ 10,493
6/99 $ 9,477 $ 8,932 $ 9,540 $ 10,650
6/00 $ 9,767 $ 9,205 $ 9,865 $ 12,176
6/01 $ 10,594 $ 9,985 $ 10,747 $ 12,245
6/02 $ 10,595 $ 9,986 $ 10,781 $ 11,193
6/03 $ 10,222 $ 9,634 $ 10,443 $ 11,009
6/04 $ 12,621 $ 11,896 $ 12,948 $ 14,682
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
50
<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>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class L 5.00% 23.73% 6.17% 7.59%
Russell 2000 Index 6.76% 33.36% 6.63% 7.63%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS L RUSSELL 2000 INDEX
5/3/99 $ 10,000 $ 10,000
6/99 $ 10,813 $ 10,605
6/00 $ 11,178 $ 12,124
6/01 $ 12,157 $ 12,193
6/02 $ 12,180 $ 11,145
6/03 $ 11,789 $ 10,962
6/04 $ 14,587 $ 14,620
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 4.75% 23.16% 24.29%
Class N (CDSC fees deducted)* 3.75% 22.16% 24.29%
Russell 2000 Index 6.76% 33.36% 35.40%
</Table>
GROWTH OF $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS N RUSSELL
(CDSC FEES 2000
CLASS N DEDUCTED) INDEX
12/31/2002 $10,000 $10,000 $10,000
6/03 $11,248 $11,148 $11,788
6/04 $13,852 $13,852 $15,755
</Table>
* CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
51
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL MID CAP GROWTH EQUITY FUND?
This Fund seeks long-term capital growth by investing primarily, under normal
conditions, in stocks of companies with market capitalizations, at the time of
purchase, that fall within the range of companies in either the S&P MidCap 400
Index or the Russell MidCap Growth Index (as of March 31, 2004, between $413
million and $18.4 billion).
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares advanced
1.28%, lagging the 6.24% return of the Russell 2500 Index, a broadly based,
unmanaged index of 2500 medium- and small-capitalization common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
During the exceedingly volatile first quarter, the value segment of the market
managed to outperform the growth segment, attributable to a number of economic
factors, including anemic U.S. job growth during the period. Also of note,
inflation at the consumer level continued to remain within reasonable levels.
During the second quarter, the markets continued to exhibit volatility, as most
investors focused on the return of sovereignty to Iraq and action on interest
rates by the Federal Reserve. Throughout the increasingly unpredictable period,
mid-cap value stocks outperformed mid-cap growth issues.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, stock selection in the consumer discretionary,
transportation and energy sectors contributed the most to portfolio performance.
Ironically, stock selection in general was the main driver of relative
underperformance, with our holdings in the utilities, technology and health care
sectors restraining performance the most. Career Education Corp. (+41.35%),
Research In Motion (+39.62%), Symantec (+33.62%), Aetna U.S. Healthcare
(+32.76%) and International Game Technology (+26.25%) were the five holdings
that contributed the most to the Fund's performance. The five stocks that
hampered performance the most included Sonus Networks (-41.14%), ITT Educational
Services (-38.79%), Total System Services (-32.25%), Veritas Software (-27.58%)
and Garmin (-21.60%).
During the second quarter, stock selection in the technology, materials and
utilities sectors contributed the greatest amount to positive portfolio
performance. The five holdings that contributed the most to returns included
Research In Motion (+46.68%), Autodesk Inc. (+35.82%), Nextel Partners Inc.
(+25.75%), Zebra Technologies Corp. (+25.41%) and Adobe Systems (+18.32%). The
portfolio struggled due to stock selection in the financial, health care and
durables sectors. The five stocks that hindered performance the most included
Fremont General Corp (-42.32%), Par Pharmaceutical Companies Inc. (-38.08%),
Career Education Corp. (-19.43%), International Game Technology (-14.15%) and
Juniper Networks Inc. (-5.57%).
WHAT IS YOUR OUTLOOK?
Given the recently reported and highly anticipated job growth numbers, which
were above projected levels, some of the fears surrounding the direction of the
economy may begin to diminish. Further, we believe that job growth will continue
to push consumer confidence higher, which is a broad positive for the market.
Thus, the improved portfolio performance that occurred during the latter two
thirds of the second quarter reflects a trend that the market is beginning to
focus more on stocks with better fundamental characteristics. We believe this
bodes well for the Fund, as our quantitative process relies heavily on stocks
with superior fundamental characteristics.
52
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/04)
Zebra Technologies Corp. Cl. A
International Game Technology
Adobe Systems, Inc.
XTO Energy, Inc.
Biomet, Inc.
Marvell Technology Group Limited
Rockwell Automation, Inc.
Nextel Partners, Inc. Cl. A
Electronic Arts, Inc.
Marvel Enterprises, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Mid Cap Growth Equity Fund Class S, Class
A, Class A (sales load deducted), Class Y, Class L and the Russell 2500 Index.
MASSMUTUAL MID CAP GROWTH EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class S 1.28% 15.69% -3.38% -2.64%
Class A 0.92% 15.07% -3.82% -3.09%
Class A (sales load deducted)* -4.93% 8.44% -4.95% -4.20%
Class Y 1.16% 15.57% -3.44% -2.71%
Class L 1.16% 15.51% -3.59% -2.83%
Russell 2500 Index 6.24% 32.21% 8.47% 9.58%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L RUSSELL 2500 INDEX
5/3/99 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/99 $ 10,340 $ 10,330 $ 9,736 $ 10,340 $ 10,350 $ 10,684
6/00 $ 14,660 $ 14,600 $ 13,761 $ 14,670 $ 14,640 $ 12,643
6/01 $ 10,668 $ 10,576 $ 9,968 $ 10,657 $ 10,626 $ 12,951
6/02 $ 7,692 $ 7,576 $ 7,141 $ 7,674 $ 7,640 $ 11,965
6/03 $ 7,527 $ 7,389 $ 6,964 $ 7,509 $ 7,463 $ 12,134
6/04 $ 8,708 $ 8,502 $ 8,014 $ 8,678 $ 8,621 $ 16,042
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 0.79% 14.69% 19.47%
Class N (CDSC fees deducted)* -0.21% 13.69% 19.47%
Russell 2500 Index 6.24% 32.21% 34.12%
</Table>
[CHART]
<Table>
<Caption>
CLASS N
CLASS N (CDSC FEES DEDUCTED) RUSSELL 2500 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,382 $ 11,282 $ 11,692
6/04 $ 13,055 $ 13,055 $ 15,532
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2500 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
53
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY II FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL MID CAP GROWTH EQUITY II
FUND?
This Fund seeks growth of capital over the long term by investing, under normal
conditions, primarily in a broadly diversified portfolio of common stocks of
mid-cap companies whose earnings the Fund's Sub-Adviser expects to grow at a
faster rate than the average company. Mid-cap companies are defined as those
whose market capitalizations, at the time of purchase, fall within the range of
companies in either the S&P MidCap 400 Index or the Russell MidCap Growth Index
(as of March 31, 2004, between $413 million and $18.4 billion).
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
7.65%, outperforming the 6.08% return of the S&P MidCap 400 Index, a
market-capitalization-weighted, unmanaged index of 400 medium-capitalization
common stocks, and exceeding the 5.94% return of the Russell MidCap Growth
Index, which tracks the performance of mid-cap growth stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Stocks rose in the first quarter, as favorable corporate earnings news and
merger announcements briefly lifted several major indexes to two-and-a-half-year
highs. However, equities closed below their best levels of the quarter, due to
concerns about continued job market sluggishness, rising commodity prices and
valuations in some sectors. Global terrorism also rattled markets, as
high-casualty train bombings in Madrid not only influenced the outcome of
Spanish elections, but also raised fears of a similar attack in the U.S. before
the upcoming presidential elections.
U.S. stocks produced modestly positive returns in the second quarter. Despite
strong economic growth, most major indexes moved sideways, as investors worried
about inflation, high oil prices and rising interest rates. Large-cap shares
outperformed their smaller rivals during the period.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
In the first quarter, the Fund's energy and health care holdings aided relative
performance, whereas our consumer discretionary, industrials and business
services holdings hurt our results. Stock selection in information technology
was also positive. However, overweighting the Internet software and services,
software and semiconductor industries detracted from returns. Our energy
holdings performed well, as oil prices advanced close to $40 per barrel during
the quarter. In particular, our stock selection in energy equipment and services
was strong. Negative stock selection in the consumer discretionary sector was
the largest detractor from relative results - our media stocks continued to be
weak performers, as radio advertising spending has been slower to recover than
initially expected. The Fund's industrials and business services holdings also
underperformed.
In the second quarter, information technology was the best relative performer
and a more modest absolute gainer. Strength in our software and communications
equipment holdings and an underweight in semiconductors aided relative
performance. Continued economic strength benefited industrials and business
services holdings, and the sector was a strong relative and absolute
contributor. The energy sector was the second-best performer in the Russell
MidCap Growth Index for the quarter, behind utilities. Our continued overweight
in the sector, in tandem with favorable stock selection, bolstered relative
performance. Conversely, the health care sector was a source of relative
weakness due to our underweight in equipment and supplies, and our holdings in
generic pharmaceuticals and health care services. Media stocks continued to
decline on a slower-than-expected recovery in radio advertising spending,
weighing on our relative performance in the consumer discretionary sector.
WHAT IS YOUR OUTLOOK?
Despite some risks, the economy and corporate profits appear strong, which
should provide a moderately positive backdrop for stocks. We continue to see
opportunities in the marketplace and believe the portfolio is well positioned
for the current environment.
54
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY II FUND
LARGEST STOCK HOLDINGS (6/30/04)
Omnicare, Inc.
ChoicePoint, Inc.
BJ Services Co.
Smith International, Inc.
Medimmune, Inc.
Western Wireless Corp. Cl. A
DST Systems, Inc.
Rockwell Collins, Inc.
Manpower, Inc.
Certegy, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Mid Cap Growth Equity II Fund Class S,
Class A, Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 6/1/00 - 6/30/04
Class S 7.65% 26.06% 5.08%
Class A 7.34% 25.42% 4.55%
Class A (sales load deducted)* 1.18% 18.24% 3.04%
Class Y 7.58% 25.90% 4.99%
Class L 7.54% 25.73% 4.82%
S&P Mid Cap 400 Index 6.08% 27.97% 7.38%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L S&P MID CAP 400 INDEX
6/1/2000 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/00 $ 10,340 $ 10,340 $ 9,745 $ 10,340 $ 10,340 $ 10,147
6/01 $ 10,470 $ 10,410 $ 9,811 $ 10,460 $ 10,440 $ 11,047
6/02 $ 9,330 $ 9,230 $ 8,699 $ 9,310 $ 9,280 $ 10,527
6/03 $ 9,710 $ 9,560 $ 9,010 $ 9,690 $ 9,640 $ 10,450
6/04 $ 12,240 $ 11,990 $ 11,301 $ 12,200 $ 12,120 $ 13,375
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 7.21% 25.13% 29.80%
Class N (CDSC fees deducted)* 6.21% 24.13% 29.80%
S&P Mid Cap 400 Index 6.08% 27.97% 27.87%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) S&P MID CAP 400 INDEX
12/31/02 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,814 $ 11,714 $ 11,240
6/04 $ 14,783 $ 14,783 $ 14,460
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE S&P MID CAP 400 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
55
<Page>
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL SMALL CAP GROWTH EQUITY FUND?
This Fund seeks long-term capital appreciation by investing primarily in common
stocks and equity securities of smaller companies the managers believe offer
potential for long-term growth.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
3.58%, trailing the 6.76% return of the Russell 2000 Index, an unmanaged index
of 2000 small capitalization common stocks and the 10.05% 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 underperformed the 5.69% 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 WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Early 2004 continued in a fashion similar to the end of 2003, as equity markets
continued to surge and higher-beta investments outperformed. These trends slowed
or reversed later in the quarter, however, when job growth appeared to pause,
terrorist attacks resurfaced overseas, energy prices advanced and prospects
emerged for a contentious U.S. presidential election. Bond yields declined and
domestic equity markets decelerated, as investors expressed a preference for
less-risky assets. The small-cap outperformance trend continued in the first
quarter.
As we entered the second quarter, the rising price of oil, China's slowdown and
inflationary concerns formed a headwind for equity markets. However, as the
quarter progressed, corporate profits impressed, economic strength appeared to
be broad based and oil prices receded somewhat. In this environment, small-cap
stocks underperformed large caps for the first time in five quarters.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
In the first quarter, unfavorable stock selection in the consumer discretionary
and health care sectors detracted from the Fund's results. Within consumer
discretionary, media holdings generally retreated as political involvement in
television broadcasting was stepped up, with a Senate hearing on public
indecency and a push to force cable operators to offer A LA CARTE viewing
options to consumers. In this environment of increased scrutiny, some of our
media-related holdings with potential regulatory exposure (particularly those
with adult entertainment themes) underperformed. The Fund's underweight
allocation in real estate and overweight allocation in diversified financials
versus the benchmark also detracted from relative results during the quarter.
Conversely, favorable stock picks in the information technology sector fueled
returns during the period, and the Fund's underweight allocation to banks versus
the benchmark proved strategically sound.
Turning to the second quarter, sub-par stock selection in the information
technology and consumer discretionary sectors impaired the Fund's performance.
Our media holdings also hampered relative returns. Contributing to the Fund's
results for the period, however, were positive stock selection in the materials
sector and our lower-than-benchmark exposure to the interest-rate-sensitive
financials sector. Positive contributors to relative performance spanned several
sectors, including companies from the semiconductors/semiconductor equipment,
health care services, telecommunications, and technology/hardware categories.
WHAT IS YOUR OUTLOOK?
Despite the fact that small-cap earnings growth has been strong, investors have
generally been rather unimpressed for the year-to-date period. Worries over
higher oil prices, the peaking of fiscal and monetary stimulus, interest rate
hikes and geopolitical uncertainty seem to have seriously impeded returns. We
believe that some resolution to these concerns probably needs to occur for
better overall market performance. Until then, we feel that higher-quality
companies with stronger sustainable business models should continue to have a
performance edge. Ultimately, we expect the economy to moderate, but continue on
its path toward a sustainable recovery.
56
<Page>
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/04)
Checkfree Corp.
American Healthways, Inc.
Dendrite International, Inc.
Visx, Inc.
The Chicago Mercantile Exchange
Odyssey Healthcare, Inc.
AmSurg Corp.
J.B. Hunt Transport Services, Inc.
ITT Educational Services, Inc.
Gentex Corp.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Small Cap Growth Equity Fund Class S,
Class A, Class A (sales load deducted), Class Y, Class L and the Russell 2000
Index
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND
TOTAL RETURN
<Table>
<Caption>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class S 3.58% 26.31% 4.76% 6.43%
Class A 3.34% 25.65% 4.19% 5.87%
Class A (sales load deducted)* -2.63% 18.43% 2.96% 4.66%
Class Y 3.52% 26.15% 4.61% 6.28%
Class L 3.39% 25.89% 4.45% 6.12%
Russell 2000 Index 6.76% 33.36% 6.63% 7.63%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS A
CLASS S CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L RUSSELL 2000 INDEX
5/3/99 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/99 $ 10,930 $ 10,930 $ 10,302 $ 10,930 $ 10,930 $ 10,605
6/00 $ 17,092 $ 16,992 $ 16,015 $ 17,062 $ 17,036 $ 12,124
6/01 $ 13,377 $ 13,236 $ 12,475 $ 13,340 $ 13,301 $ 12,193
6/02 $ 10,463 $ 10,289 $ 9,697 $ 10,410 $ 10,372 $ 11,145
6/03 $ 10,919 $ 10,682 $ 10,067 $ 10,856 $ 10,796 $ 10,962
6/04 $ 13,792 $ 13,422 $ 12,650 $ 13,693 $ 13,591 $ 14,620
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 3.13% 25.22% 29.99%
Class N (CDSC fees deducted)* 2.13% 24.22% 29.99%
Russell 2000 Index 6.76% 33.36% 35.40%
</Table>
[CHART]
<Table>
<Caption>
CLASS N
CLASS N (CDSC FEES DEDUCTED) RUSSELL 2000 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,832 $ 11,732 $ 11,788
6/04 $ 14,816 $ 14,816 $ 15,755
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
57
<Page>
MASSMUTUAL SMALL COMPANY GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL SMALL COMPANY GROWTH FUND?
The Fund seeks long-term capital appreciation by investing primarily in common
stocks and equity securities of smaller companies the Fund's sub-advisors
believe offer potential for long-term growth.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ending June 30, 2004, the Fund's Class S shares returned
- -0.65%, trailing the 6.76% return of the Russell 2000 Index, an unmanaged index
of 2000 small capitalization common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Early 2004 continued in a fashion similar to the end of 2003, as equity markets
continued to surge and higher-beta investments outperformed. These trends slowed
or reversed later in the quarter, however, when job growth appeared to pause,
terrorist attacks resurfaced overseas, energy prices advanced and prospects
emerged for a contentious U.S. presidential election. Bond yields declined and
domestic equity markets decelerated, as investors expressed a preference for
less-risky assets. The small-cap outperformance trend continued in the first
quarter.
As we entered the second quarter, the rising price of oil, China's economic
slowdown and inflationary concerns put pressure on equity markets. However, as
the quarter progressed, corporate profits impressed, economic strength appeared
to be broad based and oil prices receded somewhat. In this environment,
small-cap stocks underperformed large caps for the first time in five quarters.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
In the first quarter, unfavorable stock selection in the consumer discretionary
and health care sectors provided a headwind to the Fund's performance - as did
the financial services sector. In particular, within consumer discretionary,
media holdings generally retreated, as political involvement in television
broadcasting was stepped up with a Senate hearing on public indecency and a push
to force cable operators to offer A LA CARTE viewing options to consumers. In
this environment of increased scrutiny, some of our media-related holdings,
namely those with adult entertainment themes, underperformed. The portfolio's
underweight allocation to real estate and overweight allocation to diversified
financials versus the benchmark also detracted from relative results during the
quarter. These results were partially offset by favorable stock picks in the
information technology sector. The portfolio's underweight allocation to banks
versus the benchmark also added to relative results during the quarter. Another
positive performer during the quarter was the materials/processing sector.
In the second quarter, the health care, information technology and consumer
discretionary sectors were the biggest detractors from the Fund's performance.
These results were partially offset by positive stock selection in the
financials and materials sectors - as well as our lower-than-benchmark exposure
to the interest-rate-sensitive financials sector. The producer durables sector
also contributed.
WHAT IS YOUR OUTLOOK - AND HOW HAVE YOU POSITIONED THE FUND AS A RESULT?
We expect the economy to moderate, but continue on its path toward a sustainable
recovery. Earnings estimates for 2005 are becoming increasingly tricky, yet
doubly important; thus, we are taking a renewed look at earnings prospects going
forward. Furthermore, our favorable outlook for small and mid-sized businesses
in general, and cyclically sensitive businesses in particular, means that
innovative technology and producer durables companies should continue to benefit
from the growing business economy - and may remain emphasized in our portfolio.
58
<Page>
MASSMUTUAL SMALL COMPANY GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/04)
Pixelworks, Inc.
Polycom, Inc.
Lattice Semiconductor Corp.
Credence Systems Corp.
E Trade Financial Corp.
Commercial Capital Bancorp, Inc.
Spatialight, Inc.
Digimarc Corp.
Novatel Wireless, Inc.
FEI Co.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Small Company Growth Fund Class S, Class
A, Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/01 - 6/30/04
Class S -0.65% 31.09% 4.72%
Class A -0.84% 30.47% 4.23%
Class A (sales load deducted)* -6.54% 22.95% 1.79%
Class Y -0.65% 31.12% 4.68%
Class L -0.74% 30.80% 4.53%
Russell 2000 Index 6.76% 33.36% 8.89%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S CLASS A CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L RUSSELL 2000 INDEX
12/31/2001 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/02 $ 8,400 $ 8,380 $ 7,898 $ 8,400 $ 8,400 $ 9,530
6/03 $ 8,560 $ 8,500 $ 8,011 $ 8,550 $ 8,540 $ 9,373
6/04 $ 11,221 $ 11,090 $ 10,452 $ 11,211 $ 11,171 $ 12,373
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N -1.04% 30.21% 36.42%
Class N (CDSC fees deducted)* -2.03% 29.21% 36.42%
Russell 2000 Index 6.76% 33.36% 35.40%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CLASS N (CDSC FEES DEDUCTED) RUSSELL 2000 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 12,232 $ 12,132 $ 11,788
6/04 $ 15,927 $ 15,927 $ 15,755
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
59
<Page>
MASSMUTUAL EMERGING GROWTH FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL EMERGING GROWTH FUND?
This Fund seeks capital appreciation by investing primarily in smaller, rapidly
growing emerging companies - generally in industry segments experiencing rapid
growth, and often including technology and technology-related concerns.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
4.20%, which lagged the 6.76% return of the Russell 2000 Index, an unmanaged
index of 2000 small-capitalization common stocks.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The year-to-date period, and particularly the second quarter, has been
characterized by investors' unwillingness to embrace sustainable growth
companies, despite attractive fundamentals and valuations. Instead, growth
investors have focused on many of the more muted growth or value sectors of the
market. For example, during the second quarter, the autos/transportation and
energy sectors of the Fund's benchmark index produced returns of 12.37% and
13.21%, respectively. Their contributions to the index were among the largest of
the 11 Russell sectors. As emerging-growth investors, we do not typically focus
on these slower growth sectors, where growth tends to be quite cyclical. This
hurt the portfolio's returns relative to our broad peer group.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE - AND HOW DID YOU RESPOND?
After a strong year in 2003 and an excellent start to January 2004, technology
stocks fell by about 10% from their high in the first quarter. Technology
hardware, mainly semiconductor and semiconductor capital equipment makers, sold
off in late January and into February, which hampered portfolio returns.
Conversely, consumer discretionary companies contributed positive returns to the
portfolio in the first quarter. Gaming stocks also provided a boost, as improved
consumer spending in Las Vegas and a more favorable legislative environment for
gaming expansion worldwide translated into profits for these companies. Also
driving performance were the Fund's holdings within the health care sector and
our overweight in biotechnology. We believe a more accommodating Food and Drug
Administration approval process, coupled with the need for new drug development
products by "under-pipelined" drug companies, helped create a favorable backdrop
for companies within the health care industry.
In a repeat performance, health care holdings provided positive returns in the
second quarter - and the Fund's slightly overweight position (relative to the
index) in this sector amplified their contribution. More specifically, a number
of emerging-growth health care service providers were winners. A healthy
allocation to Internet-related positions also continued to drive performance in
the second quarter, as investors seem more satisfied with what they perceive as
"softer," less-cyclical technology companies. Technology, in particular the
portfolio's specialty semiconductor holdings, lagged despite solid fundamentals,
as investors rotated out of these stocks. Our sense is that the downward
pressure on these companies has been more a result of the current bias towards
interest rates moving up and the strong gains posted by these stocks in 2003,
rather than any documented slowdown in their business prospects.
WHAT IS YOUR OUTLOOK?
We believe our universe of faster-growing companies remains attractive and is
becoming cheaper, while small-cap companies with more modest or cyclical growth
prospects are becoming more expensive. We expect investors to take notice of
this trend, which we are confident should help us close the performance gap over
time.
60
<Page>
MASSMUTUAL EMERGING GROWTH FUND
LARGEST STOCK HOLDINGS (6/30/04)
Valueclick, Inc.
Infospace, Inc.
Sigmatel, Inc.
Urban Outfitters, Inc.
Magma Design Automation, Inc.
Priceline.com, Inc.
Boston Private Financial Holdings, Inc.
CNET Networks, Inc.
Altiris, Inc.
FormFactor, Inc.
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Emerging Growth Fund Class S, Class A,
Class A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 5/1/00 - 6/30/04
Class S 4.20% 27.87% -13.52%
Class A 4.09% 27.45% -13.98%
Class A (sales
load deducted)* -1.84% 20.00% -15.19%
Class Y 4.22% 27.76% -13.63%
Class L 4.05% 27.73% -13.78%
Russell 2000 Index 6.76% 33.36% 5.19%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS A
CLASS S CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L RUSSELL 2000 INDEX
5/1/2000 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/00 $ 10,760 $ 10,760 $ 10,141 $ 10,760 $ 10,760 $ 10,238
6/01 $ 6,790 $ 6,760 $ 6,371 $ 6,790 $ 6,770 $ 10,297
6/02 $ 4,400 $ 4,360 $ 4,109 $ 4,400 $ 4,380 $ 9,411
6/03 $ 4,270 $ 4,190 $ 3,949 $ 4,250 $ 4,220 $ 9,257
6/04 $ 5,460 $ 5,340 $ 5,033 $ 5,430 $ 5,390 $ 12,346
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 3.93% 26.86% 31.73%
Class N (CDSC
fees deducted)* 2.93% 25.86% 31.73%
Russell 2000 Index 6.76% 33.36% 35.40%
</Table>
[CHART]
<Table>
<Caption>
CLASS N
CLASS N (CDSC FEES DEDUCTED) RUSSELL 2000 INDEX
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 11,914 $ 11,814 $ 11,788
6/04 $ 15,114 $ 15,114 $ 15,755
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR
EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ
THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND
CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE
RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO
NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND
DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
61
<Page>
MASSMUTUAL INTERNATIONAL EQUITY FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL INTERNATIONAL EQUITY FUND?
This Fund seeks to achieve a high total rate of return over the long term by
investing in a diversified portfolio of foreign and domestic equity securities.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
1.67%, underperforming the 4.56% 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 WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
Non-U.S. markets posted moderate gains in the first quarter, with Japan being
the best-performing country among the major economies. Japan gained 11% (MSCI
Japan Index, in yen) during the period, reflecting the increasing confidence in
the Japanese economy. There is increasing evidence that the crisis in the
Japanese financial system is nearing an end. The domestic economy is set to grow
modestly this year.
Markets were volatile in the second quarter, with some of the big winners of
2003 experiencing pullbacks. Additionally, investors continued to be unsettled
by the news regarding Iraq, which has been almost entirely negative over the
last several months.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE - AND HOW DID YOU RESPOND?
The biggest detractor from the Fund's performance in the first quarter was
Novogen, which lost 17.3%. The stock had appreciated by almost eight times
during 2003. Despite good news on the progress of drug development, the stock
nevertheless lost ground. On the positive side, many of our Japanese holdings
performed well. In addition to Mitsubishi Tokyo Financial, Sumitomo Realty and
Yahoo Japan, all performed quite well. From a strategic perspective, we
continued to find good investment opportunities in Japan.
During the quarter, we initiated positions in TDK, the electronic components
company; Takashimaya, the high end retailer; and Daito Trust, a leading
construction company. On the sell side, we sold portions of many of our
smaller-cap positions, which appreciated significantly in the latter half of
2003.
In the volatile environment of the second quarter, some of the portfolio's
stocks were hurt by market sell-offs that resulted in substantial price
declines, despite no real change in fundamentals. For example, Brazilian
regional jet manufacturer Embraer (one of our largest holdings and the
third-largest detractor from performance) lost 11.6%, in spite of positive news
flow. Vodafone, another detractor from performance, had its earnings revised
downward with no change in fundamentals. Unfortunately, there were examples of
companies that did experience a change in fundamentals - the most representative
being Nokia, which misfired in its most recent release of handsets, allowing
competitors to grab significant market share. Since we expected the firm's
problems to continue in the near future, we sold a significant portion of that
investment.
In terms of portfolio activity, we lightened our holdings in stocks whose high
valuations will make near-term gains difficult (such as Sogecable, Mediaset,
Jenoptik, & UBISoft). On the buy side, we bought back two companies that we
owned previously: the first is Electrocomponents, a major components distributor
that has, in our opinion, an opportunity to increase its revenue by 10% as a
result of cyclical recovery and rapid penetration of new markets; and the second
is Autonomy Corp. of the U.K., a software development company that specializes
in advanced information management. The share price was approximately 95% below
its peak, and in our view, represented a great investment opportunity, given the
prospects for the company's products over the next few years.
62
<Page>
MASSMUTUAL INTERNATIONAL EQUITY FUND
LARGEST COUNTRY WEIGHTINGS (6/30/04)
<Table>
<Caption>
% OF FUND
---------
Japan 19.07%
United Kingdom 14.86%
France 11.24%
Australia 7.91%
Germany 7.69%
Netherlands 6.18%
Sweden 5.00%
Brazil 3.75%
India 3.69%
Italy 2.54%
</Table>
MASSMUTUAL INTERNATIONAL EQUITY FUND
LARGEST STOCK HOLDINGS (6/30/04)
Embraer -- Empresa Brasileira de
Aeronautica SA, Preference
Ericsson (LM) Cl. B
Novogen Limited
Anglo Irish Bank Corp. PLC
Vodafone Group PLC
Mitsubishi Tokyo Financial Group, Inc.
Tandberg ASA
Marshall Edwards, Inc.
Canon, Inc.
Technip-Coflexip SA
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual International Equity Fund Class S 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 10/3/94 - 6/30/04
Class S 1.67% 33.39% 1.80% 5.21%
MSCI
EAFE 4.56% 32.37% 0.06% 4.15%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS S MSCI EAFE
10/3/94 $ 10,000 $ 10,000
6/95 $ 9,510 $ 10,156
6/96 $ 10,734 $ 11,505
6/97 $ 13,477 $ 12,981
6/98 $ 15,788 $ 13,773
6/99 $ 15,004 $ 14,822
6/00 $ 23,548 $ 17,365
6/2001 $ 17,722 $ 13,266
6/2002 $ 14,185 $ 12,007
6/2003 $ 12,300 $ 11,231
6/2004 $ 16,407 $ 14,867
</Table>
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE MSCI EAFE IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
63
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual International Equity Fund Class A, Class
A (sales load deducted), 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
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 1/1/98 - 6/30/04
Class A 1.48% 32.80% 1.37% 2.71%
Class A
(sales
load
deducted)* -4.38% 25.20% 0.17% 1.78%
Class Y 1.68% 33.25% 1.78% 3.14%
MSCI
EAFE 4.56% 32.37% 0.06% 3.51%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS A
CLASS A (SALES LOAD DEDUCTED) CLASS Y MSCI EAFE
1/1/98 $ 10,000 $ 9,425 $ 10,000 $ 10,000
6/98 $ 11,760 $ 11,084 $ 11,780 $ 11,593
6/99 $ 11,115 $ 10,476 $ 11,191 $ 12,476
6/00 $ 17,364 $ 16,365 $ 17,551 $ 14,616
6/2001 $ 13,003 $ 12,256 $ 13,208 $ 11,166
6/2002 $ 10,368 $ 9,772 $ 10,569 $ 10,106
6/2003 $ 8,958 $ 8,442 $ 9,172 $ 9,453
6/2004 $ 11,895 $ 11,211 $ 12,222 $ 12,513
</Table>
Hypothetical Investments in 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>
FIVE YEAR SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 7/1/99 - 6/30/04 5/3/99 - 6/30/04
Class L 1.58% 33.08% 1.60% 1.72%
MSCI
EAFE 4.56% 32.37% 0.06% -0.22%
</Table>
[CHART]
<Table>
<Caption>
CLASS L MSCI EAFE
5/3/99 $ 10,000 $ 10,000
6/99 $ 10,092 $ 9,855
6/00 $ 15,791 $ 11,546
6/2001 $ 11,859 $ 8,820
6/2002 $ 9,482 $ 7,983
6/2003 $ 8,208 $ 7,467
6/2004 $ 10,923 $ 9,885
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 1.38% 32.38% 32.51%
Class N (CDSC fees
deducted)* 0.38% 31.38% 32.51%
MSCI
EAFE 4.56% 32.37% 29.31%
</Table>
[CHART]
<Table>
<Caption>
CLASS N
CLASS N (CDSC FEES DEDUCTED) MSCI EAFE
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/2003 $ 11,518 $ 11,418 $ 10,947
6/2004 $ 15,247 $ 15,247 $ 14,704
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE MSCI EAFE IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
64
<Page>
MASSMUTUAL OVERSEAS FUND - PORTFOLIO MANAGER REPORT
WHAT IS THE INVESTMENT OBJECTIVE OF THE MASSMUTUAL OVERSEAS FUND?
The Fund seeks growth of capital over the long term by investing in both foreign
and domestic equity securities, with an emphasis on foreign securities -
including those in Europe, Latin America and Asia.
HOW DID THE FUND PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, the Fund's Class S shares returned
4.89%, slightly ahead of the 4.56% 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 WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The world's major equity markets turned in a mixed performance during the first
quarter, with European benchmarks retreating after the March 11 train bombings
in Spain. Although most markets recovered within a few days, the attacks renewed
fears of global terrorism and rattled investor confidence.
In the second quarter of 2004, many international equity markets advanced on
continued confidence in the strength of the global economy and the potential for
corporate profits - but the gains were tempered by lingering concerns over
relatively high oil prices, violence in Iraq and the prospect of higher interest
rates.
WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE?
During the first quarter, the Fund's underweight position in Japan largely
detracted from returns, although this was offset somewhat by significant
contributions due to stock selection in France and a relative overweight
position in Mexico. The health care sector detracted the most from the Fund's
absolute performance, as holdings among drug companies retreated. On a relative
basis, the industrials sector turned in the worst performance, with holdings
between two industries - commercial services and airlines - doing the most
damage. On the positive side, however, the Fund's complement of information
technology holdings made the largest contribution to the portfolio during the
quarter. Also contributing was the financial sector, the Fund's biggest stake as
of March 31, which advanced mostly on the strength of commercial banks. Other
contributors to the Fund's performance included our holdings in the sector's
consumer finance, capital markets and real estate industries. Consumer
discretionary holdings (the portfolio's second-largest sector stake at
quarter-end), which ranged from music companies to makers of luxury goods, also
fueled the Fund's advance. Other positive contributions came from the Fund's
stake in multi-line retailers and companies that make sports apparel, electronic
products and luxury goods. On a relative basis, the United Kingdom, Russia and
South Korea were the top-contributing countries during the first quarter, while
Switzerland, Japan and India detracted most.
Turning to the second quarter, the greatest contributors to performance included
stock selection in Switzerland, a relative underweight position in Japan and
stock selection in the U.K., offset somewhat by our overweight positions in
South Korea. Our stakes in the consumer staples and health care sectors provide
solid absolute returns. On the downside, the Fund's holdings in the energy
sector delivered the worst performance against the benchmark. (In the oil and
gas industry, we owned several businesses that declined that aren't in the
Index.) Our stake in the consumer discretionary sector also underperformed the
Index, with holdings in the media industry accounting for much of the damage.
Several other industries in which we are invested in the sector also lagged the
Index, including multi-line retail, household durables and automobiles. On an
absolute basis, the Fund's information technology holdings detracted most from
performance, as the semiconductor and semiconductor equipment industry led the
retreat. Financials, the portfolio's largest sector stake, also detracted. Among
countries, France, Sweden and Australia made the largest contribution to the
portfolio on a relative basis, while the United Kingdom, South Korea and India
detracted most.
WHAT IS YOUR OUTLOOK - AND HOW HAVE YOU POSITIONED THE FUND AS A RESULT?
We continue to find undervalued securities in the world today. It is difficult
to single out one geographic region that offers the greatest investment
opportunities. Though we are overweight in Europe, we are invested very broadly
from continental Europe to the U.K., Latin America and Asia. Whether it is a
South Korean mobile phone stock or an Italian bank, we are finding lots of
opportunity by placing strong focus on fundamental analysis.
65
<Page>
MASSMUTUAL OVERSEAS FUND
LARGEST COUNTRY WEIGHTINGS (6/30/04)
<Table>
<Caption>
% OF FUND
---------
United Kingdom 19.95%
Japan 14.66%
Switzerland 12.36%
France 12.00%
Germany 6.56%
Netherlands 4.50%
Australia 3.74%
South Korea 3.28%
Spain 2.65%
Italy 2.53%
</Table>
MASSMUTUAL OVERSEAS FUND
LARGEST STOCK HOLDINGS (6/30/04)
Novartis AG
Diageo PLC
Nestle SA
Cadbury Schweppes PLC
GlaxoSmithKline PLC
Vivendi Universal SA
Bank of Ireland
Euronext
Bayerische Motoren Werke AG
Reed Elsevier PLC
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Overseas Fund Class S, Class A, Class A
(sales load deducted), Class Y, Class L and the Morgan Stanley Capital
International Index for Europe, Australasia and the Far East (MSCI EAFE)
MASSMUTUAL OVERSEAS FUND
TOTAL RETURN
<Table>
<Caption>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 5/1/01 - 6/30/04
Class S 4.89% 27.10% 0.49%
Class A 4.61% 26.45% 0.03%
Class A (sales
load deducted)* -1.38% 19.22% -1.82%
Class Y 4.79% 26.98% 0.42%
Class L 4.69% 26.82% 0.27%
MSCI EAFE 4.56% 32.37% 1.15%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
<Table>
<Caption>
CLASS A
CLASS S CLASS A (SALES LOAD DEDUCTED) CLASS Y CLASS L MSCI EAFE
5/1/2001 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000
6/01 $ 9,370 $ 9,360 $ 8,822 $ 9,370 $ 9,370 $ 9,253
6/02 $ 8,720 $ 8,670 $ 8,171 $ 8,710 $ 8,690 $ 8,374
6/03 $ 7,991 $ 7,916 $ 7,461 $ 7,982 $ 7,953 $ 7,833
6/04 $ 10,156 $ 10,010 $ 9,434 $ 10,135 $ 10,086 $ 10,369
</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>
SINCE INCEPTION
YEAR TO DATE ONE YEAR AVERAGE ANNUAL
1/1/04 - 6/30/04 7/1/03 - 6/30/04 12/31/02 - 6/30/04
Class N 4.42% 26.05% 23.39%
Class N (CDSC
fees deducted)* 3.42% 25.05% 23.39%
MSCI EAFE 4.56% 32.37% 29.31%
</Table>
[CHART]
<Table>
<Caption>
CLASS N
CLASS N (CDSC FEES DEDUCTED) MSCI EAFE
12/31/2002 $ 10,000 $ 10,000 $ 10,000
6/03 $ 10,870 $ 10,770 $ 10,947
6/04 $ 13,702 $ 13,702 $ 14,704
</Table>
* CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE FOR THE FIRST 18 MONTHS SHOWN.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE MSCI EAFE IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND
CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S
PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES
AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. EMPLOYEE RETIREMENT
BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT ACCOUNTS (SIAs)
MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR RESPECTIVE PLAN
DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY
REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND CHARTS DO NOT REFLECT THE
DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE FUND DISTRIBUTIONS OR THE
REDEMPTION OF THE FUND SHARES.
66
<Page>
MASSMUTUAL DESTINATION RETIREMENT SERIES - PORTFOLIO MANAGER REPORT
WHAT ARE THE INVESTMENT OBJECTIVES OF THE FUNDS THAT COMPRISE THE MASSMUTUAL
DESTINATION RETIREMENT SERIES?
- - Destination Retirement Income Fund: This Fund seeks to achieve high current
income and, as a secondary objective, capital appreciation, by investing in a
combination of MassMutual equity, fixed-income and money market funds using
an asset allocation strategy designed for investors already in retirement.
- - Destination Retirement 2010 / 2020 / 2030 / 2040 Funds: Each of these Funds
seeks to achieve as high a total rate of return on an annual basis as is
considered consistent with prudent investment risk and the preservation of
capital by investing in a combination of MassMutual equity, fixed-income and
money market funds using an asset allocation strategy designed for investors
expecting to retire around the year 2010, 2020, 2030, or 2040, respectively.
HOW DID THE FUNDS PERFORM DURING THE FIRST HALF OF 2004?
For the six months ended June 30, 2004, each Fund's Class S return, along with
the return of its custom benchmark and the Lipper Balanced Fund Index, an
unmanaged index of stock and bond portfolios, was as follows:
<Table>
<Caption>
CUSTOM LIPPER BALANCED
BENCHMARK FUND INDEX
DESTINATION RETIREMENT INCOME FUND
1.50% 1.71% 2.25%
DESTINATION RETIREMENT 2010 FUND
2.00% 2.12% 2.25%
DESTINATION RETIREMENT 2020 FUND
3.40% 2.87% 2.25%
DESTINATION RETIREMENT 2030 FUND
4.80% 3.91% 2.25%
DESTINATION RETIREMENT 2040 FUND
5.50% 4.38% 2.25%
</Table>
The Funds performed comparably with their respective benchmarks for the
year-to-date period. The Destination Retirement Income and 2010 Funds slightly
underperformed their custom benchmarks, while the Destination Retirement 2020,
2030 and 2040 Funds outperformed their custom benchmarks. See the description of
each custom benchmark below.
The Custom Destination Income Index comprises the Russell 1000 Value, Russell
1000 Growth, Russell 2000, MSCI EAFE, Lehman Brothers Aggregate Bond, Lehman
Brothers TIPS, Lehman Brothers 1-3 Year Government Bond and T-Bill indices. The
weightings of each index can vary depending on the weightings of the underlying
mutual funds composing the Destination Retirement Income Fund.
The Custom Destination 2010 Index comprises the Russell 1000 Value, Russell 1000
Growth, Russell 2000, Russell Mid Cap Growth, MSCI EAFE, Lehman Brothers
Aggregate Bond, Lehman Brothers TIPS, Lehman Brothers 1-3 Year Government Bond
and T-Bill indices. The weightings of each index can vary depending on the
weightings of the underlying mutual funds composing the Destination Retirement
2010 Fund.
The Custom Destination 2020 Index comprises the Russell 1000 Value, Russell 1000
Growth, Russell 2000, Russell Mid Cap Value, Russell Mid Cap Growth, MSCI EAFE,
Lehman Brothers Aggregate Bond and Lehman Brothers 1-3 Year Government Bond
indices. The weightings of each index can vary depending on the weightings of
the underlying mutual funds composing the Destination Retirement 2020 Fund.
The Custom Destination 2030 Index comprises the Russell 1000 Value, Russell 1000
Growth, Russell 2000 Value, Russell Mid Cap Value, Russell Mid Cap Growth,
Russell 2000 Growth, MSCI EAFE, Lehman Brothers Aggregate Bond and Lehman
Brothers TIPS indices. The weightings of each index can vary depending on the
weightings of the underlying mutual funds composing the Destination Retirement
2030 Fund.
67
<Page>
The Custom Destination 2040 Index comprises the Russell 1000 Value, Russell 1000
Growth, Russell 2000 Value, Russell Mid Cap Value, Russell Mid Cap Growth,
Russell 2000 Growth and MSCI EAFE indices. The weightings of each index can vary
depending on the weightings of the underlying mutual funds composing the
Destination Retirement 2040 Fund.
WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD?
The strong market rally that began in October 2002 and accelerated throughout
2003 continued into 2004 for some areas of the market, but not for others.
Large-capitalization, major equity indexes posted flat or negative returns for
the first quarter and smaller-capitalization stocks continued their upward
climb. Concerns about a "jobless recovery" and the re-emergence of terrorist
activities weighed heavily on investor sentiment, despite stronger-than-expected
U.S. economic activity and corporate profit growth.
In the second quarter, a seesaw of positives and negatives kept many investors
from making definitive moves, which was reflected in the performance of the
major indexes. For the quarter, market performance was mixed and meager, with
many indexes hovering just above flat. In the U.S., large stocks outperformed
small stocks. International stocks, as measured by the MSCI EAFE Index, advanced
0.22%. Climbing interest rates hampered the performance of fixed-income
investments, and the Lehman Brothers Aggregate Bond Index returned -2.44% for
the period. Drilling down into the returns of the growth and value components of
U.S. equity indexes as well as the different sectors of the bond market also
indicated no clear style-specific investing trend for the quarter. As the second
quarter of 2004 drew to a close, the Federal Reserve (Fed) changed the direction
of its monetary policy from "easing" to "tightening" by raising the benchmark
federal funds rate by 0.25% to 1.25%, a clear indication of growth in the U.S.
economy. The news had little immediate impact on the markets, however, as Fed
policymakers had indicated in May that they would raise rates at a measured
pace. Investors considered the subsequent moves inevitable and had factored them
into the market long before the formal announcement.
WHAT FACTORS CONTRIBUTED TO THE FUNDS' PERFORMANCE?
In the first quarter, the best-performing underlying equity funds were
MassMutual Aggressive Growth and MassMutual Large Cap Value, as these two Funds
outperformed both their respective benchmark indexes and their peer groups. The
results of these two Funds had the greatest impact, from a performance
perspective, on the Destination Retirement 2030 and Destination Retirement 2040
Funds. Although the underlying bond funds, with the exception of MassMutual
Short-Duration Bond, generally underperformed their respective benchmarks, the
fixed-income asset class posted positive returns. During the period, the
higher-yielding securities found in the MassMutual Core Bond and MassMutual
Diversified Bond Funds reversed their path of 2003 and underperformed
higher-grade bonds.
Turning to the second quarter, the best-performing underlying equity funds were
MassMutual Aggressive Growth, MassMutual Mid Cap Growth II and MassMutual Small
Company Value, as these Funds outpaced their respective benchmark indexes and
their peer groups. The second quarter did not fare well for bonds, due to the
Fed's interest rate increase. (Bond prices move in the opposite direction to
interest rates [or yields]; when yields fall, the prices of existing bonds
rise.) Those Funds that maintained a weighting to lower-quality corporate bonds
and mortgage-backed securities (while maintaining short durations) performed
well. Both the MassMutual Core Bond and MassMutual Diversified Bond Funds
remained short on duration, given the expectations for higher interest rates
moving forward, but also continued to overweight corporate bonds.
WHAT IS YOUR OUTLOOK?
Investors may take cues from the growing economy, focus on corporate earnings
and fundamentals and once again drive up equities. Bonds will likely continue to
struggle against rising interest rates and many fixed-income investors may turn
their backs on bonds in the near term to favor the growth potential of stocks.
Conversely, the specter of terrorist threats and speculation about the upcoming
U.S. presidential election will figure prominently in the minds of investors and
have the potential to weigh heavily on market performance in the months to
come.
68
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Destination Retirement Income Fund Class
S, Class A, Class A (sales load deducted), Class Y, the Custom Destination
Income Index the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond
Index and the S&P 500 Index.
MASSMUTUAL DESTINATION RETIREMENT INCOME FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class S 1.50% 1.50%
Class A 1.40% 1.40%
Class A (sales load fees deducted)** -4.43% -4.43%
Class Y 1.60% 1.60%
Custom Destination Income Index 1.71% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*
<Table>
<Caption>
CUSTOM LEHMAN BROTHERS
CLASS A DESTINATION LIPPER BALANCED AGGREGATE S&P 500
CLASS S CLASS A (SALES LOAD DEDUCTED) CLASS Y INCOME INDEX FUND INDEX BOND INDEX INDEX
12/31/2003 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/2004 $ 10,260 $ 10,260 $ 9,670 $ 10,260 $ 10,292 $ 10,112 $ 10,012 $ 10,190
6/30/2004 $ 10,150 $ 10,140 $ 9,557 $ 10,160 $ 10,171 $ 10,224 $ 10,024 $ 10,366
</Table>
Hypothetical Investments in MassMutual Destination Retirement Income Fund Class
L, Class N, Class N (CDSC fees deducted), the Custom Destination Income Index
the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the
S&P 500 Index.
MASSMUTUAL DESTINATION RETIREMENT INCOME FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class L 1.50% 1.50%
Class N 1.20% 1.20%
Class N (CDSC fees deducted)** 0.20% 0.20%
Custom Destination Income Index 1.71% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
<Table>
<Caption>
LEHMAN BROTHERS
CLASS N CUSTOM DESTINATION LIPPER BALANCED AGGREGATE
CLASS L CLASS N (CDSC FEES DEDUCTED) INCOME INDEX FUND INDEX BOND INDEX S&P 500 INDEX
Dec 31, 2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Mar 31, 2004 $ 10,270 $ 10,250 $ 10,120 $ 10,292 $ 10,212 $ 10,012 $ 10,190
Jun 30, 2004 $ 10,150 $ 10,120 $ 10,020 $ 10,171 $ 10,224 $ 10,024 $ 10,366
</Table>
* THE CUSTOM BENCHMARK $10,000 GROWTH CHART VALUES COMMENCE ON 1/1/04.
** CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE.
*** DUE TO THE NATURE OF THE CUSTOM BENCHMARK, IT IS NOT POSSIBLE TO ACCURATELY
SHOW A RETURN SINCE THE FUND'S INCEPTION ON DECEMBER 31, 2003.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE CUSTOM DESTINATION INCOME INDEX IS UNMANAGED AND DOES NOT
INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD
READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE,
RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS.
EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN
THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND
CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE
FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
69
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Destination Retirement 2010 Fund Class S,
Class A, Class A (sales load deducted), Class Y, the Custom Destination 2010
Index the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index
and the S&P 500 Index.
MASSMUTUAL DESTINATION RETIREMENT 2010 FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class S 2.00% 2.00%
Class A 1.80% 1.80%
Class A (sales load fees deducted)** -4.05% -4.05%
Class Y 1.90% 1.90%
Custom Destination 2010 Index 2.12% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*
<Table>
<Caption>
LEHMAN BROTHERS
CLASS A CUSTOM DESTINATION LIPPER BALANCED AGGREGATE BOND
CLASS S CLASS A (SALES LOAD DEDUCTED) CLASS Y 2010 INDEX FUND INDEX INDEX S&P 500 INDEX
12/31/2003 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/2004 $ 10,260 $ 10,250 $ 9,661 $ 10,260 $ 10,303 $ 10,112 $ 10,012 $ 10,190
6/30/2004 $ 10,200 $ 10,180 $ 9,595 $ 10,190 $ 10,212 $ 10,224 $ 10,024 $ 10,366
</Table>
Hypothetical Investments in MassMutual Destination Retirement 2010 Fund Class L,
Class N, Class N (CDSC fees deducted), the Custom Destination 2010 Index the
Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P
500 Index.
MASSMUTUAL DESTINATION RETIREMENT 2010 FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class L 1.90% 1.90%
Class N 1.60% 1.60%
Class N (CDSC fees deducted)** 0.60% 0.60%
Custom Destination 2010 Index 2.12% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
<Table>
<Caption>
CUSTOM LIPPER LEHMAN BROTHERS
CLASS N DESTINATION BALANCED AGGREGATE
CLASS L CLASS N (CDSC FEES DEDUCTED) 2010 INDEX FUND INDEX BOND INDEX S&P 500 INDEX
12/31/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/2004 $ 10,260 $ 10,240 $ 10,240 $ 10,303 $ 10,112 $ 10,012 $ 10,190
6/30/2004 $ 10,190 $ 10,160 $ 10,060 $ 10,212 $ 10,224 $ 10,024 $ 10,366
</Table>
* THE CUSTOM BENCHMARK $10,000 GROWTH CHART VALUES COMMENCE ON 1/1/04.
** CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE.
*** DUE TO THE NATURE OF THE CUSTOM BENCHMARK, IT IS NOT POSSIBLE TO ACCURATELY
SHOW A RETURN SINCE THE FUND'S INCEPTION ON DECEMBER 31, 2003.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE CUSTOM DESTINATION 2010 INDEX IS UNMANAGED AND DOES NOT
INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD
READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE,
RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS.
EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN
THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND
CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE
FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
70
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Destination Retirement 2020 Fund Class S,
Class A, Class A (sales load deducted), Class Y, the Custom Destination 2020
Index the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index
and the S&P 500 Index.
MASSMUTUAL DESTINATION RETIREMENT 2020 FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class S 3.40% 3.40%
Class A 3.20% 3.20%
Class A (sales load fees deducted)** -2.73% -2.73%
Class Y 3.40% 3.40%
Custom Destination 2020 Index 2.87% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*
<Table>
<Caption>
LEHMAN BROTHERS
CLASS A CUSTOM DESTINATION LIPPER BALANCED AGGREGATE S&P 500
CLASS S CLASS A (SALES LOAD DEDUCTED) CLASS Y 2020 INDEX FUND INDEX BOND INDEX INDEX
12/31/2003 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
Mar-2004 $ 10,310 $ 10,300 $ 9,708 $ 10,310 $ 10,318 $ 10,112 $ 10,012 $ 10,190
Jun-2004 $ 10,340 $ 10,320 $ 9,727 $ 10,340 $ 10,287 $ 10,224 $ 10,024 $ 10,366
</Table>
Hypothetical Investments in MassMutual Destination Retirement 2020 Fund Class L,
Class N, Class N (CDSC fees deducted), the Custom Destination 2020 Index the
Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P
500 Index.
MASSMUTUAL DESTINATION RETIREMENT 2020 FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class L 3.30% 3.30%
Class N 3.00% 3.00%
Class N (CDSC fees deducted)** 2.00% 2.00%
Custom Destination 2020 Index 2.87% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
<Table>
<Caption>
LEHMAN BROTHERS
CLASS N CUSTOM DESTINATION LIPPER BALANCED AGGREGATE
CLASS L CLASS N (CDSC FEES DEDUCTED) 2020 INDEX FUND INDEX BOND INDEX S&P 500 INDEX
12/31/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/2004 $ 10,310 $ 10,300 $ 10,300 $ 10,318 $ 10,112 $ 10,012 $ 10,190
6/30/2004 $ 10,330 $ 10,300 $ 10,200 $ 10,287 $ 10,224 $ 10,024 $ 10,366
</Table>
* THE CUSTOM BENCHMARK $10,000 GROWTH CHART VALUES COMMENCE ON 1/1/04.
** CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE.
*** DUE TO THE NATURE OF THE CUSTOM BENCHMARK, IT IS NOT POSSIBLE TO ACCURATELY
SHOW A RETURN SINCE THE FUND'S INCEPTION ON DECEMBER 31, 2003.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE CUSTOM DESTINATION 2020 INDEX IS UNMANAGED AND DOES NOT
INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD
READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE,
RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS.
EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN
THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND
CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE
FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
71
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Destination Retirement 2030 Fund Class S,
Class A, Class A (sales load deducted), Class Y, the Custom Destination 2030
Index the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index
and the S&P 500 Index.
MASSMUTUAL DESTINATION RETIREMENT 2030 FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class S 4.80% 4.80%
Class A 4.60% 4.60%
Class A (sales load fees deducted)** -1.41% -1.41%
Class Y 4.80% 4.80%
Custom Destination 2030 Index 3.91% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*
<Table>
<Caption>
LEHMAN BROTHERS
CLASS A CUSTOM DESTINATION LIPPER BALANCED AGGREGATE S&P 500
CLASS S CLASS A (SALES LOAD DEDUCTED) CLASS Y 2030 INDEX FUND INDEX BOND INDEX INDEX
12/31/2003 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/2004 $ 10,360 $ 10,350 $ 9,755 $ 10,360 $ 10,337 $ 10,112 $ 10,012 $ 10,190
6/30/2004 $ 10,480 $ 10,460 $ 9,859 $ 10,480 $ 10,391 $ 10,224 $ 10,024 $ 10,366
</Table>
Hypothetical Investments in MassMutual Destination Retirement 2030 Fund Class L,
Class N, Class N (CDSC fees deducted), the Custom Destination 2030 Index the
Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P
500 Index.
MASSMUTUAL DESTINATION RETIREMENT 2030 FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class L 4.70% 4.70%
Class N 4.40% 4.40%
Class N (CDSC fees deducted)** 3.40% 3.40%
Custom Destination 2030 Index 3.91% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate
Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
<Table>
<Caption>
LEHMAN BROTHERS
CLASS N CUSTOM DESTINATION LIPPER BALANCED AGGREGATE
CLASS L CLASS N (CDSC FEES DEDUCTED) 2030 INDEX FUND INDEX BOND INDEX S&P 500 INDEX
12/31/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/2004 $ 10,360 $ 10,350 $ 10,350 $ 10,337 $ 10,112 $ 10,012 $ 10,190
6/30/2004 $ 10,470 $ 10,440 $ 10,340 $ 10,391 $ 10,224 $ 10,024 $ 10,366
</Table>
* THE CUSTOM BENCHMARK $10,000 GROWTH CHART VALUES COMMENCE ON 1/1/04.
** CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE.
*** DUE TO THE NATURE OF THE CUSTOM BENCHMARK, IT IS NOT POSSIBLE TO ACCURATELY
SHOW A RETURN SINCE THE FUND'S INCEPTION ON DECEMBER 31, 2003.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE CUSTOM DESTINATION 2030 INDEX IS UNMANAGED AND DOES NOT
INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD
READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE,
RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS.
EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN
THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND
CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE
FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
72
<Page>
GROWTH OF A $10,000 INVESTMENT
Hypothetical Investments in MassMutual Destination Retirement 2040 Fund Class S,
Class A, Class A (sales load deducted), Class Y, the Custom Destination 2040
Index the Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index
and the S&P 500 Index.
MASSMUTUAL DESTINATION RETIREMENT 2040 FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class S 5.50% 5.50%
Class A 5.30% 5.30%
Class A (sales load fees deducted)** -0.75% -0.75%
Class Y 5.50% 5.50%
Custom Destination 2040 Index 4.38% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION*
<Table>
<Caption>
CLASS A CUSTOM DESTINATION LIPPER BALANCED LEHMAN BROTHERS S&P 500
CLASS S CLASS A (SALES LOAD DEDUCTED) CLASS Y 2040 INDEX FUND INDEX AGGREGATE BOND INDEX INDEX
12/31/2003 $ 10,000 $ 10,000 $ 9,425 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/2004 $ 10,370 $ 10,360 $ 9,764 $ 10,370 $ 10,322 $ 10,112 $ 10,012 $ 10,190
6/30/2004 $ 10,550 $ 10,530 $ 9,925 $ 10,550 $ 10,438 $ 10,224 $ 10,024 $ 10,366
</Table>
Hypothetical Investments in MassMutual Destination Retirement 2040 Fund Class L,
Class N, Class N (CDSC fees deducted), the Custom Destination 2040 Index the
Lipper Balanced Fund Index, the Lehman Brothers Aggregate Bond Index and the S&P
500 Index.
MASSMUTUAL DESTINATION RETIREMENT 2040 FUND
TOTAL RETURN
<Table>
<Caption>
YEAR TO DATE SINCE INCEPTION
1/1/04 - 6/30/04 12/31/03 - 6/30/04
Class L 5.50% 5.50%
Class N 5.20% 5.20%
Class N (CDSC fees deducted)** 4.20% 4.20%
Custom Destination 2040 Index 4.38% N/A***
Lipper Balanced Fund Index 2.25% 2.25%
Lehman Brothers Aggregate Bond Index 0.16% 0.24%
S&P 500 Index 3.44% 3.66%
</Table>
[CHART]
<Table>
<Caption>
CLASS N CUSTOM DESTINATION LIPPER BALANCED LEHMAN BROTHERS S&P 500
CLASS L CLASS N (CDSC FEES DEDUCTED) 2040 INDEX FUND INDEX AGGREGATE BOND INDEX INDEX
12/31/2003 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000 $ 10,000
3/31/2004 $ 10,370 $ 10,350 $ 10,350 $ 10,322 $ 10,112 $ 10,012 $ 10,190
6/30/2004 $ 10,550 $ 10,520 $ 10,420 $ 10,438 $ 10,224 $ 10,024 $ 10,366
</Table>
* THE CUSTOM BENCHMARK $10,000 GROWTH CHART VALUES COMMENCE ON 1/1/04.
** CLASS A (SALES LOAD DEDUCTED) RETURNS INCLUDE THE 5.75% MAXIMUM SALES CHARGE
AND CLASS N (CDSC FEES DEDUCTED) RETURNS INCLUDE THE 1.00% MAXIMUM CONTINGENT
DEFERRED SALES CHARGE.
*** DUE TO THE NATURE OF THE CUSTOM BENCHMARK, IT IS NOT POSSIBLE TO ACCURATELY
SHOW A RETURN SINCE THE FUND'S INCEPTION ON DECEMBER 31, 2003.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT
PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF
SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE
FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY CALLING
1-888-309-3539. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED
MUTUAL FUND, WHILE THE CUSTOM DESTINATION 2040 INDEX IS UNMANAGED AND DOES NOT
INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD
READ THE FUND'S PROSPECTUS WITH REGARDS TO THE FUND'S INVESTMENT OBJECTIVE,
RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS.
EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN
THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. THE PERFORMANCE TABLES AND
CHARTS DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON THE
FUND DISTRIBUTIONS OR THE REDEMPTION OF THE FUND SHARES.
73
<Page>
MASSMUTUAL MONEY MARKET FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
SHORT-TERM INVESTMENTS -- 100.1%
COMMERCIAL PAPER -- 50.7%
American Honda
Finance Corp.
1.180% 07/21/2004 $ 9,490,000 $ 9,483,776
Anheuser-Busch Cos., Inc.
1.050% 07/19/2004 12,000,000 11,993,700
Bemis Co., Inc.
1.040% 07/07/2004 5,200,000 5,199,099
Bemis Co., Inc.
1.120% 07/16/2004 6,300,000 6,297,060
CIT Group, Inc.
1.190% 08/09/2004 5,000,000 4,993,554
CIT Group, Inc.
1.300% 09/15/2004 2,765,000 2,757,412
The Coca-Cola Co.
1.020% 07/30/2004 2,800,000 2,797,699
The Coca-Cola Co.
1.050% 07/28/2004 8,700,000 8,693,149
Countrywide Home
Loans, Inc.
1.330% 07/27/2004 10,550,000 10,539,867
Dow Jones & Co., Inc.+
1.040% 07/20/2004 6,200,000 6,196,597
Dow Jones & Co., Inc.+
1.430% 09/17/2004 2,955,000 2,945,844
Eli Lilly & Co.+
1.510% 10/04/2004 11,500,000 11,454,175
Florida Power & Light Co.
1.100% 07/02/2004 8,615,000 8,614,737
Gannett Co., Inc.
1.020% 07/09/2004 7,100,000 7,098,391
Gannett Co., Inc.
1.140% 08/10/2004 4,700,000 4,694,047
General Electric
Capital Corp.
1.140% 09/24/2004 4,865,000 4,851,905
General Electric
Capital Corp.
1.230% 09/03/2004 7,000,000 6,984,693
Goldman Sachs
Group, Inc.
1.300% 08/16/2004 8,175,000 8,161,420
Hershey Foods Corp.+
1.050% 07/02/2004 1,500,000 1,499,956
Household Finance Corp.
1.320% 10/05/2004 12,000,000 11,957,760
L'Oreal USA, Inc.+
1.150% 07/13/2004 10,000,000 9,996,167
McCormick & Co., Inc.+
1.600% 10/26/2004 4,210,000 4,188,108
Minnesota Mining &
Manufacturing Co.
1.280% 07/26/2004 11,500,000 11,489,778
Nestle Capital Corp.+
1.030% 07/14/2004 $ 9,000,000 $ 8,996,653
Nestle Capital Corp.+
1.360% 08/26/2004 2,400,000 2,394,923
Paccar Financial Corp.
1.020% 07/09/2004 685,000 684,845
Paccar Financial Corp.
1.140% 08/13/2004 8,100,000 8,088,971
PepsiCo, Inc.
1.250% 07/12/2004 11,443,000 11,438,630
Pfizer, Inc.+
1.030% 09/01/2004 3,325,000 3,319,101
Pfizer, Inc.+
1.040% 09/10/2004 4,290,000 4,281,201
Pfizer, Inc.+
1.120% 08/03/2004 4,350,000 4,345,534
Procter & Gamble Co.+
1.050% 07/07/2004 4,585,000 4,584,198
Procter & Gamble Co.+
1.110% 07/12/2004 7,150,000 7,147,575
South Carolina
Electric & Gas
1.270% 07/23/2004 7,970,000 7,963,815
Toyota Motor Credit Corp.
1.450% 09/22/2004 3,900,000 3,886,962
United Parcel
Service, Inc.+
1.070% 12/30/2004 1,515,000 1,506,805
Wal-Mart Stores, Inc.+
1.030% 07/06/2004 12,200,000 12,198,255
----------------
243,726,362
----------------
U.S. TREASURY BILLS -- 49.4%
U.S. Treasury Bill
0.895% 07/22/2004 4,415,000 4,412,695
U.S. Treasury Bill
0.920% 07/01/2004 16,580,000 16,580,000
U.S. Treasury Bill
0.925% 07/08/2004 11,795,000 11,792,879
U.S. Treasury Bill
0.940% 07/15/2004 2,110,000 2,109,228
U.S. Treasury Bill
0.940% 07/29/2004 14,415,000 14,404,461
U.S. Treasury Bill
0.955% 08/12/2004 8,900,000 8,890,084
U.S. Treasury Bill
0.955% 08/19/2004 9,450,000 9,437,717
U.S. Treasury Bill
0.960% 08/05/2004 11,120,000 11,109,621
U.S. Treasury Bill
0.965% 07/22/2004 9,625,000 9,619,581
U.S. Treasury Bill
0.978% 07/22/2004 4,710,000 4,707,313
U.S. Treasury Bill
0.980% 07/15/2004 $ 11,720,000 $ 11,715,533
U.S. Treasury Bill
0.990% 08/26/2004 6,685,000 6,674,705
U.S. Treasury Bill
1.000% 09/30/2004 7,150,000 7,131,926
U.S. Treasury Bill
1.035% 09/09/2004 11,300,000 11,277,259
U.S. Treasury Bill
1.040% 09/02/2004 6,855,000 6,842,524
U.S. Treasury Bill
1.068% 09/16/2004 7,400,000 7,383,096
U.S. Treasury Bill
1.074% 08/12/2004 8,390,000 8,379,487
U.S. Treasury Bill
1.085% 09/23/2004 16,400,000 16,358,481
U.S. Treasury Bill
1.085% 10/07/2004 13,875,000 13,834,019
U.S. Treasury Bill
1.090% 10/14/2004 8,140,000 8,114,122
U.S. Treasury Bill
1.100% 08/26/2004 4,965,000 4,956,504
U.S. Treasury Bill
1.135% 09/30/2004 8,200,000 8,176,474
U.S. Treasury Bill
1.160% 09/02/2004 9,500,000 9,480,715
U.S. Treasury Bill
1.165% 08/19/2004 4,840,000 4,832,325
U.S. Treasury Bill
1.230% 09/16/2004 9,125,000 9,100,994
U.S. Treasury Bill
1.345% 11/18/2004 10,680,000 10,624,138
----------------
237,945,881
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST)* 481,672,243
----------------
TOTAL INVESTMENTS -- 100.1%
OTHER ASSETS/
(LIABILITIES) -- (0.1%) (435,910)
----------------
NET ASSETS -- 100.0% $ 481,236,333
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* 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. At June 30,
2004, these securities amounted to a value of $85,055,092 or 17.7% of net
assets.
The accompanying notes are an integral part of the financial statements.
74
<Page>
MASSMUTUAL SHORT-DURATION BOND FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 0.0%
TELEPHONE UTILITIES
MCI, Inc. Escrow shares* 2,000,000 $ -
----------------
TOTAL EQUITIES
(COST $0) 0
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
BONDS & NOTES -- 81.7%
ASSET BACKED SECURITIES -- 2.9%
Capital Auto Receivables
Asset Trust Series 2003-1,
Class A2A
2.270% 01/17/2006 $ 1,250,000 1,251,954
Chase Mortgage
Finance Co.
Series 2003-S11,
Class 1A-1
5.000% 10/25/2033 3,236,213 3,089,956
Ford Credit Auto Owner
Trust Series 2002-B,
Class A3A
4.140% 12/15/2005 563,052 566,923
Ford Credit Auto Owner
Trust Series 2003-A,
Class A3A
2.200% 07/17/2006 1,300,000 1,301,219
Massachusetts RRB
Special Purpose Trust
Series 1999-1, Class A4
6.910% 09/15/2009 2,500,000 2,690,340
MMCA Automobile Trust
Series 2002-3, Class A3
2.970% 03/15/2007 2,426,326 2,432,391
New Century Home Equity
Loan Trust
Series 1997-NC5,
Class A6
6.700% 10/25/2028 335,986 340,658
Rental Car Finance Corp.
Series 1999-1A, Class A+
5.900% 02/25/2007 250,000 251,445
----------------
TOTAL ASSET BACKED
SECURITIES
(COST $11,822,798) 11,924,886
----------------
CORPORATE DEBT -- 33.0%
Allied Waste
North America, Inc.+
5.750% 02/15/2011 365,000 345,838
American General
Finance Corp.
5.875% 07/14/2006 $ 1,000,000 $ 1,050,002
American Greetings Corp.
6.100% 08/01/2028 1,135,000 1,160,537
American Honda
Finance Corp.+
3.850% 11/06/2008 900,000 884,038
American Standard, Inc.
7.625% 02/15/2010 900,000 990,000
Ametek, Inc.
7.200% 07/15/2008 1,330,000 1,436,719
Anheuser-Busch Cos., Inc.
5.050% 10/15/2016 1,135,000 1,092,689
AOL Time Warner, Inc.
5.625% 05/01/2005 1,140,000 1,167,921
Aramark Services, Inc.
8.150% 05/01/2005 1,050,000 1,092,140
Bank of America Corp.
3.250% 08/15/2008 500,000 482,754
Bombardier
Capital, Inc.+ ++
7.500% 08/15/2004 410,000 411,706
BP Capital Markets PLC
2.750% 12/29/2006 2,500,000 2,468,163
Briggs & Stratton Corp.
8.875% 03/15/2011 1,750,000 2,043,125
British Telecom PLC
7.875% 12/15/2005 2,000,000 2,138,326
British Telecom PLC
8.375% 12/15/2010 1,125,000 1,313,792
Cabot Corp.+
5.250% 09/01/2013 600,000 583,258
Camden Property Trust
7.000% 11/15/2006 1,000,000 1,057,704
Carolina Power & Light Co.
5.125% 09/15/2013 780,000 768,047
CarrAmerica Realty Corp.
6.625% 03/01/2005 400,000 409,173
CenturyTel, Inc. Series E
6.150% 01/15/2005 1,000,000 1,019,175
Certegy, Inc.
4.750% 09/15/2008 300,000 303,075
Chesapeake Energy Corp.+
7.500% 06/15/2014 575,000 592,250
Cinergy Corp.
6.250% 09/01/2004 1,000,000 1,006,736
Clear Channel
Communications, Inc.
4.250% 05/15/2009 885,000 863,747
CNF, Inc.
8.875% 05/01/2010 $ 930,000 $ 1,078,610
Comcast Corp.
5.850% 01/15/2010 625,000 652,168
ConAgra Foods, Inc.
7.500% 09/15/2005 1,000,000 1,051,979
Cox Enterprises, Inc.+
4.375% 05/01/2008 1,200,000 1,195,733
Crane Co.
5.500% 09/15/2013 250,000 249,087
CSX Corp.
6.250% 10/15/2008 1,900,000 2,027,081
DaimlerChrysler NA Holding Corp.
4.050% 06/04/2008 1,700,000 1,666,892
DaimlerChrysler NA Holding Corp.
6.900% 09/01/2004 1,100,000 1,107,594
Deutsche Telekom
International Finance BV
8.250% 06/15/2005 1,155,000 1,214,398
Diageo Finance BV
3.000% 12/15/2006 1,000,000 989,280
Dominion Resources, Inc.
2.800% 02/15/2005 1,500,000 1,504,665
Dominion Resources, Inc.
7.820% 09/15/2004 1,000,000 1,011,258
DPL, Inc.
8.250% 03/01/2007 1,000,000 1,062,500
Electronic Data Systems
Corp. Series B
6.000% 08/01/2013 490,000 467,993
Emerald Investment
Grade CBO Limited+
1.735% 05/24/2011 1,849,535 1,814,856
Entergy Gulf States, Inc.
5.250% 08/01/2015 2,200,000 2,080,261
Equifax, Inc.
4.950% 11/01/2007 500,000 515,913
ERAC USA Finance Co.+
8.250% 05/01/2005 1,000,000 1,042,844
FedEx Corp.+
1.390% 04/01/2005 570,000 570,666
First Industrial LP
7.600% 05/15/2007 880,000 964,878
Fiserv, Inc.
4.000% 04/15/2008 500,000 496,140
Ford Motor Credit Co.++
5.625% 10/01/2008 2,325,000 2,345,216
Ford Motor Credit Co.
6.875% 02/01/2006 2,500,000 2,622,242
</Table>
The accompanying notes are an integral part of the financial statements.
75
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Ford Motor Credit Co.
7.000% 10/01/2013 $ 35,000 $ 35,331
Foster's Finance Corp.+
6.875% 06/15/2011 1,000,000 1,097,732
FPL Group Capital, Inc.
6.125% 05/15/2007 1,000,000 1,066,716
Franklin Resources, Inc.
3.700% 04/15/2008 1,025,000 1,009,186
General Mills, Inc.
2.625% 10/24/2006 4,300,000 4,207,275
General Motors
Acceptance Corp.
6.150% 04/05/2007 1,000,000 1,044,304
General Motors Corp.++
7.125% 07/15/2013 1,475,000 1,514,897
Glencore Funding LLC+
6.000% 04/15/2014 900,000 834,786
Goldman Sachs Group, Inc.
3.875% 01/15/2009 400,000 390,056
Goldman Sachs Group, Inc.
5.150% 01/15/2014 500,000 480,159
Harrah's
Operating Co., Inc.+
5.500% 07/01/2010 485,000 487,429
HCA, Inc.
6.950% 05/01/2012 1,000,000 1,043,326
Household Finance Corp.
4.125% 12/15/2008 1,250,000 1,232,149
Household Finance Corp.
6.375% 10/15/2011 175,000 186,796
Humana, Inc.
7.250% 08/01/2006 500,000 535,982
Idex Corp.
6.875% 02/15/2008 675,000 723,448
International
Game Technology
8.375% 05/15/2009 550,000 647,041
iStar Financial, Inc.+
5.700% 03/01/2014 385,000 361,375
iStar Financial, Inc. Series B
4.875% 01/15/2009 200,000 193,659
Jefferies Group, Inc.
7.500% 08/15/2007 250,000 277,001
Jones Apparel Group, Inc.
7.875% 06/15/2006 1,000,000 1,082,934
JP Morgan Chase & Co.
3.125% 12/11/2006 1,250,000 1,244,572
Kellwood Co.
7.625% 10/15/2017 725,000 769,846
Kennametal, Inc.
7.200% 06/15/2012 1,000,000 1,057,619
Kinder Morgan Energy
Partners LP
5.350% 08/15/2007 1,000,000 1,040,618
Lafarge Corp.
6.375% 07/15/2005 $ 1,000,000 $ 1,033,789
Leucadia National Corp.
7.000% 08/15/2013 1,000,000 988,750
Liberty Media Corp.
3.500% 09/25/2006 4,145,000 4,137,477
Marriott International,
Inc. Series E
7.000% 01/15/2008 1,550,000 1,688,266
MCI, Inc.
5.908% 05/01/2007 118,000 114,460
MCI, Inc.
6.688% 05/01/2009 118,000 109,150
MCI, Inc.++
7.735% 05/01/2014 102,000 91,290
MGM Grand, Inc.
6.950% 02/01/2005 600,000 612,000
MidAmerican Energy
Holdings Co.
3.500% 05/15/2008 1,270,000 1,225,032
Mohawk Industries,
Inc. Series C
6.500% 04/15/2007 700,000 746,915
Monongahela Power Co.+
6.700% 06/15/2014 500,000 504,772
National Rural Utilities
Cooperative Finance Corp.
4.375% 10/01/2010 500,000 491,060
National Rural Utilities
Cooperative Finance Corp.
7.250% 03/01/2012 1,540,000 1,748,841
Navistar International Corp.
7.500% 06/15/2011 325,000 333,125
Newell Rubbermaid, Inc.
4.000% 05/01/2010 400,000 379,701
Nisource Finance Corp.
3.200% 11/01/2006 750,000 741,476
Norfolk Southern Corp.
7.350% 05/15/2007 1,000,000 1,095,798
Nova Chemicals Corp.
6.500% 01/15/2012 365,000 359,525
Pacific Energy Partners
LP/Pacific Energy
Finance Corp.+
7.125% 06/15/2014 540,000 548,100
Pacific Gas & Electric Co.
4.800% 03/01/2014 950,000 900,163
Park Place
Entertainment Corp.++
8.500% 11/15/2006 600,000 651,000
Plains All American
Pipeline LP+
5.625% 12/15/2013 685,000 650,244
Precision Castparts Corp.
5.600% 12/15/2013 $ 1,500,000 $ 1,460,318
Procter & Gamble Co.
3.500% 12/15/2008 4,000,000 3,914,272
PSEG Power LLC
5.500% 12/01/2015 775,000 740,386
Rogers Cable, Inc.
5.500% 03/15/2014 535,000 472,705
Rogers Wireless
Communications, Inc.
6.375% 03/01/2014 450,000 414,000
Ryder System, Inc.
6.600% 11/15/2005 250,000 261,087
Simon Property Group LP
6.875% 11/15/2006 930,000 985,167
SLM Corp.
5.000% 10/01/2013 4,000,000 3,862,616
Sony Capital Corp.+ ++
4.950% 11/01/2006 650,000 673,163
Sprint Capital Corp.
8.375% 03/15/2012 125,000 143,666
Steelcase, Inc.
6.375% 11/15/2006 1,425,000 1,468,428
SuperValu, Inc.
7.500% 05/15/2012 1,500,000 1,681,655
TCI Communications, Inc.
6.875% 02/15/2006 2,750,000 2,904,473
Textron Financial
Corp. Series E
2.690% 10/03/2006 3,500,000 3,445,925
Thomas & Betts Corp.
6.500% 01/15/2006 425,000 441,047
Timken Co.
5.750% 02/15/2010 125,000 125,262
Timken Co. Series A
6.750% 08/21/2006 650,000 678,180
Toro Co.
7.125% 06/15/2007 1,050,000 1,110,161
Toyota Motor Credit Corp.
4.350% 12/15/2010 1,800,000 1,773,832
TransAlta Corp.
5.750% 12/15/2013 1,250,000 1,237,678
Tricon Global
Restaurants, Inc.
8.875% 04/15/2011 580,000 699,902
Tri-State Generation &
Transmission Association
Series 2003, Class A+
6.040% 01/31/2018 700,000 700,329
Tyco International
Group SA++
6.000% 11/15/2013 2,350,000 2,415,828
</Table>
The accompanying notes are an integral part of the financial statements.
76
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
United Rentals
North America, Inc.
6.500% 02/15/2012 $ 800,000 $ 756,000
USA Interactive
7.000% 01/15/2013 1,100,000 1,186,241
Verizon Global Funding
Corp. Series MTNA
7.600% 03/15/2007 1,250,000 1,377,386
Verizon
New England, Inc.++
6.500% 09/15/2011 500,000 532,769
Vodafone Group PLC
5.375% 01/30/2015 100,000 98,478
The Walt Disney Co.
6.750% 03/30/2006 800,000 847,428
Washington Mutual, Inc.
2.400% 11/03/2005 2,000,000 1,986,110
Weyerhaeuser Co.
5.500% 03/15/2005 630,000 643,323
Williams Gas Pipelines
Central, Inc.+
7.375% 11/15/2006 500,000 534,375
XTO Energy, Inc.
4.900% 02/01/2014 1,000,000 941,570
----------------
TOTAL CORPORATE DEBT
(COST $135,702,887) 134,642,100
----------------
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 6.6%
COLLATERALIZED MORTGAGE OBLIGATIONS
ABN AMRO Mortgage
Corp. Series 2003-12,
Class 1A
5.000% 12/25/2033 2,386,505 2,278,653
Asset Securitization Corp.
Series 1995-MD4,
Class A1
7.100% 08/13/2029 526,796 551,712
Countrywide Home Loans,
Inc. Series 2003-42,
Class 1A1
3.829% 09/25/2033 1,129,016 1,125,244
Countrywide Home Loans,
Inc. Series 2004-23,
Class 1A1
4.445% 02/25/2034 1,156,754 1,162,840
CS First Boston Mortgage
Securities Corp.
Series 2003-7,
Class 1A24
4.500% 02/25/2033 1,500,000 1,506,276
CS First Boston Mortgage
Securities Corp.
Series 2004-C1,
Class A1
2.254% 01/15/2037 1,421,980 1,391,189
GE Capital Commercial
Mortgage Corp.
Series 2002-1A, Class A1
5.033% 12/10/2035 1,086,786 1,116,184
IndyMac Bancorp, Inc.
Mortgage Loan Trust
Series 2004-AR4,
Class 1A
4.820% 06/30/2034 $ 3,200,000 $ 3,236,000
Merrill Lynch Mortgage
Investors, Inc.
Series 2003-A4, Class IA
4.317% 07/25/2033 1,136,674 1,143,506
Merrill Lynch Mortgage
Investors, Inc.
Series 2004-A1, Class IA
4.216% 02/25/2034 557,863 559,891
Morgan Stanley Mortgage
Loan Trust
Series 2004-2AR,
Class PT3
5.248% 02/25/2034 347,490 352,697
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1+
5.323% 02/18/2034 602,573 611,349
Structured Adjustable Rate
Mortgage Loan Trust
Series 2004-2, Class 2A
5.095% 03/25/2034 2,459,103 2,482,858
Structured Asset Securities
Corp. Series 2002-11A,
Class 2A1
5.600% 06/25/2032 1,039,630 1,057,823
Structured Asset Securities
Corp. Series 2003-30,
Class 1A1
5.500% 10/25/2033 2,657,329 2,613,815
Washington Mutual MSC
Mortgage Pass-Through
Certificates
Series 2004-RA1,
Class 2A
7.000% 03/25/2034 2,735,279 2,831,200
Washington Mutual, Inc.
Series 2004-AR2,
Class A
2.574% 04/25/2044 3,058,135 3,066,436
----------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $27,331,946) 27,087,673
----------------
SOVEREIGN DEBT OBLIGATIONS -- 0.3%
Republic of South Africa
6.500% 06/02/2014 950,000 959,500
United Mexican States
8.375% 01/14/2011 300,000 339,000
----------------
TOTAL SOVEREIGN DEBT
OBLIGATIONS
(COST $1,275,930) 1,298,500
----------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 33.1%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 0.0%
PASS-THROUGH SECURITIES
FHLMC
7.500% 06/01/2015 $ 106,667 $ 113,996
----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 30.1%
OTHER -- 27.6%
FNMA (Benchmark Note)
5.500% 03/15/2011 41,500,000 43,413,436
FNMA (Benchmark Note)
6.000% 12/15/2005 35,000,000 36,683,392
FNMA (Benchmark Note)
6.500% 08/15/2004 32,500,000 32,714,783
----------------
TOTAL OTHER 112,811,611
----------------
PASS-THROUGH SECURITIES -- 2.5%
FNMA
5.000% 08/01/2033 6,604,868 6,389,436
FNMA
5.500% 02/01/2018-
05/01/2018 2,525,909 2,589,155
FNMA
6.420% 11/01/2008 1,072,864 1,155,463
FNMA
8.000% 05/01/2013 1,145 1,241
FNMA
9.000% 10/01/2009 69,596 74,530
----------------
TOTAL PASS-THROUGH SECURITIES 10,209,825
----------------
TOTAL FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA) 123,021,436
----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 3.0%
PASS-THROUGH SECURITIES
GNMA
5.000% 05/15/2033-
01/15/2034 10,166,182 9,893,741
GNMA
6.500% 09/15/2032 1,492,883 1,564,495
GNMA
7.500% 08/15/2029 632,883 685,813
GNMA
8.000% 09/15/2007-
11/15/2007 118,970 130,402
----------------
TOTAL PASS-THROUGH SECURITIES 12,274,451
----------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $132,198,430) 135,409,883
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
77
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
U.S. TREASURY OBLIGATIONS -- 5.8%
U.S. Treasury Note++
3.375% 11/15/2008 $ 2,385,000 $ 2,359,659
U.S. Treasury Note++
3.875% 02/15/2013 6,900,000 6,599,203
U.S. Treasury Note++
6.500% 10/15/2006 13,500,000 14,573,671
----------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $23,418,535) 23,532,533
----------------
TOTAL BONDS & NOTES
(COST $331,750,526) 333,895,575
----------------
TOTAL LONG TERM INVESTMENTS
(COST $331,750,526) 333,895,575
----------------
SHORT-TERM INVESTMENTS -- 26.7%
CASH EQUIVALENTS -- 7.7%***
American AAdvantage
Select Money
Market Fund 843,390 843,390
Bank of America
Bank Note
1.500% 07/21/2004 1,159,660 1,159,660
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 1,054,237 1,054,237
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 274,101 274,101
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 881,937 881,937
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 843,390 843,390
BGIF Prime
Money Market Fund 1,623,524 1,623,524
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 527,119 527,119
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 105,424 105,424
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 2,108,474 2,108,474
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 $ 1,686,780 $ 1,686,780
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 843,390 843,390
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 768,539 768,539
Fannie Mae Discount Note
0.960% 07/01/2004 632,542 632,542
Fannie Mae Discount Note
1.131% 07/14/2004 316,271 316,271
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 316,271 316,271
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 316,271 316,271
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 1,475,932 1,475,932
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 421,695 421,695
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 316,271 316,271
General Electric
Capital Corp.
1.201% 07/19/2004 527,119 527,119
General Electric
Capital Corp.
1.211% 07/21/2004 527,728 527,728
General Electric
Capital Corp.
1.211% 07/22/2004 315,208 315,208
General Electric
Capital Corp.
1.221% 07/23/2004 104,352 104,352
General Electric
Capital Corp.
1.231% 07/26/2004 525,967 525,967
Goldman Sachs Financial
Square Prime Obligations
Money Market Fund 527,119 527,119
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 $ 632,542 $ 632,542
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 316,271 316,271
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 1,686,780 1,686,780
Merrill Lynch Premier
Institutional Money
Market Fund 762,024 762,024
Merrimac Cash Fund,
Premium Class 3,373,559 3,373,559
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 1,096,407 1,096,407
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 316,271 316,271
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 1,054,238 1,054,238
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 1,054,238 1,054,238
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 527,119 527,119
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 316,271 316,271
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 527,119 527,119
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 632,542 632,542
----------------
31,338,092
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
78
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
COMMERCIAL PAPER -- 19.0%
Alcoa, Inc.**
1.350% 08/12/2004 $ 2,750,000 $ 2,745,669
Alcoa, Inc.**
1.370% 08/16/2004 1,585,000 1,582,224
Autoliv ASP, Inc.+ **
1.120% 07/26/2004 4,650,000 4,646,383
Autoliv ASP, Inc.+ **
1.150% 07/27/2004 3,960,000 3,956,711
Boston Scientific Corp.+ **
1.150% 07/22/2004 3,455,000 3,452,682
Boston Scientific Corp.+ **
1.260% 08/31/2004 800,000 798,044
Boston Scientific Corp.+ **
1.410% 08/16/2004 265,000 264,523
British Aero
North America+ **
1.300% 07/12/2004 6,610,000 6,607,374
Burlington Northern
Santa Fe Corp.+ **
1.140% 07/08/2004 2,900,000 2,899,357
Burlington Northern
Santa Fe Corp.+ **
1.170% 07/30/2004 1,790,000 1,788,313
Burlington Northern
Santa Fe Corp.+ **
1.400% 08/31/2004 5,135,000 5,122,442
Caterpillar Financial
Services Corp.**
1.280% 07/15/2004 1,240,000 1,239,381
CIT Group, Inc.**
1.090% 08/16/2004 1,225,000 1,223,294
CIT Group, Inc.**
1.300% 09/07/2004 215,000 214,493
Elsevier Finance SA+ **
1.100% 07/28/2004 10,165,000 10,156,614
General Electric
Capital Corp.**
1.100% 12/22/2004 1,780,000 1,766,156
General Mills, Inc.+ **
1.310% 10/15/2004 3,925,000 3,907,384
Goldman Sachs
Group, Inc.**
1.130% 07/06/2004 3,965,000 3,964,378
John Deere
Capital Corp.+ **
1.120% 07/15/2004 4,100,000 4,098,214
Kellogg Co.+ **
1.580% 09/07/2004 2,535,000 2,528,101
Kinder Morgan Energy
Partners LP+ **
1.180% 07/06/2004 600,000 599,902
McCormick & Co., Inc.+ **
1.120% 08/31/2004 315,000 314,230
McCormick & Co., Inc.+ **
1.130% 08/31/2004 $ 2,000,000 $ 1,995,109
McCormick & Co., Inc.+ **
1.280% 08/25/2004 1,755,000 1,751,568
McCormick & Co., Inc.+ **
1.600% 10/26/2004 4,690,000 4,666,787
Tribune Co.+ **
1.200% 08/24/2004 3,000,000 2,994,600
Tribune Co.+ **
1.330% 09/24/2004 1,535,000 1,529,793
Tribune Co.+ **
1.500% 09/24/2004 750,000 747,456
----------------
77,561,182
----------------
TOTAL SHORT-TERM
INVESTMENTS
(COST $108,906,403) 108,899,274
----------------
TOTAL INVESTMENTS -- 108.4%
(COST $440,656,929)**** 442,794,849
OTHER ASSETS/
(LIABILITIES) -- (8.4%) (34,167,551)
----------------
NET ASSETS -- 100.0% $ 408,627,298
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** All or a portion of this security is segregated to cover forward purchase
commitments. (NOTE 2).
*** 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. At June 30,
2004, these securities amounted to a value of $79,521,875 or 19.5% of net
assets.
++ Denotes all or a portion of security on loan.
The accompanying notes are an integral part of the financial statements.
79
<Page>
MASSMUTUAL INFLATION-PROTECTED BOND FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
BONDS & NOTES -- 97.8%
U.S. TREASURY OBLIGATIONS
U.S. TREASURY BONDS -- 26.0%
U.S. Treasury
Inflation Index
3.375% 04/15/2032 $ 3,039,445 $ 3,688,176
U.S. Treasury
Inflation Index
3.625% 04/15/2028 11,622,400 14,137,559
U.S. Treasury
Inflation Index
3.875% 04/15/2029 13,361,564 16,981,712
----------------
TOTAL U.S. TREASURY BONDS 34,807,447
----------------
U.S. TREASURY NOTES -- 71.8%
U.S. Treasury
Inflation Index
1.875% 07/15/2013 11,985,185 11,833,498
U.S. Treasury
Inflation Index
2.000% 01/15/2014 12,508,504 12,426,417
U.S. Treasury
Inflation Index
3.000% 07/15/2012 14,161,162 15,296,267
U.S. Treasury
Inflation Index
3.375% 01/15/2012 3,684,137 4,079,606
U.S. Treasury
Inflation Index
3.500% 01/15/2011 6,963,592 7,731,764
U.S. Treasury
Inflation Index
3.625% 01/15/2008 17,372,100 18,981,733
U.S. Treasury
Inflation Index
3.875% 01/15/2009 15,674,559 17,472,235
U.S. Treasury
Inflation Index
4.250% 01/15/2010 7,485,910 8,565,519
----------------
TOTAL U.S. TREASURY NOTES 96,387,039
----------------
TOTAL BONDS & NOTES
(COST $136,020,860) 131,194,486
----------------
SHORT-TERM INVESTMENTS -- 1.1%
REPURCHASE AGREEMENT
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) $ 1,528,664 $ 1,528,664
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 1,528,664
----------------
TOTAL INVESTMENTS -- 98.9%
(COST $137,549,524)* 132,723,150
OTHER ASSETS/
(LIABILITIES) -- 1.1% 1,506,242
----------------
NET ASSETS -- 100.0% $ 134,229,392
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Aggregate cost for Federal tax purposes. (NOTE 7).
(a) Maturity value of $1,528,694. Collaterized by U.S. Government Agency
obligation with a rate of 4.125%, maturity date of 06/25/2028, and an
aggregate market value, including accrued interest, of $1,605,097.
The accompanying notes are an integral part of the financial statements.
80
<Page>
MASSMUTUAL CORE BOND FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 0.2%
AUTOMOTIVE & PARTS -- 0.2%
General Motors Corp.
Series B
Convertible Preferred 100,000 $ 2,471,000
----------------
TELEPHONE UTILITIES -- 0.0%
MCI, Inc.* + 6,643 93,666
MCI, Inc.
Escrow shares* 7,413,000 -
----------------
93,666
----------------
TOTAL EQUITIES
(COST $2,862,900) 2,564,666
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
BONDS & NOTES -- 86.0%
ASSET BACKED SECURITIES -- 2.6%
Capital Auto Receivables
Asset Trust
Series 2003-1,
Class A2A
2.270% 01/17/2006 $ 5,341,000 5,349,348
Chase Mortgage
Finance Co.
Series 2003-S11,
Class 1A-1
5.000% 10/25/2033 11,938,771 11,399,212
Community Program
Loan Trust
Series 1987-A,
Class A4
4.500% 10/01/2018 1,098,102 1,096,343
Conseco Finance
Securitizations Corp.
Series 2001-C,
Class AI4
6.190% 03/15/2030 1,786,114 1,864,000
Ford Credit Auto Owner
Trust Series 2001-B,
Class A5
5.360% 06/15/2005 2,021,356 2,027,673
Ford Credit Auto Owner
Trust Series 2003-A,
Class A3A
2.200% 07/17/2006 5,786,000 5,791,427
National City Auto
Receivables Trust
Series 2002-A,
Class A4
4.830% 08/15/2009 $ 2,678,000 $ 2,747,880
New Century Home
Equity Loan Trust
Series 1997-NC5,
Class A6
6.700% 10/25/2028 1,416,516 1,436,214
Travelers Funding
Limited Series 1A,
Class A1++
6.300% 02/18/2014 2,088,761 2,172,312
Vanderbilt Mortgage
and Finance, Inc.
Series 2002-C,
Class A2
4.230% 02/07/2015 5,058,000 5,091,312
----------------
TOTAL ASSET BACKED
SECURITIES
(COST $39,109,229) 38,975,721
----------------
CORPORATE DEBT -- 45.8%
Alcan Aluminum Limited
6.250% 11/01/2008 2,023,000 2,165,330
Alliance Pipeline LP++
6.996% 12/31/2019 1,814,226 1,996,229
Allied Waste
North America, Inc.++
5.750% 02/15/2011 1,400,000 1,326,500
American General
Finance Corp.
5.875% 07/14/2006 3,714,000 3,899,707
American
Greetings Corp.
6.100% 08/01/2028 4,330,000 4,427,425
American Honda
Finance Corp.++
3.850% 11/06/2008 3,277,000 3,218,879
American Standard, Inc.
7.625% 02/15/2010 3,290,000 3,619,000
Ametek, Inc.
7.200% 07/15/2008 4,770,000 5,152,745
Anheuser-Busch
Cos., Inc.
5.050% 10/15/2016 3,439,000 3,310,801
Anheuser-Busch
Cos., Inc.
6.500% 02/01/2043 4,046,000 4,241,393
Aramark Services, Inc.
6.750% 08/01/2004 $ 1,295,000 $ 1,299,144
Aramark Services, Inc.
7.000% 07/15/2006 910,000 969,572
Aramark Services, Inc.
7.000% 05/01/2007 151,000 162,995
Aramark Services, Inc.
8.150% 05/01/2005 1,533,000 1,594,524
Arrow Electronics, Inc.
9.150% 10/01/2010 449,000 523,684
AT&T Broadband Corp.
8.375% 03/15/2013 132,000 154,961
AT&T Corp.
6.000% 03/15/2009 16,000 15,239
Avnet, Inc.+
8.000% 11/15/2006 77,000 83,160
Bank of America Corp.
3.250% 08/15/2008 4,495,000 4,339,963
Bank One Corp.
6.000% 08/01/2008 2,428,000 2,586,808
Barrick Gold Corp.
7.500% 05/01/2007 3,237,000 3,559,561
Bausch & Lomb, Inc.
7.125% 08/01/2028 2,900,000 2,903,434
Boeing Capital Corp.
5.800% 01/15/2013 635,000 653,911
Boeing Capital Corp.
7.100% 09/27/2005 1,618,000 1,708,593
Bombardier
Capital, Inc.+ ++
7.500% 08/15/2004 2,719,000 2,730,311
BP Capital Markets PLC
2.750% 12/29/2006 10,034,000 9,906,217
BRE Properties, Inc.
7.450% 01/15/2011 2,023,000 2,270,273
Briggs & Stratton Corp.
8.875% 03/15/2011 6,860,000 8,009,050
British Telecom PLC
7.875% 12/15/2005 8,230,000 8,799,211
British Telecom PLC
8.875% 12/15/2030 2,777,000 3,425,949
Buckeye Partners LP
4.625% 07/15/2013 2,023,000 1,864,460
Cabot Corp.++
5.250% 09/01/2013 3,237,000 3,146,678
Capital One Bank
Series BKNT
8.250% 06/15/2005 2,023,000 2,120,925
Capitol Records, Inc.+ ++
8.375% 08/15/2009 4,451,000 4,784,825
</Table>
The accompanying notes are an integral part of the financial statements.
81
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Carlisle Companies, Inc.
6.700% 05/15/2008 $ 3,641,000 $ 3,917,013
CarrAmerica Realty Corp.
6.625% 03/01/2005 1,728,000 1,767,627
Cendant Corp.
6.875% 08/15/2006 809,000 864,418
CenturyTel, Inc. Series E
6.150% 01/15/2005 1,618,000 1,649,025
Certegy, Inc.
4.750% 09/15/2008 1,133,000 1,144,614
Champion
International Corp.
6.400% 02/15/2026 2,023,000 2,114,438
Chesapeake
Energy Corp.++
7.500% 06/15/2014 2,000,000 2,060,000
Chevron Phillips
Chemical Co. LLC
5.375% 06/15/2007 1,821,000 1,896,235
Cinergy Corp.
6.250% 09/01/2004 3,091,000 3,111,821
Cingular Wireless
5.625% 12/15/2006 647,000 676,395
CIT Group, Inc.
4.125% 02/21/2006 1,250,000 1,271,398
CIT Group, Inc.
6.875% 11/01/2009 4,046,000 4,445,696
CIT Group, Inc.
7.375% 04/02/2007 2,152,000 2,354,368
Citigroup, Inc.
6.750% 12/01/2005 14,161,000 14,939,402
CNF, Inc.
8.875% 05/01/2010 2,023,000 2,346,267
Colonial Pipeline Co.++
7.630% 04/15/2032 1,813,000 2,136,816
Comcast Cable
Communications, Inc.
6.375% 01/30/2006 2,314,000 2,422,867
Comcast Cable
Communications, Inc.
8.375% 05/01/2007 2,023,000 2,260,941
Comcast Corp.
5.850% 01/15/2010 1,250,000 1,304,335
Cominco Limited
6.875% 02/15/2006 2,428,000 2,530,775
Commercial Credit Co.**
7.750% 03/01/2005 2,428,000 2,516,022
ConAgra Foods, Inc.
7.500% 09/15/2005 3,443,000 3,621,964
Conoco, Inc.
6.350% 04/15/2009 494,000 536,812
Consolidated Natural
Gas Co. Series C
6.250% 11/01/2011 2,181,000 2,320,514
Cooper Industries
Limited
5.250% 07/01/2007 $ 4,046,000 $ 4,219,379
Cox
Communications, Inc.
6.750% 03/15/2011 180,000 194,083
Cox Enterprises, Inc.++
4.375% 05/01/2008 1,425,000 1,419,933
Crane Co.
5.500% 09/15/2013 971,000 967,455
CSX Corp.
6.250% 10/15/2008 3,401,000 3,628,476
CSX Corp.
7.250% 05/01/2027 3,237,000 3,528,874
DaimlerChrysler NA Holding Corp.
4.050% 06/04/2008 4,580,000 4,490,805
DaimlerChrysler NA Holding Corp.
6.900% 09/01/2004 4,693,000 4,725,400
Delhaize America, Inc.
9.000% 04/15/2031 4,200,000 4,617,963
Deutsche
Telekom International
Finance BV
8.250% 06/15/2005 3,484,000 3,663,172
Diageo Finance BV
3.000% 12/15/2006 2,266,000 2,241,708
Dominion
Resources, Inc.
2.800% 02/15/2005 2,796,000 2,804,696
Dominion
Resources, Inc.
7.820% 09/15/2004 2,589,000 2,618,147
Donnelley (R.R.) &
Sons Co.
6.625% 04/15/2029 1,919,000 1,952,845
Dover Corp.
6.250% 06/01/2008 1,618,000 1,751,877
DPL, Inc.
8.250% 03/01/2007 2,525,000 2,682,813
Duke Energy Field
Services Corp.**
7.875% 08/16/2010 4,046,000 4,611,093
Electronic Data Systems
Corp. Series B
6.000% 08/01/2013 1,727,000 1,649,437
Emerald Investment
Grade CBO Limited++
1.735% 05/24/2011 2,265,680 2,223,199
Entergy Gulf States, Inc.
5.250% 08/01/2015 9,710,000 9,181,514
Enterprise Products
Operating LP
7.500% 02/01/2011 4,042,000 4,324,976
Equifax, Inc.
4.950% 11/01/2007 $ 1,691,000 $ 1,744,816
ERAC USA Finance Co.++
6.625% 05/15/2006 1,457,000 1,541,707
ERAC USA Finance Co.++
6.700% 06/01/2034 3,555,000 3,560,023
ERAC USA Finance Co.++
6.750% 05/15/2007 3,641,000 3,926,968
FedEx Corp.++
1.390% 04/01/2005 2,175,000 2,177,540
FedEx Corp.
6.875% 02/15/2006 3,678,000 3,895,517
First Industrial LP
7.000% 12/01/2006 1,821,000 1,947,097
First Industrial LP
7.600% 05/15/2007 2,428,000 2,662,185
FirstEnergy Corp.
Series A
5.500% 11/15/2006 99,000 102,418
FirstEnergy Corp.
Series B
6.450% 11/15/2011 99,000 102,639
Florida Gas
Transmission Co.++
8.630% 11/01/2004 1,618,000 1,643,320
Ford Motor Co.
6.375% 02/01/2029 5,531,000 4,674,314
Ford Motor Co.
6.625% 02/15/2028 2,410,000 2,113,327
Ford Motor Credit Co.**
7.375% 10/28/2009 6,852,000 7,312,633
Forte CDO (Cayman)
Limited Series A3-A++
7.011% 04/12/2013 1,214,000 1,218,856
Foster's Finance Corp.++
6.875% 06/15/2011 900,000 987,959
France Telecom SA
9.500% 03/01/2031 3,467,000 4,351,154
Franklin Resources, Inc.
3.700% 04/15/2008 3,823,000 3,764,019
General American
Transportation Corp.
8.625% 12/01/2004 319,000 327,194
General Mills, Inc.
2.625% 10/24/2006 15,682,000 15,343,833
General Mills, Inc.
8.900% 06/15/2006 1,821,000 2,013,744
General Motors
Acceptance Corp.
5.625% 05/15/2009 1,030,000 1,027,936
General Motors
Acceptance Corp.
6.150% 04/05/2007 8,045,000 8,401,426
</Table>
The accompanying notes are an integral part of the financial statements.
82
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
General Motors
Acceptance Corp.**
6.875% 09/15/2011 $ 4,046,000 $ 4,148,352
General Motors Corp.
8.375% 07/15/2033 2,808,000 2,972,246
Glencore Funding LLC++
6.000% 04/15/2014 3,500,000 3,246,390
Goodrich (B.F.) Co.
7.500% 04/15/2008 3,480,000 3,848,334
Harrah's Operating
Co., Inc.++
5.500% 07/01/2010 1,740,000 1,748,714
HCA, Inc.
6.950% 05/01/2012 3,835,000 4,001,155
Hearst-Argyle
Television, Inc.
7.000% 11/15/2007 1,618,000 1,739,378
Hershey Foods Corp.**
7.200% 08/15/2027 4,289,000 4,892,377
Hilton Hotels Corp.
7.000% 07/15/2004 1,214,000 1,214,000
Household Finance Corp.
4.125% 12/15/2008 3,813,000 3,758,547
Household Finance Corp.
6.375% 10/15/2011 732,000 781,342
Humana, Inc.**
7.250% 08/01/2006 4,046,000 4,337,162
IBM Canada Credit
Services Corp.++
3.750% 11/30/2007 1,214,000 1,224,775
ICI Wilmington, Inc.
7.050% 09/15/2007 1,618,000 1,731,834
Idex Corp.
6.875% 02/15/2008 3,581,000 3,838,026
International Flavors &
Fragrances, Inc.
6.450% 05/15/2006 3,034,000 3,205,530
International
Game Technology
8.375% 05/15/2009 2,537,000 2,984,626
Interpool, Inc.
7.350% 08/01/2007 1,618,000 1,573,505
iStar Financial, Inc.++
5.700% 03/01/2014 1,475,000 1,384,490
iStar Financial, Inc.
Series B
4.875% 01/15/2009 770,000 745,586
Jefferies Group, Inc.
7.500% 08/15/2007 2,003,000 2,219,334
Jones Apparel
Group, Inc.
7.875% 06/15/2006 2,428,000 2,629,364
JP Morgan Chase & Co.
3.125% 12/11/2006 5,308,000 5,284,953
Kellwood Co.
7.625% 10/15/2017 $ 2,610,000 $ 2,771,447
Kennametal, Inc.
7.200% 06/15/2012 3,840,000 4,061,257
Kern River
Funding Corp.++
4.893% 04/30/2018 3,976,528 3,853,852
KeySpan Corp.**
6.150% 06/01/2006 4,046,000 4,261,575
KeySpan Gas East Corp.
Series MTNA
6.900% 01/15/2008 525,000 579,622
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 3,040,000 3,427,378
Kinder Morgan Energy
Partners LP
5.350% 08/15/2007 3,593,000 3,738,940
The Kroger Co.
6.750% 04/15/2012 4,264,000 4,619,323
Lafarge Corp.
6.375% 07/15/2005 1,618,000 1,672,671
Leucadia National Corp.
7.000% 08/15/2013 2,150,000 2,125,813
Leucadia National Corp.+
7.750% 08/15/2013 2,023,000 2,103,920
Liberty Media Corp.
3.500% 09/25/2006 10,475,000 10,455,988
Marriott International,
Inc. Series E
7.000% 01/15/2008 5,571,000 6,067,955
Masco Corp.
6.750% 03/15/2006 4,046,000 4,285,550
MCI, Inc.
5.908% 05/01/2007 447,000 433,590
MCI, Inc.
6.688% 05/01/2009 447,000 413,475
MCI, Inc.
7.735% 05/01/2014 382,000 341,890
Meritor Automotive, Inc.
6.800% 02/15/2009 3,000,000 3,052,500
Merrill Lynch & Co., Inc.
2.940% 01/30/2006 15,419,000 15,494,353
MidAmerican Energy
Holdings Co.
3.500% 05/15/2008 5,745,000 5,541,581
Miller (Herman), Inc.
7.125% 03/15/2011 2,428,000 2,520,665
Millipore Corp.
7.500% 04/01/2007 3,034,000 3,231,453
Mobil Corp.**
8.625% 08/15/2021 3,641,000 4,789,950
Mohawk Industries, Inc.
Series D
7.200% 04/15/2012 $ 1,760,000 $ 1,952,824
Monongahela
Power Co.++
6.700% 06/15/2014 1,825,000 1,842,416
Motorola, Inc.
6.750% 02/01/2006 2,428,000 2,553,190
National Rural
Utilities Cooperative
Finance Corp.
3.250% 10/01/2007 1,274,000 1,248,850
National Rural
Utilities Cooperative
Finance Corp.
8.000% 03/01/2032 3,784,000 4,670,849
Newell Rubbermaid, Inc.
4.000% 05/01/2010 1,618,000 1,535,890
News America
Holdings, Inc.
9.250% 02/01/2013 2,428,000 3,046,555
News America, Inc.
6.750% 01/09/2038 1,618,000 1,769,045
Nisource Finance Corp.
3.200% 11/01/2006 2,213,000 2,187,849
Nortel Networks Limited
6.125% 02/15/2006 842,000 846,210
North Finance
(Bermuda) Limited++
7.000% 09/15/2005 1,618,000 1,678,285
Northern Natural
Gas Co.++
7.000% 06/01/2011 809,000 890,187
Nova Chemicals Corp.
6.500% 01/15/2012 1,345,000 1,324,825
Oak Hill Securities
Fund II++
8.920% 10/15/2006 2,270,000 2,355,163
Pacific Energy Partners
LP/Pacific Energy
Finance Corp.++
7.125% 06/15/2014 1,985,000 2,014,775
Pacific Gas & Electric Co.
6.050% 03/01/2034 2,540,000 2,389,012
Park Place
Entertainment Corp.
7.000% 04/15/2013 1,618,000 1,630,135
Park Place
Entertainment Corp.
7.500% 09/01/2009 1,760,000 1,852,400
Park Place
Entertainment Corp.
8.500% 11/15/2006 445,000 482,825
</Table>
The accompanying notes are an integral part of the financial statements.
83
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Piedmont Natural Gas Co.
Series E
6.000% 12/19/2033 $ 1,667,000 $ 1,622,248
Plains All American
Pipeline LP++
5.625% 12/15/2013 2,405,000 2,282,973
Precision Castparts Corp.
5.600% 12/15/2013 1,821,000 1,772,825
Precision Castparts Corp.
8.750% 03/15/2005 4,006,000 4,115,704
Procter & Gamble Co.
5.500% 02/01/2034 3,030,000 2,861,232
PSEG Power LLC
5.500% 12/01/2015 2,913,000 2,782,897
Qwest Capital
Funding, Inc.
7.750% 02/15/2031 3,107,000 2,438,995
Qwest Corp.++
9.125% 03/15/2012 1,987,000 2,145,960
Raytheon Co.
6.500% 07/15/2005 2,428,000 2,513,337
Reliant Energy
Resources Corp.
Series B
8.125% 07/15/2005 3,844,000 4,037,749
Republic Services, Inc.
7.125% 05/15/2009 3,034,000 3,369,793
Rogers Cable, Inc.
5.500% 03/15/2014 2,000,000 1,767,122
Rogers Wireless
Communications, Inc.
6.375% 03/01/2014 1,700,000 1,564,000
Ryder System, Inc.
6.600% 11/15/2005 3,075,000 3,211,367
Simon Property Group LP
6.875% 11/15/2006 1,214,000 1,286,013
Simon Property Group LP
7.375% 01/20/2006 3,115,000 3,323,973
SLM Corp.
5.000% 10/01/2013 8,240,000 7,956,989
SLM Corp.
5.625% 08/01/2033 2,875,000 2,592,017
Sony Capital Corp.++
4.950% 11/01/2006 2,674,000 2,769,288
Sprint Capital Corp.
6.900% 05/01/2019 3,118,000 3,136,571
Sprint Capital Corp.
7.125% 01/30/2006 809,000 856,124
Sprint Capital Corp.
8.375% 03/15/2012 1,497,000 1,720,546
Steelcase, Inc.
6.375% 11/15/2006 5,453,000 5,619,186
SuperValu, Inc.**
7.875% 08/01/2009 5,664,000 6,397,426
TCI Communications, Inc.
6.875% 02/15/2006 $ 1,134,000 $ 1,197,699
Temple-Inland, Inc.
Series MTND**
8.125% 12/15/2006 4,305,000 4,618,055
Tenet Healthcare Corp.
6.375% 12/01/2011 503,000 440,125
Tenet Healthcare Corp.
6.500% 06/01/2012 1,570,000 1,365,900
Textron Financial Corp.
Series E
2.690% 10/03/2006 4,034,000 3,971,675
Thomas & Betts Corp.
6.500% 01/15/2006 1,600,000 1,660,413
The Thomson Corp.
6.200% 01/05/2012 2,144,000 2,285,708
Time Warner
Companies, Inc.
7.750% 06/15/2005 2,266,000 2,360,436
Timken Co.
5.750% 02/15/2010 540,000 541,132
Timken Co. Series A
6.750% 08/21/2006 2,343,000 2,444,578
Toro Co.
7.800% 06/15/2027 3,473,000 3,729,582
Toyota Motor Credit Corp.
4.350% 12/15/2010 5,794,000 5,709,767
Trains 5-2002++
5.936% 01/25/2007 3,680,392 3,858,854
Trains 10-2002++ +++
0.000% 01/15/2012 3,547,728 3,877,241
TransAlta Corp.
5.750% 12/15/2013 4,847,000 4,799,218
Tricon Global
Restaurants, Inc.
8.875% 04/15/2011 2,180,000 2,630,665
Tri-State Generation &
Transmission
Association
Series 2003, Class A++
6.040% 01/31/2018 2,164,000 2,165,017
Tri-State Generation &
Transmission
Association
Series 2003, Class B++
7.144% 07/31/2033 2,403,000 2,494,506
TTX Co.++
4.500% 12/15/2010 5,260,000 5,012,801
Tyco International
Group SA
6.375% 02/15/2006 3,415,000 3,585,429
Tyco International
Group SA
6.375% 10/15/2011 2,480,000 2,638,177
Tyco International
Group SA
6.875% 01/15/2029 $ 5,191,000 $ 5,434,510
United Air Lines, Inc.
Series 91B* +++
10.110% 02/19/2006 501,793 185,663
United Rentals
North America, Inc.
6.500% 02/15/2012 3,065,000 2,896,425
US Airways,
Inc. Cl. B* +++
7.500% 04/15/2008 1,087,971 -
USA Interactive
7.000% 01/15/2013 4,195,000 4,523,892
Verizon Global
Funding Corp.
7.750% 12/01/2030 2,780,000 3,122,440
Verizon Global Funding
Corp. Series MTNA**
7.600% 03/15/2007 4,046,000 4,458,324
VF Corp.
8.100% 10/01/2005 1,416,000 1,507,096
Vodafone Group PLC
5.375% 01/30/2015 558,000 549,504
Vulcan Materials Co.
6.000% 04/01/2009 3,237,000 3,467,050
The Walt Disney Co.
6.750% 03/30/2006 3,111,000 3,295,436
Washington Mutual, Inc.
2.400% 11/03/2005 7,505,000 7,452,878
Westvaco Corp.
7.650% 03/15/2027 2,250,000 2,539,170
Westvaco Corp.
8.400% 06/01/2007 785,000 876,901
Weyerhaeuser Co.
5.500% 03/15/2005 2,409,000 2,459,943
Weyerhaeuser Co.
5.950% 11/01/2008 3,237,000 3,416,530
Williams Gas Pipelines
Central, Inc.++
7.375% 11/15/2006 2,225,000 2,377,969
WPP Finance
(USA) Corp.
6.625% 07/15/2005 2,650,000 2,697,157
XTO Energy, Inc.
4.900% 02/01/2014 4,100,000 3,860,437
York International Corp.
6.625% 08/15/2006 1,942,000 2,061,583
----------------
TOTAL CORPORATE DEBT
(COST $679,577,753) 687,859,964
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
84
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS -- 9.2%
COLLATERALIZED MORTGAGE OBLIGATIONS
ABN AMRO Mortgage
Corp. Series 2003-12,
Class 1A
5.000% 12/25/2033 $ 8,468,243 $ 8,085,544
Asset Securitization
Corp. Series 1995-MD4,
Class A1**
7.100% 08/13/2029 1,118,796 1,171,712
Bank of America Large
Loan Series 2001-FMA,
Class A2++
6.490% 12/13/2016 1,537,000 1,649,849
Countrywide Home
Loans, Inc.
Series 2003-42,
Class 1A1
3.829% 09/25/2033 4,410,220 4,395,484
Countrywide Home
Loans, Inc.
Series 2004-23,
Class 1A1
4.445% 02/25/2034 4,391,742 4,414,849
CS First Boston
Mortgage Securities
Corp. Series 1998-C2,
Class A1
5.960% 11/11/2030 1,202,144 1,243,329
CS First Boston
Mortgage Securities
Corp. Series 2003-7,
Class 1A24
4.500% 02/25/2033 5,800,000 5,824,265
CS First Boston
Mortgage Securities
Corp. Series 2004-C1,
Class A1
2.254% 01/15/2037 5,403,524 5,286,517
GMAC Mortgage Corp.
Loan Trust
Series 2001-J5,
Class A7
6.750% 11/25/2031 1,244,582 1,244,582
GSR Mortgage Loan
Trust Series 2002-8F,
Class 3AA1
6.500% 09/25/2032 497,789 500,243
IndyMac Bancorp, Inc.
Mortgage Loan Trust
Series 2004-AR4,
Class 1A
4.820% 06/30/2034 10,650,000 10,769,813
MASTR Asset
Securitization Trust
Series 2002-6,
Class 6A1
6.500% 10/25/2032 $ 1,252,510 $ 1,283,626
MASTR Asset
Securitization Trust
Series 2003-12,
Class 6A1
5.000% 12/25/2033 13,150,126 12,555,774
Merrill Lynch Mortgage
Investors, Inc.
Series 1998-C1,
Class A1
6.310% 11/15/2026 1,157,108 1,191,821
Merrill Lynch Mortgage
Investors, Inc.
Series 2003-A4,
Class IA
4.317% 07/25/2033 2,841,686 2,858,766
Merrill Lynch Mortgage
Investors, Inc.
Series 2004-A1,
Class IA
4.216% 02/25/2034 2,274,366 2,282,632
Morgan Stanley Dean
Witter Capital I
Series 2001-280,
Class A1++
6.148% 02/03/2011 2,429,625 2,578,434
Morgan Stanley
Mortgage Loan Trust
Series 2004-2AR,
Class PT3
5.248% 02/25/2034 1,267,317 1,286,308
Residential Accredit
Loans, Inc.
Series 1996-QS5,
Class M2
8.000% 09/25/2026 1,514,998 1,514,998
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1++
5.323% 02/18/2034 2,141,670 2,172,862
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B++
6.920% 02/03/2014 2,428,000 2,661,460
Structured Adjustable
Rate Mortgage Loan
Trust Series 2004-2,
Class 2A
5.095% 03/25/2034 9,463,155 9,554,570
Structured Asset
Securities Corp.
Series 1998-ALS2,
Class 1A
6.750% 03/25/2029 266,237 270,355
Structured Asset
Securities Corp.
Series 2002-11A,
Class 2A1
5.600% 06/25/2032 $ 3,989,324 $ 4,059,137
Structured Asset
Securities Corp.
Series 2003-30,
Class 1A1
5.500% 10/25/2033 8,887,880 8,742,341
Vendee Mortgage
Trust Series 1992-1,
Class 2Z
7.750% 05/15/2022 2,521,401 2,657,353
Washington Mutual
MSC Mortgage
Pass-Through
Certificates
Series 2004-RA1,
Class 2A
7.000% 03/25/2034 10,257,297 10,617,001
Washington Mutual, Inc.
Series 2003-S11,
Class A1
5.000% 11/25/2033 15,802,759 15,088,586
Washington Mutual, Inc.
Series 2004-AR2,
Class A
2.574% 04/25/2044 11,365,669 11,396,520
----------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $138,749,099) 137,358,731
----------------
SOVEREIGN DEBT OBLIGATIONS -- 0.5%
Chile Government
International Bond
5.500% 01/15/2013 2,355,000 2,361,123
Republic of South Africa
6.500% 06/02/2014 3,300,000 3,333,000
United Mexican States
8.300% 08/15/2031 2,023,000 2,119,093
----------------
TOTAL SOVEREIGN DEBT
OBLIGATIONS
(COST $7,716,240) 7,813,216
----------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 10.5%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 3.9%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.4%
FHLMC
Series 1337, Class D
6.000% 08/15/2007 163,252 167,083
</Table>
The accompanying notes are an integral part of the financial statements.
85
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
FHLMC
Series 2178, Class PB
7.000% 08/15/2029 $ 4,532,000 $ 4,786,331
FHLMC
Series W067, Class A
6.420% 12/01/2005 577,729 602,802
----------------
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS 5,556,216
----------------
PASS-THROUGH SECURITIES -- 3.5%
FHLMC
5.500% 06/01/2033 9,828,395 9,825,708
FHLMC
6.000% 06/01/2016-
02/01/2018 2,133,449 2,227,038
FHLMC
6.500% 05/01/2016-
07/01/2017 3,545,476 3,751,926
FHLMC
6.625% 09/15/2009 24,915,000 27,563,818
FHLMC
7.000% 07/01/2029-
10/01/2031 3,797,607 4,015,656
FHLMC
7.500% 06/01/2015-
01/01/2031 2,044,626 2,206,261
FHLMC
8.000% 03/01/2015-
08/01/2015 2,241,212 2,368,855
FHLMC
8.250% 05/01/2017 207,578 221,782
FHLMC
8.500% 11/01/2025 325,423 352,614
FHLMC
9.000% 03/01/2017 26,371 28,492
----------------
TOTAL PASS-THROUGH SECURITIES 52,562,150
----------------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) 58,118,366
----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 1.0%
COLLATERALIZED MORTGAGE
OBLIGATIONS -- 0.2%
FNMA Series 1989-20,
Class A
6.750% 04/25/2018 2,449,258 2,589,686
----------------
PASS-THROUGH SECURITIES -- 0.8%
FNMA
5.500% 11/01/2016 3 3
FNMA
6.420% 11/01/2008 4,793,371 5,162,408
FNMA
6.500% 05/01/2017 1,727,572 1,828,122
FNMA
7.000% 07/01/2032 $ 822,318 $ 869,408
FNMA
7.500% 06/01/2031-
10/01/2031 1,001,216 1,076,542
FNMA
8.000% 05/01/2013-
09/01/2031 2,849,045 3,096,353
FNMA
8.500% 08/01/2026 422,718 457,400
----------------
TOTAL PASS-THROUGH SECURITIES 12,490,236
----------------
TOTAL FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA) 15,079,922
----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 5.5%
PASS-THROUGH SECURITIES
GNMA
5.000% 06/15/2033-
01/15/2034 57,368,752 55,820,991
GNMA
6.000% 08/15/2028-
02/15/2032 9,586,379 9,873,370
GNMA
6.500% 09/15/2023-
11/15/2028 4,774,721 5,021,531
GNMA
7.000% 08/15/2023-
08/15/2032 6,086,546 6,483,359
GNMA
7.250% 07/20/2021-
07/20/2022 2,539,005 2,713,264
GNMA
7.500% 01/15/2017-
06/15/2017 812,118 877,501
GNMA
8.000% 11/15/2005-
11/15/2030 1,483,734 1,627,281
GNMA
9.000% 12/15/2004-
10/15/2009 7,985 8,463
----------------
TOTAL PASS-THROUGH SECURITIES 82,425,760
----------------
OTHER AGENCIES -- 0.1%
PASS-THROUGH SECURITIES
New Valley
Generation IV
4.687% 01/15/2022 2,110,391 1,951,124
----------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $157,803,216) 157,575,172
----------------
U.S. TREASURY OBLIGATIONS -- 17.4%
U.S. TREASURY BONDS -- 4.6%
U.S. Treasury Bond+
6.125% 11/15/2027 $ 12,947,000 $ 14,193,149
U.S. Treasury Bond+
6.125% 08/15/2029 7,886,000 8,675,832
U.S. Treasury Bond+
6.875% 08/15/2025 6,555,000 7,798,402
U.S. Treasury Bond**
7.125% 02/15/2023 3,520,000 4,268,000
U.S. Treasury Bond**
7.500% 11/15/2016 8,092,000 9,978,448
U.S. Treasury Bond**
8.875% 08/15/2017 17,641,000 24,179,196
----------------
TOTAL U.S. TREASURY BONDS 69,093,027
----------------
U.S. TREASURY NOTES -- 12.8%
U.S. Treasury Note+
3.375% 11/15/2008 144,109,000 142,577,842
U.S. Treasury Note+
3.875% 02/15/2013 38,147,000 36,484,027
U.S. Treasury Note+
5.000% 08/15/2011 12,750,000 13,315,781
----------------
TOTAL U.S. TREASURY NOTES 192,377,650
----------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $260,234,377) 261,470,677
----------------
TOTAL BONDS & NOTES
(COST $1,283,189,914) 1,291,053,481
----------------
TOTAL LONG TERM INVESTMENTS
(COST $1,286,052,814) 1,293,618,147
----------------
SHORT-TERM INVESTMENTS -- 26.9%
CASH EQUIVALENTS -- 14.2%***
American AAdvantage
Select Money
Market Fund 5,713,009 5,713,009
Bank of America
Bank Note
1.500% 07/21/2004 7,855,387 7,855,387
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 7,141,260 7,141,260
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 1,856,729 1,856,729
</Table>
The accompanying notes are an integral part of the financial statements.
86
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 $ 5,974,125 $ 5,974,125
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 5,713,008 5,713,008
BGIF Prime Money
Market Fund 10,997,541 10,997,541
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 3,570,630 3,570,630
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 714,126 714,126
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 14,282,520 14,282,520
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 11,426,016 11,426,016
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 5,713,008 5,713,008
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 5,205,979 5,205,979
Fannie Mae
Discount Note
0.960% 07/01/2004 4,284,756 4,284,756
Fannie Mae
Discount Note
1.131% 07/14/2004 2,142,378 2,142,378
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 2,142,378 2,142,378
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 2,142,378 2,142,378
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 9,997,764 9,997,764
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 2,856,504 2,856,504
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 $ 2,142,378 $ 2,142,378
General Electric
Capital Corp.
1.201% 07/19/2004 3,570,630 3,570,630
General Electric
Capital Corp.
1.211% 07/21/2004 3,574,760 3,574,760
General Electric
Capital Corp.
1.211% 07/22/2004 2,135,177 2,135,177
General Electric
Capital Corp.
1.221% 07/23/2004 706,866 706,866
General Electric
Capital Corp.
1.231% 07/26/2004 3,562,822 3,562,822
Goldman Sachs
Financial Square
Prime Obligations
Money Market Fund 3,570,630 3,570,630
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 4,284,756 4,284,756
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 2,142,378 2,142,378
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 11,426,016 11,426,016
Merrill Lynch Premier
Institutional Money
Market Fund 5,161,845 5,161,845
Merrimac Cash Fund,
Premium Class 22,852,033 22,852,033
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 7,426,911 7,426,911
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 2,142,378 2,142,378
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 7,141,260 7,141,260
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 $ 7,141,260 $ 7,141,260
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 3,570,630 3,570,630
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 2,142,378 2,142,378
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 3,570,630 3,570,630
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 4,284,756 4,284,756
----------------
212,279,990
----------------
COMMERCIAL PAPER -- 12.7%
Alcoa, Inc.
1.130% 07/09/2004 2,370,000 2,369,405
Alcoa, Inc.
1.370% 08/05/2004 9,950,000 9,936,747
Autoliv ASP, Inc.++
1.170% 07/27/2004 6,040,000 6,034,896
Autoliv ASP, Inc.++
1.170% 07/28/2004 9,000,000 8,992,103
Boston
Scientific Corp.++
1.130% 07/08/2004 7,770,000 7,768,293
Boston
Scientific Corp.++
1.170% 07/16/2004 2,550,000 2,548,757
Boston
Scientific Corp.++
1.440% 08/30/2004 7,000,000 6,983,157
British Aero
North America++
1.280% 07/13/2004 4,095,000 4,093,253
British Aero
North America++
1.300% 07/12/2004 6,000,000 5,997,617
Burlington Northern
Santa Fe Corp.++
1.170% 07/30/2004 8,395,000 8,387,088
Campbell Soup Co.
1.200% 07/15/2004 5,100,000 5,097,620
Cargill, Inc.++
1.470% 09/14/2004 8,700,000 8,673,919
</Table>
The accompanying notes are an integral part of the financial statements.
87
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Countrywide Home
Loans, Inc.
1.320% 07/19/2004 $ 1,575,000 $ 1,573,961
Dow Jones & Co., Inc.++
1.280% 08/20/2004 6,180,000 6,169,013
Elsevier Finance SA++
1.280% 07/23/2004 5,200,000 5,195,933
Elsevier Finance SA++
1.290% 07/19/2004 3,290,000 3,287,878
Florida Power & Light Co.
1.200% 07/06/2004 5,250,000 5,249,125
General Mills, Inc.++
1.290% 07/26/2004 8,345,000 8,337,524
ITT Industries, Inc.++
1.310% 07/29/2004 8,000,000 7,991,849
John Deere
Capital Corp.++
1.140% 07/07/2004 6,120,000 6,118,837
Kellogg Co.++
1.110% 07/14/2004 6,145,000 6,142,537
Kellogg Co.++
1.600% 09/03/2004 7,400,000 7,381,027
Kinder Morgan
Energy Partners LP++
1.180% 07/06/2004 3,850,000 3,849,369
L'Oreal USA, Inc.++
1.300% 08/02/2004 10,000,000 9,988,444
McCormick &
Co., Inc.++
1.170% 08/31/2004 8,390,000 8,369,482
Sara Lee Corp.++
1.070% 07/01/2004 7,326,000 7,326,000
SBC International, Inc.++
1.230% 07/20/2004 7,625,000 7,620,050
SBC International, Inc.++
1.260% 07/22/2004 7,295,000 7,289,638
VF Corp.
1.330% 07/21/2004 7,815,000 7,809,225
Wisconsin Electric
Power Co.
1.080% 07/02/2004 4,305,000 4,304,871
----------------
190,887,618
----------------
TOTAL SHORT-TERM
INVESTMENTS
(COST $403,168,897) 403,167,608
----------------
TOTAL INVESTMENTS -- 113.1%
(COST $1,689,221,711)**** 1,696,785,755
OTHER ASSETS/
(LIABILITIES) -- (13.1%) (195,885,521)
----------------
NET ASSETS -- 100.0% $ 1,500,900,234
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** All or a portion of this security is segregated to cover forward purchase
commitments. (NOTE 2).
*** Represents investments of security lending collateral. (NOTE 2).
**** Aggregate cost for Federal tax purposes. (NOTE 7).
+ Denotes all or a portion of security on loan.
++ Securities exempt from registration under rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30,
2004, these securities amounted to a value of $253,104,980 or 16.9% of net
assets.
+++ Security is currently in default.
The accompanying notes are an integral part of the financial statements.
88
<Page>
MASSMUTUAL DIVERSIFIED BOND FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 0.1%
AUTOMOTIVE & PARTS -- 0.1%
General Motors Corp.
Series B
Convertible Preferred 6,250 $ 154,438
----------------
FINANCIAL SERVICES -- 0.0%
Contifinancial Corp.
Liquidating Trust 114,845 3,445
----------------
TELEPHONE UTILITIES -- 0.0%
Global Crossing Limited* 12 187
Manitoba Telecom
Services, Inc. Cl. B* 1,909 64,582
MCI, Inc. Escrow shares* 265,000 -
----------------
64,769
----------------
TOTAL EQUITIES
(COST $307,464) 222,652
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
BONDS & NOTES -- 93.9%
ASSET BACKED SECURITIES -- 1.4%
Capital Auto Receivables
Asset Trust
Series 2003-1,
Class A2A
2.270% 01/17/2006 $ 225,000 225,352
Chase Mortgage
Finance Co.
Series 2003-S11,
Class 1A-1
5.000% 10/25/2033 904,236 863,370
Ford Credit Auto Owner
Trust Series 2003-A,
Class A3A
2.200% 07/17/2006 250,000 250,234
MMCA Automobile Trust
Series 2002-3, Class A3
2.970% 03/15/2007 521,090 522,393
National City Auto
Receivables Trust
Series 2002-A, Class A4
4.830% 08/15/2009 400,000 410,438
New Century Home
Equity Loan Trust
Series 1997-NC5,
Class A6
6.700% 10/25/2028 58,797 59,615
Travelers Funding Limited
Series 1A, Class A1+
6.300% 02/18/2014 $ 416,254 $ 432,904
Vanderbilt Mortgage
and Finance, Inc.
Series 2002-C,
Class A2
4.230% 02/07/2015 300,000 301,976
----------------
TOTAL ASSET BACKED
SECURITIES
(COST $3,084,854) 3,066,282
----------------
CORPORATE DEBT -- 38.9%
Activant Solutions, Inc.
10.500% 06/15/2011 375,000 395,625
Aearo Co. I+
8.250% 04/15/2012 250,000 255,000
AEP Industries, Inc.
9.875% 11/15/2007 325,000 333,125
AES Corp.+
8.750% 05/15/2013 175,000 187,469
AES Corp.+
9.000% 05/15/2015 55,000 58,919
Ahold Finance USA, Inc.
6.250% 05/01/2009 225,000 220,500
Airgas, Inc.
6.250% 07/15/2014 125,000 119,687
Airgas, Inc. Series MTN
7.750% 09/15/2006 105,000 111,300
Alamosa Delaware, Inc.+
8.500% 01/31/2012 275,000 269,500
Alamosa Delaware, Inc.
11.000% 07/31/2010 130,000 141,700
Albertson's, Inc.
7.500% 02/15/2011 250,000 281,724
Allied Waste
North America, Inc.+
5.750% 02/15/2011 55,000 52,112
American General
Finance Corp.
5.875% 07/14/2006 175,000 183,750
American Greetings Corp.
6.100% 08/01/2028 545,000 557,262
American Honda
Finance Corp.+
3.850% 11/06/2008 200,000 196,453
American Media
Operation, Inc.
8.875% 01/15/2011 425,000 411,187
American Standard, Inc.
7.625% 02/15/2010 100,000 110,000
Ametek, Inc.
7.200% 07/15/2008 $ 690,000 $ 745,366
Anheuser-Busch
Cos., Inc.
5.050% 10/15/2016 165,000 158,849
Anheuser-Busch
Cos., Inc.
6.500% 02/01/2043 600,000 628,976
AOL Time Warner, Inc.
5.625% 05/01/2005 50,000 51,225
Appleton Papers, Inc.+
8.125% 06/15/2011 100,000 101,250
Aramark Services, Inc.
7.000% 07/15/2006 200,000 213,093
Aramark Services, Inc.
8.150% 05/01/2005 55,000 57,207
Argo-Tech Corp.+
9.250% 06/01/2011 300,000 309,000
Avnet, Inc.
8.000% 11/15/2006 20,000 21,600
Ball Corp.
6.875% 12/15/2012 200,000 203,000
Bally Total Fitness
Holding Corp.
Series D
9.875% 10/15/2007 175,000 145,250
Bausch & Lomb, Inc.
6.950% 11/15/2007 135,000 143,687
Bausch & Lomb, Inc.
7.125% 08/01/2028 385,000 385,456
BCP Caylux Holdings
Luxembourg SCA+
9.625% 06/15/2014 225,000 233,156
Belo Corp.
7.125% 06/01/2007 558,000 605,462
Blyth, Inc.
7.900% 10/01/2009 655,000 730,379
Boeing Capital Corp.
5.800% 01/15/2013 150,000 154,467
Boeing Capital Corp.
7.100% 09/27/2005 50,000 52,800
Bombardier
Capital, Inc.+
7.500% 08/15/2004 60,000 60,250
Bombardier, Inc.+
6.300% 05/01/2014 350,000 297,272
Bombardier, Inc.+
6.750% 05/01/2012 200,000 180,485
BP Capital Markets PLC
2.750% 12/29/2006 700,000 691,085
</Table>
The accompanying notes are an integral part of the financial statements.
89
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Briggs & Stratton Corp.
8.875% 03/15/2011 $ 880,000 $ 1,027,400
Buckeye Partners LP
4.625% 07/15/2013 200,000 184,326
Cablevision
Systems Corp.+
5.670% 04/01/2009 450,000 461,250
Cabot Corp.+
5.250% 09/01/2013 110,000 106,931
Cadmus
Communications Corp.+
8.375% 06/15/2014 300,000 300,000
Capitol Records, Inc.+
8.375% 08/15/2009 500,000 537,500
CarrAmerica Realty Corp.
6.625% 03/01/2005 70,000 71,605
Caterpillar Financial
Services Corp.
3.000% 02/15/2007 2,000,000 1,975,746
Cendant Corp.
6.875% 08/15/2006 75,000 80,138
CenterPoint Energy, Inc.+
3.750% 05/15/2023 50,000 56,750
Centerpoint Energy, Inc.
Series B
6.850% 06/01/2015 525,000 533,535
Certegy, Inc.
4.750% 09/15/2008 50,000 50,513
Charter Communications
Holdings, Inc.
10.750% 10/01/2009 450,000 378,000
Chesapeake Energy Corp.
6.875% 01/15/2016 250,000 243,750
Chesapeake
Energy Corp.+
7.500% 06/15/2014 175,000 180,250
Cincinnati Bell, Inc.
8.375% 01/15/2014 50,000 44,500
Cinergy Corp.
6.250% 09/01/2004 150,000 151,010
CIT Group, Inc.
4.125% 02/21/2006 275,000 279,707
CIT Group, Inc.
7.375% 04/02/2007 75,000 82,053
CNF, Inc.
8.875% 05/01/2010 85,000 98,583
Collins &
Aikman Products
11.500% 04/15/2006 500,000 492,500
Colonial Pipeline Co.+
7.630% 04/15/2032 65,000 76,610
Comcast Cable
Communications, Inc.
6.375% 01/30/2006 140,000 146,587
Comcast Corp.
5.850% 01/15/2010 $ 50,000 $ 52,173
Comcast Corp.
7.050% 03/15/2033 1,000,000 1,035,874
Consolidated
Container Co. LLC+
0.000% 06/15/2009 200,000 152,000
Consolidated Natural
Gas Co. Series C
6.250% 11/01/2011 75,000 79,798
Constellation
Brands, Inc.
8.125% 01/15/2012 200,000 213,000
Crane Co.
5.500% 09/15/2013 50,000 49,817
CSC Holdings, Inc.
7.625% 04/01/2011 300,000 300,750
CSC Holdings, Inc.
Series B
8.125% 08/15/2009 100,000 104,000
CSX Corp.
6.250% 10/15/2008 250,000 266,721
DaimlerChrysler NA Holding Corp.
4.050% 06/04/2008 100,000 98,052
DaimlerChrysler NA Holding Corp.
6.900% 09/01/2004 150,000 151,036
Del Monte Corp.
8.625% 12/15/2012 25,000 26,937
Delhaize America, Inc.
9.000% 04/15/2031 355,000 390,328
Delta Air Lines, Inc.
10.000% 08/15/2008 250,000 138,750
Deutsche Telekom
International
Finance BV
8.250% 06/15/2005 200,000 210,285
Diageo Finance BV
3.000% 12/15/2006 2,000,000 1,978,560
Dollar Financial
Group, Inc.
9.750% 11/15/2011 200,000 209,000
Dominion
Resources, Inc.
2.800% 02/15/2005 450,000 451,399
Dominion
Resources, Inc.
7.820% 09/15/2004 120,000 121,351
Domino's, Inc.
8.250% 07/01/2011 125,000 132,500
Duke Energy Corp.
1.750% 05/15/2023 100,000 100,750
Duke Energy
Field Services Corp.
7.875% 08/16/2010 $ 255,000 $ 290,615
Dunlop Standard
Aerospace
Holdings PLC+
11.875% 05/15/2009 200,000 212,500
Ecolab, Inc.
6.875% 02/01/2011 135,000 148,657
Electronic Data Systems
Corp. Series B
6.000% 08/01/2013 245,000 233,997
Elgin National Industries,
Inc. Series B
11.000% 11/01/2007 125,000 94,062
Entergy Gulf States, Inc.
5.250% 08/01/2015 425,000 401,869
Enterprise Products
Operating LP
7.500% 02/01/2011 140,000 149,801
Equifax, Inc.
4.950% 11/01/2007 625,000 644,891
ERAC USA Finance Co.+
6.700% 06/01/2034 675,000 675,954
ERAC USA Finance Co.+
6.800% 02/15/2008 100,000 108,374
Exco Resources, Inc.
7.250% 01/15/2011 275,000 279,125
Fairpoint
Communications, Inc.
11.875% 03/01/2010 175,000 199,938
FedEx Corp.+
1.390% 04/01/2005 275,000 275,321
FedEx Corp.
6.875% 02/15/2006 150,000 158,871
First Industrial LP
7.600% 05/15/2007 175,000 191,879
Fiserv, Inc.
4.000% 04/15/2008 100,000 99,228
Flextronics
International Limited
6.500% 05/15/2013 250,000 243,750
Ford Motor Co.
6.375% 02/01/2029 140,000 118,316
Ford Motor Credit Co.
5.625% 10/01/2008 575,000 580,000
Ford Motor Credit Co.
7.000% 10/01/2013 1,595,000 1,610,098
Ford Motor Credit Co.
7.375% 10/28/2009 100,000 106,723
Foster's Finance Corp.+
6.875% 06/15/2011 430,000 472,025
France Telecom SA
9.500% 03/01/2031 275,000 345,131
</Table>
The accompanying notes are an integral part of the financial statements.
90
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Franklin Resources, Inc.
3.700% 04/15/2008 $ 175,000 $ 172,300
GenCorp, Inc.
9.500% 08/15/2013 150,000 156,000
General American
Transportation Corp.
8.625% 12/01/2004 35,000 35,899
General Electric
Capital Corp.
4.250% 12/01/2010 270,000 262,493
General Mills, Inc.
2.625% 10/24/2006 800,000 782,749
General Motors
Acceptance Corp.
5.625% 05/15/2009 1,000,000 997,996
General Motors
Acceptance Corp.
6.150% 04/05/2007 400,000 417,722
General Motors Corp.
7.200% 01/15/2011 150,000 157,169
General Motors Corp.
8.375% 07/15/2033 120,000 127,019
General Nutrition
Centers, Inc.+
8.500% 12/01/2010 275,000 285,312
Georgia Gulf Corp.+
7.125% 12/15/2013 175,000 177,187
Georgia Gulf Corp.
7.625% 11/15/2005 110,000 115,500
GFSI, Inc.
9.625% 03/01/2007 850,000 816,000
Glencore Funding LLC+
6.000% 04/15/2014 450,000 417,393
Global Crossing
Holdings Limited
0.000% 11/15/2009 100,000 9,750
Goldman Sachs
Group, Inc.
5.150% 01/15/2014 1,575,000 1,512,501
Goodrich (B.F.) Co.
7.500% 04/15/2008 100,000 110,584
Great Lakes Dredge &
Dock Corp.
7.750% 12/15/2013 100,000 84,500
Harrah's Operating
Co., Inc.+
5.500% 07/01/2010 250,000 251,252
HCA, Inc.
6.950% 05/01/2012 400,000 417,330
HCA, Inc.
7.500% 11/06/2033 200,000 196,940
Hearst-Argyle
Television, Inc.
7.000% 11/15/2007 50,000 53,751
Hercules, Inc.
11.125% 11/15/2007 $ 60,000 $ 70,200
Hershey Foods Corp.
7.200% 08/15/2027 160,000 182,509
Hilton Hotels Corp.
7.950% 04/15/2007 160,000 172,800
Home Depot
Exchangeable Trust+
1.000% 02/14/2006 100,000 96,625
Host Marriott LP
Series E
8.375% 02/15/2006 100,000 105,500
Houghton Mifflin Co.
8.250% 02/01/2011 100,000 100,000
Household Finance Corp.
4.125% 12/15/2008 375,000 369,645
Household Finance Corp.
6.375% 10/15/2011 180,000 192,133
Humana, Inc.
7.250% 08/01/2006 100,000 107,196
Huntsman LLC
11.625% 10/15/2010 350,000 386,750
Idex Corp.
6.875% 02/15/2008 135,000 144,690
Imax Corp.+
9.625% 12/01/2010 250,000 234,375
Indianapolis
Power & Light+
6.300% 07/01/2013 175,000 179,618
Insight Midwest
LP/Insight Capital, Inc.
9.750% 10/01/2009 125,000 131,875
Instron Corp.
13.250% 09/15/2009 550,000 566,500
International Flavors &
Fragrances, Inc.
6.450% 05/15/2006 125,000 132,067
International
Game Technology
8.375% 05/15/2009 95,000 111,762
International Paper Co.
5.500% 01/15/2014 750,000 734,227
Interpool, Inc.
7.350% 08/01/2007 200,000 194,500
Intrawest Corp.
7.500% 10/15/2013 250,000 244,375
iStar Financial, Inc.+
5.700% 03/01/2014 170,000 159,568
iStar Financial,
Inc. Series B
4.875% 01/15/2009 85,000 82,305
Jefferies Group, Inc.
7.500% 08/15/2007 160,000 177,281
JP Morgan Chase & Co.
3.125% 12/11/2006 $ 1,500,000 $ 1,493,487
K2, Inc.+
7.375% 07/01/2014 175,000 178,063
Kansas City Southern
Railway
9.500% 10/01/2008 125,000 135,781
Kellwood Co.
7.625% 10/15/2017 385,000 408,815
Kennametal, Inc.
7.200% 06/15/2012 600,000 634,571
Kern River
Funding Corp.+
4.893% 04/30/2018 166,841 161,694
Keystone Automotive
Operations, Inc.+
9.750% 11/01/2013 150,000 160,500
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 130,000 146,566
Kinder Morgan
Energy Partners LP
5.350% 08/15/2007 150,000 156,093
Koppers, Inc.
9.875% 10/15/2013 150,000 164,250
The Kroger Co.
6.750% 04/15/2012 600,000 649,999
The Kroger Co.
7.650% 04/15/2007 250,000 275,071
Land O' Lakes, Inc.
8.750% 11/15/2011 150,000 138,000
Land O' Lakes, Inc.+
9.000% 12/15/2010 250,000 260,313
Lear Corp.
8.110% 05/15/2009 150,000 170,857
Leucadia National Corp.
7.000% 08/15/2013 235,000 232,356
Leucadia National Corp.
7.750% 08/15/2013 300,000 312,000
Liberty Media Corp.
3.500% 09/25/2006 555,000 553,993
LodgeNet
Entertainment Corp.
9.500% 06/15/2013 100,000 109,250
Lyondell Chemical Co.
9.500% 12/15/2008 300,000 313,062
Mail Well I Corp.+
7.875% 12/01/2013 350,000 318,500
Mail-Well, Inc.
9.625% 03/15/2012 100,000 107,500
Majestic Star Casino
LLC/ Majestic Star
Casino Capital
9.500% 10/15/2010 250,000 251,250
</Table>
The accompanying notes are an integral part of the financial statements.
91
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Manitowoc Co., Inc.
7.125% 11/01/2013 $ 65,000 $ 65,000
Marriott International,
Inc. Series E
7.000% 01/15/2008 650,000 707,983
Masco Corp.
6.750% 03/15/2006 155,000 164,177
MCI, Inc.
5.908% 05/01/2007 15,000 14,550
MCI, Inc.
6.688% 05/01/2009 14,999 13,874
MCI, Inc.
7.735% 05/01/2014 214,000 191,530
Mediacom
LLC/Mediacom
Capital Corp.
8.500% 04/15/2008 350,000 351,750
Merrill Lynch & Co., Inc.
4.125% 01/15/2009 775,000 764,433
Metaldyne Corp.+
10.000% 11/01/2013 50,000 49,000
Metaldyne Corp.
11.000% 06/15/2012 250,000 212,500
MGM Mirage, Inc.
6.000% 10/01/2009 200,000 196,000
MidAmerican Energy
Holdings Co.
3.500% 05/15/2008 640,000 617,339
Millipore Corp.
7.500% 04/01/2007 500,000 532,540
Mohawk Industries,
Inc. Series D
7.200% 04/15/2012 290,000 321,772
Monongahela
Power Co.+
6.700% 06/15/2014 275,000 277,624
Mrs. Fields Famous
Brands LLC/Mrs. Fields
Financing Co., Inc.+
11.500% 03/15/2011 250,000 240,000
MSX International, Inc.
11.000% 10/15/2007 100,000 97,000
MSX International, Inc.
11.375% 01/15/2008 400,000 310,000
National Rural Utilities
Cooperative
Finance Corp.
8.000% 03/01/2032 165,000 203,671
National Wine And
Spirits, Inc.
10.125% 01/15/2009 400,000 372,000
Navistar
International Corp.
7.500% 06/15/2011 150,000 153,750
New ASAT Finance
Limited+
9.250% 02/01/2011 $ 100,000 $ 99,000
Newell Rubbermaid, Inc.
4.000% 05/01/2010 75,000 71,194
News America, Inc.
Zero Coupon+
0.000% 02/28/2021 100,000 56,875
Nextel
Communications, Inc.
7.375% 08/01/2015 200,000 202,000
Nextel Partners, Inc.
11.000% 03/15/2010 150,000 167,250
Niagara Mohawk
Power Corp. Series G
7.750% 10/01/2008 150,000 168,849
Nisource Finance Corp.
3.200% 11/01/2006 135,000 133,466
Norfolk Southern Corp.
7.250% 02/15/2031 140,000 153,644
North American
Energy Partners, Inc.+
8.750% 12/01/2011 125,000 123,750
Northwest Airlines Corp.
7.875% 03/15/2008 250,000 176,250
Nova Chemicals Corp.
6.500% 01/15/2012 50,000 49,250
Nova Chemicals Corp.
7.000% 05/15/2006 200,000 209,000
NRG Energy, Inc.+
8.000% 12/15/2013 300,000 303,000
OED Corp./
DIAMOND JO LLC+
8.750% 04/15/2012 400,000 391,000
OM Group, Inc.
9.250% 12/15/2011 200,000 205,000
Pacific Energy Partners
LP/Pacific Energy
Finance Corp.+
7.125% 06/15/2014 275,000 279,125
Pacific Gas & Electric Co.
6.050% 03/01/2034 350,000 329,195
Packaging Corp. of America
5.750% 08/01/2013 175,000 173,531
Park Place
Entertainment Corp.
8.500% 11/15/2006 80,000 86,800
Park Place
Entertainment Corp.
8.875% 09/15/2008 100,000 108,500
Petroleos
Mexicanos Series P
9.500% 09/15/2027 125,000 142,500
Piedmont Natural
Gas Co. Series E
6.000% 12/19/2033 $ 175,000 $ 170,302
Pinnacle Foods
Holding Corp.+
8.250% 12/01/2013 100,000 96,500
Plains All American
Pipeline LP+
5.625% 12/15/2013 335,000 318,002
Precision Castparts Corp.
5.600% 12/15/2013 875,000 851,852
Precision Castparts Corp.
8.750% 03/15/2005 100,000 102,739
Premier Entertainment
Biloxi LLC+
10.750% 02/01/2012 100,000 105,000
Primedia, Inc.+
6.615% 05/15/2010 200,000 202,750
Procter & Gamble Co.
5.500% 02/01/2034 330,000 311,619
PSEG Energy
Holdings, Inc.
8.625% 02/15/2008 150,000 161,250
PSEG Power LLC
5.500% 12/01/2015 200,000 191,067
Quintiles
Transnational Corp.
10.000% 10/01/2013 350,000 346,500
Qwest Capital
Funding, Inc.
7.000% 08/03/2009 250,000 219,375
Qwest Capital
Funding, Inc.
7.750% 02/15/2031 70,000 54,950
Qwest Corp.+
9.125% 03/15/2012 70,000 75,600
Rayovac Corp.
8.500% 10/01/2013 50,000 52,500
Raytheon Co.
6.500% 07/15/2005 250,000 258,787
Rent-A-Center, Inc.
7.500% 05/01/2010 150,000 153,750
Rent-Way, Inc.
11.875% 06/15/2010 175,000 192,062
River Rock
Entertainment Authority
9.750% 11/01/2011 125,000 136,250
Rogers Cable, Inc.
5.500% 03/15/2014 275,000 242,979
Rogers Wireless
Communications, Inc.
6.375% 03/01/2014 200,000 184,000
Ryder System, Inc.
6.600% 11/15/2005 500,000 522,173
</Table>
The accompanying notes are an integral part of the financial statements.
92
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Sea Containers Limited
10.500% 05/15/2012 $ 200,000 $ 200,750
Servicemaster Co.
8.450% 04/15/2005 61,000 62,702
Ship Finance
International Limited+
8.500% 12/15/2013 600,000 579,000
Simon Property
Group LP
6.875% 11/15/2006 175,000 185,381
Simon Property
Group LP
7.375% 01/20/2006 100,000 106,709
Six Flags, Inc.+
9.625% 06/01/2014 125,000 124,375
Six Flags, Inc.
9.750% 04/15/2013 100,000 100,500
SLM Corp.
5.625% 08/01/2033 325,000 293,011
Smithfield Foods,
Inc. Series B
7.750% 05/15/2013 200,000 210,000
Sonat, Inc.
7.625% 07/15/2011 225,000 200,812
Sony Capital Corp.+
4.950% 11/01/2006 75,000 77,673
Special Devices,
Inc. Series B
11.375% 12/15/2008 800,000 768,000
Sprint Capital Corp.
6.900% 05/01/2019 500,000 502,978
Sprint Capital Corp.
7.900% 03/15/2005 125,000 129,575
Sprint Capital Corp.
8.375% 03/15/2012 130,000 149,413
SPX Corp.
6.250% 06/15/2011 125,000 121,563
Steelcase, Inc.
6.375% 11/15/2006 625,000 644,048
SuperValu, Inc.
7.500% 05/15/2012 100,000 112,110
SuperValu, Inc.
7.875% 08/01/2009 250,000 282,372
TD Funding Corp.
8.375% 07/15/2011 75,000 76,125
Tekni-Plex, Inc. Series B
12.750% 06/15/2010 710,000 681,600
Telex
Communications, Inc.
11.500% 10/15/2008 375,000 397,500
Tenet Healthcare Corp.
6.375% 12/01/2011 180,000 157,500
Tenet Healthcare Corp.
7.375% 02/01/2013 300,000 271,500
Tenneco Automotive Inc.
10.250% 07/15/2013 $ 125,000 $ 141,250
Tenneco Automotive, Inc.
11.625% 10/15/2009 400,000 430,000
Textron Financial
Corp. Series E
2.690% 10/03/2006 155,000 152,605
Thomas & Betts Corp.
6.500% 01/15/2006 185,000 191,985
The Thomson Corp.
6.200% 01/05/2012 70,000 74,627
Timken Co. Series A
6.750% 08/21/2006 502,000 523,764
Toro Co.
7.800% 06/15/2027 590,000 633,589
Toyota Motor Credit Corp.
4.350% 12/15/2010 500,000 492,731
TransAlta Corp.
5.750% 12/15/2013 1,000,000 990,142
Tricon Global
Restaurants, Inc.
8.875% 04/15/2011 250,000 301,682
Tri-State Generation &
Transmission
Association
Series 2003, Class A+
6.040% 01/31/2018 150,000 150,070
Tri-State Generation &
Transmission
Association
Series 2003, Class B+
7.144% 07/31/2033 290,000 301,043
Triton PCS, Inc.
8.500% 06/01/2013 125,000 118,125
TTX Co.+
4.500% 12/15/2010 1,000,000 953,004
Tyco International
Group SA
6.000% 11/15/2013 500,000 514,006
Tyco International
Group SA
6.375% 10/15/2011 30,000 31,913
Tyco International
Group SA
6.875% 01/15/2029 485,000 507,751
Unisys Corp.
7.875% 04/01/2008 125,000 127,812
United Rentals
North America, Inc.
7.000% 02/15/2014 500,000 445,000
United Rentals
North America, Inc.
7.750% 11/15/2013 300,000 283,500
Universal
Health Services, Inc.
6.750% 11/15/2011 $ 165,000 $ 175,773
USA Interactive
7.000% 01/15/2013 800,000 862,721
Verizon Global
Funding Corp.
7.750% 12/01/2030 175,000 196,556
Verizon Virginia,
Inc. Series A
4.625% 03/15/2013 610,000 569,583
VICORP
Restaurants, Inc.+
10.500% 04/15/2011 350,000 348,250
Von Hoffman Corp.
10.250% 03/15/2009 50,000 51,437
Von Hoffmann
Press, Inc.
10.375% 05/15/2007 50,000 50,312
Vought Aircraft
Industries, Inc.+
8.000% 07/15/2011 225,000 213,750
The Walt Disney Co.
6.750% 03/30/2006 150,000 158,893
Warner Music Group+
7.375% 04/15/2014 150,000 144,750
Washington Mutual, Inc.
2.400% 11/03/2005 450,000 446,875
Weingarten Realty
Investors REIT Series A
4.857% 01/15/2014 720,000 682,334
Westinghouse
Air Brake Co.
6.875% 07/31/2013 100,000 99,000
Weyerhaeuser Co.
5.500% 03/15/2005 97,000 99,051
The Williams
Companies, Inc.
8.125% 03/15/2012 150,000 160,125
The Williams
Companies, Inc.
8.625% 06/01/2010 125,000 137,500
Williams Gas Pipelines
Central, Inc.+
7.375% 11/15/2006 70,000 74,812
Williams Scotsman, Inc.
9.875% 06/01/2007 350,000 347,375
The Wornick Co.+
10.875% 07/15/2011 200,000 204,500
WPP Finance (USA) Corp.
6.625% 07/15/2005 135,000 137,402
XTO Energy, Inc.
4.900% 02/01/2014 375,000 353,089
</Table>
The accompanying notes are an integral part of the financial statements.
93
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
XTO Energy, Inc.
6.250% 04/15/2013 $ 125,000 $ 130,032
York International Corp.
6.700% 06/01/2008 365,000 389,653
----------------
TOTAL CORPORATE DEBT
(COST $85,588,009) 85,553,145
----------------
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 6.4%
COLLATERALIZED MORTGAGE OBLIGATIONS
ABN AMRO Mortgage
Corp. Series 2003-12,
Class 1A
5.000% 12/25/2033 940,916 898,394
Countrywide Home Loans,
Inc. Series 2003-42,
Class 1A1
3.829% 09/25/2033 589,205 587,237
Countrywide Home Loans,
Inc. Series 2004-23,
Class 1A1
4.445% 02/25/2034 564,653 567,623
CS First Boston Mortgage
Securities Corp.
Series 2003-7,
Class 1A24
4.500% 02/25/2033 750,000 753,138
CS First Boston Mortgage
Securities Corp.
Series 2004-C1,
Class A1
2.254% 01/15/2037 639,891 626,035
GE Capital Commercial
Mortgage Corp.
Series 2002-1A,
Class A1
5.033% 12/10/2035 237,734 244,165
GMAC Mortgage Corp.
Loan Trust
Series 2001-J5,
Class A7
6.750% 11/25/2031 122,066 122,066
GSR Mortgage Loan
Trust Series 2002-8F,
Class 3AA1
6.500% 09/25/2032 21,139 21,244
IndyMac Bancorp, Inc.
Mortgage Loan Trust
Series 2004-AR4,
Class 1A
4.820% 06/30/2034 1,700,000 1,719,125
MASTR Asset
Securitization Trust
Series 2002-6,
Class 6A1
6.500% 10/25/2032 $ 38,696 $ 39,657
MASTR Asset
Securitization Trust
Series 2003-12,
Class 6A1
5.000% 12/25/2033 1,433,933 1,369,123
Merrill Lynch Mortgage
Investors, Inc.
Series 2003-A4,
Class IA
4.317% 07/25/2033 554,129 557,459
Merrill Lynch Mortgage
Investors, Inc.
Series 2004-A1,
Class IA
4.216% 02/25/2034 278,931 279,945
Morgan Stanley Mortgage
Loan Trust
Series 2004-2AR,
Class PT3
5.248% 02/25/2034 143,084 145,228
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1+
5.323% 02/18/2034 79,286 80,441
Structured Adjustable
Rate Mortgage Loan
Trust Series 2004-2,
Class 2A
5.095% 03/25/2034 1,097,814 1,108,419
Structured Asset
Securities Corp.
Series 2002-11A,
Class 2A1
5.600% 06/25/2032 509,623 518,541
Structured Asset
Securities Corp.
Series 2003-30,
Class 1A1
5.500% 10/25/2033 354,311 348,509
Vendee Mortgage Trust
Series 1992-1,
Class 2Z
7.750% 05/15/2022 93,500 98,541
Washington Mutual MSC
Mortgage Pass-Through
Certificates
Series 2004-RA1,
Class 2A
7.000% 03/25/2034 $ 1,303,531 $ 1,349,244
Washington Mutual, Inc.
Series 2003-S11,
Class A1
5.000% 11/25/2033 1,171,732 1,118,778
Washington Mutual, Inc.
Series 2004-AR2,
Class A
2.574% 04/25/2044 1,492,948 1,497,000
----------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $14,238,329) 14,049,912
----------------
SOVEREIGN DEBT OBLIGATIONS -- 0.5%
Chile Government
International Bond
5.500% 01/15/2013 100,000 100,260
Republic of South Africa
6.500% 06/02/2014 500,000 505,000
United Mexican States
8.375% 01/14/2011 375,000 423,750
----------------
TOTAL SOVEREIGN DEBT
OBLIGATIONS
(COST $1,015,575) 1,029,010
----------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 20.3%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 3.1%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.1%
FHLMC
Series 2178, Class PB
7.000% 08/15/2029 250,000 264,030
----------------
PASS-THROUGH SECURITIES -- 3.0%
FHLMC
5.500% 06/01/2017-
11/01/2031 359,951 363,731
FHLMC
6.000% 04/01/2017-
02/01/2018 116,754 121,876
FHLMC
6.625% 09/15/2009 5,300,000 5,863,465
FHLMC
7.000% 09/01/2031 37,286 39,421
</Table>
The accompanying notes are an integral part of the financial statements.
94
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
FHLMC
7.500% 09/01/2024-
02/01/2030 $ 195,443 $ 211,707
----------------
TOTAL PASS-THROUGH SECURITIES 6,600,200
----------------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) 6,864,230
----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 1.5%
PASS-THROUGH SECURITIES
FNMA
4.500% 09/01/2018 152,573 149,307
FNMA
5.000% 03/01/2018-
09/01/2033 2,119,301 2,069,881
FNMA
5.500% 03/01/2017-
02/01/2018 532,688 546,147
FNMA
6.420% 11/01/2008 209,908 226,069
FNMA
6.500% 07/01/2016 55,837 59,087
FNMA
7.500% 04/01/2031-
06/01/2031 117,976 126,851
----------------
TOTAL PASS-THROUGH SECURITIES 3,177,342
----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 15.7%
PASS-THROUGH SECURITIES
GNMA
5.000% 08/15/2033-
06/15/2034 22,246,302 21,629,635
GNMA
5.500% 06/15/2033 11,333,792 11,355,043
GNMA
6.000% 03/15/2033 415,523 426,479
GNMA
6.500% 03/15/2031-
09/15/2032 688,331 721,820
GNMA
7.000% 10/15/2027-
08/15/2032 355,265 379,341
GNMA
8.000% 08/15/2026-
03/15/2027 76,733 84,874
----------------
TOTAL PASS-THROUGH SECURITIES 34,597,192
----------------
OTHER AGENCIES -- 0.0%
PASS-THROUGH SECURITIES
New Valley
Generation IV
4.687% 01/15/2022 $ 97,478 $ 90,121
----------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $45,608,802) 44,728,885
----------------
U.S. TREASURY OBLIGATIONS -- 26.4%
U.S. TREASURY BONDS -- 4.6%
U.S. Treasury Bond
6.125% 08/15/2029 7,590,000 8,350,186
U.S. Treasury Bond
7.125% 02/15/2023 1,500,000 1,818,750
----------------
TOTAL U.S. TREASURY BONDS 10,168,936
----------------
U.S. TREASURY NOTES -- 21.8%
U.S. Treasury Note
1.875% 11/30/2005 10,000,000 9,929,688
U.S. Treasury Note
2.000% 05/15/2006 3,250,000 3,211,914
U.S. Treasury Note
3.375% 11/15/2008 24,605,000 24,343,572
U.S. Treasury Note
3.875% 02/15/2013 720,000 688,612
U.S. Treasury Note
4.375% 05/15/2007 6,000,000 6,202,500
U.S. Treasury Note
5.000% 08/15/2011 3,250,000 3,394,219
----------------
TOTAL U.S. TREASURY NOTES 47,770,505
----------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $58,549,234) 57,939,441
----------------
TOTAL BONDS & NOTES
(COST $208,084,803) 206,366,675
----------------
TOTAL LONG TERM INVESTMENTS
(COST $208,392,267) 206,589,327
----------------
SHORT-TERM INVESTMENTS -- 5.2%
COMMERCIAL PAPER
Alcoa, Inc.
1.320% 07/07/2004 2,970,000 2,969,347
Baxter International, Inc.
1.170% 07/01/2004 2,675,000 2,675,000
Pearson Holdings, Inc.
1.300% 07/08/2004 $ 1,385,000 $ 1,384,650
Sara Lee Corp.+
1.120% 07/02/2004 1,565,000 1,564,951
Wisconsin Electric
Power Co.
1.250% 07/06/2004 2,895,000 2,894,497
----------------
11,488,445
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 11,488,445
----------------
TOTAL INVESTMENTS -- 99.2%
(COST $219,880,712)** 218,077,772
OTHER ASSETS/
(LIABILITIES) -- 0.8% 1,691,937
----------------
NET ASSETS -- 100.0% $ 219,769,709
================
</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. At June 30,
2004, these securities amounted to a value of $16,563,480 or 7.5% of net
assets.
The accompanying notes are an integral part of the financial statements.
95
<Page>
MASSMUTUAL BALANCED FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 61.8%
ADVERTISING -- 0.1%
Omnicom Group, Inc. 3,400 $ 258,026
----------------
AEROSPACE & DEFENSE -- 1.5%
Boeing Co. 28,500 1,456,065
General Dynamics Corp. 5,200 516,360
Goodrich Corp. 4,500 145,485
Honeywell
International, Inc. 13,500 494,505
Lockheed Martin Corp. 4,700 244,776
Northrop Grumman Corp. 4,000 214,800
Raytheon Co. 7,500 268,275
Rockwell Collins, Inc. 3,000 99,960
United Technologies Corp. 8,700 795,876
----------------
4,236,102
----------------
APPAREL, TEXTILES & SHOES -- 0.5%
The Gap, Inc.+ 22,000 533,500
Jones Apparel Group, Inc. 2,300 90,804
Limited Brands 7,600 142,120
Liz Claiborne, Inc. 2,300 82,754
Nike, Inc. Cl. B 4,300 325,725
Nordstrom, Inc. 3,600 153,396
Reebok International
Limited+ 1,100 39,578
VF Corp.+ 3,000 146,100
----------------
1,513,977
----------------
AUTOMOTIVE & PARTS -- 0.9%
AutoNation, Inc.* 17,800 304,380
Cooper Tire & Rubber Co. 8,200 188,600
Dana Corp. 7,000 137,200
Delphi Corp.+ 9,200 98,256
Ford Motor Co.+ 51,100 799,715
General Motors Corp. 8,500 396,015
Genuine Parts Co. 4,800 190,464
Harley-Davidson, Inc. 2,700 167,238
Paccar, Inc. 3,375 195,716
----------------
2,477,584
----------------
BANKING, SAVINGS & LOANS -- 7.3%
AmSouth Bancorp 300 7,641
Bank of America Corp. 40,328 3,412,555
Bank of New York Co., Inc. 7,400 218,152
Bank One Corp. 18,300 933,300
BB&T Corp. 1,400 51,758
Capital One Financial Corp. 6,400 437,632
Charter One Financial, Inc. 4,282 189,222
Citigroup, Inc. 86,300 4,012,950
Comerica, Inc. 100 5,488
Fannie Mae 15,700 1,120,352
Fifth Third Bancorp 1,000 $ 53,780
First Horizon
National Corp. 2,200 100,034
Freddie Mac 22,200 1,405,260
Golden West
Financial Corp. 2,600 276,510
J.P. Morgan Chase & Co. 51,900 2,012,163
KeyCorp 10,600 316,834
Marshall and Ilsley Corp. 4,000 156,360
National City Corp. 9,900 346,599
North Fork
Bancorporation, Inc.+ 100 3,805
Northern Trust Corp. 2,200 93,016
Providian Financial Corp.* 18,500 271,395
Regions Financial Corp.+ 2,200 80,410
SLM Corp. 1,400 56,630
SouthTrust Corp. 400 15,524
State Street Corp. 5,600 274,624
SunTrust Banks, Inc.+ 4,800 311,952
U.S. Bancorp 31,500 868,140
Union Planters Corp. 350 10,434
Wachovia Corp. 34,900 1,553,050
Washington Mutual, Inc. 14,600 564,144
Wells Fargo & Co. 27,700 1,585,271
Zions Bancorp 900 55,305
----------------
20,800,290
----------------
BEVERAGES -- 1.3%
Anheuser-Busch
Companies, Inc. 4,500 243,000
Brown-Forman Corp. Cl. B 200 9,654
The Coca-Cola Co. 34,100 1,721,368
Coca-Cola Enterprises, Inc. 13,100 379,769
Coors (Adolph) Co. Cl. B+ 600 43,404
The Pepsi Bottling
Group, Inc. 7,400 225,996
PepsiCo, Inc. 21,600 1,163,808
----------------
3,786,999
----------------
BROADCASTING, PUBLISHING & PRINTING -- 1.6%
Clear Channel
Communications, Inc. 10,400 384,280
Comcast Corp. Cl. A* 13,500 378,405
Dow Jones & Co., Inc.+ 1,700 76,670
Gannett Co., Inc. 4,600 390,310
Knight Ridder, Inc. 800 57,600
The McGraw-Hill
Companies, Inc. 3,400 260,338
Meredith Corp. 1,000 54,960
New York Times Co. Cl. A 1,500 67,065
Time Warner, Inc.* 96,000 1,687,680
Tribune Co. 600 $ 27,324
Viacom, Inc. Cl. B 29,600 1,057,312
----------------
4,441,944
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.3%
Louisiana-Pacific Corp.+ 12,300 290,895
Masco Corp. 16,300 508,234
Vulcan Materials Co.+ 1,300 61,815
----------------
860,944
----------------
CHEMICALS -- 0.7%
Air Products &
Chemicals, Inc. 3,900 204,555
Ashland, Inc. 1,200 63,372
Dow Chemical Co. 15,500 630,850
Du Pont (E.I.) de
Nemours & Co. 700 31,094
Engelhard Corp. 1,500 48,465
Hercules, Inc.* 2,100 25,599
International Flavors &
Fragrances, Inc. 1,600 59,840
Monsanto Co. 4,300 165,550
PPG Industries, Inc. 4,500 281,205
Praxair, Inc. 5,500 219,505
Rohm & Haas Co. 3,800 158,004
----------------
1,888,039
----------------
COMMERCIAL SERVICES -- 1.0%
Allied Waste
Industries, Inc.* 7,500 98,850
Apollo Group, Inc. Cl. A* 1,800 158,922
Block (H&R), Inc.+ 3,100 147,808
Cendant Corp. 27,300 668,304
Convergys Corp.* 2,400 36,960
eBay, Inc.* 4,500 413,775
Equifax, Inc. 5,400 133,650
Moody's Corp. 2,400 155,184
Paychex, Inc. 6,100 206,668
PerkinElmer, Inc. 17,600 352,704
Quest Diagnostics, Inc. 1,500 127,425
Robert Half
International, Inc. 1,800 53,586
Ryder System, Inc.+ 1,100 44,077
Waste Management, Inc. 10,700 327,955
----------------
2,925,868
----------------
COMMUNICATIONS -- 1.5%
Andrew Corp.+ * 2,700 54,027
Avaya, Inc.* 10,000 157,900
Citizens
Communications Co.* 4,900 59,290
Lucent
Technologies, Inc.+ * 65,900 249,102
</Table>
The accompanying notes are an integral part of the financial statements.
96
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Network Appliance, Inc.* 6,100 $ 131,333
Nextel Communications,
Inc. Cl. A* 17,900 477,214
Qualcomm, Inc. 17,400 1,269,852
SBC Communications, Inc. 57,659 1,398,231
Scientific-Atlanta, Inc. 2,600 89,700
Tellabs, Inc.+ * 29,200 255,208
----------------
4,141,857
----------------
COMMUNICATIONS EQUIPMENT -- 0.4%
Motorola, Inc. 55,100 1,005,575
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.2%
Autodesk, Inc. 8,000 342,480
Computer Sciences Corp.* 3,100 143,933
Parametric
Technology Corp.* 4,595 22,975
Teradyne, Inc.* 3,300 74,910
Unisys Corp.* 3,300 45,804
----------------
630,102
----------------
COMPUTER PROGRAMMING SERVICES -- 0.0%
Mercury
Interactive Corp.+ * 1,400 69,762
----------------
COMPUTERS & INFORMATION -- 2.1%
Apple Computer, Inc.* 6,900 224,526
Cisco Systems, Inc.* 117,400 2,782,380
Comverse
Technology, Inc.* 2,700 53,838
Dell, Inc.* 43,400 1,554,588
EMC Corp.* 21,300 242,820
Gateway, Inc.* 5,800 26,100
International
Game Technology 6,300 243,180
Jabil Circuit, Inc.+ * 6,900 173,742
Lexmark
International, Inc.* 4,700 453,691
Solectron Corp.* 14,600 94,462
Symbol Technologies, Inc. 3,500 51,590
----------------
5,900,917
----------------
COMPUTERS & OFFICE EQUIPMENT -- 1.4%
Hewlett-Packard Co. 51,600 1,088,760
International Business
Machines Corp. 28,700 2,529,905
Pitney Bowes, Inc. 3,800 168,150
Xerox Corp.+ * 12,900 187,050
----------------
3,973,865
----------------
CONTAINERS -- 0.2%
Ball Corp. 1,200 86,460
Bemis Co., Inc.+ 2,300 64,975
Pactiv Corp.* 3,600 89,784
Sealed Air Corp.* 1,400 $ 74,578
Temple-Inland, Inc. 1,900 131,575
----------------
447,372
----------------
COSMETICS & PERSONAL CARE -- 1.5%
Alberto-Culver Co. 1,800 90,252
Avon Products, Inc. 4,800 221,472
Colgate-Palmolive Co. 5,900 344,855
The Gillette Co. 18,000 763,200
Kimberly-Clark Corp. 5,800 382,104
The Procter & Gamble Co. 46,400 2,526,016
----------------
4,327,899
----------------
DATA PROCESSING & PREPARATION -- 0.6%
Affiliated Computer
Services, Inc. Cl. A* 1,300 68,822
Automatic Data
Processing, Inc. 9,900 414,612
Deluxe Corp.+ 1,000 43,500
First Data Corp. 15,000 667,800
Fiserv, Inc.* 3,500 136,115
IMS Health, Inc. 4,400 103,136
NCR Corp.* 5,900 292,581
----------------
1,726,566
----------------
ELECTRIC UTILITIES -- 1.2%
Ameren Corp.+ 2,900 124,584
American Electric
Power Co.+ 6,400 204,800
CenterPoint Energy, Inc.+ 12,400 142,600
Cinergy Corp.+ 3,100 117,800
CMS Energy Corp.+ * 2,900 26,477
Consolidated Edison, Inc.+ 1,400 55,664
Constellation Energy
Group, Inc. 3,100 117,490
Dominion Resources, Inc. 1,400 88,312
DTE Energy Co. 2,900 117,566
Duke Energy Corp. 1,600 32,464
Edison International 5,900 150,863
Entergy Corp. 3,600 201,636
Exelon Corp. 11,800 392,822
FirstEnergy Corp. 3,600 134,676
FPL Group, Inc. 3,000 191,850
NiSource, Inc. 4,300 88,666
PG&E Corp.* 6,800 189,992
Pinnacle West Capital Corp. 1,000 40,390
PPL Corp. 3,100 142,290
Progress Energy, Inc.+ 4,200 185,010
Public Service
Enterprise Group, Inc.+ 4,200 168,126
Southern Co.+ 12,600 367,290
Teco Energy, Inc.+ 3,300 39,567
TXU Corp. 5,300 214,703
----------------
3,535,638
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 3.9%
Advanced Micro
Devices, Inc.* 5,700 $ 90,630
Altera Corp.* 6,500 144,430
Analog Devices, Inc. 6,100 287,188
Applied Micro
Circuits Corp.* 5,800 30,856
Broadcom Corp. Cl. A* 5,300 247,881
Emerson Electric Co. 6,700 425,785
General Electric Co. 147,600 4,782,240
Intel Corp. 109,700 3,027,720
Linear Technology Corp. 5,200 205,244
LSI Logic Corp.* 14,500 110,490
Maxim Integrated
Products, Inc. 5,700 298,794
Micron Technology, Inc.* 5,300 81,143
Molex, Inc. 1,900 60,952
National
Semiconductor Corp.* 5,800 127,542
PMC-Sierra, Inc.+ * 3,000 43,050
Rockwell Automation, Inc. 3,700 138,787
Sanmina-SCI Corp.* 13,400 121,940
Texas Instruments, Inc. 28,300 684,294
Thomas & Betts Corp. 1,000 27,230
Xilinx, Inc. 5,900 196,529
----------------
11,132,725
----------------
ENERGY -- 4.4%
Amerada Hess Corp. 3,400 269,246
Anadarko Petroleum Corp. 6,000 351,600
Apache Corp. 5,300 230,815
BJ Services Co.* 2,700 123,768
Burlington Resources, Inc. 3,600 130,248
ChevronTexaco Corp. 22,900 2,155,119
ConocoPhillips 18,200 1,388,478
Devon Energy Corp. 5,800 382,800
EOG Resources, Inc. 1,700 101,507
Exxon Mobil Corp. 100,700 4,472,087
Halliburton Co. 8,200 248,132
Kerr-McGee Corp. 1,600 86,032
KeySpan Corp. 1,800 66,060
Kinder Morgan, Inc. 2,100 124,509
Marathon Oil Corp. 5,700 215,688
Nabors Industries Limited* 2,500 113,050
Nicor, Inc. 800 27,176
Noble Corp.* 1,300 49,257
Occidental
Petroleum Corp. 6,200 300,142
Peoples Energy Corp. 700 29,505
Schlumberger Limited 9,900 628,749
Sempra Energy 6,400 220,352
Sunoco, Inc. 800 50,896
Transocean, Inc.* 8,200 237,308
Unocal Corp. 3,900 148,200
</Table>
The accompanying notes are an integral part of the financial statements.
97
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Valero Energy Corp. 3,100 $ 228,656
Xcel Energy, Inc.+ 6,900 115,299
----------------
12,494,679
----------------
ENTERTAINMENT & LEISURE -- 0.4%
Brunswick Corp. 1,000 40,800
Harrah's
Entertainment, Inc. 3,000 162,300
The Walt Disney Co. 34,800 887,052
----------------
1,090,152
----------------
FINANCIAL SERVICES -- 2.6%
American Express Co. 11,900 611,422
Apartment Investment &
Management Co. Cl. A+ 200 6,226
Bear Stearns
Companies, Inc.+ 3,400 286,654
Countrywide
Financial Corp. 8,449 593,542
E Trade Financial Corp.* 9,100 101,465
Franklin Resources, Inc. 3,800 190,304
The Goldman Sachs
Group, Inc. 12,400 1,167,584
Huntington
Bancshares, Inc. 4,500 103,050
Lehman Brothers
Holdings, Inc. 8,100 609,525
MBNA Corp. 21,000 541,590
Merrill Lynch & Co., Inc. 23,600 1,273,928
Morgan Stanley 26,500 1,398,405
PNC Financial Services
Group, Inc. 4,400 233,552
Price (T. Rowe)
Group, Inc. 1,500 75,600
ProLogis Trust 1,700 55,964
Simon Property
Group, Inc.+ 400 20,568
----------------
7,269,379
----------------
FOODS -- 0.9%
Archer-Daniels-
Midland Co. 17,200 288,616
Campbell Soup Co. 4,500 120,960
ConAgra Foods, Inc. 6,000 162,480
General Mills, Inc. 2,400 114,072
Heinz (H. J.) Co. 900 35,280
Hershey Foods Corp. 4,600 212,842
Kellogg Co. 6,600 276,210
The Kroger Co.* 12,600 229,320
McCormick & Co., Inc. 300 10,200
Safeway, Inc.+ * 4,300 108,962
Sara Lee Corp.+ 12,900 296,571
Starbucks Corp.* 4,500 195,660
SuperValu, Inc. 2,400 73,464
Sysco Corp. 11,100 $ 398,157
Wrigley (Wm.) Jr. Co. 1,000 63,050
----------------
2,585,844
----------------
FOREST PRODUCTS & PAPER -- 0.3%
Boise Cascade Corp. 1,100 41,404
Georgia-Pacific Corp. 8,800 325,424
International Paper Co. 4,400 196,680
MeadWestvaco Corp. 3,300 96,987
Plum Creek
Timber Co., Inc. 2,700 87,966
Weyerhaeuser Co. 3,900 246,168
----------------
994,629
----------------
HEALTHCARE -- 0.5%
Caremark Rx, Inc.* 6,300 207,522
Express Scripts, Inc.* 1,300 102,999
HCA, Inc. 5,100 212,109
Health Management
Associates, Inc. Cl. A+ 100 2,242
Humana, Inc.* 2,800 47,320
Manor Care, Inc. 1,300 42,484
UnitedHealth Group, Inc. 10,600 659,850
Wellpoint Health
Networks, Inc.* 2,600 291,226
----------------
1,565,752
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.3%
Centex Corp. 4,900 224,175
KB Home+ 4,400 301,972
Leggett & Platt, Inc. 2,900 77,459
Maytag Corp. 1,200 29,412
Pulte Homes, Inc. 3,000 156,090
Whirlpool Corp.+ 1,600 109,760
----------------
898,868
----------------
HOUSEHOLD PRODUCTS -- 0.3%
Black & Decker Corp.+ 2,300 142,899
The Clorox Co. 3,700 198,986
Corning, Inc.* 21,000 274,260
Fortune Brands, Inc. 1,300 98,059
Sherwin-Williams Co. 2,300 95,565
Snap-On, Inc. 500 16,775
The Stanley Works+ 2,500 113,950
----------------
940,494
----------------
INDUSTRIAL - DISTRIBUTION -- 0.1%
Grainger (W.W.), Inc. 2,600 149,500
----------------
INDUSTRIAL - DIVERSIFIED -- 1.4%
3M Co. 13,200 1,188,132
Cooper Industries
Limited Cl. A 5,100 302,991
Danaher Corp. 5,200 269,620
Eaton Corp. 2,800 181,272
Illinois Tool Works, Inc. 5,100 $ 489,039
ITT Industries, Inc. 1,500 124,500
Textron, Inc. 4,900 290,815
Tyco International
Limited+ 33,789 1,119,767
----------------
3,966,136
----------------
INFORMATION RETRIEVAL SERVICES -- 0.3%
Yahoo!, Inc.* 21,400 777,462
----------------
INSURANCE -- 3.9%
ACE Limited 10,000 422,800
Aetna, Inc. 4,100 348,500
AFLAC, Inc. 8,500 346,885
Allstate Corp. 26,800 1,247,540
Ambac Financial
Group, Inc. 1,600 117,504
American International
Group, Inc. 33,700 2,402,136
Anthem, Inc.+ * 2,600 232,856
Aon Corp. 5,500 156,585
Chubb Corp. 6,800 463,624
Cigna Corp. 5,000 344,050
Cincinnati Financial Corp. 1,680 73,114
The Hartford Financial
Services Group, Inc. 10,600 728,644
Jefferson-Pilot Corp.+ 150 7,620
Lincoln National Corp. 4,600 217,350
Loews Corp. 6,800 407,728
Marsh & McLennan
Companies, Inc.+ 4,600 208,748
MBIA, Inc. 2,200 125,664
Metlife, Inc. 12,700 455,295
MGIC Investment Corp. 900 68,274
Principal Financial
Group, Inc. 5,700 198,246
Progressive Corp. 3,600 307,080
Prudential Financial, Inc. 9,000 418,230
Safeco Corp. 6,800 299,200
St. Paul
Travelers Companies 25,322 1,026,554
Torchmark Corp. 100 5,380
UnumProvident Corp.+ 5,200 82,680
XL Capital Limited Cl. A 4,900 369,754
----------------
11,082,041
----------------
LODGING -- 0.2%
Hilton Hotels Corp. 9,900 184,734
Marriott International,
Inc. Cl. A+ 4,100 204,508
Starwood Hotels & Resorts
Worldwide, Inc. 3,900 174,915
----------------
564,157
----------------
MACHINERY & COMPONENTS -- 0.7%
Baker Hughes, Inc. 8,700 327,555
Caterpillar, Inc. 5,900 468,696
</Table>
The accompanying notes are an integral part of the financial statements.
98
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Cummins, Inc. 5,600 $ 350,000
Deere & Co. 4,100 287,574
Dover Corp. 3,700 155,770
Ingersoll-Rand Co. Cl. A 3,000 204,930
Pall Corp.+ 2,300 60,237
Parker-Hannifin Corp. 1,900 112,974
----------------
1,967,736
----------------
MANUFACTURING -- 0.3%
American Standard
Companies, Inc.* 3,600 145,116
Applied Materials, Inc.* 28,500 559,170
Avery Dennison Corp. 1,800 115,218
----------------
819,504
----------------
MEDICAL SUPPLIES -- 1.2%
Agilent Technologies, Inc.* 11,800 345,504
Allergan, Inc. 300 26,856
Applied Biosystems
Group-Applera Corp. 3,500 76,125
Bard (C.R.), Inc. 2,000 113,300
Bausch & Lomb, Inc. 2,300 149,661
Baxter International, Inc. 6,600 227,766
Becton, Dickinson & Co.+ 4,600 238,280
Biomet, Inc. 700 31,108
Guidant Corp. 700 39,116
Medtronic, Inc. 14,500 706,440
St. Jude Medical, Inc.* 300 22,695
Stryker Corp.+ 17,000 935,000
Tektronix, Inc. 10,000 340,200
Thermo Electron Corp.* 2,500 76,850
Waters Corp.* 1,300 62,114
Zimmer Holdings, Inc.* 900 79,380
----------------
3,470,395
----------------
METALS & MINING -- 0.4%
Alcoa, Inc. 14,500 478,935
Crane Co. 1,000 31,390
Newmont Mining Corp. 900 34,884
Nucor Corp. 4,200 322,392
Phelps Dodge Corp.* 2,400 186,024
United States Steel Corp.+ 1,900 66,728
----------------
1,120,353
----------------
PHARMACEUTICALS -- 5.4%
Abbott Laboratories 13,700 558,412
AmerisourceBergen Corp. 2,800 167,384
Amgen, Inc.* 22,500 1,227,825
Bristol-Myers Squibb Co. 34,000 833,000
Cardinal Health, Inc. 1,700 119,085
Eli Lilly & Co. 12,100 845,911
Hospira, Inc.* 2,040 56,304
Johnson & Johnson 52,000 2,896,400
King
Pharmaceuticals, Inc.* 4,300 49,235
McKesson Corp. 5,900 $ 202,547
Medco Health
Solutions, Inc.* 3,556 133,350
Medimmune, Inc.* 2,600 60,840
Merck & Co., Inc. 50,500 2,398,750
Mylan Laboratories, Inc. 4,600 93,150
Pfizer, Inc. 133,500 4,576,380
Schering-Plough Corp. 2,000 36,960
Sigma-Aldrich Corp. 1,100 65,571
Watson
Pharmaceutical, Inc.* 1,900 51,110
Wyeth 24,000 867,840
----------------
15,240,054
----------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.1%
Eastman Kodak Co.+ 6,600 178,068
----------------
PREPACKAGED SOFTWARE -- 2.8%
Adobe Systems, Inc. 7,900 367,350
BMC Software, Inc.* 4,500 83,250
Citrix Systems, Inc.* 2,700 54,972
Compuware Corp.* 6,100 40,260
Intuit, Inc.* 3,500 135,030
Microsoft Corp. 181,900 5,195,064
Novell, Inc.* 6,000 50,340
Oracle Corp.* 89,100 1,062,963
Peoplesoft, Inc.* 6,400 118,400
Siebel Systems, Inc.* 7,900 84,372
Symantec Corp.* 9,800 429,044
Veritas Software Corp.* 7,000 193,900
----------------
7,814,945
----------------
REAL ESTATE -- 0.1%
Equity Office
Properties Trust 7,100 193,120
Equity Residential 1,000 29,730
----------------
222,850
----------------
RESTAURANTS -- 0.3%
Darden Restaurants, Inc. 3,100 63,705
McDonald's Corp. 21,500 559,000
Wendy's International, Inc. 2,100 73,164
Yum! Brands, Inc.* 5,600 208,432
----------------
904,301
----------------
RETAIL -- 3.5%
AutoZone, Inc.+ * 3,000 240,300
Bed Bath & Beyond, Inc.* 4,800 184,560
Best Buy Co., Inc. 10,500 532,770
Big Lots, Inc.* 1,900 27,474
Costco Wholesale Corp. 7,400 303,918
CVS Corp. 6,700 281,534
Dollar General Corp. 5,500 107,580
Federated Department
Stores, Inc. 3,100 152,210
The Home Depot, Inc. 38,500 1,355,200
J.C. Penney
Company, Inc.+ 4,700 $ 177,472
Lowe's Companies, Inc. 12,700 667,385
The May Department
Stores Co. 4,900 134,701
Office Depot, Inc.+ * 8,000 143,280
RadioShack Corp. 9,300 266,259
Sears, Roebuck and Co.+ 7,800 294,528
Staples, Inc. 8,400 246,204
Target Corp. 14,700 624,309
TJX Companies, Inc. 11,800 284,852
Wal-Mart Stores, Inc. 73,300 3,867,308
----------------
9,891,844
----------------
RETAIL - GROCERY -- 0.0%
Albertson's, Inc.+ 3,700 98,198
----------------
TELEPHONE UTILITIES -- 1.2%
Alltel Corp. 500 25,310
AT&T Corp.+ 13,880 203,064
BellSouth Corp. 30,400 797,088
CenturyTel, Inc. 2,400 72,096
MCI, Inc. Escrow shares 655,000 0
Qwest Communications
International, Inc.* 29,400 105,546
Sprint Corp. (FON Group) 24,400 429,440
Verizon
Communications, Inc. 48,068 1,739,581
----------------
3,372,125
----------------
TOBACCO -- 0.8%
Altria Group, Inc. 36,700 1,836,835
Reynolds (R.J.) Tobacco
Holdings, Inc.+ 5,700 385,263
UST, Inc. 2,900 104,400
----------------
2,326,498
----------------
TOYS, GAMES -- 0.0%
Hasbro, Inc. 2,700 51,300
----------------
TRANSPORTATION -- 1.2%
Burlington Northern
Santa Fe Corp. 8,700 305,109
Carnival Corp. 11,500 540,500
CSX Corp. 3,516 115,219
FedEx Corp. 4,700 383,943
Norfolk Southern Corp. 14,200 376,584
Union Pacific Corp. 2,600 154,570
United Parcel Service,
Inc. Cl. B 19,100 1,435,747
----------------
3,311,672
----------------
TRAVEL -- 0.0%
Sabre Holdings Corp. 2,600 72,046
----------------
TOTAL EQUITIES
(COST $160,829,798) 175,323,033
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
99
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
RIGHTS -- 0.0%
COMPUTERS & INFORMATION
Seagate Technology* ++ 5,100 $ -
----------------
TOTAL RIGHTS
(COST $0) 0
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
BONDS & NOTES -- 28.8%
ASSET BACKED SECURITIES -- 0.5%
Chase Mortgage
Finance Co.
Series 2003-S11,
Class 1A-1
5.000% 10/25/2033 $ 666,279 636,167
Travelers Funding Limited
Series 1A, Class A1+++
6.300% 02/18/2014 582,755 606,065
Vanderbilt Mortgage and
Finance, Inc.
Series 2002-C, Class A2
4.230% 02/07/2015 300,000 301,976
----------------
TOTAL ASSET BACKED
SECURITIES
(COST $1,528,087) 1,544,208
----------------
CORPORATE DEBT -- 12.8%
Allied Waste
North America, Inc.+++
5.750% 02/15/2011 80,000 75,800
American General
Finance Corp.
5.875% 07/14/2006 200,000 210,000
American Greetings Corp.
6.100% 08/01/2028 245,000 250,513
American Honda
Finance Corp.+++
3.850% 11/06/2008 175,000 171,896
American Standard, Inc.
7.625% 02/15/2010 200,000 220,000
Ametek, Inc.
7.200% 07/15/2008 280,000 302,467
Anheuser-Busch Cos., Inc.
5.050% 10/15/2016 200,000 192,544
Anheuser-Busch Cos., Inc.
6.500% 02/01/2043 200,000 209,659
AOL Time Warner, Inc.
5.625% 05/01/2005 400,000 409,797
Aramark Services, Inc.
7.000% 05/01/2007 60,000 64,766
Aramark Services, Inc.
8.150% 05/01/2005 175,000 182,023
Avnet, Inc.+
8.000% 11/15/2006 $ 160,000 $ 172,800
Bausch & Lomb, Inc.
7.125% 08/01/2028 175,000 175,207
BP Capital Markets PLC
2.750% 12/29/2006 550,000 542,996
Briggs & Stratton Corp.
8.875% 03/15/2011 360,000 420,300
Buckeye Partners LP
4.625% 07/15/2013 100,000 92,163
Cabot Corp.+++
5.250% 09/01/2013 120,000 116,652
Certegy, Inc.
4.750% 09/15/2008 60,000 60,615
Champion
International Corp.
6.400% 02/15/2026 500,000 522,599
Chesapeake
Energy Corp.+++
7.500% 06/15/2014 120,000 123,600
Cinergy Corp.
6.250% 09/01/2004 500,000 503,368
CIT Group, Inc.
7.375% 04/02/2007 250,000 273,509
Citigroup, Inc.
6.750% 12/01/2005 500,000 527,484
Colonial Pipeline Co.+++
7.630% 04/15/2032 200,000 235,722
Comcast Cable
Communications, Inc.
8.375% 05/01/2007 750,000 838,213
Cox Communications, Inc.
6.750% 03/15/2011 100,000 107,824
CSX Corp.
7.250% 05/01/2027 500,000 545,084
DaimlerChrysler NA Holding Corp.
4.050% 06/04/2008 530,000 519,678
Delhaize America, Inc.
9.000% 04/15/2031 245,000 269,381
Deutsche Telekom
International Finance BV
8.250% 06/15/2005 225,000 236,571
Diageo Finance BV
3.000% 12/15/2006 100,000 98,928
Dominion Resources, Inc.
7.820% 09/15/2004 700,000 707,881
Donnelley (R.R.) &
Sons Co.
6.625% 04/15/2029 80,000 81,411
Duke Energy Field
Services Corp.
7.875% 08/16/2010 550,000 626,817
Electronic Data Systems
Corp. Series B
6.000% 08/01/2013 $ 100,000 $ 95,509
Emerald Investment
Grade CBO Limited+++
1.735% 05/24/2011 924,767 907,428
Entergy Gulf States, Inc.
5.250% 08/01/2015 425,000 401,869
ERAC USA Finance Co.+++
6.700% 06/01/2034 225,000 225,318
ERAC USA Finance Co.+++
6.750% 05/15/2007 250,000 269,635
FedEx Corp.+++
1.390% 04/01/2005 125,000 125,146
First Industrial LP
7.600% 05/15/2007 175,000 191,879
Ford Motor Co.
6.375% 02/01/2029 255,000 215,504
Ford Motor Co.
6.625% 02/15/2028 85,000 74,536
Ford Motor Credit Co.
5.625% 10/01/2008 75,000 75,652
Ford Motor Credit Co.
7.000% 10/01/2013 360,000 363,408
Foster's Finance Corp.+++
6.875% 06/15/2011 225,000 246,990
France Telecom SA
8.750% 03/01/2011 240,000 278,117
France Telecom SA
9.500% 03/01/2031 100,000 125,502
Franklin Resources, Inc.
3.700% 04/15/2008 200,000 196,914
General Mills, Inc.
2.625% 10/24/2006 875,000 856,132
General Mills, Inc.
8.900% 06/15/2006 500,000 552,923
General Motors Corp.+
7.200% 01/15/2011 500,000 523,898
General Motors Corp.
8.375% 07/15/2033 120,000 127,019
Glencore Funding LLC+++
6.000% 04/15/2014 200,000 185,508
Goldman Sachs
Group, Inc.
5.150% 01/15/2014 225,000 216,072
Harrah's Operating
Co., Inc.+++
5.500% 07/01/2010 100,000 100,501
HCA, Inc.
6.950% 05/01/2012 210,000 219,098
Hearst-Argyle
Television, Inc.
7.000% 11/15/2007 300,000 322,505
</Table>
The accompanying notes are an integral part of the financial statements.
100
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Household Finance Corp.
4.125% 12/15/2008 $ 250,000 $ 246,430
Household Finance Corp.
6.375% 10/15/2011 100,000 106,741
ICI Wilmington, Inc.
7.050% 09/15/2007 150,000 160,553
International
Game Technology
8.375% 05/15/2009 110,000 129,408
Interpool, Inc.
7.350% 08/01/2007 250,000 243,125
iStar Financial, Inc.+++
5.700% 03/01/2014 80,000 75,091
iStar Financial, Inc.
Series B
4.875% 01/15/2009 45,000 43,573
JP Morgan Chase & Co.
3.125% 12/11/2006 250,000 248,915
Kellwood Co.
7.625% 10/15/2017 155,000 164,588
Kennametal, Inc.
7.200% 06/15/2012 215,000 227,388
Kern River
Funding Corp.+++
4.893% 04/30/2018 190,675 184,793
Kimco Realty Corp.
Series MTNB
7.860% 11/01/2007 350,000 394,599
The Kroger Co.
6.750% 04/15/2012 300,000 324,999
Leucadia National Corp.
7.750% 08/15/2013 350,000 364,000
Marriott International,
Inc. Series E
7.000% 01/15/2008 185,000 201,503
MCI, Inc.
5.908% 05/01/2007 39,000 37,830
MCI, Inc.
6.688% 05/01/2009 39,000 36,075
MCI, Inc.+
7.735% 05/01/2014 33,000 29,535
Meritor Automotive, Inc.
6.800% 02/15/2009 170,000 172,975
Merrill Lynch & Co., Inc.
2.940% 01/30/2006 825,000 829,032
MidAmerican Energy
Holdings Co.
3.500% 05/15/2008 275,000 265,263
Millipore Corp.
7.500% 04/01/2007 1,000,000 1,065,080
Mobil Corp.
8.625% 08/15/2021 1,000,000 1,315,559
Mohawk Industries,
Inc. Series D
7.200% 04/15/2012 175,000 194,173
Monongahela
Power Co.+++
6.700% 06/15/2014 $ 110,000 $ 111,050
National Rural
Utilities Cooperative
Finance Corp.
8.000% 03/01/2032 115,000 141,952
Newell Rubbermaid, Inc.
4.000% 05/01/2010 100,000 94,925
News America
Holdings, Inc.
9.250% 02/01/2013 500,000 627,380
Nisource Finance Corp.
3.200% 11/01/2006 125,000 123,579
North Finance
(Bermuda) Limited+++
7.000% 09/15/2005 1,000,000 1,037,259
Nova Chemicals Corp.
6.500% 01/15/2012 75,000 73,875
Pacific Energy Partners
LP/Pacific Energy
Finance Corp.+++
7.125% 06/15/2014 115,000 116,725
Pacific Gas & Electric Co.
6.050% 03/01/2034 150,000 141,083
Piedmont Natural
Gas Co. Series E
6.000% 12/19/2033 100,000 97,315
Plains All American
Pipeline LP+++
5.625% 12/15/2013 140,000 132,897
Precision Castparts Corp.
5.600% 12/15/2013 300,000 292,064
Procter & Gamble Co.
5.500% 02/01/2034 170,000 160,531
PSEG Power LLC
5.500% 12/01/2015 150,000 143,301
Qwest Corp.+++
9.125% 03/15/2012 225,000 243,000
Rogers Cable, Inc.
5.500% 03/15/2014 125,000 110,445
Rogers Wireless
Communications, Inc.
6.375% 03/01/2014 100,000 92,000
Ryder System, Inc.
6.600% 11/15/2005 750,000 783,260
Simon Property Group LP
6.875% 11/15/2006 200,000 211,864
SLM Corp.
5.000% 10/01/2013 340,000 328,322
SLM Corp.
5.625% 08/01/2033 160,000 144,251
Sprint Capital Corp.
6.900% 05/01/2019 500,000 502,978
Sprint Capital Corp.
8.375% 03/15/2012 $ 25,000 $ 28,733
Steelcase, Inc.
6.375% 11/15/2006 290,000 298,838
SuperValu, Inc.
7.875% 08/01/2009 500,000 564,745
Tenet Healthcare Corp.
6.375% 12/01/2011 115,000 100,625
Textron Financial
Corp. Series E
2.690% 10/03/2006 495,000 487,352
Thomas & Betts Corp.
6.500% 01/15/2006 100,000 103,776
Timken Co.
5.750% 02/15/2010 35,000 35,073
Timken Co. Series A
6.750% 08/21/2006 125,000 130,419
Toro Co.
7.800% 06/15/2027 325,000 349,011
Toyota Motor Credit Corp.
4.350% 12/15/2010 375,000 369,548
TransAlta Corp.
5.750% 12/15/2013 250,000 247,536
Tricon Global
Restaurants, Inc.
8.875% 04/15/2011 120,000 144,807
Tri-State Generation &
Transmission Association
Series 2003, Class A+++
6.040% 01/31/2018 120,000 120,056
Tri-State Generation &
Transmission Association
Series 2003, Class B+++
7.144% 07/31/2033 135,000 140,141
Tyco International
Group SA
6.375% 02/15/2006 375,000 393,715
Tyco International
Group SA
6.375% 10/15/2011 325,000 345,729
Tyco International
Group SA
6.875% 01/15/2029 165,000 172,740
United Rentals
North America, Inc.
6.500% 02/15/2012 180,000 170,100
US Airways,
Inc. Cl. B* +++++
7.500% 04/15/2008 434,841 -
USA Interactive
7.000% 01/15/2013 235,000 253,424
Verizon Global
Funding Corp.
7.750% 12/01/2030 195,000 219,020
</Table>
The accompanying notes are an integral part of the financial statements.
101
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Vodafone Group PLC
5.375% 01/30/2015 $ 25,000 $ 24,619
Vulcan Materials Co.
6.000% 04/01/2009 250,000 267,767
The Walt Disney Co.
6.750% 03/30/2006 175,000 185,375
Washington Mutual, Inc.
2.400% 11/03/2005 425,000 422,048
Weyerhaeuser Co.
5.500% 03/15/2005 67,000 68,417
WPP Finance (USA) Corp.
6.625% 07/15/2005 675,000 687,012
XTO Energy, Inc.
4.900% 02/01/2014 225,000 211,853
----------------
TOTAL CORPORATE DEBT
(COST $36,071,732) 36,299,094
----------------
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 3.4%
COLLATERALIZED MORTGAGE OBLIGATIONS
ABN AMRO Mortgage Corp.
Series 2003-12, Class 1A
5.000% 12/25/2033 470,458 449,197
Asset Securitization Corp.
Series 1995-MD4,
Class A1
7.100% 08/13/2029 309,516 324,155
Countrywide Home
Loans, Inc.
Series 2003-42,
Class 1A1
3.829% 09/25/2033 246,972 246,147
Countrywide Home
Loans, Inc.
Series 2004-23,
Class 1A1
4.445% 02/25/2034 254,878 256,219
CS First Boston Mortgage
Securities Corp.
Series 1998-C2, Class A1
5.960% 11/11/2030 371,338 384,059
CS First Boston Mortgage
Securities Corp.
Series 2003-7,
Class 1A24
4.500% 02/25/2033 325,000 326,360
CS First Boston Mortgage
Securities Corp.
Series 2004-C1, Class A1
2.254% 01/15/2037 308,096 301,424
GSR Mortgage Loan Trust
Series 2002-8F,
Class 3AA1
6.500% 09/25/2032 $ 42,279 $ 42,487
IndyMac Bancorp, Inc.
Mortgage Loan Trust
Series 2004-AR4,
Class 1A
4.820% 06/30/2034 700,000 707,875
MASTR Asset Securitization
Trust Series 2003-12,
Class 6A1
5.000% 12/25/2033 764,765 730,199
Merrill Lynch Mortgage
Investors, Inc.
Series 1998-C1, Class A1
6.310% 11/15/2026 317,788 327,322
Merrill Lynch Mortgage
Investors, Inc.
Series 2003-A4, Class IA
4.317% 07/25/2033 284,169 285,877
Merrill Lynch Mortgage
Investors, Inc.
Series 2004-A1, Class IA
4.216% 02/25/2034 128,738 129,206
Morgan Stanley Mortgage
Loan Trust
Series 2004-2AR,
Class PT3
5.248% 02/25/2034 81,762 82,988
Salomon Brothers
Mortgage Securities
Series 2001-MMA,
Class A1+++
5.323% 02/18/2034 237,858 241,322
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B+++
6.920% 02/03/2014 1,000,000 1,096,153
Structured Adjustable Rate
Mortgage Loan Trust
Series 2004-2, Class 2A
5.095% 03/25/2034 548,907 554,209
Structured Asset
Securities Corp.
Series 1998-ALS2,
Class 1A
6.750% 03/25/2029 54,835 55,684
Structured Asset
Securities Corp.
Series 2002-11A,
Class 2A1
5.600% 06/25/2032 224,234 228,158
Structured Asset
Securities Corp.
Series 2003-30,
Class 1A1
5.500% 10/25/2033 $ 575,755 $ 566,327
Vendee Mortgage Trust
Series 1992-1, Class 2Z
7.750% 05/15/2022 272,710 287,415
Washington Mutual
MSC Mortgage
Pass-Through Certificates
Series 2004-RA1,
Class 2A
7.000% 03/25/2034 576,973 597,206
Washington Mutual, Inc.
Series 2003-S11,
Class A1
5.000% 11/25/2033 829,977 792,468
Washington Mutual, Inc.
Series 2004-AR2, Class A
2.574% 04/25/2044 650,155 651,920
----------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $9,653,955) 9,664,377
----------------
SOVEREIGN DEBT OBLIGATIONS -- 0.1%
Republic of South Africa
6.500% 06/02/2014 200,000 202,000
United Mexican States
8.375% 01/14/2011 190,000 214,700
----------------
TOTAL SOVEREIGN DEBT
OBLIGATIONS
(COST $411,662) 416,700
----------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 5.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 0.6%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.1%
FHLMC Series W067,
Class A
6.420% 12/01/2005 185,627 193,683
----------------
PASS-THROUGH SECURITIES -- 0.5%
FHLMC
6.000% 09/01/2016-
02/01/2018 234,339 244,619
FHLMC
6.500% 08/01/2016 81,547 86,268
FHLMC
6.625% 09/15/2009 875,000 968,025
FHLMC
8.000% 06/01/2027 147,538 161,295
</Table>
The accompanying notes are an integral part of the financial statements.
102
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
FHLMC
9.000% 03/01/2017 $ 16,294 $ 17,604
----------------
TOTAL PASS-THROUGH SECURITIES 1,477,811
----------------
TOTAL FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC) 1,671,494
----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 0.4%
PASS-THROUGH SECURITIES
FNMA
6.000% 05/01/2016 87,721 91,542
FNMA
7.000% 01/01/2031-
05/01/2031 237,260 250,847
FNMA
7.500% 10/01/2029-
05/01/2030 410,321 441,260
FNMA
8.000% 05/01/2013-
10/01/2031 186,283 202,543
----------------
TOTAL PASS-THROUGH SECURITIES 986,192
----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) -- 4.6%
PASS-THROUGH SECURITIES
GNMA
5.000% 08/15/2033-
02/15/2034 7,912,768 7,690,480
GNMA
5.500% 12/15/2032 3,638,423 3,645,245
GNMA
6.000% 01/15/2032-
08/15/2032 687,666 706,199
GNMA
6.500% 06/15/2023-
12/15/2023 326,229 343,053
GNMA
7.000% 08/15/2023-
08/15/2032 262,886 280,025
GNMA
7.500% 10/15/2006-
06/15/2017 202,877 219,209
GNMA
8.000% 03/15/2005-
07/15/2008 92,203 101,062
GNMA
9.000% 12/15/2008-
05/15/2009 66,833 71,550
----------------
TOTAL PASS-THROUGH SECURITIES 13,056,823
----------------
OTHER AGENCIES -- 0.0%
PASS-THROUGH SECURITIES
New Valley Generation IV
4.687% 01/15/2022 $ 97,478 $ 90,121
----------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $15,877,852) 15,804,630
----------------
U.S. TREASURY OBLIGATIONS -- 6.4%
U.S. TREASURY BONDS -- 1.8%
U.S. Treasury Bond+
6.125% 08/15/2029 1,215,000 1,336,690
U.S. Treasury Bond
6.875% 08/15/2025 200,000 237,938
U.S. Treasury Bond++++
8.750% 05/15/2017 2,625,000 3,558,926
----------------
TOTAL U.S. TREASURY BONDS 5,133,554
----------------
U.S. TREASURY NOTES -- 4.6%
U.S. Treasury Note+
2.000% 05/15/2006 3,400,000 3,360,156
U.S. Treasury Note+
3.375% 11/15/2008 5,130,000 5,075,494
U.S. Treasury Note+
3.875% 02/15/2013 2,250,000 2,151,914
U.S. Treasury Note+
5.000% 08/15/2011 2,200,000 2,297,625
----------------
TOTAL U.S. TREASURY NOTES 12,885,189
----------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $17,396,770) 18,018,743
----------------
TOTAL BONDS & NOTES
(COST $80,940,058) 81,747,752
----------------
TOTAL LONG TERM INVESTMENTS
(COST $241,769,856) 257,070,785
----------------
SHORT-TERM INVESTMENTS -- 16.5%
CASH EQUIVALENTS -- 8.5%**
American AAdvantage
Select Money
Market Fund 646,797 646,797
Bank of America
Bank Note
1.500% 07/21/2004 889,346 889,346
Bank of America
Eurodollar Time Deposit
1.080% 07/19/2004 808,496 808,496
Bank of America
Eurodollar Time Deposit
1.100% 07/07/2004 210,209 210,209
Bank of Montreal
Eurodollar Time Deposit
1.200% 07/23/2004 $ 676,359 $ 676,359
Bank of the West
Eurodollar Time Deposit
1.280% 07/28/2004 646,797 646,797
BGIF Prime
Money Market Fund 1,245,084 1,245,084
BNP Paribas
Eurodollar Time Deposit
1.080% 07/29/2004 404,248 404,248
Branch Banker & Trust
Eurodollar Time Deposit
1.080% 07/14/2004 80,850 80,850
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 1,616,992 1,616,992
Caylon
Eurodollar Time Deposit
1.040% 07/06/2004 1,293,593 1,293,593
Caylon
Eurodollar Time Deposit
1.170% 08/04/2004 646,797 646,797
Caylon
Eurodollar Time Deposit
1.340% 08/24/2004 589,394 589,394
Fannie Mae Discount Note
0.960% 07/01/2004 485,098 485,098
Fannie Mae Discount Note
1.131% 07/14/2004 242,549 242,549
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 242,549 242,549
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 242,549 242,549
Fortis Bank
Eurodollar Time Deposit
1.090% 07/08/2004 1,131,894 1,131,894
Fortis Bank
Eurodollar Time Deposit
1.190% 07/14/2004 323,398 323,398
Fortis Bank
Eurodollar Time Deposit
1.290% 09/03/2004 242,549 242,549
General Electric
Capital Corp.
1.201% 07/19/2004 404,248 404,248
General Electric
Capital Corp.
1.211% 07/21/2004 404,716 404,716
General Electric
Capital Corp.
1.211% 07/22/2004 241,734 241,734
</Table>
The accompanying notes are an integral part of the financial statements.
103
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
General Electric
Capital Corp.
1.221% 07/23/2004 $ 80,028 $ 80,028
General Electric
Capital Corp.
1.231% 07/26/2004 403,365 403,365
Goldman Sachs Financial
Square Prime
Obligations Money
Market Fund 404,248 404,248
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.050% 07/14/2004 485,098 485,098
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.300% 09/03/2004 242,549 242,549
Keybank
Eurodollar Time Deposit
1.250% 07/01/2004 1,293,593 1,293,593
Merrill Lynch Premier
Institutional Money
Market Fund 584,397 584,397
Merrimac Cash Fund,
Premium Class 2,587,187 2,587,187
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 840,836 840,836
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 07/08/2004 242,549 242,549
Royal Bank of Canada
Eurodollar Time Deposit
1.100% 07/02/2004 808,496 808,496
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/07/2004 808,496 808,496
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/15/2004 404,248 404,248
Royal Bank of Scotland
Eurodollar Time Deposit
1.150% 08/10/2004 242,549 242,549
Wells Fargo
Eurodollar Time Deposit
1.190% 07/14/2004 404,248 404,248
Wells Fargo
Eurodollar Time Deposit
1.250% 07/23/2004 485,098 485,098
----------------
24,033,231
----------------
COMMERCIAL PAPER -- 8.0%
Baxter International, Inc.
1.350% 07/06/2004 $ 1,025,000 $ 1,024,808
Baxter International, Inc.
1.380% 07/13/2004 2,830,000 2,828,698
British Aero
North America+++
1.310% 07/12/2004 4,760,000 4,758,095
Carolina Power & Light Co.
1.250% 07/02/2004 4,755,000 4,754,835
Kellogg Co.+++
1.200% 07/08/2004 4,480,000 4,478,955
Kinder Morgan
Energy Partners LP+++
1.280% 07/01/2004 1,920,000 1,920,000
Reed Elsevier+++
1.200% 07/07/2004 2,985,000 2,984,403
----------------
22,749,794
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 46,783,025
----------------
TOTAL INVESTMENTS -- 107.1%
(COST $288,552,881)*** 303,853,810
OTHER ASSETS/
(LIABILITIES) -- (7.1%) (20,115,438)
----------------
NET ASSETS -- 100.0% $ 283,738,372
================
</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).
+ Denotes all or a portion of security on loan.
++ 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. At June 30,
2004, these securities amounted to a value of $21,030,201 or 7.4% of net
assets.
++++ This security is held as collateral for open futures contracts. (NOTE 2).
+++++ Security is currently in default.
The accompanying notes are an integral part of the financial statements.
104
<Page>
MASSMUTUAL STRATEGIC BALANCED FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 57.5%
AEROSPACE & DEFENSE -- 2.4%
Boeing Co. 30,100 $ 1,537,809
Honeywell
International, Inc. 38,800 1,421,244
Raytheon Co. 69,400 2,482,438
----------------
5,441,491
----------------
AIR TRANSPORTATION -- 0.9%
AMR Corp.* 24,200 293,062
Continental Airlines,
Inc. Cl. B* 27,100 308,127
Delta Air Lines, Inc.* 43,100 306,872
Frontier Airlines, Inc.* 23,500 255,680
Northwest Airlines Corp.* 26,500 294,680
Southwest Airlines Co. 35,200 590,304
US Airways Group,
Inc. Cl. A* 73 172
US Airways Group, Inc.
Escrow shares 130,000 0
----------------
2,048,897
----------------
APPAREL, TEXTILES & SHOES -- 0.3%
Tommy Hilfiger Corp.* 50,600 766,084
----------------
AUTOMOTIVE & PARTS -- 0.4%
Delphi Corp. 81,200 867,216
----------------
BANKING, SAVINGS & LOANS -- 2.1%
Bank of New York
Co., Inc. 22,400 660,352
Bank One Corp. 27,000 1,377,000
J.P. Morgan Chase & Co. 40,900 1,585,693
Mitsubishi Tokyo
Financial Group, Inc. 11 101,819
State Street Corp. 23,300 1,142,632
----------------
4,867,496
----------------
BEVERAGES -- 0.4%
PepsiCo, Inc. 16,300 878,244
----------------
BROADCASTING, PUBLISHING & PRINTING -- 3.7%
Comcast Corp.
Special Cl. A* 57,400 1,584,814
InterActive Corp.* 8,900 268,246
Liberty Media Corp. Cl. A 193,300 1,737,767
Liberty
Media International,
Inc. Cl. A* 9,665 358,571
News Corp.
Limited Sponsored
ADR (Australia) 46,300 1,639,946
Time Warner, Inc.* 127,200 $ 2,236,176
Viacom, Inc. Cl. B 15,600 557,232
----------------
8,382,752
----------------
CHEMICALS -- 2.1%
Cabot Corp. 30,000 1,221,000
Dow Chemical Co. 42,400 1,725,680
Engelhard Corp. 58,100 1,877,211
WGI Heavy
Minerals, Inc.* 10,200 60,996
----------------
4,884,887
----------------
COMMERCIAL SERVICES -- 1.4%
Fluor Corp. 11,900 567,273
Ikon Office Solutions, Inc. 82,000 940,540
Waste Management, Inc. 53,900 1,652,035
----------------
3,159,848
----------------
COMMUNICATIONS -- 2.0%
Lucent
Technologies, Inc.* 441,700 1,669,626
Nokia Oyj Sponsored
ADR (Finland) 123,300 1,792,782
SBC
Communications, Inc. 45,900 1,113,075
Socket
Communications, Inc.* 3,000 8,580
----------------
4,584,063
----------------
COMMUNICATIONS EQUIPMENT -- 1.3%
Motorola, Inc. 158,600 2,894,450
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.7%
3Com Corp.* 3,800 23,750
Unisys Corp.* 119,900 1,664,212
----------------
1,687,962
----------------
COMPUTER PROGRAMMING SERVICES -- 0.4%
RealNetworks, Inc.* 124,700 852,948
----------------
COMPUTERS & INFORMATION -- 1.1%
Solectron Corp.* 407,119 2,634,060
----------------
COMPUTERS & OFFICE EQUIPMENT -- 0.6%
International Business
Machines Corp. 16,400 1,445,660
----------------
CONTAINERS -- 0.0%
Smurfit-Stone
Container Corp. 3,600 71,820
----------------
ELECTRIC UTILITIES -- 0.1%
Calpine Corp.* 37,900 163,728
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 2.3%
Intel Corp. 67,200 $ 1,854,720
Lattice
Semiconductor Corp.* 25,600 179,456
Sony Corp. 1,000 37,667
Taiwan Semiconductor
Manufacturing Co.
Limited Sponsored
ADR (Taiwan) 215,281 1,788,989
Texas Instruments, Inc. 56,900 1,375,842
----------------
5,236,674
----------------
ENERGY -- 4.1%
Anadarko
Petroleum Corp. 26,900 1,576,340
ChevronTexaco Corp. 26,400 2,484,504
GlobalSantaFe Corp. 54,000 1,431,000
Halliburton Co. 40,500 1,225,530
Murphy Oil Corp. 19,400 1,429,780
The Williams
Companies, Inc. 113,200 1,347,080
----------------
9,494,234
----------------
ENTERTAINMENT & LEISURE -- 1.0%
Metro-Goldwyn-Mayer, Inc. 51,500 623,150
The Walt Disney Co. 67,500 1,720,575
----------------
2,343,725
----------------
FINANCIAL SERVICES -- 2.1%
American Express Co. 45,000 2,312,100
Merrill Lynch & Co., Inc. 30,400 1,640,992
Morgan Stanley 16,300 860,151
----------------
4,813,243
----------------
FOODS -- 0.7%
Safeway, Inc.* 60,200 1,525,468
----------------
FOREST PRODUCTS & PAPER -- 1.7%
Georgia-Pacific Corp. 59,200 2,189,216
Weyerhaeuser Co. 27,500 1,735,800
----------------
3,925,016
----------------
HEALTHCARE -- 1.6%
Enzo Biochem, Inc.* 50,400 756,000
GlaxoSmithKline PLC
ADR (United Kingdom) 41,200 1,708,152
UnitedHealth Group, Inc. 18,900 1,176,525
----------------
3,640,677
----------------
INSURANCE -- 6.0%
Ambac Financial
Group, Inc. 23,800 1,747,872
</Table>
The accompanying notes are an integral part of the financial statements.
105
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
American International
Group, Inc. 29,800 $ 2,124,144
Assured Guaranty, Ltd.* 18,900 320,355
Chubb Corp. 24,500 1,670,410
The Hartford Financial
Services Group, Inc. 19,600 1,347,304
Marsh & McLennan
Companies, Inc. 30,100 1,365,938
MBIA, Inc. 16,100 919,632
MGIC Investment Corp. 26,400 2,002,704
The PMI Group, Inc. 8,000 348,160
Radian Group, Inc. 42,400 2,030,960
United American
Healthcare Corp.* 700 3,605
----------------
13,881,084
----------------
MACHINERY & COMPONENTS -- 0.8%
Caterpillar, Inc. 18,900 1,501,416
Chicago Bridge &
Iron Co. NV 14,000 389,900
----------------
1,891,316
----------------
MEDICAL SUPPLIES -- 1.0%
Agilent
Technologies, Inc.* 79,400 2,324,832
----------------
METALS & MINING -- 3.0%
Alcoa, Inc. 64,300 2,123,829
Allegheny
Technologies, Inc. 34,100 615,505
Newmont Mining Corp. 50,100 1,941,876
RTI International
Metals, Inc.* 36,510 582,334
The Shaw Group, Inc.* 52,100 527,773
United States Steel Corp. 32,800 1,151,936
----------------
6,943,253
----------------
PHARMACEUTICALS -- 6.2%
Abbott Laboratories 49,000 1,997,240
Amgen, Inc.* 12,100 660,297
Aphton Corp.* 106,400 425,600
Bentley
Pharmaceuticals, Inc.* 24,300 333,882
Genelabs
Technologies, Inc.* 74,600 172,326
Johnson & Johnson 42,200 2,350,540
McKesson Corp. 46,700 1,603,211
Merck & Co., Inc. 50,900 2,417,750
Pfizer, Inc. 66,300 2,272,764
Wyeth 44,300 1,601,888
XOMA Limited* 96,400 431,872
----------------
14,267,370
----------------
PREPACKAGED SOFTWARE -- 1.9%
Actuate Corp.* 9,400 37,130
Micromuse, Inc.* 132,400 885,756
Microsoft Corp. 74,200 2,119,152
SunGard Data
Systems, Inc.* 49,400 $ 1,284,400
----------------
4,326,438
----------------
RETAIL -- 0.9%
Costco Wholesale Corp. 15,500 636,585
The Home Depot, Inc. 43,000 1,513,600
----------------
2,150,185
----------------
TELEPHONE UTILITIES -- 1.5%
Nippon Telegraph &
Telephone Corp.
ADR (Japan) 67,500 1,811,700
Vodafone Group
PLC Sponsored
ADR (United Kingdom) 74,500 1,646,450
----------------
3,458,150
----------------
TOYS, GAMES -- 1.1%
Hasbro, Inc. 81,000 1,539,000
Mattel, Inc. 54,000 985,500
----------------
2,524,500
----------------
TRANSPORTATION -- 1.1%
Carnival Corp. 51,200 2,406,400
----------------
TRAVEL -- 0.6%
Sabre Holdings Corp. 46,100 1,277,431
----------------
TOTAL EQUITIES
(COST $129,700,926) 132,061,602
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
BONDS & NOTES -- 32.8%
ASSET BACKED SECURITIES -- 0.8%
Credit-Based Asset
Servicing and
Securitization
Series 2004-RP1,
Class A2+
1.389% 05/25/2050 $ 800,000 800,000
MBNA Master Credit
Card Trust
Series 2002-3A,
Class A
1.479% 09/15/2014 260,000 261,625
MMCA Automobile Trust
Series 2002-2, Class A3
3.670% 07/17/2006 96,062 96,383
Nissan Auto Receivables
Owner Trust
Series 2002-B, Class A4
4.600% 09/17/2007 700,000 713,891
Option One Mortgage
Securities Corp. Trust
Series 2003-1, Class N+
1.710% 01/26/2010 $ 42,386 $ 42,426
----------------
TOTAL ASSET BACKED
SECURITIES
(COST $1,916,464) 1,914,325
----------------
CORPORATE DEBT -- 6.0%
Altria Group, Inc.
7.000% 11/04/2013 395,000 402,238
Anadarko Finance Co.
6.750% 05/01/2011 205,000 225,474
Anheuser-Busch Cos., Inc.
4.950% 01/15/2014 265,000 260,654
AOL Time Warner, Inc.
6.875% 05/01/2012 245,000 264,745
AOL Time Warner, Inc.
7.700% 05/01/2032 235,000 256,719
Apache Corp.
6.250% 04/15/2012 205,000 222,965
Bank of America Corp.
3.875% 01/15/2008 345,000 344,443
Bank One Corp.
6.500% 02/01/2006 370,000 390,464
British Telecom PLC
8.375% 12/15/2010 160,000 186,850
ChevronTexaco Capital Co.
3.500% 09/17/2007 230,000 229,736
Citigroup, Inc.
3.500% 02/01/2008 390,000 384,635
The Cleveland Electric
Illuminating Co.+
5.650% 12/15/2013 40,000 38,924
Comcast Corp.
6.500% 01/15/2015 395,000 409,397
Conoco, Inc.
6.950% 04/15/2029 375,000 412,855
ConocoPhillips Co.
4.750% 10/15/2012 190,000 185,667
COX
Communications, Inc.
3.875% 10/01/2008 120,000 116,995
Credit Suisse First
Boston USA, Inc.
4.625% 01/15/2008 150,000 152,794
DaimlerChrysler NA Holding Corp.
4.050% 06/04/2008 235,000 230,423
Deutsche
Telekom International
Finance BV
5.250% 07/22/2013 75,000 73,015
Devon Energy Corp.
7.950% 04/15/2032 220,000 254,119
</Table>
The accompanying notes are an integral part of the financial statements.
106
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Dominion Resources, Inc.
5.700% 09/17/2012 $ 185,000 $ 188,167
Duke Energy Corp.
5.625% 11/30/2012 225,000 224,361
El Paso Natural Gas Co.
8.375% 06/15/2032 190,000 181,450
Export-Import
Bank of Korea+
5.250% 02/10/2014 5,000 4,793
FirstEnergy Corp.
Series B
6.450% 11/15/2011 60,000 62,205
FirstEnergy Corp.
Series C
7.375% 11/15/2031 315,000 328,319
Ford Motor Credit Co.
6.875% 02/01/2006 525,000 550,671
Gaz Capital SA+
8.625% 04/28/2034 40,000 38,750
General Electric
Capital Corp.
4.250% 01/15/2008 380,000 384,759
General Motors
Acceptance Corp.
5.625% 05/15/2009 460,000 459,078
Goldman Sachs
Group, Inc.
4.125% 01/15/2008 265,000 265,803
Household Finance Corp.
4.625% 01/15/2008 375,000 381,735
Intelsat Limited
6.500% 11/01/2013 30,000 26,503
International Paper Co.
5.500% 01/15/2014 115,000 112,581
JP Morgan Chase & Co.
3.625% 05/01/2008 545,000 538,967
Kellogg Co.
6.600% 04/01/2011 190,000 208,405
Kraft Foods, Inc.
5.625% 11/01/2011 210,000 213,631
Lehman Brothers
Holdings, Inc.
4.000% 01/22/2008 190,000 189,618
MeadWestvaco Corp.
6.850% 04/01/2012 70,000 75,090
Morgan Stanley
3.625% 04/01/2008 310,000 304,653
Oncor Electric
Delivery Co.
6.375% 01/15/2015 70,000 73,717
Pacific Gas & Electric Co.
1.810% 04/03/2006 10,000 10,006
Pacific Gas & Electric Co.
6.050% 03/01/2034 10,000 9,406
Philip Morris Cos., Inc.
7.750% 01/15/2027 $ 10,000 $ 10,225
Qwest Capital
Funding, Inc.
7.250% 02/15/2011 40,000 34,200
Qwest Capital
Funding, Inc.
7.750% 02/15/2031 30,000 23,550
Qwest Corp.+
9.125% 03/15/2012 10,000 10,800
SLM Corp.
4.225% 04/01/2009 10,000 9,806
Sprint Capital Corp.
4.780% 08/17/2006 65,000 66,258
Sprint Capital Corp.
6.000% 01/15/2007 480,000 502,668
Target Corp. 5.4%
5.400% 10/01/2008 255,000 267,214
Tyco International
Group SA
6.375% 10/15/2011 180,000 191,481
Tyco International
Group SA
6.875% 01/15/2029 380,000 397,826
U.S. West
Communications, Inc.
5.625% 11/15/2008 30,000 29,325
Verizon Global
Funding Corp.
7.375% 09/01/2012 190,000 213,706
Wachovia Asset
Securitization, Inc.
Series 2002-HE1,
Class A
1.670% 09/27/2032 601,723 605,726
Wal-Mart Stores, Inc.
3.375% 10/01/2008 315,000 306,169
Waste Management, Inc.
6.375% 11/15/2012 175,000 185,135
Wells Fargo & Co.
3.500% 04/04/2008 350,000 344,913
Weyerhaeuser Co.
6.750% 03/15/2012 315,000 341,130
Williams Cos.,
Inc. Series A
7.500% 01/15/2031 290,000 262,450
XTO Energy, Inc.
7.500% 04/15/2012 80,000 90,269
----------------
TOTAL CORPORATE DEBT
(COST $14,304,608) 13,768,631
----------------
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 2.1%
COLLATERALIZED MORTGAGE OBLIGATIONS
Amresco Residential
Securities Mortgage
Loan Trust
Series 1997-3,
Class M1A
1.460% 09/25/2027 $ 169,483 $ 169,519
Bear Stearns Adjustable
Rate Mortgage Trust
Series 2004-4, Class A6
3.517% 06/25/2034 800,000 766,125
Chase Commercial
Mortgage Securities
Corp. Series 2000-FL1,
Class A+
1.491% 12/12/2013 113,554 113,517
CRIIMI MAE Commercial
Mortgage Trust
Series 1998-C1,
Class A2+
7.000% 06/02/2033 200,000 211,367
Green Tree Home
Improvement Loan
Trust Series 1999-E,
Class M1
8.130% 03/15/2023 339,749 341,660
HFC Home Equity
Loan Asset
Backed Certificates
Series 2002-4, Class A
1.830% 10/20/2032 144,025 144,373
Long Beach Mortgage
Loan Trust
Series 2003-1, Class A2
1.500% 03/25/2033 83,898 84,003
MLCC Mortgage
Investors, Inc.
Series 2004-B, Class A3
2.875% 05/25/2029 793,495 797,587
Mutual Fund Fee Trust
Series 2000-3
9.070% 07/01/2008 731,973 247,041
Residential Asset
Mortgage Products, Inc.
Series 2002-RS4,
Class A11
1.410% 08/25/2032 142,727 141,657
Residential Asset
Mortgage Products, Inc.
Series 2004-RP1,
Class A2A
1.400% 03/01/2034 755,808 755,808
</Table>
The accompanying notes are an integral part of the financial statements.
107
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
UCFC Home Equity
Loan Series 1998-D,
Class MF1
6.905% 04/15/2030 $ 180,000 $ 185,984
Wachovia
Bank Commercial
Mortgage Trust
Series 2002-WHALE 1,
Class A1+
1.400% 03/15/2015 79,688 79,683
Washington Mutual MSC
Mortgage Pass-Through
Certificates
Series 2004-RA1,
Class 2A
7.000% 03/25/2034 683,820 707,800
Washington Mutual, Inc.
Series 2004-AR7,
Class A6
3.963% 07/25/2034 100,000 99,437
----------------
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $4,876,652) 4,845,561
----------------
SOVEREIGN DEBT OBLIGATIONS -- 4.8%
Bundesobligation
3.250% 04/17/2009 2,600,000 3,113,465
Republic of Brazil
2.125% 04/15/2012 131,765 110,189
Republic of Brazil
8.000% 04/15/2014 187,643 171,225
Republic of Brazil
11.000% 08/17/2040 70,000 65,975
Republic of Brazil
12.750% 01/15/2020 130,000 138,450
Republic of Brazil
14.500% 10/15/2009 330,000 384,450
Republic of Bulgaria+
8.250% 01/15/2015 360,000 418,885
Republic of Colombia
10.500% 07/09/2010 70,000 74,900
Republic of Colombia
11.750% 02/25/2020 90,000 98,325
Republic of Germany
4.250% 01/04/2014 1,700,000 2,058,168
Republic of Germany
5.500% 01/04/2031 1,300,000 1,711,496
Republic of Panama
9.375% 01/16/2023 30,000 30,600
Republic of Panama
9.625% 02/08/2011 70,000 77,525
Republic of Panama
10.750% 05/15/2020 70,000 78,400
Republic of Peru
5.000% 03/07/2017 127,400 110,201
Republic of Peru
8.750% 11/21/2033 $ 100,000 $ 87,800
Republic of Peru
9.125% 02/21/2012 30,000 30,750
Russian Federation
5.000% 03/31/2030 850,000 776,050
United Mexican States
7.500% 04/08/2033 619,000 599,192
United Mexican States
8.375% 01/14/2011 370,000 418,100
United Mexican States
11.500% 05/15/2026 350,000 490,700
----------------
TOTAL SOVEREIGN DEBT
OBLIGATIONS
(COST $11,451,239) 11,044,846
----------------
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 8.1%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC)-- 0.6%
PASS-THROUGH SECURITIES
Federal Home Loan Bank
0.993% 10/05/2005 910,000 909,802
Federal Home Loan Bank
1.875% 06/15/2006 10,000 9,796
Federal Home Loan Bank
2.750% 05/15/2006 220,000 219,044
Federal Home Loan Bank
5.250% 06/18/2014 110,000 110,634
FHLMC
5.500% 02/01/2019 189,248 193,768
----------------
TOTAL PASS-THROUGH SECURITIES 1,443,044
----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA)-- 0.3%
PASS-THROUGH SECURITIES
FNMA
2.375% 02/15/2007 10,000 9,761
FNMA
2.800% 03/01/2019 20,000 19,668
FNMA
3.000% 04/26/2019 440,000 432,576
FNMA
6.000% 08/01/2017 169,103 176,468
----------------
TOTAL PASS-THROUGH SECURITIES 638,473
----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA)-- 7.2%
PASS-THROUGH SECURITIES
GNMA
5.000% 05/15/2034 5,426,564 5,271,186
GNMA
5.500% 12/15/2032-
04/15/2034 7,488,431 7,500,395
GNMA
6.000% 02/15/2032-
03/15/2033 $ 3,641,828 $ 3,738,027
TOTAL PASS-THROUGH SECURITIES 16,509,608
----------------
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(COST $18,799,049) 18,591,125
----------------
U.S. TREASURY OBLIGATIONS -- 11.0%
U.S. TREASURY BONDS -- 1.5%
U.S. Treasury Bond
5.375% 02/15/2031 3,000,000 3,026,250
U.S. Treasury Bond
6.250% 08/15/2023 20,000 22,153
U.S. Treasury Bond
6.250% 05/15/2030 50,000 56,000
U.S. Treasury
Inflation Index
3.875% 04/15/2029 148,652 188,928
----------------
TOTAL U.S. TREASURY BONDS 3,293,331
----------------
U.S. TREASURY NOTES -- 9.1%
U.S. Treasury
Inflation Index
2.000% 01/15/2014 5,035,883 5,002,834
U.S. Treasury Note
2.625% 03/15/2009 16,700,000 15,891,094
U.S. Treasury Note
3.250% 01/15/2009 20,000 19,625
U.S. Treasury Note
4.250% 11/15/2013 40,000 38,944
----------------
TOTAL U.S. TREASURY NOTES 20,952,497
----------------
U.S. TREASURY STRIPS -- 0.4%
U.S. Treasury Strips
0.000% 11/15/2021 2,500,000 953,566
----------------
TOTAL U.S. TREASURY
OBLIGATIONS
(COST $26,368,540) 25,199,394
----------------
TOTAL BONDS & NOTES
(COST $77,716,552) 75,363,882
----------------
OPTIONS -- 0.0%
90 Day Sterling
LIBOR Futures,
September 2005
Call, Expires 9/21/2005,
Strike 93.25 46,250 118,359
----------------
TOTAL OPTIONS
(COST $113,855) 118,359
----------------
TOTAL LONG TERM INVESTMENTS
(COST $207,531,333) 207,543,843
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
108
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
SHORT-TERM INVESTMENTS -- 9.4%
DISCOUNT NOTES -- 1.3%
Federal Home Loan Bank***
1.040% 07/16/2004 $ 940,000 $ 939,593
FHLMC***
1.041% 07/26/2004 960,000 959,306
FNMA***
1.035% 07/21/2004 930,000 929,466
FNMA**
1.075% 09/08/2004 60,000 59,878
FNMA**
1.370% 09/08/2004 20,000 19,947
----------------
2,908,190
----------------
REPURCHASE AGREEMENT -- 8.1%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004***(a) 18,695,872 18,695,872
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 21,604,062
----------------
TOTAL INVESTMENTS -- 99.7%
(COST $229,135,395)**** 229,147,905
OTHER ASSETS/
(LIABILITIES) -- 0.3% 702,151
----------------
NET ASSETS -- 100.0% $ 229,850,056
================
</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).
*** All or a portion of this security is segregated to cover forward purchase
commitments. (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. At June 30,
2004, these securities amounted to a value of $1,759,145 or 0.8% of net
assets.
(a) Maturity value of $18,696,236. Collaterized by U.S. Government Agency
obligation with a rate of 3.660%, a maturity date of 04/01/2033, and an
aggregate market value, including accrued interest, of $19,630,666.
The remainder of this page is intentionally left blank.
The accompanying notes are an integral part of the financial statements.
109
<Page>
MASSMUTUAL CORE VALUE EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 98.5%
ADVERTISING -- 0.0%
Harte-Hanks, Inc. 200 $ 4,882
Lamar Advertising Co.* 500 21,675
----------------
26,557
----------------
AEROSPACE & DEFENSE -- 3.6%
Alliant Techsystems, Inc.* 300 19,002
Boeing Co. 30,600 1,563,354
General Dynamics Corp. 9,700 963,210
Goodrich Corp. 40,200 1,299,666
Honeywell
International, Inc. 26,700 978,021
Lockheed Martin Corp. 194,600 10,134,768
Northrop Grumman Corp. 5,700 306,090
Raytheon Co. 13,100 468,587
Rockwell Collins, Inc. 430,800 14,354,256
TRW, Inc.* 700 13,195
United Defense
Industries, Inc.* 200 7,000
United Technologies Corp. 12,100 1,106,908
----------------
31,214,057
----------------
AIR TRANSPORTATION -- 0.0%
AMR Corp.* 2,800 33,908
----------------
APPAREL, TEXTILES & SHOES -- 1.8%
American Eagle
Outfitters, Inc.* 5,100 147,441
AnnTaylor Stores Corp.* 600 17,388
Claire's Stores, Inc. 300 6,510
Jones Apparel Group, Inc. 6,600 260,568
Limited Brands 707,900 13,237,730
Liz Claiborne, Inc. 22,100 795,158
Nordstrom, Inc. 12,300 524,103
Polo Ralph Lauren Corp. 700 24,115
Reebok
International Limited 900 32,382
VF Corp.+ 4,600 224,020
----------------
15,269,415
----------------
AUTOMOTIVE & PARTS -- 1.2%
American Axle &
Manufacturing
Holdings, Inc. 17,000 618,120
Autoliv, Inc.+ 35,200 1,485,440
AutoNation, Inc.* 5,600 95,760
BorgWarner, Inc. 17,000 744,090
Dana Corp. 33,100 648,760
Delphi Corp.+ 14,900 159,132
Ford Motor Co.+ 63,600 995,340
General Motors Corp.+ 44,700 2,082,573
Genuine Parts Co. 4,100 $ 162,688
Lear Corp. 23,100 1,362,669
Magna International,
Inc. Cl. A 11,800 1,005,006
Paccar, Inc. 10,900 632,091
SPX Corp. 2,900 134,676
----------------
10,126,345
----------------
BANKING, SAVINGS & LOANS -- 17.8%
AmSouth Bancorp 10,200 259,794
Associated Banc-Corp 4,150 122,964
Astoria Financial Corp. 5,300 193,874
Bank of America Corp. 282,534 23,908,027
Bank of Hawaii Corp. 5,000 226,100
Bank of New York
Co., Inc. 19,600 577,808
Bank One Corp. 97,300 4,962,300
Banknorth Group, Inc. 4,900 159,152
BB&T Corp. 10,272 379,756
BOK Financial Corp.* 300 11,781
Capital One
Financial Corp. 4,700 321,386
Capitol Federal Financial 600 17,940
Charter One Financial, Inc. 6,515 287,898
Citigroup, Inc. 700,300 32,563,950
City National Corp. 1,200 78,840
The Colonial
BancGroup, Inc. 4,800 87,216
Comerica, Inc. 29,400 1,613,472
Commerce
Bancshares, Inc. 1,690 77,647
Compass Bancshares, Inc. 3,500 150,500
Cullen/Frost Bankers, Inc. 900 40,275
Fannie Mae 12,400 884,864
Fifth Third Bancorp+ 119,400 6,421,332
First Horizon
National Corp. 3,600 163,692
FirstMerit Corp. 200 5,274
Freddie Mac 278,900 17,654,370
Fulton Financial Corp. 420 8,463
Golden West
Financial Corp. 2,500 265,875
Greenpoint
Financial Corp. 3,300 131,010
Hibernia Corp. Cl. A 4,500 109,350
Hudson United Bancorp 1,200 44,736
Independence Community
Bank Corp. 3,100 112,840
International
Bancshares Corp. 500 20,275
J.P. Morgan Chase & Co. 155,200 6,017,104
KeyCorp 65,000 $ 1,942,850
M&T Bank Corp. 400 34,920
Marshall and Ilsley Corp. 8,700 340,083
Mellon Financial Corp. 5,400 158,382
National City Corp. 66,000 2,310,660
National Commerce
Financial Corp. 6,000 195,000
New York Community
Bancorp, Inc. 7,599 149,168
North Fork
Bancorporation, Inc. 3,400 129,370
Northern Trust Corp. 4,000 169,120
Peoples Bank Bridgeport 1,100 34,265
Popular, Inc. 3,800 162,526
Provident Financial
Group, Inc.+ 1,200 47,352
Providian Financial Corp.* 12,100 177,507
Regions Financial Corp.+ 40,300 1,472,965
Sky Financial Group, Inc. 2,600 64,298
SLM Corp. 261,700 10,585,765
The South Financial
Group, Inc. 1,700 48,178
SouthTrust Corp. 66,500 2,580,865
Sovereign Bancorp, Inc. 8,900 196,690
State Street Corp. 5,400 264,816
Student Loan Corp. 100 13,650
SunTrust Banks, Inc.+ 26,300 1,709,237
Synovus Financial Corp. 2,700 68,364
TCF Financial Corp. 300 17,415
U.S. Bancorp 143,000 3,941,080
Union Planters Corp. 30,850 919,638
UnionBanCal Corp. 2,200 124,080
Valley National Bancorp 2,610 65,981
W Holding Co., Inc. 6,900 118,473
Wachovia Corp. 115,500 5,139,750
Washington Federal, Inc. 2,304 55,296
Washington Mutual, Inc. 90,400 3,493,056
Webster Financial Corp. 1,500 70,530
Wells Fargo & Co. 336,000 19,229,280
Westcorp 5,300 240,885
WFS Financial, Inc. 2,600 128,726
Whitney Holding Corp. 2,100 93,807
Wilmington Trust Corp. 2,000 74,440
Zions Bancorp 2,600 159,770
----------------
154,608,103
----------------
BEVERAGES -- 1.9%
Anheuser-Busch
Companies, Inc. 200 10,800
Brown-Forman
Corp. Cl. B 500 24,135
</Table>
The accompanying notes are an integral part of the financial statements.
110
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
The Coca-Cola Co. 3,200 $ 161,536
Coca-Cola Enterprises, Inc. 13,500 391,365
Constellation Brands, Inc.* 100 3,713
Coors (Adolph) Co. Cl. B+ 900 65,106
Diageo PLC Sponsored
ADR (United Kingdom)+ 275,800 15,100,050
The Pepsi Bottling
Group, Inc. 4,200 128,268
PepsiAmericas, Inc.+ 2,200 46,728
PepsiCo, Inc. 1,800 96,984
----------------
16,028,685
----------------
BROADCASTING, PUBLISHING & PRINTING -- 2.6%
Belo Corp. Cl. A 4,300 115,455
Citadel Broadcasting Corp.* 500 7,285
Clear Channel
Communications, Inc. 9,200 339,940
Comcast Corp. Cl. A* 102,700 2,878,681
Cox Communications,
Inc. Cl. A* 1,700 47,243
Fox Entertainment Group,
Inc. Cl. A* 4,400 117,480
Gannett Co., Inc. 154,200 13,083,870
Hearst-Argyle
Television, Inc. 10,700 275,846
InterActive Corp.* 5,500 165,770
Knight Ridder, Inc. 2,100 151,200
Lee Enterprises, Inc. 1,400 67,214
Liberty Media
International, Inc. Cl. A* 1,500 55,650
McClatchy Co. Cl. A 500 35,075
Media General, Inc. Cl. A 400 25,688
New York Times Co. Cl. A 500 22,355
Radio One, Inc. Cl. D* 1,400 22,414
Time Warner, Inc.* 231,400 4,068,012
Tribune Co. 1,000 45,540
UnitedGlobalCom,
Inc. Cl. A* 2,400 17,424
Viacom, Inc. Cl. B 25,300 903,716
----------------
22,445,858
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.3%
Florida Rock
Industries, Inc. 2,650 111,750
Lafarge
North America, Inc. 1,100 47,630
Louisiana-Pacific Corp. 8,100 191,565
Martin Marietta
Materials, Inc.+ 9,900 438,867
Masco Corp. 47,000 1,465,460
Vulcan Materials Co.+ 12,900 613,395
----------------
2,868,667
----------------
CHEMICALS -- 4.2%
Air Products &
Chemicals, Inc. 4,200 $ 220,290
Ashland, Inc. 13,300 702,373
BOC Group PLC
Sponsored ADR
(United Kingdom)+ 196,700 6,660,262
Cabot Corp. 2,600 105,820
Dow Chemical Co. 291,700 11,872,190
Du Pont (E.I.) de
Nemours & Co. 24,000 1,066,080
Eastman Chemical Co.+ 2,500 115,575
Engelhard Corp. 3,900 126,009
International Flavors &
Fragrances, Inc. 500 18,700
The Lubrizol Corp. 5,800 212,396
Monsanto Co. 16,900 650,650
PPG Industries, Inc. 231,100 14,441,439
Rohm & Haas Co. 5,100 212,058
The Scotts Co. Cl. A* 4,200 268,296
The Valspar Corp. 1,600 80,704
----------------
36,752,842
----------------
COMMERCIAL SERVICES -- 1.9%
Allied Waste
Industries, Inc.* 6,800 89,624
The Brink's Co. 4,000 137,000
Cendant Corp. 39,800 974,304
Convergys Corp.* 4,500 69,300
Donnelley (R.R.) &
Sons Co. 37,200 1,228,344
Equifax, Inc. 4,400 108,900
Ikon Office Solutions, Inc. 8,900 102,083
Laureate Education, Inc.* 200 7,648
Manpower, Inc. 1,400 71,078
PerkinElmer, Inc. 5,100 102,204
Regis Corp. 800 35,672
Rent-A-Center, Inc.* 600 17,958
Republic Services, Inc. 6,600 191,004
Ryder System, Inc. 1,100 44,077
Service Corp. International* 9,500 70,015
Servicemaster Co. 3,800 46,816
Waste Management, Inc. 416,100 12,753,465
----------------
16,049,492
----------------
COMMUNICATIONS -- 1.5%
ADC
Telecommunications, Inc.* 246,400 699,776
Advanced Fibre
Communications, Inc.* 1,700 34,340
American Tower
Corp. Cl. A* 6,700 101,840
Andrew Corp.* 2,800 56,028
BCE, Inc.+ 200,600 4,020,024
Citizens
Communications Co.* 8,900 $ 107,690
Crown Castle
International Corp.* 2,900 42,775
Harris Corp. 4,100 208,075
L-3 Communications
Holdings, Inc. 1,400 93,520
Lucent
Technologies, Inc.* + 133,000 502,740
Nortel Networks Corp.* 180,400 900,196
NTL, Inc.* + 2,200 126,764
PanAmSat Corp.* 900 20,898
Polycom, Inc.* 4,600 103,086
SBC Communications, Inc. 206,700 5,012,475
Scientific-Atlanta, Inc. 7,000 241,500
Sirius Satellite Radio, Inc.* 38,500 118,580
Tellabs, Inc.* + 106,900 934,306
----------------
13,324,613
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.1%
3Com Corp.* 12,100 75,625
Computer Sciences Corp.* 9,600 445,728
Reynolds & Reynolds,
Inc. Cl. A 100 2,313
Unisys Corp.* 9,800 136,024
----------------
659,690
----------------
COMPUTER PROGRAMMING SERVICES -- 0.0%
Ceridian Corp.* + 1,600 36,000
VeriSign, Inc.* 2,300 45,770
----------------
81,770
----------------
COMPUTER RELATED SERVICES -- 0.1%
Checkfree Corp.* 900 27,000
Ingram Micro, Inc. Cl. A* 43,000 622,210
----------------
649,210
----------------
COMPUTERS & INFORMATION -- 2.0%
Apple Computer, Inc.* 454,200 14,779,668
Comverse Technology, Inc.* 2,700 53,838
EMC Corp.* 15,100 172,140
Quantum Corp.* 50,000 155,000
Solectron Corp.* 146,275 946,399
Storage Technology Corp.* 7,100 205,900
Tech Data Corp.* + 21,300 833,469
----------------
17,146,414
----------------
COMPUTERS & OFFICE EQUIPMENT -- 2.2%
Electronic Data
Systems Corp. 15,100 289,165
Hewlett-Packard Co. 245,552 5,181,147
International Business
Machines Corp. 147,600 13,010,940
</Table>
The accompanying notes are an integral part of the financial statements.
111
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Pitney Bowes, Inc. 3,200 $ 141,600
Xerox Corp.* + 22,500 326,250
----------------
18,949,102
----------------
CONTAINERS -- 0.2%
Ball Corp. 800 57,640
Bemis Co., Inc.+ 3,300 93,225
Owens-Illinois, Inc.* 3,500 58,660
Pactiv Corp.* 4,400 109,736
Sealed Air Corp.* 400 21,308
Smurfit-Stone
Container Corp. 57,400 1,145,130
Temple-Inland, Inc. 2,900 200,825
----------------
1,686,524
----------------
COSMETICS & PERSONAL CARE -- 0.1%
Alberto-Culver Co. 250 12,535
Colgate-Palmolive Co. 300 17,535
The Gillette Co. 3,200 135,680
Kimberly-Clark Corp. 9,100 599,508
The Procter & Gamble Co. 3,600 195,984
----------------
961,242
----------------
DATA PROCESSING & PREPARATION -- 0.5%
Automatic Data
Processing, Inc. 104,300 4,368,084
Deluxe Corp. 2,200 95,700
NCR Corp.* 4,200 208,278
----------------
4,672,062
----------------
ELECTRIC UTILITIES -- 4.3%
Allegheny Energy, Inc.* 3,200 49,312
Allete, Inc. 2,700 89,910
Alliant Energy Corp. 34,500 899,760
Ameren Corp.+ 5,600 240,576
American Electric
Power Co.+ 49,100 1,571,200
CenterPoint Energy, Inc. 11,300 129,950
Cinergy Corp.+ 5,700 216,600
CMS Energy Corp.* + 38,200 348,766
Consolidated Edison, Inc.+ 5,100 202,776
Constellation Energy
Group, Inc. 37,600 1,425,040
DPL, Inc.+ 5,200 100,984
DTE Energy Co. 5,500 222,970
Duke Energy Corp. 17,900 363,191
Edison International 63,200 1,616,024
Energy East Corp. 4,500 109,125
Entergy Corp. 177,000 9,913,770
Exelon Corp. 242,000 8,056,180
FirstEnergy Corp. 10,200 381,582
FPL Group, Inc. 4,100 262,195
Great Plains Energy, Inc.+ 2,200 65,340
Hawaiian Electric
Industries, Inc. 2,600 67,860
MDU Resources
Group, Inc. 3,600 $ 86,508
NiSource, Inc. 8,300 171,146
Northeast Utilities 44,600 868,362
NRG Energy, Inc.* 2,400 59,520
NSTAR 97,700 4,677,876
OGE Energy Corp. 10,500 267,435
Pepco Holdings, Inc. 5,300 96,884
PG&E Corp.* 7,900 220,726
Pinnacle West
Capital Corp. 2,800 113,092
PPL Corp. 29,900 1,372,410
Progress Energy, Inc.+ 7,600 334,780
Public Service Enterprise
Group, Inc.+ 7,400 296,222
Puget Energy, Inc. 1,800 39,438
Reliant Energy, Inc.* + 9,300 100,719
SCANA Corp. 3,500 127,295
Southern Co.+ 23,000 670,450
Teco Energy, Inc.+ 5,900 70,741
Texas Genco Holdings, Inc. 500 22,545
TXU Corp. 20,400 826,404
Westar Energy, Inc. 2,600 51,766
Wisconsin Energy Corp. 1,000 32,610
WPS Resources Corp.+ 1,100 50,985
----------------
36,891,025
----------------
ELECTRICAL EQUIPMENT -- 0.0%
Ametek, Inc. 700 21,630
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 2.2%
Advanced Micro
Devices, Inc.* 5,100 81,090
Applied Micro
Circuits Corp.* 5,000 26,600
Arrow Electronics, Inc.* 36,900 989,658
Avnet, Inc.* 3,800 86,260
AVX Corp. 12,900 186,405
Celestica, Inc. 13,200 263,340
Emerson Electric Co. 10,500 667,275
Energizer Holdings, Inc.* 1,500 67,500
Fairchild Semiconductor
International, Inc. Cl. A* 1,700 27,829
Flextronics International
Limited* 53,700 856,515
General Electric Co. 417,600 13,530,240
Hubbell, Inc. Cl. B 21,400 999,594
International
Rectifier Corp.* 2,000 82,840
LSI Logic Corp.* 6,500 49,530
Micron Technology, Inc.* 9,500 145,445
Molex, Inc. 400 12,832
Novellus Systems, Inc.* 1,100 34,584
Rockwell Automation, Inc. 5,900 221,309
Sanmina-SCI Corp.* + 59,000 $ 536,900
Teleflex, Inc. 700 35,105
Vishay
Intertechnology, Inc.* + 8,800 163,504
----------------
19,064,355
----------------
ENERGY -- 9.6%
Amerada Hess Corp. 2,500 197,975
Anadarko Petroleum Corp. 7,800 457,080
Apache Corp. 900 39,195
Arch Coal, Inc. 1,000 36,590
BP PLC Sponsored ADR
(United Kingdom) 231,800 12,417,526
Burlington Resources, Inc. 7,100 256,878
Chesapeake Energy Corp.+ 4,500 66,240
ChevronTexaco Corp. 79,100 7,444,101
ConocoPhillips 56,647 4,321,600
Devon Energy Corp. 7,500 495,000
Diamond Offshore
Drilling, Inc. 1,200 28,596
Dynegy, Inc. Cl. A* 21,500 91,590
El Paso Corp.+ 106,300 837,644
Energen Corp. 2,100 100,779
EOG Resources, Inc. 2,200 131,362
Equitable Resources, Inc. 2,000 103,420
Exxon Mobil Corp. 812,000 36,060,920
Kerr-McGee Corp. 5,046 271,323
KeySpan Corp. 5,000 183,500
Kinder Morgan, Inc. 3,400 201,586
Marathon Oil Corp. 53,400 2,020,656
Murphy Oil Corp. 400 29,480
National Fuel Gas Co. 2,200 55,000
Newfield Exploration Co.* 900 50,166
Noble Energy, Inc. 1,800 91,800
Occidental Petroleum Corp. 162,900 7,885,989
Oneok, Inc. 3,200 70,368
Peabody Energy Corp. 1,900 106,381
Pioneer Natural
Resources Co. 3,700 129,796
Pogo Producing Co. 1,600 79,040
Pride International, Inc.* 2,600 44,486
Questar Corp. 2,700 104,328
Royal Dutch Petroleum
Co. NY Shares 79,200 4,092,264
Sempra Energy 43,800 1,508,034
Sunoco, Inc. 2,400 152,688
Unocal Corp. 5,400 205,200
Valero Energy Corp. 26,700 1,969,392
Vectren Corp. 2,300 57,707
Western Gas
Resources, Inc. 700 22,736
The Williams
Companies, Inc.+ 22,300 265,370
Xcel Energy, Inc.+ 32,400 541,404
----------------
83,225,190
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
112
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
ENTERTAINMENT & LEISURE -- 1.2%
Blockbuster, Inc. Cl. A+ 800 $ 12,144
Brunswick Corp.+ 1,300 53,040
Caesars
Entertainment, Inc.* 16,300 244,500
Harrah's
Entertainment, Inc. 1,600 86,560
International Speedway
Corp. Cl. A 100 4,864
Metro-Goldwyn-Mayer, Inc. 1,200 14,520
The Walt Disney Co. 398,500 10,157,765
----------------
10,573,393
----------------
FINANCIAL SERVICES -- 5.1%
AG Edwards, Inc. 3,400 115,702
Allied Capital Corp.+ 200 4,884
AMB Property Corp. 2,000 69,260
American Express Co. 234,900 12,069,162
AmeriCredit Corp.* + 8,800 171,864
Annaly Mortgage
Management, Inc.+ 4,700 79,712
Apartment Investment &
Management Co. Cl. A 400 12,452
Archstone-Smith Trust 7,700 225,841
Arden Realty, Inc. 2,500 73,525
AvalonBay
Communities, Inc. 1,600 90,432
Bear Stearns
Companies, Inc.+ 14,800 1,247,788
Boston Properties, Inc. 2,000 100,160
BRE Properties, Inc. Cl. A 200 6,950
Camden Property Trust 1,500 68,700
CBL & Associates
Properties, Inc. REIT 500 27,500
Centerpoint
Properties Corp. 200 15,350
CIT Group, Inc. 6,600 252,714
Countrywide
Financial Corp. 10,950 769,238
Developers Diversified
Realty Corp. 2,400 84,888
Duke Realty Corp. 3,600 114,516
Federal Realty Investment
Trust REIT 300 12,477
Franklin Resources, Inc. 4,400 220,352
Friedman Billings Ramsey
Group, Inc. Cl. A 1,500 29,685
General Growth
Properties, Inc. 4,800 141,936
The Goldman Sachs
Group, Inc. 26,900 2,532,904
Health Care Property
Investors, Inc. 800 19,232
Hospitalities
Properties Trust 2,600 $ 109,980
HRPT Properties Trust 6,900 69,069
Huntington Bancshares, Inc. 59,900 1,371,710
IndyMac Bancorp, Inc. 1,000 31,600
Instinet Group, Inc.* 3,600 19,008
iStar Financial, Inc. 4,300 172,000
Janus Capital Group, Inc. 4,400 72,556
Jefferies Group, Inc. 1,500 46,380
Kimco Realty Corp. 3,800 172,900
Lehman Brothers
Holdings, Inc. 26,800 2,016,700
Liberty Property Trust+ 600 24,126
The Macerich Co. REIT 2,300 110,101
Mack-Cali Realty Corp. 2,300 95,174
MBNA Corp. 9,500 245,005
Mercantile
Bankshares Corp. 2,200 103,004
Merrill Lynch & Co., Inc. 53,100 2,866,338
Morgan Stanley 307,100 16,205,667
New Plan Excel Realty Trust 3,900 91,104
Pan Pacific Retail
Properties, Inc. REIT 1,000 50,520
PNC Financial Services
Group, Inc. 15,700 833,356
ProLogis Trust 1,899 62,515
Public Storage, Inc. 700 32,207
Raymond James
Financial, Inc. 3,950 104,478
Reckson Associates
Realty Corp. 2,600 71,396
Regency Centers Corp. 700 30,030
The Rouse Co. 1,200 57,000
Shurgard Storage Centers,
Inc. Cl. A REIT 200 7,480
Simon Property
Group, Inc.+ 4,000 205,680
SL Green Realty Corp. 100 4,680
Thornburg Mortgage,
Inc. REIT 12,400 334,180
Trizec Properties, Inc. 8,800 143,088
United Dominion Realty
Trust, Inc. 700 13,846
Ventas, Inc. 1,400 32,690
Vornado Realty Trust+ 1,000 57,110
----------------
44,419,902
----------------
FOODS -- 3.5%
Archer-Daniels-Midland Co. 91,000 1,526,980
Campbell Soup Co. 400 10,752
ConAgra Foods, Inc. 16,500 446,820
Dean Foods Co.* 1,000 37,310
Del Monte Foods Co.* 5,600 56,896
General Mills, Inc. 5,800 275,674
Heinz (H. J.) Co. 338,600 $ 13,273,120
Hershey Foods Corp. 800 37,016
Hormel Foods Corp. 2,300 71,530
The J.M. Smucker Co. 300 13,773
Kellogg Co. 236,700 9,905,895
Kraft Foods, Inc. Cl. A 2,400 76,032
The Kroger Co.* 43,400 789,880
Pilgrim's Pride Corp. 10,300 298,082
Safeway, Inc.* + 42,400 1,074,416
Sara Lee Corp. 12,700 291,973
Smithfield Foods, Inc.* 2,600 76,440
SuperValu, Inc. 5,600 171,416
Tyson Foods, Inc. Cl. A 82,200 1,722,090
----------------
30,156,095
----------------
FOREST PRODUCTS & PAPER -- 2.5%
Boise Cascade Corp. 12,200 459,208
Bowater, Inc. 1,000 41,590
Georgia-Pacific Corp. 55,700 2,059,786
International Paper Co. 8,400 375,480
MeadWestvaco Corp. 42,200 1,240,258
Packaging Corp.
of America 1,100 26,290
Plum Creek Timber
Co., Inc. 13,000 423,540
Rayonier, Inc. REIT 1,950 86,678
Sonoco Products Co. 3,000 76,500
Weyerhaeuser Co. 262,600 16,575,312
----------------
21,364,642
----------------
HEALTHCARE -- 0.2%
Caremark Rx, Inc.* 6,200 204,228
Community Health
Systems, Inc.* 700 18,739
GlaxoSmithKline PLC
ADR (United Kingdom) 18,700 775,302
HCA, Inc. 2,900 120,611
Health Net, Inc.* + 2,100 55,650
Humana, Inc.* 36,200 611,780
Laboratory Corp. of
America Holdings* 3,200 127,040
Manor Care, Inc. 400 13,072
Pacificare Health Systems* 2,800 108,248
Triad Hospitals, Inc.* 1,000 37,230
Universal Health
Services Cl. B 400 18,356
Wellpoint Health
Networks, Inc.* 500 56,005
----------------
2,146,261
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.3%
Centex Corp. 4,100 187,575
D.R. Horton, Inc. 3,300 93,720
</Table>
The accompanying notes are an integral part of the financial statements.
113
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Hillenbrand Industries, Inc. 1,300 $ 78,585
KB Home+ 1,100 75,493
Leggett & Platt, Inc. 42,700 1,140,517
Lennar Corp. 3,200 143,104
MDC Holdings, Inc.+ 1,800 114,498
Mohawk Industries, Inc.* 400 29,332
Pulte Homes, Inc. 2,000 104,060
The Ryland Group, Inc. 700 54,740
Standard-Pacific Corp. 1,000 49,300
Steelcase, Inc. 1,500 21,000
Toll Brothers, Inc.* 900 38,088
Whirlpool Corp.+ 5,700 391,020
----------------
2,521,032
----------------
HOUSEHOLD PRODUCTS -- 0.5%
Black & Decker Corp. 21,700 1,348,221
The Clorox Co. 1,300 69,914
Corning, Inc.* 85,750 1,119,895
Fortune Brands, Inc. 300 22,629
RPM, Inc. 2,200 33,440
Sherwin-Williams Co. 10,300 427,965
Snap-On, Inc. 1,800 60,390
The Stanley Works+ 4,600 209,668
Unilever NV NY Shares 11,900 815,269
----------------
4,107,391
----------------
INDUSTRIAL - DISTRIBUTION -- 0.0%
Grainger (W.W.), Inc. 2,800 161,000
Hughes Supply, Inc. 3,000 176,790
----------------
337,790
----------------
INDUSTRIAL - DIVERSIFIED -- 1.2%
Carlisle Companies, Inc. 1,000 62,250
Cooper Industries
Limited Cl. A 17,200 1,021,852
Eaton Corp. 29,800 1,929,252
Harsco Corp. 900 42,300
Illinois Tool Works, Inc. 500 47,945
ITT Industries, Inc. 1,800 149,400
Textron, Inc.+ 27,200 1,614,320
Tyco International Limited+ 153,600 5,090,304
----------------
9,957,623
----------------
INSURANCE -- 8.5%
ACE Limited 11,000 465,080
Aetna, Inc. 11,600 986,000
AFLAC, Inc. 170,900 6,974,429
Alleghany Corp.* 100 28,700
Allmerica Financial Corp.* 1,500 50,700
Allstate Corp. 291,700 13,578,635
Ambac Financial
Group, Inc. 1,500 110,160
American Financial
Group, Inc. 3,500 106,995
American International
Group, Inc. 282,000 $ 20,100,960
American National
Insurance Co. 300 27,699
Anthem, Inc.* + 2,655 237,782
Aon Corp. 9,800 279,006
Assurant, Inc. 2,300 60,674
Berkley (W.R.) Corp. 2,000 85,900
Chubb Corp. 21,700 1,479,506
Cigna Corp. 7,200 495,432
Cincinnati Financial Corp. 4,410 191,923
CNA Financial Corp.* 700 20,713
Conseco, Inc.* 2,600 51,740
Erie Indemnity Co. Cl. A 400 18,712
Everest Re Group Limited 75,500 6,067,180
Fidelity National
Financial, Inc. 4,600 171,764
First American Corp.+ 1,300 33,657
Fremont General Corp. 6,300 111,195
Gallagher (Arthur J.) & Co. 100 3,045
Genworth Financial,
Inc. Cl. A* 3,600 82,620
The Hartford Financial
Services Group, Inc. 33,300 2,289,042
HCC Insurance
Holdings, Inc. 1,300 43,433
Jefferson-Pilot Corp.+ 4,000 203,200
Leucadia National Corp. 100 4,970
Lincoln National Corp. 6,700 316,575
Loews Corp. 4,300 257,828
Manulife Financial Corp. 23,706 960,093
MBIA, Inc. 4,200 239,904
Mercury General Corp. 800 39,720
Metlife, Inc. 44,900 1,609,665
MGIC Investment Corp.+ 16,500 1,251,690
Nationwide Financial
Services, Inc. Cl. A 5,800 218,138
Odyssey Re
Holdings Corp.+ 12,500 300,000
Old Republic
International Corp. 3,250 77,090
PartnerRe Limited 6,500 368,745
The PMI Group, Inc. 2,700 117,504
Progressive Corp. 3,300 281,490
Protective Life Corp. 5,500 212,685
Prudential Financial, Inc. 7,800 362,466
Radian Group, Inc. 201,800 9,666,220
RenaissanceRe
Holdings Limited 4,600 248,170
Safeco Corp. 4,100 180,400
St. Paul Travelers
Companies 60,446 2,450,481
StanCorp Financial
Group, Inc. 900 60,300
Torchmark Corp. 3,200 $ 172,160
Transatlantic Holdings, Inc. 600 48,594
Unitrin, Inc. 2,400 102,240
WellChoice, Inc.* 500 20,700
----------------
73,923,710
----------------
LODGING -- 0.1%
Hilton Hotels Corp. 14,100 263,106
Marriott International,
Inc. Cl. A 800 39,904
MGM Mirage, Inc.* 2,000 93,880
Starwood Hotels & Resorts
Worldwide, Inc. 5,500 246,675
----------------
643,565
----------------
MACHINERY & COMPONENTS -- 1.3%
Briggs & Stratton Corp. 100 8,835
Caterpillar, Inc. 1,500 119,160
Cooper Cameron Corp.* 1,800 87,660
Cummins, Inc. 3,200 200,000
Deere & Co. 4,500 315,630
Dover Corp. 2,500 105,250
Pall Corp. 2,200 57,618
Parker-Hannifin Corp. 167,700 9,971,442
Roper Industries, Inc. 100 5,690
Timken Co. 8,200 217,218
----------------
11,088,503
----------------
MANUFACTURING -- 0.0%
Pentair, Inc. 6,600 222,024
----------------
MEDICAL SUPPLIES -- 0.2%
Agilent Technologies, Inc.* 3,400 99,552
Applied Biosystems
Group-Applera Corp. 6,500 141,375
Bausch & Lomb, Inc. 700 45,549
Dade Behring
Holdings, Inc.* 3,300 156,816
Guidant Corp. 15,400 860,552
Mettler-Toledo
International, Inc.* 500 24,570
Tektronix, Inc. 3,400 115,668
Thermo Electron Corp.* 2,300 70,702
----------------
1,514,784
----------------
METALS -- 0.0%
Southern Peru
Copper Corp. 200 8,266
----------------
METALS & MINING -- 0.7%
Alcan, Inc. 20,100 832,140
Alcoa, Inc. 26,300 868,689
Consol Energy, Inc. 1,000 36,000
Crane Co. 18,200 571,298
Massey Energy Co. 2,300 64,883
Newmont Mining Corp. 500 19,380
</Table>
The accompanying notes are an integral part of the financial statements.
114
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Nucor Corp. 19,000 $ 1,458,440
Phelps Dodge Corp.* 3,600 279,036
United States Steel Corp.+ 37,300 1,309,976
Worthington Industries, Inc. 19,600 402,388
----------------
5,842,230
----------------
OIL & GAS -- 0.0%
AGL Resources, Inc. 2,000 58,100
----------------
PHARMACEUTICALS -- 3.4%
Abbott Laboratories 4,800 195,648
AmerisourceBergen Corp. 1,900 113,582
Bristol-Myers Squibb Co. 465,300 11,399,850
Hospira, Inc.* 3,000 82,800
ICOS Corp.* 900 26,856
Invitrogen Corp.* 1,400 100,786
King
Pharmaceuticals, Inc.* 7,800 89,310
McKesson Corp. 3,700 127,021
Medco Health
Solutions, Inc.* 4,700 176,250
Merck & Co., Inc. 72,800 3,458,000
Millennium
Pharmaceuticals, Inc.* 2,700 37,260
Pfizer, Inc. 386,400 13,245,792
Sigma-Aldrich Corp. 1,600 95,376
Wyeth 3,600 130,176
----------------
29,278,707
----------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 1.2%
Eastman Kodak Co.+ 400,100 10,794,698
----------------
PREPACKAGED SOFTWARE -- 1.0%
BMC Software, Inc.* 4,900 90,650
Compuware Corp.* 15,900 104,940
Fair Isaac Corp. 300 10,014
Microsoft Corp. 278,900 7,965,384
Oracle Corp.* 12,300 146,739
Siebel Systems, Inc.* 3,200 34,176
SunGard Data
Systems, Inc.* 1,100 28,600
Sybase, Inc.* 3,000 54,000
Tibco Software, Inc.* 1,100 9,295
----------------
8,443,798
----------------
REAL ESTATE -- 0.1%
Equity Office Properties Trust 15,900 432,480
Equity Residential 4,400 130,812
Host Marriott Corp.* 12,600 155,736
----------------
719,028
----------------
RESTAURANTS -- 2.0%
Darden Restaurants, Inc. 2,800 57,540
McDonald's Corp. 666,000 17,316,000
Wendy's International, Inc. 3,200 111,488
----------------
17,485,028
----------------
RETAIL -- 1.6%
Barnes & Noble, Inc.* 1,600 $ 54,368
BJ's Wholesale Club, Inc.* 2,200 55,000
Borders Group, Inc. 2,400 56,256
Circuit City Stores, Inc. 5,200 67,340
Costco Wholesale Corp. 13,500 554,445
Dillards, Inc. Cl. A 10,500 234,150
Federated Department
Stores, Inc. 31,200 1,531,920
Foot Locker, Inc. 1,400 34,076
The Home Depot, Inc. 5,800 204,160
J.C. Penney Company, Inc. 7,700 290,752
Kmart Holding Corp.* 1,900 136,420
The May Department
Stores Co.+ 44,700 1,228,803
Neiman Marcus Group,
Inc. Cl. A 100 5,565
Office Depot, Inc.* + 60,600 1,085,346
Rite Aid Corp.* 1,152,000 6,013,440
Saks, Inc. 4,000 60,000
Sears, Roebuck and Co.+ 47,700 1,801,152
Toys R Us, Inc.* 6,800 108,664
----------------
13,521,857
----------------
RETAIL - GROCERY -- 0.0%
Albertson's, Inc.+ 11,600 307,864
----------------
TELEPHONE UTILITIES -- 3.0%
Alltel Corp. 9,600 485,952
AT&T Corp.+ 24,700 361,361
BellSouth Corp. 110,100 2,886,822
CenturyTel, Inc. 4,400 132,176
Qwest Communications
International, Inc.* + 196,000 703,640
Sprint Corp. (FON Group) 174,850 3,077,360
Telephone & Data
Systems, Inc. 100 7,120
Verizon
Communications, Inc. 514,500 18,619,755
West Corp.* 4,700 122,905
----------------
26,397,091
----------------
TOBACCO -- 0.9%
Altria Group, Inc. 133,800 6,696,690
Reynolds (R.J.) Tobacco
Holdings, Inc. 4,500 304,155
UST, Inc. 31,200 1,123,200
----------------
8,124,045
----------------
TOYS, GAMES -- 0.0%
Hasbro, Inc. 4,800 91,200
Mattel, Inc. 200 3,650
----------------
94,850
----------------
TRANSPORTATION -- 1.9%
Burlington Northern Santa
Fe Corp. 51,600 $ 1,809,612
CNF, Inc. 6,800 282,608
CSX Corp. 30,400 996,208
FedEx Corp. 3,400 277,746
Norfolk Southern Corp. 59,200 1,569,984
Union Pacific Corp. 188,300 11,194,435
Yellow Roadway Corp.* 2,700 107,622
----------------
16,238,215
----------------
TRAVEL -- 0.0%
Sabre Holdings Corp. 5,800 160,718
----------------
WATER COMPANIES -- 0.0%
Aqua America, Inc. 300 6,015
----------------
TOTAL EQUITIES
(COST $730,348,215) 853,213,981
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 5.9%
CASH EQUIVALENTS -- 5.1%**
American AAdvantage
Select Money
Market Fund 1,199,894 1,199,894
Bank of America
Bank Note
1.500% 07/21/2004 $ 1,649,854 1,649,854
Bank of America
Eurodollar Time Deposit
1.080% 07/19/2004 1,499,868 1,499,868
Bank of America
Eurodollar Time Deposit
1.100% 07/07/2004 389,966 389,966
Bank of Montreal
Eurodollar Time Deposit
1.200% 07/23/2004 1,254,735 1,254,735
Bank of the West
Eurodollar Time Deposit
1.280% 07/28/2004 1,199,894 1,199,894
BGIF Prime
Money Market Fund 2,309,797 2,309,797
BNP Paribas
Eurodollar Time Deposit
1.080% 07/29/2004 749,934 749,934
Branch Banker & Trust
Eurodollar Time Deposit
1.080% 07/14/2004 149,987 149,987
</Table>
The accompanying notes are an integral part of the financial statements.
115
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 $ 2,999,737 $ 2,999,737
Caylon
Eurodollar Time Deposit
1.040% 07/06/2004 2,399,788 2,399,788
Caylon
Eurodollar Time Deposit
1.170% 08/04/2004 1,199,894 1,199,894
Caylon
Eurodollar Time Deposit
1.340% 08/24/2004 1,093,403 1,093,403
Fannie Mae
Discount Note
0.960% 07/01/2004 899,921 899,921
Fannie Mae
Discount Note
1.131% 07/14/2004 449,959 449,959
Federal Home Loan Bank
Discount Note
0.970% 07/02/2004 449,959 449,959
Federal Home Loan Bank
Discount Note
0.990% 07/01/2004 449,959 449,959
Fortis Bank
Eurodollar Time Deposit
1.090% 07/08/2004 2,099,814 2,099,814
Fortis Bank
Eurodollar Time Deposit
1.190% 07/14/2004 599,947 599,947
Fortis Bank
Eurodollar Time Deposit
1.290% 09/03/2004 449,959 449,959
General Electric
Capital Corp.
1.201% 07/19/2004 749,934 749,934
General Electric
Capital Corp.
1.211% 07/21/2004 750,801 750,801
General Electric
Capital Corp.
1.211% 07/22/2004 448,448 448,448
General Electric
Capital Corp.
1.221% 07/23/2004 148,462 148,462
General Electric
Capital Corp.
1.231% 07/26/2004 748,294 748,294
Goldman Sachs Financial
Square Prime Obligations
Money Market Fund 749,934 749,934
HBOS Halifax Bank
of Scotland
Eurodollar Time Deposit
1.050% 07/14/2004 $ 899,921 $ 899,921
HBOS Halifax Bank
of Scotland
Eurodollar Time Deposit
1.300% 09/03/2004 449,959 449,959
Keybank
Eurodollar Time Deposit
1.250% 07/01/2004 2,399,788 2,399,788
Merrill Lynch Premier
Institutional Money
Market Fund 1,084,134 1,084,134
Merrimac Cash Fund,
Premium Class 4,799,576 4,799,576
Morgan Stanley
Dean Witter & Co.
1.580% 10/22/2004 1,559,863 1,559,863
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 07/08/2004 449,959 449,959
Royal Bank of Canada
Eurodollar Time Deposit
1.100% 07/02/2004 1,499,868 1,499,868
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/07/2004 1,499,868 1,499,868
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/15/2004 749,934 749,934
Royal Bank of Scotland
Eurodollar Time Deposit
1.150% 08/10/2004 449,959 449,959
Wells Fargo
Eurodollar Time Deposit
1.190% 07/14/2004 749,934 749,934
Wells Fargo
Eurodollar Time Deposit
1.250% 07/23/2004 899,921 899,921
----------------
44,584,826
----------------
REPURCHASE AGREEMENT -- 0.8%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 6,993,485 6,993,485
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 51,578,311
----------------
TOTAL INVESTMENTS -- 104.4%
(COST $781,926,526)*** $ 904,792,292
OTHER ASSETS/
(LIABILITIES) -- (4.4%) (38,194,509)
----------------
NET ASSETS -- 100.0% $ 866,597,783
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $6,993,621. Collaterized by U.S. Government Agency
obligation with a rate of 4.903%, maturity date 07/01/2032, and an
aggregate market value, including accrued interest, of $7,343,159.
The accompanying notes are an integral part of the financial statements.
116
<Page>
MASSMUTUAL FUNDAMENTAL VALUE FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 98.4%
AEROSPACE & DEFENSE -- 0.5%
General Dynamics Corp. 41,500 $ 4,120,950
----------------
AIR TRANSPORTATION -- 1.6%
Southwest Airlines Co. 710,300 11,911,731
----------------
APPAREL, TEXTILES & SHOES -- 1.1%
Nike, Inc. Cl. B 110,000 8,332,500
----------------
AUTOMOTIVE & PARTS -- 1.7%
General Motors Corp.+ 279,700 13,031,223
----------------
BANKING, SAVINGS & LOANS -- 17.4%
Bank of America Corp. 339,000 28,686,180
Bank One Corp. 404,600 20,634,600
Citigroup, Inc. 749,200 34,837,800
Fannie Mae 137,000 9,776,320
National City Corp. 465,100 16,283,151
SunTrust Banks, Inc.+ 115,200 7,486,848
Washington Mutual, Inc. 113,900 4,401,096
Wells Fargo & Co. 200,800 11,491,784
----------------
133,597,779
----------------
BEVERAGES -- 2.1%
Coca-Cola
Enterprises, Inc.+ 287,700 8,340,423
PepsiCo, Inc. 148,800 8,017,344
----------------
16,357,767
----------------
BROADCASTING, PUBLISHING & PRINTING -- 4.5%
Comcast Corp.
Special Cl. A* 421,600 11,640,376
Gannett Co., Inc. 93,800 7,958,930
Time Warner, Inc.* 854,200 15,016,836
----------------
34,616,142
----------------
CHEMICALS -- 2.0%
Du Pont (E.I.) de
Nemours & Co. 348,300 15,471,486
----------------
COMMUNICATIONS -- 0.9%
SBC Communications, Inc. 272,400 6,605,700
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 2.8%
Teradyne, Inc.+ * 941,600 21,374,320
----------------
COMPUTERS & OFFICE EQUIPMENT -- 1.7%
Hewlett-Packard Co. 261,700 5,521,870
International Business
Machines Corp. 84,200 7,422,230
----------------
12,944,100
----------------
COSMETICS & PERSONAL CARE -- 1.3%
Kimberly-Clark Corp. 150,400 9,908,352
----------------
ELECTRIC UTILITIES -- 5.6%
Dominion Resources, Inc. 103,550 $ 6,531,934
Exelon Corp. 391,700 13,039,693
PPL Corp. 150,900 6,926,310
Progress Energy, Inc.+ 90,200 3,973,310
SCANA Corp. 94,000 3,418,780
TXU Corp. 224,600 9,098,546
----------------
42,988,573
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 4.2%
Emerson Electric Co. 154,400 9,812,120
Intel Corp. 566,500 15,635,400
Rockwell Automation, Inc. 180,500 6,770,555
----------------
32,218,075
----------------
ENERGY -- 10.7%
ChevronTexaco Corp. 67,000 6,305,370
ConocoPhillips 203,700 15,540,273
Exxon Mobil Corp. 786,500 34,928,465
National Fuel Gas Co. 2,200 55,000
Shell Transport & Trading
Co. PLC+ 564,600 25,237,620
----------------
82,066,728
----------------
FINANCIAL SERVICES -- 4.8%
The Goldman Sachs
Group, Inc. 164,800 15,517,568
Morgan Stanley 255,500 13,482,735
PNC Financial Services
Group, Inc. 150,400 7,983,232
----------------
36,983,535
----------------
FOODS -- 1.1%
Kellogg Co. 196,100 8,206,785
----------------
FOREST PRODUCTS & PAPER -- 1.5%
Weyerhaeuser Co. 178,900 11,292,168
----------------
INDUSTRIAL - DIVERSIFIED -- 4.7%
Illinois Tool Works, Inc. 135,700 13,012,273
Tyco International Limited 687,000 22,767,180
----------------
35,779,453
----------------
INSURANCE -- 6.1%
ACE Limited 169,700 7,174,916
Anthem, Inc.+ * 120,000 10,747,200
Chubb Corp. 110,800 7,554,344
Marsh & McLennan
Companies, Inc. 94,100 4,270,258
Principal Financial
Group, Inc. 219,200 7,623,776
St. Paul
Travelers Companies 233,100 9,449,874
----------------
46,820,368
----------------
MACHINERY & COMPONENTS -- 2.9%
Caterpillar, Inc. 282,400 $ 22,433,856
----------------
MANUFACTURING -- 2.2%
Applied Materials, Inc.* 839,900 16,478,838
----------------
MEDICAL SUPPLIES -- 3.5%
Bard (C.R.), Inc. 121,800 6,899,970
Baxter International, Inc. 314,500 10,853,395
Beckman Coulter, Inc. 142,600 8,698,600
----------------
26,451,965
----------------
METALS & MINING -- 3.2%
Alcoa, Inc. 747,400 24,686,622
----------------
PHARMACEUTICALS -- 4.1%
Pfizer, Inc. 625,820 21,453,110
Wyeth 279,400 10,103,104
----------------
31,556,214
----------------
RESTAURANTS -- 1.2%
McDonald's Corp. 362,200 9,417,200
----------------
RETAIL -- 2.5%
CVS Corp. 270,500 11,366,410
Dollar General Corp. 398,600 7,796,616
----------------
19,163,026
----------------
TELEPHONE UTILITIES -- 1.0%
BellSouth Corp. 283,400 7,430,748
----------------
TRANSPORTATION -- 1.5%
CSX Corp. 357,500 11,715,275
----------------
TOTAL EQUITIES
(COST $677,151,413) 753,961,479
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 8.4%
CASH EQUIVALENTS -- 7.1%**
American AAdvantage
Select Money
Market Fund 1,458,575 1,458,575
Bank of America
Bank Note
1.500% 07/21/2004 $ 2,005,538 2,005,538
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 1,823,217 1,823,217
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 474,036 474,036
</Table>
The accompanying notes are an integral part of the financial statements.
117
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 $ 1,525,239 $ 1,525,239
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 1,458,573 1,458,573
BGIF Prime Money
Market Fund 2,807,754 2,807,754
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 911,608 911,608
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 182,322 182,322
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 3,646,433 3,646,433
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 2,917,147 2,917,147
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 1,458,573 1,458,573
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 1,329,125 1,329,125
Fannie Mae
Discount Note
0.960% 07/01/2004 1,093,930 1,093,930
Fannie Mae
Discount Note
1.131% 07/14/2004 546,965 546,965
Federal Home
Loan Bank
Discount Note
0.970% 07/02/2004 546,965 546,965
Federal Home
Loan Bank
Discount Note
0.990% 07/01/2004 546,965 546,965
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 2,552,503 2,552,503
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 $ 729,287 $ 729,287
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 546,965 546,965
General Electric
Capital Corp.
1.201% 07/19/2004 911,608 911,608
General Electric
Capital Corp.
1.211% 07/21/2004 912,663 912,663
General Electric
Capital Corp.
1.211% 07/22/2004 545,127 545,127
General Electric
Capital Corp.
1.221% 07/23/2004 180,468 180,468
General Electric
Capital Corp.
1.231% 07/26/2004 909,615 909,615
Goldman Sachs Financial
Square Prime
Obligations Money
Market Fund 911,608 911,608
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 1,093,930 1,093,930
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 546,965 546,965
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 2,917,147 2,917,147
Merrill Lynch Premier
Institutional Money
Market Fund 1,317,857 1,317,857
Merrimac Cash Fund,
Premium Class 5,834,293 5,834,293
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 1,896,145 1,896,145
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 546,965 546,965
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 $ 1,823,217 $ 1,823,217
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 1,823,217 1,823,217
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 911,608 911,608
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 546,965 546,965
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 911,608 911,608
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 1,093,930 1,093,930
----------------
54,196,656
----------------
REPURCHASE AGREEMENT -- 1.3%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 10,149,014 10,149,014
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 64,345,670
----------------
TOTAL INVESTMENTS -- 106.8%
(COST $741,497,083)*** 818,307,149
OTHER ASSETS/
(LIABILITIES) -- (6.8%) (52,407,865)
----------------
NET ASSETS -- 100.0% $ 765,899,284
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $10,149,211. Collaterized by U.S. Government Agency
obligation with a rate of 3.229%, maturity date of 03/01/2029, and an
aggregate market value, including accrued interest, of $10,656,600.
The accompanying notes are an integral part of the financial statements.
118
<Page>
MASSMUTUAL VALUE EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 99.5%
ADVERTISING -- 0.8%
Lamar Advertising Co.* + 11,600 $ 502,860
Monster Worldwide, Inc.* + 4,800 123,456
----------------
626,316
----------------
AEROSPACE & DEFENSE -- 3.9%
BE Aerospace, Inc.* 8,000 60,640
Boeing Co. 6,000 306,540
Embraer - Empresa
Brasileira de Aeronautica
SA Sponsored
ADR (Brazil) 1,900 54,321
Goodrich Corp. 2,900 93,757
Honeywell
International, Inc. 43,500 1,593,405
Lockheed Martin Corp. 8,900 463,512
Northrop Grumman Corp. 3,400 182,580
Raytheon Co. 8,600 307,622
United Defense
Industries, Inc.* 4,000 140,000
----------------
3,202,377
----------------
AIR TRANSPORTATION -- 0.8%
Airtran Holdings, Inc.* 16,500 233,310
Southwest Airlines Co. 25,600 429,312
----------------
662,622
----------------
APPAREL, TEXTILES & SHOES -- 0.7%
American Eagle
Outfitters, Inc.* 7,400 213,934
The Gap, Inc.+ 14,500 351,625
----------------
565,559
----------------
AUTOMOTIVE & PARTS -- 0.5%
Harley-Davidson, Inc.+ 2,300 142,462
SPX Corp. 5,200 241,488
TRW Automotive
Holdings Corp.* 3,400 64,090
----------------
448,040
----------------
BANKING, SAVINGS & LOANS -- 12.0%
Bank of America Corp. 29,729 2,515,668
Bank One Corp. 18,300 933,300
Banknorth Group, Inc. 5,900 191,632
Capital One Financial Corp. 3,600 246,168
Citigroup, Inc. 32,000 1,488,000
Fannie Mae 11,100 792,096
Fifth Third Bancorp+ 3,500 188,230
Freddie Mac 2,100 132,930
Golden West Financial Corp. 2,000 212,700
J.P. Morgan Chase & Co. 12,100 $ 469,117
National Commerce
Financial Corp. 3,900 126,750
New York Community
Bancorp, Inc. 6,666 130,854
SouthTrust Corp. 12,300 477,363
Sovereign Bancorp, Inc. 13,900 307,190
SunTrust Banks, Inc.+ 2,000 129,980
Texas Capital
Bancshares, Inc.* 6,000 99,600
UCBH Holdings, Inc.+ 5,724 226,212
Wachovia Corp. 10,100 449,450
Washington Mutual, Inc. 7,100 274,344
Wells Fargo & Co. 9,200 526,516
----------------
9,918,100
----------------
BEVERAGES -- 0.9%
Anheuser-Busch
Companies, Inc. 2,600 140,400
The Coca-Cola Co. 2,400 121,152
PepsiCo, Inc. 8,200 441,816
----------------
703,368
----------------
BROADCASTING, PUBLISHING & PRINTING -- 4.5%
Cablevision Systems
Corp. Cl. A* + 10,500 206,325
Clear Channel
Communications, Inc. 11,900 439,705
Cumulus Media, Inc. Cl. A* 10,500 176,505
The DIRECTV Group, Inc.* 15,448 264,161
Emmis
Communications Corp.* 10,800 226,584
Fox Entertainment Group,
Inc. Cl. A* 6,600 176,220
Grupo Televisa SA
Sponsored ADR (Mexico) 4,800 217,296
Liberty Media Corp. Cl. A 30,000 269,700
News Corp. Limited
Preferred Sponsored
ADR (Australia) 4,691 154,240
Salem Communications
Corp. Cl. A* 4,100 111,233
Time Warner, Inc.* 32,100 564,318
Univision Communications,
Inc. Cl. A* 7,000 223,510
Viacom, Inc. Cl. B 19,000 678,680
----------------
3,708,477
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.7%
Masco Corp.+ 17,700 551,886
----------------
CHEMICALS -- 2.8%
Dow Chemical Co. 23,000 $ 936,100
Du Pont (E.I.) de
Nemours & Co. 14,500 644,090
Lyondell Chemical Co.+ 17,000 295,630
Millennium
Chemicals, Inc.* 17,900 310,028
Olin Corp. 5,300 93,386
----------------
2,279,234
----------------
COMMERCIAL SERVICES -- 3.2%
BearingPoint, Inc.* 11,900 105,553
Cendant Corp. 27,600 675,648
Cintas Corp. 3,800 181,146
Fluor Corp. 8,900 424,263
On Assignment, Inc.* 8,041 47,442
PerkinElmer, Inc. 4,300 86,172
Robert Half
International, Inc. 25,170 749,311
Servicemaster Co. 7,200 88,704
Waste Management, Inc. 7,900 242,135
----------------
2,600,374
----------------
COMMUNICATIONS -- 3.4%
Citizens
Communications Co.* + 7,000 84,700
Crown Castle
International Corp.* 12,900 190,275
EchoStar Communications
Corp. Cl. A* 700 21,525
Juniper Networks, Inc.* 5,800 142,506
Lucent
Technologies, Inc.* + 58,900 222,642
McData Corp. Cl. A* 11,400 61,332
Nextel Communications,
Inc. Cl. A* 6,400 170,624
SBC Communications, Inc. 68,300 1,656,275
Scientific-Atlanta, Inc. 1,900 65,550
Titan Corp.* 7,800 101,244
XM Satellite Radio
Holdings, Inc. Cl. A* + 4,100 111,889
----------------
2,828,562
----------------
COMMUNICATIONS EQUIPMENT -- 0.4%
Ericsson (LM)
Cl. B Sponsored
ADR (Sweden)* + 6,400 191,488
Motorola, Inc. 8,000 146,000
----------------
337,488
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
119
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
COMPUTERS & INFORMATION -- 0.9%
Cisco Systems, Inc.* 9,800 $ 232,260
Diebold, Inc. 1,800 95,166
Foundry Networks, Inc.* + 16,500 232,155
Solectron Corp.* 23,100 149,457
Western Digital Corp.* 6,600 57,156
----------------
766,194
----------------
COMPUTERS & OFFICE EQUIPMENT -- 1.2%
Hewlett-Packard Co. 7,800 164,580
International Business
Machines Corp. 6,900 608,235
Xerox Corp.* 13,100 189,950
----------------
962,765
----------------
CONTAINERS -- 1.2%
Ball Corp. 2,400 172,920
Bemis Co., Inc.+ 5,000 141,250
Owens-Illinois, Inc.* 18,300 306,708
Sealed Air Corp.* 3,000 159,810
Smurfit-Stone
Container Corp. 12,500 249,375
----------------
1,030,063
----------------
COSMETICS & PERSONAL CARE -- 1.4%
Colgate-Palmolive Co. 1,300 75,985
Estee Lauder Companies,
Inc. Cl. A 1,800 87,804
The Gillette Co. 7,400 313,760
The Procter & Gamble Co. 12,200 664,168
----------------
1,141,717
----------------
DATA PROCESSING & PREPARATION -- 0.5%
Affiliated Computer
Services, Inc. Cl. A* 3,800 201,172
The BISYS Group, Inc.* 5,100 71,706
WebMD Corp.* 17,200 160,304
----------------
433,182
----------------
ELECTRIC UTILITIES -- 2.5%
AES Corp.* 22,700 225,411
Calpine Corp.* + 28,100 121,392
Entergy Corp. 5,800 324,858
FirstEnergy Corp. 7,100 265,611
PG&E Corp.* 9,800 273,812
PPL Corp. 4,100 188,190
Public Service Enterprise
Group, Inc.+ 2,000 80,060
Southern Co.+ 5,600 163,240
TXU Corp. 7,000 283,570
Westar Energy, Inc. 8,200 163,262
----------------
2,089,406
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 7.1%
Agere Systems, Inc. Cl. B* 60,700 $ 130,505
Amphenol Corp. Cl. A* 3,100 103,292
Avnet, Inc.* 5,500 124,850
Flextronics International
Limited* 6,000 95,700
FuelCell Energy, Inc.* + 5,800 67,744
General Electric Co. 101,900 3,301,560
Graftech International
Limited* 6,000 62,760
Intel Corp. 6,700 184,920
Intersil Corp. Cl. A 3,700 80,142
Kla-Tencor Corp.* 9,500 469,110
Micron Technology, Inc.* 8,800 134,728
National
Semiconductor Corp.* 5,800 127,542
Novellus Systems, Inc.* 18,500 581,640
PMC-Sierra, Inc.* + 3,200 45,920
Rockwell Automation, Inc. 2,700 101,277
Sony Corp. Sponsored
ADR (Japan) 6,700 254,935
----------------
5,866,625
----------------
ENERGY -- 10.3%
Amerada Hess Corp. 3,400 269,246
Apache Corp. 2,300 100,165
BP PLC Sponsored
ADR (United Kingdom) 2,100 112,497
Burlington Resources, Inc. 8,000 289,440
ChevronTexaco Corp. 16,008 1,506,513
ConocoPhillips 6,345 484,060
Encore Acquisition Co.* 4,700 131,130
Ensco International, Inc. 10,300 299,730
Exxon Mobil Corp. 53,400 2,371,494
GlobalSantaFe Corp. 11,100 294,150
Halliburton Co. 17,900 541,654
Occidental Petroleum Corp. 8,100 392,121
Premcor, Inc.* 4,200 157,500
Pride International, Inc.* + 16,100 275,471
Rowan Companies, Inc.* 6,100 148,413
Transocean, Inc.* 16,400 474,616
Valero Energy Corp. 3,400 250,784
Varco International, Inc.* 6,100 133,529
Weatherford International
Limited* + 5,300 238,394
----------------
8,470,907
----------------
ENTERTAINMENT & LEISURE -- 1.2%
Brunswick Corp. 2,000 81,600
Caesars
Entertainment, Inc.* 8,400 126,000
Leapfrog
Enterprises, Inc.* + 4,300 85,527
The Walt Disney Co. 26,500 675,485
----------------
968,612
----------------
FINANCIAL SERVICES -- 5.9%
Apartment Investment &
Management Co. Cl. A+ 24,390 $ 759,261
Bear Stearns
Companies, Inc. 3,800 320,378
CIT Group, Inc. 3,900 149,331
East West Bancorp, Inc. 3,600 110,520
iStar Financial, Inc. 3,200 128,000
Lehman Brothers
Holdings, Inc. 5,500 413,875
Manufactured Home
Communities, Inc. 2,300 76,337
MBNA Corp. 8,500 219,215
Merrill Lynch & Co., Inc. 26,400 1,425,072
Morgan Stanley 21,600 1,139,832
Raymond James
Financial, Inc. 5,000 132,250
----------------
4,874,071
----------------
FOODS -- 0.8%
Interstate Bakeries 11,800 128,030
The J.M. Smucker Co. 1,700 78,047
McCormick & Co., Inc. 2,400 81,600
Safeway, Inc.* + 15,300 387,702
----------------
675,379
----------------
FOREST PRODUCTS & PAPER -- 0.4%
Bowater, Inc.+ 4,000 166,360
Packaging Corp.
of America 8,600 205,540
----------------
371,900
----------------
HEALTHCARE -- 1.1%
Covance, Inc.* 3,300 127,314
Healthsouth Corp.* 4,300 25,585
Odyssey Healthcare, Inc.* 4,600 86,572
Tenet Healthcare Corp.* + 19,700 264,177
UnitedHealth Group, Inc. 6,200 385,950
----------------
889,598
----------------
HEAVY MACHINERY -- 0.0%
Metals USA, Inc.* 800 14,304
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.1%
Pulte Homes, Inc. 1,300 67,639
----------------
HOUSEHOLD PRODUCTS -- 0.6%
The Clorox Co. 3,700 198,986
Newell Rubbermaid, Inc. 8,200 192,700
Trex Company, Inc.* + 2,100 79,275
----------------
470,961
----------------
INDUSTRIAL - DISTRIBUTION -- 0.2%
Grainger (W.W.), Inc. 2,700 155,250
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
120
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
INDUSTRIAL - DIVERSIFIED -- 2.9%
3M Co. 2,600 $ 234,025
Tyco International Limited 64,800 2,147,472
----------------
2,381,497
----------------
INFORMATION RETRIEVAL SERVICES -- 0.3%
Yahoo!, Inc.* 6,600 239,778
----------------
INSURANCE -- 6.1%
ACE Limited 9,300 393,204
AFLAC, Inc. 4,800 195,888
Allianz AG
ADR (Germany)+ 17,100 187,245
Ambac Financial
Group, Inc.+ 6,500 477,360
American International
Group, Inc. 27,700 1,974,456
Berkley (W.R.) Corp. 7,800 335,010
Chubb Corp. 1,100 74,998
The Hartford Financial
Services Group, Inc. 5,600 384,944
Marsh & McLennan
Companies, Inc.+ 2,200 99,836
Metlife, Inc. 6,400 229,440
The PMI Group, Inc. 1,000 43,520
Scottish Re Group Limited+ 2,400 55,800
St. Paul
Travelers Companies 2,525 102,363
UnumProvident Corp.+ 15,100 240,090
XL Capital Limited Cl. A 2,900 218,834
----------------
5,012,988
----------------
INTERNET CONTENT -- 0.1%
BEA Systems, Inc.* 13,700 112,614
----------------
INTERNET SOFTWARE -- 0.3%
Covad Communications
Group, Inc.* + 100,100 240,240
----------------
MACHINERY & COMPONENTS -- 1.1%
Agco Corp.* + 5,800 118,146
Baker Hughes, Inc.+ 12,800 481,920
Chicago Bridge & Iron
Co. NV 8,600 239,510
Smith International, Inc.* + 1,800 100,368
----------------
939,944
----------------
MANUFACTURING -- 0.4%
Avery Dennison Corp. 4,000 256,040
Bombardier, Inc. Cl. B 27,500 82,454
----------------
338,494
----------------
MEDICAL SUPPLIES -- 3.3%
Agilent Technologies, Inc.* 1,700 49,776
Baxter International, Inc. 32,200 1,111,222
Dade Behring
Holdings, Inc.* 4,200 $ 199,584
Immucor, Inc.* 4,800 156,240
Medtronic, Inc. 1,000 48,720
St. Jude Medical, Inc.* 2,700 204,255
Thermo Electron Corp.* 8,600 264,364
Waters Corp.* 14,900 711,922
----------------
2,746,083
----------------
METALS & MINING -- 2.5%
Alcoa, Inc. 9,800 323,694
Freeport-McMoRan
Copper & Gold,
Inc. Cl. B+ 5,700 188,955
Massey Energy Co. 10,700 301,847
Newmont Mining Corp. 3,800 147,288
Nucor Corp.+ 10,100 775,276
Phelps Dodge Corp.* 2,700 209,277
Precision Castparts Corp. 2,500 136,725
----------------
2,083,062
----------------
PHARMACEUTICALS -- 5.1%
Barr Pharmaceuticals* 6,200 208,940
Biogen Idec, Inc.* + 4,000 253,000
BioMarin
Pharmaceuticals, Inc.* 26,000 156,000
Cardinal Health, Inc. 4,700 329,235
Cephalon, Inc.* + 1,600 86,400
Genentech, Inc.* 3,400 191,080
Johnson & Johnson 10,600 590,420
Medimmune, Inc.* 7,000 163,800
Merck & Co., Inc. 18,600 883,500
Millennium
Pharmaceuticals, Inc.* 7,100 97,980
Nutraceutical
International Corp.* 3,300 70,323
Pfizer, Inc. 6,300 215,964
Schering-Plough Corp. 39,200 724,416
Wyeth 6,500 235,040
----------------
4,206,098
----------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.3%
Eastman Kodak Co.+ 8,200 221,236
----------------
PREPACKAGED SOFTWARE -- 1.5%
Brocade Communications
Systems, Inc.* 17,400 104,052
Microsoft Corp. 40,600 1,159,536
----------------
1,263,588
----------------
RESTAURANTS -- 0.8%
McDonald's Corp. 25,600 665,600
----------------
RETAIL -- 2.0%
99 Cents Only Stores* + 6,700 102,175
The Home Depot, Inc. 16,000 563,200
J.C. Penney Company, Inc.+ 4,800 $ 181,248
Office Depot, Inc.* + 16,600 297,306
Toys R Us, Inc.* 21,100 337,178
Wal-Mart Stores, Inc. 3,200 168,832
----------------
1,649,939
----------------
RETAIL - GROCERY -- 0.2%
Albertson's, Inc.+ 7,800 207,012
----------------
RETAIL - INTERNET -- 0.2%
Amazon.com, Inc.* + 2,800 152,320
----------------
TELECOMMUNICATIONS -- 0.1%
Telefonos de Mexico SA de
CV Cl. L Sponsored
ADR (Mexico) 2,600 86,502
----------------
TELEPHONE UTILITIES -- 1.7%
Mastec, Inc.* 8,900 48,327
Nextel Partners, Inc. Cl. A* 8,000 127,360
Verizon
Communications, Inc. 30,900 1,118,271
Western Wireless
Corp. Cl. A* 2,900 83,839
----------------
1,377,797
----------------
TOBACCO -- 0.2%
Altria Group, Inc. 3,100 155,155
----------------
TRANSPORTATION -- 0.4%
Expeditors International
of Washington, Inc. 2,800 138,348
Overnite Corp. 1,787 52,538
Royal Caribbean Cruises
Limited+ 3,000 130,230
----------------
321,116
----------------
TOTAL EQUITIES
(COST $76,760,624) 82,082,039
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 9.2%
CASH EQUIVALENTS**
American AAdvantage
Select Money
Market Fund 205,157 205,157
Bank of America
Bank Note
1.500% 07/21/2004 $ 282,090 282,090
Bank of America
Eurodollar Time Deposit
1.080% 07/19/2004 256,446 256,446
</Table>
The accompanying notes are an integral part of the financial statements.
121
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Bank of America
Eurodollar Time Deposit
1.100% 07/07/2004 $ 66,676 $ 66,676
Bank of Montreal
Eurodollar Time Deposit
1.200% 07/23/2004 214,533 214,533
Bank of the West
Eurodollar Time Deposit
1.280% 07/28/2004 205,157 205,157
BGIF Prime Money
Market Fund 394,926 394,926
BNP Paribas
Eurodollar Time Deposit
1.080% 07/29/2004 128,223 128,223
Branch Banker & Trust
Eurodollar Time Deposit
1.080% 07/14/2004 25,645 25,645
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 512,891 512,891
Caylon
Eurodollar Time Deposit
1.040% 07/06/2004 410,313 410,313
Caylon
Eurodollar Time Deposit
1.170% 08/04/2004 205,157 205,157
Caylon
Eurodollar Time Deposit
1.340% 08/24/2004 186,949 186,949
Fannie Mae Discount Note
0.960% 07/01/2004 153,867 153,867
Fannie Mae Discount Note
1.131% 07/14/2004 76,934 76,934
Federal Home Loan Bank
Discount Note
0.970% 07/02/2004 76,934 76,934
Federal Home Loan Bank
Discount Note
0.990% 07/01/2004 76,934 76,934
Fortis Bank
Eurodollar Time Deposit
1.090% 07/08/2004 359,024 359,024
Fortis Bank
Eurodollar Time Deposit
1.190% 07/14/2004 102,578 102,578
Fortis Bank
Eurodollar Time Deposit
1.290% 09/03/2004 76,934 76,934
General Electric
Capital Corp.
1.201% 07/19/2004 128,223 128,223
General Electric
Capital Corp.
1.211% 07/21/2004 $ 128,371 $ 128,371
General Electric
Capital Corp.
1.211% 07/22/2004 76,675 76,675
General Electric
Capital Corp.
1.221% 07/23/2004 25,384 25,384
General Electric
Capital Corp.
1.231% 07/26/2004 127,942 127,942
Goldman Sachs Financial
Square Prime Obligations
Money Market Fund 128,223 128,223
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.050% 07/14/2004 153,867 153,867
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.300% 09/03/2004 76,934 76,934
Keybank
Eurodollar Time Deposit
1.250% 07/01/2004 410,310 410,310
Merrill Lynch Premier
Institutional Money
Market Fund 185,364 185,364
Merrimac Cash Fund,
Premium Class 820,626 820,626
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 266,703 266,703
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 07/08/2004 76,934 76,934
Royal Bank of Canada
Eurodollar Time Deposit
1.100% 07/02/2004 256,446 256,446
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/07/2004 256,446 256,446
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/15/2004 128,223 128,223
Royal Bank of Scotland
Eurodollar Time Deposit
1.150% 08/10/2004 76,934 76,934
Wells Fargo
Eurodollar Time Deposit
1.190% 07/14/2004 128,223 128,223
Wells Fargo
Eurodollar Time Deposit
1.250% 07/23/2004 $ 153,867 $ 153,867
----------------
7,623,063
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 7,623,063
----------------
TOTAL INVESTMENTS -- 108.7%
(COST $84,383,687)*** 89,705,102
OTHER ASSETS/
(LIABILITIES) -- (8.7%) (7,184,743)
----------------
NET ASSETS -- 100.0% $ 82,520,359
================
</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).
+ Denotes all or a portion of security on loan.
The accompanying notes are an integral part of the financial statements.
122
<Page>
MASSMUTUAL LARGE CAP VALUE FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 91.6%
ADVERTISING -- 0.3%
WPP Group PLC Sponsored
ADR (United Kingdom) 59,200 $ 3,032,816
----------------
BANKING, SAVINGS & LOANS -- 18.5%
Bank One Corp. 643,400 32,813,400
Citigroup, Inc. 689,300 32,052,450
Fifth Third Bancorp 269,300 14,482,954
Golden West
Financial Corp. 242,300 25,768,605
HSBC Holdings PLC 1,887,533 28,149,691
Lloyds TSB Group
PLC Sponsored
ADR (United Kingdom)+ 197,500 6,296,300
Providian Financial Corp.* 146,700 2,152,089
State Street Corp. 48,500 2,378,440
Wells Fargo & Co. 535,000 30,618,050
----------------
174,711,979
----------------
BEVERAGES -- 2.0%
Diageo PLC Sponsored
ADR (United Kingdom)+ 225,200 12,329,700
Heineken Holding
NV Cl. A+ 216,450 6,343,116
----------------
18,672,816
----------------
BROADCASTING, PUBLISHING & PRINTING -- 4.6%
Comcast Corp.
Special Cl. A* 984,300 27,176,523
Gannett Co., Inc. 68,600 5,820,710
Lagardere S.C.A. SA 170,000 10,657,430
----------------
43,654,663
----------------
BUILDING MATERIALS & CONSTRUCTION -- 1.3%
Martin Marietta
Materials, Inc. 134,700 5,971,251
Vulcan Materials Co.+ 133,400 6,343,170
----------------
12,314,421
----------------
COMMERCIAL SERVICES -- 3.2%
Block (H&R), Inc.+ 263,800 12,577,984
Dun & Bradstreet Corp.* 143,050 7,711,826
Moody's Corp. 156,200 10,099,892
----------------
30,389,702
----------------
COMMUNICATIONS -- 0.8%
Nokia Oyj Sponsored
ADR (Finland) 186,200 2,707,348
SK Telecom Co. Limited
ADR (South Korea)+ 208,800 4,382,712
----------------
7,090,060
----------------
COMPUTERS & INFORMATION -- 1.8%
Lexmark
International, Inc.* 175,500 $ 16,941,015
----------------
CONTAINERS -- 3.1%
Sealed Air Corp.* 543,700 28,962,899
----------------
DIVERSIFIED FINANCIAL -- 0.7%
Takefuji Corp.+ 94,300 6,870,863
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 0.1%
Agere Systems, Inc. Cl. A* 387,700 891,710
----------------
ENERGY -- 7.2%
ConocoPhillips 289,946 22,119,980
Devon Energy Corp. 270,000 17,820,000
EOG Resources, Inc. 232,500 13,882,575
Occidental
Petroleum Corp. 182,500 8,834,825
Transocean, Inc.* 174,700 5,055,818
----------------
67,713,198
----------------
FINANCIAL SERVICES -- 13.9%
American Express Co. 1,260,000 64,738,800
Berkshire Hathaway,
Inc. Cl. A* 514 45,720,300
Centerpoint
Properties Corp. 175,099 13,438,848
Morgan Stanley 145,900 7,699,143
----------------
131,597,091
----------------
FOODS -- 1.4%
Hershey Foods Corp. 182,600 8,448,902
Kraft Foods, Inc. Cl. A 144,600 4,580,928
----------------
13,029,830
----------------
HEALTHCARE -- 0.9%
HCA, Inc.+ 193,800 8,060,142
----------------
INDUSTRIAL - DIVERSIFIED -- 4.2%
Tyco International
Limited+ 1,182,124 39,175,589
----------------
INSURANCE -- 13.5%
American International
Group, Inc. 718,000 51,179,040
Aon Corp.+ 305,300 8,691,891
Chubb Corp. 41,100 2,802,198
Loews Corp. 276,800 16,596,928
Markel Corp.* 2,800 777,000
Marsh & McLennan
Companies, Inc. 55,400 2,514,052
Principal Financial
Group, Inc. 95,600 3,324,968
Progressive Corp. 297,500 $ 25,376,750
Sun Life Financial, Inc.+ 62,100 1,797,174
Transatlantic Holdings, Inc. 177,250 14,355,478
----------------
127,415,479
----------------
LODGING -- 0.7%
Marriott International,
Inc. Cl. A+ 141,400 7,053,032
----------------
PHARMACEUTICALS -- 2.8%
Eli Lilly & Co. 171,100 11,961,601
Merck & Co., Inc. 60,900 2,892,750
Novartis AG 85,000 3,758,901
Pfizer, Inc. 229,400 7,863,832
----------------
26,477,084
----------------
PREPACKAGED SOFTWARE -- 1.2%
Microsoft Corp. 399,200 11,401,152
----------------
RETAIL -- 3.8%
AutoZone, Inc.+ * 99,600 7,977,960
Costco Wholesale Corp. 688,700 28,284,909
----------------
36,262,869
----------------
TOBACCO -- 4.8%
Altria Group, Inc. 913,700 45,730,685
----------------
TRANSPORTATION -- 0.8%
United Parcel Service,
Inc. Cl. B 99,800 7,501,966
----------------
TOTAL EQUITIES
(COST $732,689,266) 864,951,061
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 14.7%
CASH EQUIVALENTS -- 6.2%**
American AAdvantage
Select Money
Market Fund 1,570,125 1,570,125
Bank of America
Bank Note
1.500% 07/21/2004 $ 2,158,922 2,158,922
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 1,962,656 1,962,656
Eurodollar
Time Deposit
1.100% 07/07/2004 510,290 510,290
</Table>
The accompanying notes are an integral part of the financial statements.
123
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 $ 1,641,889 $ 1,641,889
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 1,570,126 1,570,126
BGIF Prime Money
Market Fund 3,022,492 3,022,492
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 981,329 981,329
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 196,266 196,266
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 3,925,315 3,925,315
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 3,140,251 3,140,251
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 1,570,126 1,570,126
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 1,430,777 1,430,777
Fannie Mae
Discount Note
0.960% 07/01/2004 1,177,594 1,177,594
Fannie Mae
Discount Note
1.131% 07/14/2004 588,797 588,797
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 588,797 588,797
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 588,797 588,797
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 2,747,720 2,747,720
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 785,063 785,063
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 $ 588,797 $ 588,797
General Electric
Capital Corp.
1.201% 07/19/2004 981,329 981,329
General Electric
Capital Corp.
1.211% 07/21/2004 982,464 982,464
General Electric
Capital Corp.
1.211% 07/22/2004 586,818 586,818
General Electric
Capital Corp.
1.221% 07/23/2004 194,270 194,270
General Electric
Capital Corp.
1.231% 07/26/2004 979,183 979,183
Goldman Sachs
Financial Square
Prime Obligations
Money Market Fund 981,329 981,329
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 1,177,594 1,177,594
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 588,797 588,797
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 3,140,251 3,140,251
Merrill Lynch Premier
Institutional Money
Market Fund 1,418,648 1,418,648
Merrimac Cash Fund,
Premium Class 6,280,503 6,280,503
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 2,041,163 2,041,163
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 588,797 588,797
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 1,962,657 1,962,657
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 $ 1,962,657 $ 1,962,657
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 981,329 981,329
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 588,797 588,797
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 981,329 981,329
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 1,177,594 1,177,594
----------------
58,341,638
----------------
REPURCHASE AGREEMENT -- 8.5%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 80,515,632 80,515,632
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 138,857,270
----------------
TOTAL INVESTMENTS -- 106.3%
(COST $871,546,536)*** 1,003,808,331
OTHER ASSETS/
(LIABILITIES) -- (6.3%) (59,631,554)
----------------
NET ASSETS -- 100.0% $ 944,176,777
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $80,517,198. Collateralized by U.S. Government Agency
obligations with rates of 1.850% - 4.349%, maturity dates of 04/15/2023 -
04/01/2033, and an aggregate market value, including accrued interest, of
$84,541,414.
The accompanying notes are an integral part of the financial statements.
124
<Page>
MASSMUTUAL INDEXED EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 99.0%
ADVERTISING -- 0.2%
Interpublic Group of
Companies, Inc.* 59,833 $ 821,507
Monster
Worldwide, Inc.* + 19,318 496,859
Omnicom Group, Inc. 25,714 1,951,435
----------------
3,269,801
----------------
AEROSPACE & DEFENSE -- 1.9%
Boeing Co. 122,340 6,250,351
General Dynamics Corp. 29,554 2,934,712
Goodrich Corp. 13,690 442,598
Honeywell
International, Inc. 126,410 4,630,398
Lockheed Martin Corp. 64,107 3,338,693
Northrop Grumman Corp. 51,878 2,785,849
Raytheon Co. 62,100 2,221,317
Rockwell Collins, Inc. 20,632 687,458
United Technologies Corp. 75,631 6,918,724
----------------
30,210,100
----------------
AIR TRANSPORTATION -- 0.1%
Delta Air Lines, Inc.* + 19,716 140,378
Southwest Airlines Co. 115,565 1,938,025
----------------
2,078,403
----------------
APPAREL, TEXTILES & SHOES -- 0.7%
The Gap, Inc.+ 130,703 3,169,548
Jones Apparel Group, Inc. 15,589 615,454
Limited Brands 78,259 1,463,443
Liz Claiborne, Inc. 13,092 471,050
Nike, Inc. Cl. B 39,983 3,028,712
Nordstrom, Inc. 20,438 870,863
Reebok International
Limited 9,900 356,202
VF Corp.+ 13,102 638,067
----------------
10,613,339
----------------
AUTOMOTIVE & PARTS -- 1.0%
AutoNation, Inc.* 42,000 718,200
Cooper Tire & Rubber Co. 8,230 189,290
Dana Corp. 16,969 332,592
Delphi Corp. 65,894 703,748
Ford Motor Co.+ 263,014 4,116,169
General Motors Corp.+ 79,745 3,715,320
Genuine Parts Co. 26,112 1,036,124
The Goodyear Tire &
Rubber Co.* + 28,776 261,574
Harley-Davidson, Inc. 42,536 2,634,680
Navistar International
Corp.* + 10,309 $ 399,577
Paccar, Inc. 27,504 1,594,957
Visteon Corp.+ 23,653 276,031
----------------
15,978,262
----------------
BANKING, SAVINGS & LOANS -- 11.4%
AmSouth Bancorp 41,894 1,067,040
Bank of America Corp. 294,307 24,904,258
Bank of New York
Co., Inc. 116,203 3,425,664
Bank One Corp. 163,426 8,334,726
BB&T Corp. 85,916 3,176,315
Capital One
Financial Corp. 33,746 2,307,551
Charter One
Financial, Inc. 33,845 1,495,611
Citigroup, Inc. 747,841 34,774,607
Comerica, Inc. 22,376 1,227,995
Fannie Mae 142,479 10,167,301
Fifth Third Bancorp 83,988 4,516,875
First Horizon
National Corp. 20,000 909,400
Freddie Mac 99,528 6,300,122
Golden West
Financial Corp. 22,779 2,422,547
J.P. Morgan Chase & Co. 298,326 11,566,099
KeyCorp 65,068 1,944,883
M&T Bank Corp. 16,700 1,457,910
Marshall and Ilsley Corp. 28,700 1,121,883
Mellon Financial Corp. 60,068 1,761,794
National City Corp. 94,971 3,324,935
North Fork
Bancorporation, Inc.+ 26,100 993,105
Northern Trust Corp. 30,893 1,306,156
Providian Financial Corp.* 44,504 652,874
Regions Financial Corp. 26,190 957,244
SLM Corp. 68,031 2,751,854
SouthTrust Corp. 51,594 2,002,363
Sovereign Bancorp, Inc. 4,090 86,299
State Street Corp. 45,968 2,254,271
SunTrust Banks, Inc. 43,534 2,829,275
Synovus Financial Corp.+ 35,699 903,899
U.S. Bancorp 281,134 7,748,053
Union Planters Corp. 28,308 843,861
Wachovia Corp. 194,348 8,648,486
Washington Mutual, Inc. 123,952 4,789,505
Wells Fargo & Co. 242,437 13,874,670
Zions Bancorp 15,500 952,475
----------------
177,801,906
----------------
BEVERAGES -- 2.7%
Anheuser-Busch
Companies, Inc. 119,796 $ 6,468,984
Brown-Forman
Corp. Cl. B 14,442 697,115
The Coca-Cola Co.+ 350,772 17,706,971
Coca-Cola
Enterprises, Inc. 69,843 2,024,749
Coors (Adolph) Co. Cl. B 5,765 417,040
The Pepsi Bottling
Group, Inc. 33,082 1,010,324
PepsiCo, Inc. 245,066 13,204,156
----------------
41,529,339
----------------
BROADCASTING, PUBLISHING & PRINTING -- 2.9%
Clear Channel
Communications, Inc. 87,121 3,219,121
Comcast Corp. Cl. A* 326,896 9,162,895
Dow Jones & Co., Inc.+ 11,057 498,671
Gannett Co., Inc. 40,171 3,408,509
Knight Ridder, Inc. 9,637 693,864
The McGraw-Hill
Companies, Inc. 29,444 2,254,527
Meredith Corp. 5,689 312,667
New York Times Co. Cl. A 20,800 929,968
Time Warner, Inc.* 660,094 11,604,453
Tribune Co. 50,195 2,285,880
Univision Communications,
Inc. Cl. A* 46,300 1,478,359
Viacom, Inc. Cl. B 248,418 8,873,491
----------------
44,722,405
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.2%
Louisiana-Pacific Corp. 18,184 430,052
Masco Corp. 63,592 1,982,799
Vulcan Materials Co.+ 11,878 564,799
----------------
2,977,650
----------------
CHEMICALS -- 1.4%
Air Products &
Chemicals, Inc. 34,505 1,809,787
Ashland, Inc. 8,025 423,800
Dow Chemical Co. 139,220 5,666,254
Du Pont (E.I.) de
Nemours & Co. 148,850 6,611,917
Eastman Chemical Co.+ 10,935 505,525
Engelhard Corp. 15,025 485,458
Great Lakes
Chemical Corp. 10,196 275,904
Hercules, Inc.* 12,889 157,117
</Table>
The accompanying notes are an integral part of the financial statements.
125
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
International Flavors &
Fragrances, Inc. 11,082 $ 414,467
Monsanto Co. 39,424 1,517,824
PPG Industries, Inc. 24,108 1,506,509
Praxair, Inc. 48,556 1,937,870
Rohm & Haas Co. 28,184 1,171,891
----------------
22,484,323
----------------
COMMERCIAL SERVICES -- 1.9%
Allied Waste
Industries, Inc.* 42,934 565,870
Apollo Group, Inc. Cl. A* 26,500 2,339,685
Block (H&R), Inc.+ 23,748 1,132,305
Cendant Corp. 145,144 3,553,125
Cintas Corp.+ 26,000 1,239,420
Convergys Corp.* 20,871 321,413
Donnelley (R.R.) &
Sons Co. 29,715 981,189
eBay, Inc.* 94,200 8,661,690
Ecolab, Inc.+ 31,058 984,539
Equifax, Inc.+ 17,149 424,438
Fluor Corp. 11,635 554,640
Moody's Corp. 22,786 1,473,343
Paychex, Inc. 55,906 1,894,095
PerkinElmer, Inc. 16,174 324,127
Quest Diagnostics, Inc. 15,985 1,357,926
Robert Half
International, Inc. 21,200 631,124
Ryder System, Inc.+ 8,205 328,774
Waste Management, Inc. 84,197 2,580,638
----------------
29,348,341
----------------
COMMUNICATIONS -- 2.0%
ADC
Telecommunications, Inc.* 114,092 324,020
Andrew Corp.* 23,442 469,074
Avaya, Inc.* 59,975 947,005
Ciena Corp.* 93,100 346,332
Citizens
Communications Co.* + 33,600 406,560
Lucent
Technologies, Inc.* + 593,052 2,241,737
Network Appliance, Inc.* 50,238 1,081,624
Nextel Communications,
Inc. Cl. A* 157,039 4,186,660
Qualcomm, Inc. 116,609 8,510,125
SBC Communications, Inc. 476,409 11,552,918
Scientific-Atlanta, Inc.+ 23,081 796,294
Tellabs, Inc.* + 60,123 525,475
----------------
31,387,824
----------------
COMMUNICATIONS EQUIPMENT -- 0.4%
Motorola, Inc. 336,302 6,137,512
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.4%
Autodesk, Inc. 17,906 $ 766,556
Computer
Sciences Corp.* 27,396 1,271,996
Parametric
Technology Corp.* 24,388 121,940
Sun Microsystems, Inc.* 496,604 2,155,261
Teradyne, Inc.* 26,606 603,956
Unisys Corp.* 43,051 597,548
----------------
5,517,257
----------------
COMPUTER PROGRAMMING SERVICES -- 0.0%
Mercury
Interactive Corp.* 14,740 734,494
----------------
COMPUTERS & INFORMATION -- 3.1%
Apple Computer, Inc.* 57,375 1,866,982
Cisco Systems, Inc.* 982,287 23,280,202
Comverse
Technology, Inc.* 28,629 570,862
Dell, Inc.* 369,148 13,222,881
EMC Corp.* 360,933 4,114,636
Gateway, Inc.* 48,768 219,456
International
Game Technology 46,556 1,797,062
Jabil Circuit, Inc.* 29,300 737,774
Lexmark
International, Inc.* 17,428 1,682,325
Solectron Corp.* 117,753 761,862
Symbol
Technologies, Inc. 33,100 487,894
----------------
48,741,936
----------------
COMPUTERS & OFFICE EQUIPMENT -- 2.3%
Electronic Data
Systems Corp.+ 69,223 1,325,620
Hewlett-Packard Co. 447,752 9,447,567
International Business
Machines Corp. 243,302 21,447,071
Pitney Bowes, Inc. 29,855 1,321,084
Xerox Corp.* + 121,177 1,757,066
----------------
35,298,408
----------------
CONTAINERS -- 0.2%
Ball Corp. 8,804 634,328
Bemis Co., Inc. 12,988 366,911
Pactiv Corp.* 19,198 478,798
Sealed Air Corp.* 10,048 535,257
Temple-Inland, Inc. 6,693 463,490
----------------
2,478,784
----------------
COSMETICS & PERSONAL CARE -- 2.5%
Alberto-Culver Co. 10,347 518,799
Avon Products, Inc. 69,438 3,203,869
Colgate-Palmolive Co. 78,819 4,606,971
The Gillette Co. 147,144 $ 6,238,906
Kimberly-Clark Corp. 75,281 4,959,512
The Procter & Gamble Co. 369,398 20,110,027
----------------
39,638,084
----------------
DATA PROCESSING & PREPARATION -- 0.8%
Affiliated Computer
Services, Inc. Cl. A* + 19,100 1,011,154
Automatic Data
Processing, Inc. 88,508 3,706,715
Deluxe Corp.+ 6,828 297,018
First Data Corp. 126,251 5,620,695
Fiserv, Inc.* 29,201 1,135,627
IMS Health, Inc. 29,725 696,754
NCR Corp.* 14,868 737,304
----------------
13,205,267
----------------
ELECTRIC UTILITIES -- 2.4%
AES Corp.* 90,353 897,205
Allegheny Energy, Inc.* + 22,300 343,643
Ameren Corp.+ 24,642 1,058,620
American Electric
Power Co.+ 51,908 1,661,056
Calpine Corp.* + 52,779 228,005
CenterPoint Energy, Inc.+ 33,622 386,653
Cinergy Corp.+ 22,381 850,478
CMS Energy Corp.* + 17,354 158,442
Consolidated Edison, Inc.+ 39,174 1,557,558
Constellation Energy
Group, Inc. 24,664 934,766
Dominion Resources, Inc. 48,820 3,079,566
DTE Energy Co. 26,352 1,068,310
Duke Energy Corp. 136,698 2,773,602
Edison International 51,487 1,316,523
Entergy Corp. 35,806 2,005,494
Exelon Corp. 98,848 3,290,650
FirstEnergy Corp. 48,187 1,802,676
FPL Group, Inc. 27,415 1,753,189
NiSource, Inc. 31,285 645,097
PG&E Corp.* 63,581 1,776,453
Pinnacle West
Capital Corp. 11,750 474,582
PPL Corp. 24,655 1,131,664
Progress Energy, Inc.+ 31,521 1,388,500
Public Service Enterprise
Group, Inc.+ 32,782 1,312,263
Southern Co.+ 110,646 3,225,331
Teco Energy, Inc.+ 22,400 268,576
TXU Corp. 49,666 2,011,970
----------------
37,400,872
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 7.1%
Advanced Micro
Devices, Inc.* + 54,942 873,578
</Table>
The accompanying notes are an integral part of the financial statements.
126
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Altera Corp.* 56,204 $ 1,248,853
American Power
Conversion Corp. 29,542 580,500
Analog Devices, Inc. 52,725 2,482,293
Applied Micro
Circuits Corp.* 48,600 258,552
Broadcom Corp. Cl. A* 47,100 2,202,867
Emerson Electric Co. 62,954 4,000,727
General Electric Co. 1,528,275 49,516,110
Intel Corp. 935,432 25,817,923
JDS Uniphase Corp.* 220,876 837,120
Johnson Controls, Inc. 29,302 1,564,141
Kla-Tencor Corp.* + 28,428 1,403,775
Linear Technology Corp. 47,349 1,868,865
LSI Logic Corp.* 63,842 486,476
Maxim Integrated
Products, Inc. 47,499 2,489,898
Micron
Technology, Inc.* + 82,580 1,264,300
Molex, Inc.+ 30,447 976,740
National
Semiconductor Corp.* 55,224 1,214,376
Novellus Systems, Inc.* 23,831 749,247
Nvidia Corp.* + 26,800 549,400
PMC-Sierra, Inc.* 25,779 369,929
Power-One, Inc.* 10,600 116,388
Qlogic Corp.* 14,100 374,919
Rockwell
Automation, Inc. 26,132 980,211
Sanmina-SCI Corp.* + 82,324 749,148
Texas Instruments, Inc. 247,769 5,991,054
Thomas & Betts Corp. 8,502 231,509
Xilinx, Inc. 47,668 1,587,821
----------------
110,786,720
----------------
ENERGY -- 6.6%
Amerada Hess Corp. 13,960 1,105,492
Anadarko Petroleum Corp. 33,754 1,977,984
Apache Corp. 44,556 1,940,414
BJ Services Co.* 23,800 1,090,992
Burlington
Resources, Inc. 60,760 2,198,297
ChevronTexaco Corp. 156,129 14,693,300
ConocoPhillips 101,655 7,755,260
Devon Energy Corp. 33,300 2,197,800
Dynegy, Inc. Cl. A* 48,037 204,638
El Paso Corp. 79,935 629,888
EOG Resources, Inc. 15,800 943,418
Exxon Mobil Corp. 946,498 42,033,976
Halliburton Co. 59,984 1,815,116
Kerr-McGee Corp. 21,666 1,164,981
KeySpan Corp. 25,600 939,520
Kinder Morgan, Inc. 17,100 1,013,859
Marathon Oil Corp. 51,851 1,962,042
Nabors Industries Limited* 21,669 $ 979,872
Nicor, Inc. 5,282 179,430
Noble Corp.* 22,400 848,736
Occidental
Petroleum Corp. 58,151 2,815,090
Peoples Energy Corp. 4,262 179,643
Rowan Companies, Inc.* 18,366 446,845
Schlumberger Limited 81,805 5,195,436
Sempra Energy 38,061 1,310,440
Sunoco, Inc. 12,656 805,175
Transocean, Inc.* 40,572 1,174,154
Unocal Corp. 42,229 1,604,702
Valero Energy Corp. 18,000 1,327,680
The Williams
Companies, Inc. 81,191 966,173
Xcel Energy, Inc.+ 46,087 770,114
----------------
102,270,467
----------------
ENTERTAINMENT & LEISURE -- 0.6%
Brunswick Corp. 13,055 532,644
Harrah's
Entertainment, Inc. 16,716 904,336
The Walt Disney Co. 297,970 7,595,255
----------------
9,032,235
----------------
FINANCIAL SERVICES -- 3.6%
American Express Co. 187,560 9,636,833
Apartment Investment &
Management Co. Cl. A 15,600 485,628
Bear Stearns
Companies, Inc.+ 14,195 1,196,780
Countrywide
Financial Corp. 39,399 2,767,780
E Trade Financial Corp.* 51,300 571,995
Federated Investors,
Inc. Cl. B 13,400 406,556
Franklin Resources, Inc. 36,930 1,849,454
The Goldman Sachs
Group, Inc. 69,500 6,544,120
Huntington
Bancshares, Inc. 27,321 625,651
Janus Capital Group, Inc. 34,794 573,753
Lehman Brothers
Holdings, Inc. 37,918 2,853,329
MBNA Corp. 187,646 4,839,390
Merrill Lynch & Co., Inc. 141,570 7,641,949
Morgan Stanley 162,299 8,564,518
PNC Financial Services
Group, Inc. 41,513 2,203,510
Price (T. Rowe)
Group, Inc. 20,513 1,033,855
ProLogis Trust 21,400 704,488
The Schwab
(Charles) Corp. 207,405 $ 1,993,162
Simon Property Group, Inc. 32,500 1,671,150
----------------
56,163,901
----------------
FOODS -- 1.9%
Archer-Daniels-Midland Co. 96,579 1,620,596
Campbell Soup Co.+ 59,046 1,587,156
ConAgra Foods, Inc. 77,769 2,105,985
General Mills, Inc.+ 58,351 2,773,423
Heinz (H. J.) Co. 54,722 2,145,102
Hershey Foods Corp. 39,684 1,836,179
Kellogg Co. 62,516 2,616,295
The Kroger Co.* + 110,975 2,019,745
McCormick & Co., Inc. 16,600 564,400
Safeway, Inc.* 60,677 1,537,555
Sara Lee Corp.+ 121,436 2,791,814
Starbucks Corp.* 59,348 2,580,451
SuperValu, Inc. 15,932 487,679
Sysco Corp. 95,478 3,424,796
Wrigley (Wm.) Jr. Co. 29,804 1,879,142
----------------
29,970,318
----------------
FOREST PRODUCTS & PAPER -- 0.6%
Boise Cascade Corp. 14,701 553,346
Georgia-Pacific Corp. 38,572 1,426,393
International Paper Co. 71,451 3,193,860
MeadWestvaco Corp. 28,444 835,969
Plum Creek Timber
Co., Inc. 22,200 723,276
Weyerhaeuser Co. 35,011 2,209,894
----------------
8,942,738
----------------
HEALTHCARE -- 1.1%
Caremark Rx, Inc.* 62,600 2,062,044
Express Scripts, Inc.* 11,900 942,837
HCA, Inc.+ 72,085 2,998,015
Health Management
Associates, Inc. Cl. A+ 35,600 798,152
Humana, Inc.* 23,296 393,702
Manor Care, Inc. 12,781 417,683
Tenet Healthcare Corp.* + 64,328 862,638
UnitedHealth Group, Inc. 91,448 5,692,638
Wellpoint Health
Networks, Inc.* 23,020 2,578,470
----------------
16,746,179
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.3%
Centex Corp. 18,810 860,558
KB Home+ 7,385 506,833
Leggett & Platt, Inc. 21,947 586,204
Maytag Corp. 13,938 341,620
</Table>
The accompanying notes are an integral part of the financial statements.
127
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Pulte Homes, Inc. 18,746 $ 975,354
Whirlpool Corp.+ 11,029 756,589
----------------
4,027,158
----------------
HOUSEHOLD PRODUCTS -- 0.6%
Black & Decker Corp. 9,250 574,703
The Clorox Co. 27,815 1,495,891
Corning, Inc.* 203,661 2,659,813
Fortune Brands, Inc. 22,580 1,703,209
Newell Rubbermaid, Inc.+ 38,971 915,819
Sherwin-Williams Co. 23,389 971,813
Snap-On, Inc. 6,903 231,596
The Stanley Works+ 10,755 490,213
----------------
9,043,057
----------------
INDUSTRIAL - DISTRIBUTION -- 0.0%
Grainger (W.W.), Inc. 10,966 630,545
----------------
INDUSTRIAL - DIVERSIFIED -- 2.0%
3M Co. 111,898 10,071,939
Cooper Industries
Limited Cl. A 13,065 776,192
Danaher Corp. 43,700 2,265,845
Eaton Corp. 19,856 1,285,477
Illinois Tool Works, Inc.+ 46,633 4,471,638
ITT Industries, Inc. 14,855 1,232,965
Textron, Inc. 21,655 1,285,224
Tyco International
Limited 290,354 9,622,332
----------------
31,011,612
----------------
INFORMATION RETRIEVAL SERVICES -- 0.5%
Yahoo!, Inc.* 195,520 7,103,242
----------------
INSURANCE -- 5.1%
ACE Limited 42,500 1,796,900
Aetna, Inc. 21,149 1,797,665
AFLAC, Inc. 74,938 3,058,220
Allstate Corp. 103,415 4,813,968
Ambac Financial
Group, Inc. 17,600 1,292,544
American International
Group, Inc. 376,808 26,858,874
Anthem, Inc.* + 18,500 1,656,860
Aon Corp. 45,752 1,302,559
Chubb Corp. 24,909 1,698,296
Cigna Corp. 18,388 1,265,278
Cincinnati Financial Corp. 20,353 885,763
The Hartford Financial
Services Group, Inc. 40,534 2,786,307
Jefferson-Pilot Corp.+ 18,273 928,268
Lincoln National Corp. 27,739 1,310,668
Loews Corp. 26,848 1,609,806
Marsh & McLennan
Companies, Inc. 77,652 3,523,848
MBIA, Inc. 23,011 $ 1,314,388
Metlife, Inc. 111,500 3,997,275
MGIC Investment Corp. 14,787 1,121,742
Principal Financial
Group, Inc. 41,500 1,443,370
Progressive Corp. 32,487 2,771,141
Prudential Financial, Inc. 77,200 3,587,484
Safeco Corp. 21,225 933,900
St. Paul
Travelers Companies 96,259 3,902,340
Torchmark Corp. 18,026 969,799
UnumProvident Corp.+ 33,525 533,048
XL Capital Limited Cl. A 19,800 1,494,108
----------------
78,654,419
----------------
LODGING -- 0.2%
Hilton Hotels Corp. 51,051 952,612
Marriott International,
Inc. Cl. A 35,323 1,761,911
Starwood Hotels &
Resorts Worldwide, Inc. 27,027 1,212,161
----------------
3,926,684
----------------
MACHINERY & COMPONENTS -- 0.9%
Baker Hughes, Inc. 49,983 1,881,860
Caterpillar, Inc. 50,516 4,012,991
Cummins, Inc. 7,473 467,063
Deere & Co. 36,513 2,561,022
Dover Corp. 30,959 1,303,374
Ingersoll-Rand Co. Cl. A 25,886 1,768,273
Pall Corp. 14,618 382,845
Parker-Hannifin Corp. 19,098 1,135,567
----------------
13,512,995
----------------
MANUFACTURING -- 0.5%
American Standard
Companies, Inc.* 32,700 1,318,137
Applied Materials, Inc.* 240,352 4,715,706
Avery Dennison Corp. 12,998 832,002
Millipore Corp.* 5,781 325,875
----------------
7,191,720
----------------
MEDICAL SUPPLIES -- 2.5%
Agilent Technologies, Inc.* 69,205 2,026,322
Allergan, Inc. 19,629 1,757,188
Applied Biosystems
Group-Applera Corp. 24,968 543,054
Bard (C.R.), Inc. 12,978 735,204
Bausch & Lomb, Inc. 8,194 533,184
Baxter International, Inc. 92,226 3,182,719
Becton, Dickinson & Co. 37,946 1,965,603
Biomet, Inc. 38,594 1,715,117
Boston Scientific Corp.* 120,240 5,146,272
Guidant Corp. 44,841 2,505,715
Medtronic, Inc. 178,414 8,692,330
St. Jude Medical, Inc.* 24,396 $ 1,845,557
Stryker Corp.+ 59,402 3,267,110
Tektronix, Inc. 12,970 441,239
Thermo Electron Corp.* 20,275 623,254
Waters Corp.* 15,900 759,702
Zimmer Holdings, Inc.* 36,578 3,226,180
----------------
38,965,750
----------------
METALS & MINING -- 0.7%
Alcoa, Inc. 128,966 4,259,747
Allegheny
Technologies, Inc. 9,447 170,518
Crane Co. 7,007 219,950
Freeport-McMoRan
Copper & Gold,
Inc. Cl. B 28,583 947,526
Newmont Mining Corp. 64,097 2,484,400
Nucor Corp. 12,550 963,338
Phelps Dodge Corp.* 11,739 909,890
United States Steel Corp.+ 16,456 577,935
Worthington Industries, Inc. 10,152 208,421
----------------
10,741,725
----------------
PHARMACEUTICALS -- 9.5%
Abbott Laboratories 229,437 9,351,852
AmerisourceBergen Corp. 14,316 855,810
Amgen, Inc.* 184,990 10,094,904
Biogen Idec, Inc.* 48,391 3,060,731
Bristol-Myers Squibb Co. 287,384 7,040,908
Cardinal Health, Inc.+ 62,679 4,390,664
Chiron Corp.* 28,100 1,254,384
Eli Lilly & Co. 165,595 11,576,746
Forest Laboratories, Inc.* 52,600 2,978,738
Genzyme Corp.* 32,100 1,519,293
Gilead Sciences, Inc.* 3,119 208,973
Hospira, Inc.* 22,493 620,807
Johnson & Johnson 428,400 23,861,880
King
Pharmaceuticals, Inc.* 38,148 436,795
McKesson Corp. 41,098 1,410,894
Medco Health
Solutions, Inc.* 39,641 1,486,538
Medimmune, Inc.* 38,169 893,155
Merck & Co., Inc. 320,062 15,202,945
Mylan Laboratories, Inc. 38,000 769,500
Pfizer, Inc. 1,104,521 37,862,980
Schering-Plough Corp. 220,586 4,076,429
Sigma-Aldrich Corp. 11,651 694,516
Watson
Pharmaceutical, Inc.* + 15,471 416,170
Wyeth 196,104 7,091,121
----------------
147,156,733
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
128
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.1%
Eastman Kodak Co.+ 40,547 $ 1,093,958
----------------
PREPACKAGED SOFTWARE -- 4.5%
Adobe Systems, Inc. 33,722 1,568,073
BMC Software, Inc.* 34,531 638,824
Citrix Systems, Inc.* 24,727 503,442
Computer Associates
International, Inc. 86,139 2,417,060
Compuware Corp.* 58,837 388,324
Electronic Arts, Inc.* 41,700 2,274,735
Intuit, Inc.* 30,200 1,165,116
Microsoft Corp. 1,563,790 44,661,842
Novell, Inc.* 56,282 472,206
Oracle Corp.* 757,628 9,038,502
Peoplesoft, Inc.* 55,087 1,019,110
Siebel Systems, Inc.* 78,562 839,042
SunGard Data
Systems, Inc.* 44,400 1,154,400
Symantec Corp.* 43,400 1,900,052
Veritas Software Corp.* 61,990 1,717,123
----------------
69,757,851
----------------
REAL ESTATE -- 0.2%
Equity Office
Properties Trust 62,400 1,697,280
Equity Residential 41,700 1,239,741
----------------
2,937,021
----------------
RESTAURANTS -- 0.5%
Darden Restaurants, Inc. 24,728 508,160
McDonald's Corp. 186,860 4,858,360
Wendy's
International, Inc. 16,201 564,443
Yum! Brands, Inc.* 40,120 1,493,266
----------------
7,424,229
----------------
RETAIL -- 5.6%
AutoZone, Inc.* + 11,836 948,064
Bed Bath & Beyond, Inc.* 45,196 1,737,786
Best Buy Co., Inc. 44,841 2,275,232
Big Lots, Inc.* 13,696 198,044
Circuit City Stores, Inc.+ 31,959 413,869
Costco Wholesale Corp. 69,289 2,845,699
CVS Corp. 58,289 2,449,304
Dillards, Inc. Cl. A 15,265 340,410
Dollar General Corp. 51,031 998,166
Family Dollar Stores, Inc. 26,224 797,734
Federated Department
Stores, Inc. 24,378 1,196,960
The Home Depot, Inc. 318,487 11,210,742
J.C. Penney
Company, Inc.+ 38,961 1,471,167
Kohl's Corp.* 46,176 1,952,321
Lowe's Companies, Inc. 111,150 5,840,933
The May Department
Stores Co.+ 43,987 $ 1,209,203
Office Depot, Inc.* 45,259 810,589
RadioShack Corp.+ 21,830 624,993
Sears, Roebuck and Co.+ 33,623 1,269,604
Staples, Inc. 74,556 2,185,236
Target Corp. 132,110 5,610,712
Tiffany & Co. 19,156 705,899
TJX Companies, Inc. 70,160 1,693,662
Toys R Us, Inc.* 32,782 523,856
Walgreen Co. 150,580 5,452,502
Wal-Mart Stores, Inc. 620,173 32,720,327
----------------
87,483,014
----------------
RETAIL - GROCERY -- 0.1%
Albertson's, Inc.+ 58,148 1,543,248
Winn-Dixie Stores, Inc.+ 26,455 190,476
----------------
1,733,724
----------------
TELEPHONE UTILITIES -- 2.3%
Alltel Corp. 46,757 2,366,839
AT&T Corp.+ 121,533 1,778,028
AT&T Wireless
Services, Inc.* 394,726 5,652,476
BellSouth Corp. 268,723 7,045,917
CenturyTel, Inc. 21,848 656,314
Qwest Communications
International, Inc.* 256,621 921,269
Sprint Corp. (FON Group) 209,306 3,683,786
Verizon
Communications, Inc. 398,983 14,439,195
----------------
36,543,824
----------------
TOBACCO -- 1.1%
Altria Group, Inc. 295,539 14,791,727
Reynolds (R.J.) Tobacco
Holdings, Inc.+ 13,500 912,465
UST, Inc. 19,587 705,132
----------------
16,409,324
----------------
TOYS, GAMES -- 0.1%
Hasbro, Inc. 26,804 509,276
Mattel, Inc. 65,752 1,199,974
----------------
1,709,250
----------------
TRANSPORTATION -- 1.7%
Burlington Northern
Santa Fe Corp. 52,956 1,857,167
Carnival Corp. 94,468 4,439,996
CSX Corp. 31,886 1,044,904
FedEx Corp. 42,612 3,480,974
Norfolk Southern Corp. 50,077 1,328,042
Union Pacific Corp. 39,738 2,362,424
United Parcel Service,
Inc. Cl. B 165,900 $ 12,470,703
----------------
26,984,210
----------------
TRAVEL -- 0.0%
Sabre Holdings Corp. 16,528 457,991
----------------
TOTAL EQUITIES
(COST $1,535,005,174) 1,539,966,901
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 5.9%
CASH EQUIVALENTS -- 5.0%***
American AAdvantage
Select Money
Market Fund 2,080,916 2,080,916
Bank of America
Bank Note
1.500% 07/21/2004 $ 2,861,260 2,861,260
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 2,601,145 2,601,145
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 676,298 676,298
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 2,176,025 2,176,025
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 2,080,916 2,080,916
BGIF Prime Money
Market Fund 4,005,763 4,005,763
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 1,300,572 1,300,572
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 260,114 260,114
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 5,202,290 5,202,290
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 4,161,832 4,161,832
</Table>
The accompanying notes are an integral part of the financial statements.
129
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 $ 2,080,916 $ 2,080,916
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 1,896,235 1,896,235
Fannie Mae
Discount Note
0.960% 07/01/2004 1,560,687 1,560,687
Fannie Mae
Discount Note
1.131% 07/14/2004 780,344 780,344
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 780,344 780,344
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 780,344 780,344
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 3,641,603 3,641,603
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 1,040,458 1,040,458
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 780,344 780,344
General Electric
Capital Corp.
1.201% 07/19/2004 1,300,572 1,300,572
General Electric
Capital Corp.
1.211% 07/21/2004 1,302,077 1,302,077
General Electric
Capital Corp.
1.211% 07/22/2004 777,721 777,721
General Electric
Capital Corp.
1.221% 07/23/2004 257,470 257,470
General Electric
Capital Corp.
1.231% 07/26/2004 1,297,729 1,297,729
Goldman Sachs
Financial Square
Prime Obligations
Money Market Fund 1,300,572 1,300,572
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 $ 1,560,687 $ 1,560,687
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 780,344 780,344
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 4,161,832 4,161,832
Merrill Lynch Premier
Institutional Money
Market Fund 1,880,160 1,880,160
Merrimac Cash Fund,
Premium Class 8,323,664 8,323,664
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 2,705,191 2,705,191
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 780,344 780,344
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 2,601,145 2,601,145
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 2,601,145 2,601,145
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 1,300,572 1,300,572
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 780,344 780,344
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 1,300,573 1,300,573
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 1,560,687 1,560,687
----------------
77,321,235
----------------
REPURCHASE AGREEMENT -- 0.8%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) $ 12,570,176 $ 12,570,176
----------------
U.S. TREASURY BILLS -- 0.1%
U.S. Treasury Bill**
0.950% 07/22/2004 1,805,000 1,804,000
U.S. Treasury Bill
1.011% 07/22/2004 35,000 34,979
U.S. Treasury Bill
1.020% 07/22/2004 60,000 59,964
U.S. Treasury Bill
1.025% 07/22/2004 115,000 114,931
U.S. Treasury Bill
1.050% 07/22/2004 40,000 39,976
----------------
2,053,850
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 91,945,261
----------------
TOTAL INVESTMENTS -- 104.9%
(COST $1,626,950,435)**** 1,631,912,162
OTHER ASSETS/
(LIABILITIES) -- (4.9%) (76,347,668)
----------------
NET ASSETS -- 100.0% $ 1,555,564,494
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* 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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $12,570,420. Collateralized by U.S. Government Agency
obligation with a rate of 1.90%, maturity date of 02/25/2034, and an
aggregate market value, including accrued interest, of $13,198,685.
The accompanying notes are an integral part of the financial statements.
130
<Page>
MASSMUTUAL BLUE CHIP GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 97.9%
ADVERTISING -- 0.4%
Omnicom Group, Inc.+ 25,300 $ 1,920,017
----------------
AEROSPACE & DEFENSE -- 1.3%
Boeing Co. 59,200 3,024,528
Lockheed Martin Corp. 5,300 276,024
Northrop Grumman Corp. 43,800 2,352,060
----------------
5,652,612
----------------
AIR TRANSPORTATION -- 0.3%
Southwest Airlines Co. 75,300 1,262,781
----------------
APPAREL, TEXTILES & SHOES -- 0.7%
Liz Claiborne, Inc. 20,500 737,590
Nike, Inc. Cl. B 27,000 2,045,250
Ross Stores, Inc. 16,200 433,512
----------------
3,216,352
----------------
BANKING, SAVINGS & LOANS -- 5.7%
Bank of America Corp. 21,900 1,853,178
Bank One Corp. 27,100 1,382,100
Capital One
Financial Corp. 22,600 1,545,388
Citigroup, Inc. 188,900 8,783,850
Fannie Mae 87,200 6,222,592
Freddie Mac 4,800 303,840
Golden West
Financial Corp. 17,900 1,903,665
SLM Corp. 41,700 1,686,765
State Street Corp. 20,600 1,010,224
----------------
24,691,602
----------------
BEVERAGES -- 3.3%
Anheuser-Busch
Companies, Inc. 35,200 1,900,800
The Coca-Cola Co. 120,800 6,097,984
PepsiCo, Inc. 115,320 6,213,442
----------------
14,212,226
----------------
BROADCASTING, PUBLISHING & PRINTING -- 3.2%
Clear Channel
Communications, Inc. 30,200 1,115,890
Comcast Corp. Cl. A* 15,536 435,474
Comcast Corp.
Special Cl. A* 59,000 1,628,990
Fox Entertainment Group,
Inc. Cl. A* 27,590 736,653
InterActive Corp.+ * 14,842 447,338
News Corp. Limited
Sponsored
ADR (Australia)+ 46,300 1,639,946
Time Warner, Inc.* 167,600 2,946,408
Tribune Co. 17,500 $ 796,950
Univision
Communications,
Inc. Cl. A* 52,700 1,682,711
Viacom, Inc. Cl. B 70,900 2,532,548
----------------
13,962,908
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.2%
Masco Corp.+ 31,000 966,580
----------------
CHEMICALS -- 1.0%
Dow Chemical Co. 57,700 2,348,390
Praxair, Inc. 49,400 1,971,554
----------------
4,319,944
----------------
COMMERCIAL SERVICES -- 2.5%
Career Education Corp.* 17,900 815,524
Cintas Corp. 13,800 657,846
eBay, Inc.* 27,800 2,556,210
Fluor Corp. 23,200 1,105,944
Paychex, Inc. 38,966 1,320,168
Quest Diagnostics, Inc.+ 13,800 1,172,310
Robert Half
International, Inc. 46,600 1,387,282
Waste Management, Inc. 58,600 1,796,090
----------------
10,811,374
----------------
COMMUNICATIONS -- 1.9%
Alcatel SA Sponsored
ADR (France)+ * 84,300 1,305,807
EchoStar Communications
Corp. Cl. A* 29,100 894,825
Nextel Communications,
Inc. Cl. A* 87,000 2,319,420
Qualcomm, Inc. 49,400 3,605,212
----------------
8,125,264
----------------
COMMUNICATIONS EQUIPMENT -- 0.9%
Ericsson (LM) Cl. B
Sponsored
ADR (Sweden)+ * 108,127 3,235,160
Motorola, Inc. 43,300 790,225
----------------
4,025,385
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.6%
Cadence Design
Systems, Inc.* 36,900 539,847
Sun Microsystems, Inc.* 109,900 476,966
Synopsys, Inc.* 33,558 954,054
Teradyne, Inc.+ * 31,700 719,590
----------------
2,690,457
----------------
COMPUTERS & INFORMATION -- 5.2%
CDW Corp.+ 21,400 $ 1,364,464
Cisco Systems, Inc.* 470,800 11,157,960
Dell, Inc.* 185,100 6,630,282
EMC Corp.* 211,540 2,411,556
Lexmark
International, Inc.* 11,300 1,090,789
----------------
22,655,051
----------------
COMPUTERS & OFFICE EQUIPMENT -- 1.3%
International Business
Machines Corp. 64,700 5,703,305
----------------
CONTAINERS -- 0.2%
Smurfit-Stone
Container Corp. 40,004 798,080
----------------
COSMETICS & PERSONAL CARE -- 5.0%
Avon Products, Inc. 82,200 3,792,708
Colgate-Palmolive Co. 69,700 4,073,965
The Gillette Co. 151,100 6,406,640
The Procter & Gamble Co. 141,800 7,719,592
----------------
21,992,905
----------------
DATA PROCESSING & PREPARATION -- 1.6%
Affiliated Computer
Services, Inc. Cl. A+ * 24,900 1,318,206
Automatic Data
Processing, Inc. 12,100 506,748
First Data Corp. 115,200 5,128,704
----------------
6,953,658
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 10.4%
Agere Systems,
Inc. Cl. A+ * 31,400 72,220
Agere Systems, Inc. Cl. B* 119,300 256,495
Altera Corp.+ * 54,300 1,206,546
Analog Devices, Inc. 52,800 2,485,824
Flextronics International
Limited* 114,600 1,827,870
General Electric Co. 510,200 16,530,480
Intel Corp. 408,800 11,282,880
Intersil Corp. Cl. A 46,400 1,005,024
Kla-Tencor Corp.+ * 39,500 1,950,510
Linear Technology Corp. 25,200 994,644
Marvell Technology Group
Limited+ * 43,200 1,153,440
Microchip
Technology, Inc. 12,100 381,634
PMC-Sierra, Inc.+ * 60,000 861,000
Texas Instruments, Inc. 151,000 3,651,180
Xilinx, Inc. 46,400 1,545,584
----------------
45,205,331
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
131
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
ENERGY -- 3.7%
BJ Services Co.* 36,300 $ 1,663,992
Burlington Resources, Inc. 40,400 1,461,672
ChevronTexaco Corp. 17,500 1,646,925
Exxon Mobil Corp. 65,000 2,886,650
Helmerich & Payne, Inc. 7,500 195,900
Nabors Industries
Limited* 30,000 1,356,600
Schlumberger Limited 45,800 2,908,758
Total SA 11,200 2,135,267
Transocean, Inc.* 32,900 952,126
Weatherford International
Limited+ * 23,900 1,075,022
----------------
16,282,912
----------------
ENTERTAINMENT & LEISURE -- 0.4%
The Walt Disney Co. 65,100 1,659,399
----------------
FINANCIAL SERVICES -- 3.6%
American Express Co. 95,200 4,891,376
The Goldman Sachs
Group, Inc. 12,100 1,139,336
Lehman Brothers
Holdings, Inc. 25,600 1,926,400
MBNA Corp. 125,050 3,225,039
Merrill Lynch & Co., Inc. 35,900 1,937,882
Morgan Stanley 49,000 2,585,730
----------------
15,705,763
----------------
FOODS -- 0.3%
Sysco Corp. 40,600 1,456,322
----------------
HEALTHCARE -- 1.9%
Caremark Rx, Inc.* 38,400 1,264,896
Health Management
Associates, Inc. Cl. A+ 62,100 1,392,282
Laboratory Corp. of
America Holdings* 31,400 1,246,580
UnitedHealth Group, Inc. 67,500 4,201,875
----------------
8,105,633
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.2%
Leggett & Platt, Inc.+ 35,500 948,205
----------------
INDUSTRIAL - DIVERSIFIED -- 2.5%
3M Co. 64,400 5,796,644
Danaher Corp. 26,000 1,348,100
Tyco International
Limited+ 116,600 3,864,124
----------------
11,008,868
----------------
INFORMATION RETRIEVAL SERVICES -- 0.9%
Yahoo!, Inc.* 111,206 4,040,114
----------------
INSURANCE -- 3.3%
AFLAC, Inc. 46,000 $ 1,877,260
Ambac Financial
Group, Inc. 26,600 1,953,504
American International
Group, Inc. 128,300 9,145,224
MBIA, Inc. 22,000 1,256,640
----------------
14,232,628
----------------
INTERNET CONTENT -- 0.1%
BEA Systems, Inc.* 67,700 556,494
----------------
MACHINERY & COMPONENTS -- 0.9%
Baker Hughes, Inc. 68,300 2,571,495
Ingersoll-Rand Co. Cl. A 11,100 758,241
Parker-Hannifin Corp. 12,800 761,088
----------------
4,090,824
----------------
MANUFACTURING -- 1.1%
Applied Materials, Inc.* 83,000 1,628,460
Avery Dennison Corp. 22,300 1,427,423
Lam Research Corp.* 24,300 651,240
Millipore Corp.* 16,900 952,653
----------------
4,659,776
----------------
MEDICAL SUPPLIES -- 4.1%
Allergan, Inc. 20,500 1,835,160
Baxter International, Inc. 51,700 1,784,167
Becton, Dickinson & Co.+ 31,000 1,605,800
Boston Scientific Corp.* 53,900 2,306,920
Medtronic, Inc. 96,200 4,686,864
St. Jude Medical, Inc.* 32,200 2,435,930
Waters Corp.* 33,100 1,581,518
Zimmer Holdings, Inc.* 16,410 1,447,362
----------------
17,683,721
----------------
PHARMACEUTICALS -- 14.0%
Abbott Laboratories 95,900 3,908,884
Alkermes, Inc.+ * 12,000 163,200
Amgen, Inc.* 78,900 4,305,573
AstraZeneca PLC
Sponsored ADR
(United Kingdom)+ 35,400 1,615,656
Barr Pharmaceuticals* 34,500 1,162,650
Biogen Idec, Inc.* 29,825 1,886,431
Bristol-Myers Squibb Co. 16,100 394,450
Cardinal Health, Inc. 27,600 1,933,380
Cephalon, Inc.+ * 15,900 858,600
Eli Lilly & Co. 34,400 2,404,904
Forest Laboratories, Inc.* 19,700 1,115,611
Genentech, Inc.* 46,600 2,618,920
Johnson & Johnson 177,326 9,877,058
Merck & Co., Inc. 88,200 4,189,500
Millennium
Pharmaceuticals, Inc.* 48,100 663,780
Pfizer, Inc. 478,980 $ 16,419,434
Protein Design
Labs, Inc.+ * 16,000 306,080
Schering-Plough Corp. 142,300 2,629,704
Watson
Pharmaceutical, Inc.* 4,000 107,600
Wyeth 122,900 4,444,064
----------------
61,005,479
----------------
PREPACKAGED SOFTWARE -- 6.3%
Adobe Systems, Inc. 14,500 674,250
DST Systems, Inc.* 28,800 1,384,992
Electronic Arts, Inc.* 20,070 1,094,819
Microsoft Corp. 701,800 20,043,408
Network Associates, Inc.* 33,300 603,729
Oracle Corp.* 182,900 2,181,997
Siebel Systems, Inc.* 28,100 300,108
Veritas Software Corp.* 50,700 1,404,390
----------------
27,687,693
----------------
RESTAURANTS -- 0.8%
Brinker
International, Inc.+ * 41,000 1,398,920
McDonald's Corp. 85,900 2,233,400
----------------
3,632,320
----------------
RETAIL -- 5.4%
Best Buy Co., Inc. 31,000 1,572,940
CVS Corp. 30,700 1,290,014
The Home Depot, Inc. 180,800 6,364,160
Kohl's Corp.+ * 9,000 380,520
Lowe's Companies, Inc. 30,760 1,616,438
Rite Aid Corp.* 46,000 240,120
Staples, Inc. 63,600 1,864,116
Target Corp. 17,200 730,484
Walgreen Co. 39,300 1,423,053
Wal-Mart Stores, Inc. 153,200 8,082,832
----------------
23,564,677
----------------
RETAIL - INTERNET -- 0.3%
Amazon.com, Inc.+ * 28,000 1,523,200
----------------
TELEPHONE UTILITIES -- 0.4%
Qwest Communications
International, Inc.+ * 133,000 477,470
Verizon
Communications, Inc. 38,600 1,396,934
----------------
1,874,404
----------------
TOBACCO -- 0.5%
Altria Group, Inc. 46,600 2,332,330
----------------
TRANSPORTATION -- 1.5%
Carnival Corp. 46,400 2,180,800
Royal Caribbean Cruises
Limited+ 24,800 1,076,568
</Table>
The accompanying notes are an integral part of the financial statements.
132
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
United Parcel Service,
Inc. Cl. B 42,400 $ 3,187,208
----------------
6,444,576
----------------
TOTAL EQUITIES
(COST $413,771,780) 427,661,170
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 9.0%
CASH EQUIVALENTS -- 6.9%**
American AAdvantage
Select Money
Market Fund 813,858 813,858
Bank of America
Bank Note
1.500% 07/21/2004 $ 1,119,053 1,119,053
Bank of America
Eurodollar Time Deposit
1.080% 07/19/2004 1,017,321 1,017,321
Bank of America
Eurodollar Time Deposit
1.100% 07/07/2004 264,503 264,503
Bank of Montreal
Eurodollar Time Deposit
1.200% 07/23/2004 851,054 851,054
Bank of the West
Eurodollar Time Deposit
1.280% 07/28/2004 813,856 813,856
BGIF Prime Money
Market Fund 1,566,674 1,566,674
BNP Paribas
Eurodollar Time Deposit
1.080% 07/29/2004 508,660 508,660
Branch Banker & Trust
Eurodollar Time Deposit
1.080% 07/14/2004 101,732 101,732
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 2,034,641 2,034,641
Caylon
Eurodollar Time Deposit
1.040% 07/06/2004 1,627,713 1,627,713
Caylon
Eurodollar Time Deposit
1.170% 08/04/2004 813,856 813,856
Caylon
Eurodollar Time Deposit
1.340% 08/24/2004 741,627 741,627
Fannie Mae Discount Note
0.960% 07/01/2004 610,392 610,392
Fannie Mae Discount Note
1.131% 07/14/2004 $ 305,196 $ 305,196
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 305,196 305,196
Federal Home Loan Bank
Discount Note
0.990% 07/01/2004 305,196 305,196
Fortis Bank
Eurodollar Time Deposit
1.090% 07/08/2004 1,424,249 1,424,249
Fortis Bank
Eurodollar Time Deposit
1.190% 07/14/2004 406,928 406,928
Fortis Bank
Eurodollar Time Deposit
1.290% 09/03/2004 305,196 305,196
General Electric
Capital Corp.
1.201% 07/19/2004 508,660 508,660
General Electric
Capital Corp.
1.211% 07/21/2004 509,249 509,249
General Electric
Capital Corp.
1.211% 07/22/2004 304,170 304,170
General Electric
Capital Corp.
1.221% 07/23/2004 100,698 100,698
General Electric
Capital Corp.
1.231% 07/26/2004 507,548 507,548
Goldman Sachs Financial
Square Prime
Obligations Money
Market Fund 508,660 508,660
HBOS Halifax Bank
of Scotland
Eurodollar Time Deposit
1.050% 07/14/2004 610,392 610,392
HBOS Halifax Bank
of Scotland
Eurodollar Time Deposit
1.300% 09/03/2004 305,196 305,196
Keybank
Eurodollar Time Deposit
1.250% 07/01/2004 1,627,713 1,627,713
Merrill Lynch Premier
Institutional Money
Market Fund 735,340 735,340
Merrimac Cash Fund,
Premium Class 3,255,426 3,255,426
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 $ 1,058,014 $ 1,058,014
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 07/08/2004 305,196 305,196
Royal Bank of Canada
Eurodollar Time Deposit
1.100% 07/02/2004 1,017,321 1,017,321
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/07/2004 1,017,321 1,017,321
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/15/2004 508,660 508,660
Royal Bank of Scotland
Eurodollar Time Deposit
1.150% 08/10/2004 305,196 305,196
Wells Fargo
Eurodollar Time Deposit
1.190% 07/14/2004 508,660 508,660
Wells Fargo
Eurodollar Time Deposit
1.250% 07/23/2004 610,392 610,392
----------------
30,240,713
----------------
REPURCHASE AGREEMENT -- 2.1%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 8,939,977 8,939,977
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 39,180,690
----------------
TOTAL INVESTMENTS -- 106.9%
(COST $452,952,470)*** 466,841,860
OTHER ASSETS/
(LIABILITIES) -- (6.9%) (30,178,906)
----------------
NET ASSETS -- 100.0% $ 436,662,954
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $8,940,151. Collaterized by U.S. Government Agency
obligation with a rate of 5.537%, maturity date 07/01/2032, and an
aggregate market value, including accrued interest, of $9,386,976.
The accompanying notes are an integral part of the financial statements.
133
<Page>
MASSMUTUAL LARGE CAP GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 99.9%
BANKING, SAVINGS & LOANS -- 4.9%
Citigroup, Inc. 23,500 $ 1,092,750
J.P. Morgan Chase & Co. 17,000 659,090
----------------
1,751,840
----------------
BROADCASTING, PUBLISHING & PRINTING -- 7.0%
News Corp. Limited
Preferred Sponsored
ADR (Australia) 10,400 341,952
The Scripps (E.W.) Co.+ 5,100 535,500
Time Warner, Inc.* 28,300 497,514
Univision Communications,
Inc. Cl. A* 14,500 462,985
Viacom, Inc. Cl. B 19,300 689,396
----------------
2,527,347
----------------
COMMERCIAL SERVICES -- 3.1%
eBay, Inc.* 12,090 1,111,675
----------------
COMMUNICATIONS -- 3.1%
Juniper Networks, Inc.+ * 30,150 740,785
Qualcomm, Inc. 5,200 379,496
----------------
1,120,281
----------------
COMPUTER PROGRAMMING SERVICES -- 0.8%
SAP AG Sponsored
ADR (Germany)+ 7,100 296,851
----------------
COMPUTERS & INFORMATION -- 7.9%
Cisco Systems, Inc.* 37,100 879,270
Dell, Inc.* 41,000 1,468,620
EMC Corp.* 43,800 499,320
----------------
2,847,210
----------------
COSMETICS & PERSONAL CARE -- 4.0%
Avon Products, Inc. 18,000 830,520
The Procter & Gamble Co. 11,600 631,504
----------------
1,462,024
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 13.8%
Broadcom Corp. Cl. A* 14,630 684,245
General Electric Co. 39,700 1,286,280
Intel Corp. 50,700 1,399,320
Marvell Technology Group
Limited+ * 20,300 542,010
Maxim Integrated
Products, Inc. 7,950 416,739
Taiwan Semiconductor
Manufacturing Co.
Limited Sponsored
ADR (Taiwan) 76,342 634,404
----------------
4,962,998
----------------
FINANCIAL SERVICES -- 4.6%
Franklin Resources, Inc. 6,900 $ 345,552
MBNA Corp.+ 30,950 798,201
Merrill Lynch & Co., Inc. 9,650 520,907
----------------
1,664,660
----------------
FOODS -- 0.2%
Starbucks Corp.* 1,800 78,264
----------------
HEALTHCARE -- 4.7%
Caremark Rx, Inc.* 10,800 355,752
UnitedHealth Group, Inc. 10,700 666,075
Wellpoint Health
Networks, Inc.* 5,900 660,859
----------------
1,682,686
----------------
HOUSEHOLD PRODUCTS -- 1.8%
Corning, Inc.* 50,100 654,306
----------------
INFORMATION RETRIEVAL SERVICES -- 4.3%
Yahoo!, Inc.+ * 42,400 1,540,392
----------------
INSURANCE -- 5.4%
American International
Group, Inc. 18,000 1,283,040
Progressive Corp. 8,000 682,400
----------------
1,965,440
----------------
MANUFACTURING -- 1.8%
Applied Materials, Inc.* 32,700 641,574
----------------
MEDICAL SUPPLIES -- 5.3%
Boston Scientific Corp.* 17,950 768,260
Medtronic, Inc. 8,700 423,864
St. Jude Medical, Inc.* 7,150 540,898
Zimmer Holdings, Inc.* 2,050 180,810
----------------
1,913,832
----------------
PHARMACEUTICALS -- 11.4%
Alcon, Inc. 8,400 660,660
Amgen, Inc.* 18,300 998,631
Forest Laboratories, Inc.* 7,000 396,410
Gilead Sciences, Inc.* 6,400 428,800
Pfizer, Inc. 37,000 1,268,360
Teva Pharmaceutical
Sponsored ADR (Israel)+ 5,400 363,366
----------------
4,116,227
----------------
PREPACKAGED SOFTWARE -- 6.9%
Electronic Arts, Inc.* 15,600 850,980
Microsoft Corp. 44,600 1,273,776
Symantec Corp.* 8,200 358,996
----------------
2,483,752
----------------
RETAIL -- 8.3%
Bed Bath & Beyond, Inc.* 14,300 $ 549,835
Lowe's Companies, Inc.+ 20,000 1,051,000
Target Corp. 9,300 394,971
Wal-Mart Stores, Inc. 18,800 991,888
----------------
2,987,694
----------------
RETAIL - INTERNET -- 0.6%
Amazon.com, Inc.* 4,000 217,600
----------------
TOTAL EQUITIES
(COST $32,223,429) 36,026,653
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 14.4%
CASH EQUIVALENTS -- 14.0%**
American AAdvantage Select
Money Market Fund 136,317 136,317
Bank of America Bank Note
1.500% 07/21/2004 $ 187,434 187,434
Bank of America
Eurodollar Time Deposit
1.080% 07/19/2004 170,395 170,395
Bank of America
Eurodollar Time Deposit
1.100% 07/07/2004 44,303 44,303
Bank of Montreal
Eurodollar Time Deposit
1.200% 07/23/2004 142,546 142,546
Bank of the West
Eurodollar Time Deposit
1.280% 07/28/2004 136,316 136,316
BGIF Prime Money
Market Fund 262,408 262,408
BNP Paribas
Eurodollar Time Deposit
1.080% 07/29/2004 85,197 85,197
Branch Banker & Trust
Eurodollar Time Deposit
1.080% 07/14/2004 17,039 17,039
Canadian Imperial Bank
of Commerce Bank Note
1.440% 05/18/2005 340,789 340,789
Caylon
Eurodollar Time Deposit
1.040% 07/06/2004 272,632 272,632
Caylon
Eurodollar Time Deposit
1.170% 08/04/2004 136,316 136,316
</Table>
The accompanying notes are an integral part of the financial statements.
134
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Caylon
Eurodollar Time Deposit
1.340% 08/24/2004 $ 124,218 $ 124,218
Fannie Mae Discount Note
0.960% 07/01/2004 102,237 102,237
Fannie Mae Discount Note
1.131% 07/14/2004 51,118 51,118
Federal Home Loan Bank
Discount Note
0.970% 07/02/2004 51,118 51,118
Federal Home Loan Bank
Discount Note
0.990% 07/01/2004 51,118 51,118
Fortis Bank
Eurodollar Time Deposit
1.090% 07/08/2004 238,553 238,553
Fortis Bank
Eurodollar Time Deposit
1.190% 07/14/2004 68,158 68,158
Fortis Bank
Eurodollar Time Deposit
1.290% 09/03/2004 51,118 51,118
General Electric
Capital Corp.
1.201% 07/19/2004 85,197 85,197
General Electric
Capital Corp.
1.211% 07/21/2004 85,296 85,296
General Electric
Capital Corp.
1.211% 07/22/2004 50,947 50,947
General Electric
Capital Corp.
1.221% 07/23/2004 16,866 16,866
General Electric
Capital Corp.
1.231% 07/26/2004 85,011 85,011
Goldman Sachs Financial
Square Prime Obligations
Money Market Fund 85,197 85,197
HBOS Halifax Bank of
Scotland
Eurodollar Time Deposit
1.050% 07/14/2004 102,237 102,237
HBOS Halifax Bank of
Scotland
Eurodollar Time Deposit
1.300% 09/03/2004 51,118 51,118
Keybank
Eurodollar Time Deposit
1.250% 07/01/2004 272,632 272,632
Merrill Lynch Premier
Institutional Money
Market Fund 123,165 $ 123,165
Merrimac Cash Fund,
Premium Class 545,263 545,263
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 $ 177,211 177,211
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 07/08/2004 51,118 51,118
Royal Bank of Canada
Eurodollar Time Deposit
1.100% 07/02/2004 170,395 170,395
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/07/2004 170,395 170,395
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/15/2004 85,197 85,197
Royal Bank of Scotland
Eurodollar Time Deposit
1.150% 08/10/2004 51,118 51,118
Wells Fargo
Eurodollar Time Deposit
1.190% 07/14/2004 85,197 85,197
Wells Fargo
Eurodollar Time Deposit
1.250% 07/23/2004 102,237 102,237
----------------
5,065,127
----------------
REPURCHASE AGREEMENT -- 0.4%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 138,137 138,137
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 5,203,264
----------------
TOTAL INVESTMENTS -- 114.3%
(COST $37,426,693)*** 41,229,917
OTHER ASSETS/
(LIABILITIES) -- (14.3%) (5,145,421)
----------------
NET ASSETS -- 100.0% $ 36,084,496
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $138,140. Collateralized by U.S. Government Agency
obligation with a rate of 4.875%, maturity date of 01/25/2016, and an
aggregate market value, including accrued interest, of $145,044.
The accompanying notes are an integral part of the financial statements.
135
<Page>
MASSMUTUAL GROWTH EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 99.0%
ADVERTISING -- 0.1%
Catalina
Marketing Corp.* + 37,500 $ 685,875
----------------
AEROSPACE & DEFENSE -- 1.8%
Boeing Co. 236,700 12,093,003
United Defense
Industries, Inc.* 22,400 784,000
United Technologies Corp. 20,600 1,884,488
----------------
14,761,491
----------------
APPAREL, TEXTILES & SHOES -- 3.2%
Abercrombie &
Fitch Co. Cl. A+ 75,900 2,941,125
Chico's FAS, Inc.* + 40,400 1,824,464
Claire's Stores, Inc. 61,800 1,341,060
Coach, Inc.* 64,600 2,919,274
Columbia Sportswear Co.* 18,900 1,032,318
The Gap, Inc.+ 100,700 2,441,975
Nike, Inc. Cl. B 46,900 3,552,675
Nordstrom, Inc. 63,200 2,692,952
Pacific Sunwear of
California, Inc.* + 39,200 767,144
Ross Stores, Inc. 152,400 4,078,224
Unifi, Inc.* 12,200 35,746
Urban Outfitters, Inc.* 38,300 2,332,853
----------------
25,959,810
----------------
AUTOMOTIVE & PARTS -- 1.8%
Harley-Davidson, Inc. 186,000 11,520,840
Oshkosh Truck Corp. 30,800 1,765,148
SPX Corp. 40,600 1,885,464
----------------
15,171,452
----------------
BANKING, SAVINGS & LOANS -- 3.1%
Capital One
Financial Corp. 22,300 1,524,874
Fannie Mae 278,900 19,902,304
Freddie Mac 60,500 3,829,650
----------------
25,256,828
----------------
BEVERAGES -- 1.0%
The Coca-Cola Co. 46,500 2,347,320
Coca-Cola
Enterprises, Inc. 88,100 2,554,019
The Pepsi Bottling
Group, Inc. 18,000 550,440
PepsiCo, Inc. 47,300 2,548,524
----------------
8,000,303
----------------
BROADCASTING, PUBLISHING & PRINTING -- 0.0%
Media General, Inc. Cl. A 400 $ 25,688
----------------
CHEMICALS -- 0.3%
Dow Chemical Co. 51,600 2,100,120
----------------
COMMERCIAL SERVICES -- 2.9%
Apollo Group,
Inc. Cl. A* + 19,400 1,712,826
Career Education Corp.* 11,300 514,828
Cendant Corp. 179,400 4,391,712
Convergys Corp.* 61,400 945,560
Donnelley (R.R.) &
Sons Co. 93,000 3,070,860
eBay, Inc.* 21,800 2,004,510
Fastenal Co. 64,500 3,665,535
ITT Educational
Services, Inc.* 40,100 1,524,602
Jacobs Engineering
Group, Inc.* 24,200 952,996
Pharmaceutical Product
Development, Inc.* 600 19,062
Regis Corp. 27,400 1,221,766
Rent-A-Center, Inc.* 70,700 2,116,051
Robert Half
International, Inc. 44,700 1,330,719
----------------
23,471,027
----------------
COMMUNICATIONS -- 3.8%
Harris Corp. 11,700 593,775
Juniper Networks, Inc.* 36,800 904,176
Plantronics, Inc.* 37,300 1,570,330
Qualcomm, Inc. 386,200 28,184,876
----------------
31,253,157
----------------
COMMUNICATIONS EQUIPMENT -- 1.7%
Motorola, Inc. 778,000 14,198,500
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 1.1%
Autodesk, Inc. 102,800 4,400,868
National
Instruments Corp.+ 53,600 1,642,840
Teradyne, Inc.* + 120,500 2,735,350
----------------
8,779,058
----------------
COMPUTERS & INFORMATION -- 5.0%
CDW Corp. 59,600 3,800,096
Cisco Systems, Inc.* 275,700 6,534,090
Dell, Inc.* 667,900 23,924,178
Diebold, Inc. 11,300 597,431
EMC Corp.* 258,500 2,946,900
Lexmark
International, Inc.* 36,300 3,504,039
----------------
41,306,734
----------------
COSMETICS & PERSONAL CARE -- 5.6%
Avon Products, Inc. 98,350 $ 4,537,869
Estee Lauder Companies,
Inc. Cl. A 14,300 697,554
The Gillette Co. 199,300 8,450,320
Kimberly-Clark Corp. 181,200 11,937,456
The Procter &
Gamble Co. 365,900 19,919,596
----------------
45,542,795
----------------
DATA PROCESSING & PREPARATION -- 1.8%
Alliance Data
Systems Corp.* 24,700 1,043,575
Factset Research
Systems, Inc.+ 14,000 661,780
First Data Corp. 271,700 12,096,084
Total System
Services, Inc. 38,100 834,390
----------------
14,635,829
----------------
ELECTRIC UTILITIES -- 0.1%
AES Corp.* 66,400 659,352
Mirant Corp.* 10,900 3,815
----------------
663,167
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 11.6%
American Power
Conversion Corp. 1,500 29,475
Analog Devices, Inc. 20,600 969,848
Arrow Electronics, Inc.* 38,700 1,037,934
Broadcom Corp. Cl. A* 20,300 949,431
Cypress
Semiconductor Corp.* 36,100 512,259
Energizer Holdings, Inc.* 12,600 567,000
General Electric Co. 182,600 5,916,240
Gentex Corp.+ 17,100 678,528
Intel Corp. 1,818,600 50,193,360
Kla-Tencor Corp.* 14,800 730,824
Linear Technology Corp. 59,500 2,348,465
Maxim Integrated
Products, Inc. 81,500 4,272,230
National
Semiconductor Corp.* 252,100 5,543,679
Silicon
Laboratories, Inc.* + 19,500 903,825
Texas Instruments, Inc. 768,000 18,570,240
Xilinx, Inc. 40,000 1,332,400
----------------
94,555,738
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
136
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
ENERGY -- 0.3%
Exxon Mobil Corp. 64,300 $ 2,855,563
XTO Energy, Inc. 1,200 35,748
----------------
2,891,311
----------------
ENTERTAINMENT & LEISURE -- 0.4%
Callaway Golf Co.+ 5,200 58,968
Harrah's
Entertainment, Inc. 44,400 2,402,040
The Walt Disney Co. 25,000 637,250
----------------
3,098,258
----------------
FINANCIAL SERVICES -- 1.4%
MBNA Corp.+ 434,500 11,205,755
----------------
FOODS -- 2.6%
ConAgra Foods, Inc. 14,000 379,820
The J.M. Smucker Co. 1,200 55,092
The Kroger Co.* 188,900 3,437,980
Safeway, Inc.* 58,000 1,472,040
Sara Lee Corp. 152,700 3,510,573
Starbucks Corp.* 159,600 6,939,408
Sysco Corp. 158,900 5,699,743
----------------
21,494,656
----------------
HEALTHCARE -- 4.5%
Coventry Health
Care, Inc.* 80,300 3,926,670
DaVita, Inc.* 24,450 753,793
Health Management
Associates, Inc. Cl. A+ 134,900 3,024,458
Health Net, Inc.* + 69,500 1,841,750
Lincare Holdings, Inc.* + 78,400 2,576,224
Oxford Health Plans, Inc. 63,200 3,478,528
Patterson Dental Co.* + 8,100 619,569
Renal Care Group, Inc.* 67,200 2,226,336
Tenet Healthcare Corp.* + 170,700 2,289,087
UnitedHealth Group, Inc. 224,500 13,975,125
Wellpoint Health
Networks, Inc.* 19,600 2,195,396
----------------
36,906,936
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 1.7%
D.R. Horton, Inc. 2,700 76,680
Fossil, Inc.* 26,200 713,950
Harman International
Industries 67,200 6,115,200
HNI Corp. 7,800 330,174
Lennar Corp. 10,500 469,560
Maytag Corp. 39,300 963,243
Miller (Herman), Inc. 45,300 1,310,982
Mohawk Industries, Inc.* 31,100 2,280,563
NVR, Inc.* 1,000 484,200
Whirlpool Corp.+ 22,500 $ 1,543,500
----------------
14,288,052
----------------
HOUSEHOLD PRODUCTS -- 0.5%
Black & Decker Corp. 13,900 863,607
Fortune Brands, Inc. 23,900 1,802,777
Sherwin-Williams Co. 28,600 1,188,330
----------------
3,854,714
----------------
INDUSTRIAL - DIVERSIFIED -- 2.3%
3M Co. 78,400 7,056,784
Danaher Corp. 58,400 3,028,040
Illinois Tool Works, Inc. 94,800 9,090,372
----------------
19,175,196
----------------
INFORMATION RETRIEVAL SERVICES -- 0.1%
Yahoo!, Inc.* 32,400 1,177,092
----------------
INSURANCE -- 4.2%
21st Century
Insurance Group 19,400 251,036
Aetna, Inc. 47,800 4,063,000
AFLAC, Inc. 31,000 1,265,110
Ambac Financial
Group, Inc. 26,900 1,975,536
American International
Group, Inc. 313,800 22,367,664
Anthem, Inc.* 11,200 1,003,072
Marsh & McLennan
Companies, Inc.+ 35,100 1,592,838
Progressive Corp. 21,800 1,859,540
----------------
34,377,796
----------------
LODGING -- 0.2%
Mandalay Resort Group 30,400 2,086,656
----------------
MACHINERY & COMPONENTS -- 0.4%
Caterpillar, Inc. 42,000 3,336,480
Dover Corp. 3,300 138,930
----------------
3,475,410
----------------
MANUFACTURING -- 1.2%
American Standard
Companies, Inc.* 216,200 8,715,022
Applied Materials, Inc.* 56,200 1,102,644
----------------
9,817,666
----------------
MEDICAL SUPPLIES -- 3.2%
Agilent
Technologies, Inc.* 27,400 802,272
Bard (C.R.), Inc. 65,100 3,687,915
Bausch & Lomb, Inc. 34,400 2,238,408
Biomet, Inc. 60,600 2,693,064
Boston Scientific Corp.* 28,500 1,219,800
Cooper Cos., Inc. 5,600 353,752
Cytyc Corp.* + 6,500 164,905
Guidant Corp. 170,600 $ 9,533,128
Stryker Corp. 22,100 1,215,500
Varian Medical
Systems, Inc.* 15,000 1,190,250
Waters Corp.* 20,900 998,602
Zimmer Holdings, Inc.* 19,800 1,746,360
----------------
25,843,956
----------------
METALS & MINING -- 0.3%
Phelps Dodge Corp.* 28,500 2,209,035
----------------
MISCELLANEOUS -- 0.0%
Handleman Co. 300 6,948
----------------
PHARMACEUTICALS -- 15.2%
AmerisourceBergen Corp. 74,200 4,435,676
Andrx Corp.* 42,700 1,192,611
Cardinal Health, Inc. 260,000 18,213,000
Eon Labs, Inc.* 16,200 663,066
Forest Laboratories, Inc.* 43,300 2,452,079
Genentech, Inc.* 57,100 3,209,020
Henry Schein, Inc.* 28,200 1,780,548
IVAX Corp.* 36,500 875,635
Johnson & Johnson+ 205,700 11,457,490
King
Pharmaceuticals, Inc.* 55,700 637,765
Medco Health
Solutions, Inc.* 8,900 333,750
Merck & Co., Inc. 878,900 41,747,750
NBTY, Inc.* 15,200 446,485
Pfizer, Inc. 942,200 32,298,616
Schering-Plough Corp. 229,700 4,244,856
Valeant Pharmaceuticals
International 36,200 724,000
----------------
124,712,347
----------------
PREPACKAGED SOFTWARE -- 2.9%
Adobe Systems, Inc. 26,200 1,218,300
Microsoft Corp. 478,100 13,654,536
Oracle Corp.* 186,000 2,218,980
Renaissance
Learning, Inc.+ 18,400 412,528
Symantec Corp.* 119,300 5,222,954
Veritas Software Corp.* 38,900 1,077,530
----------------
23,804,828
----------------
RESTAURANTS -- 1.3%
Applebee's
International, Inc. 113,850 2,620,827
The Cheesecake Factory* 19,800 787,842
Outback Steakhouse, Inc. 82,400 3,408,064
Sonic Corp.* 16,900 384,475
Wendy's International, Inc. 50,900 1,773,356
Yum! Brands, Inc.* 35,000 1,302,700
----------------
10,277,264
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
137
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
RETAIL -- 9.5%
Advance Auto
Parts Corp.* 64,700 $ 2,858,446
Bed Bath & Beyond, Inc.* 164,500 6,325,025
Best Buy Co., Inc. 26,000 1,319,240
Blair Corp. 2,400 69,360
Dollar General Corp. 109,300 2,137,908
Dollar Tree Stores, Inc.* 77,300 2,120,339
The Home Depot, Inc. 1,117,200 39,325,440
Lowe's Companies, Inc. 110,300 5,796,265
MSC Industrial
Direct Co. Cl. A 46,100 1,513,924
O'Reilly Automotive, Inc.* 25,900 1,170,680
Pier 1 Imports, Inc. 79,900 1,413,431
RadioShack Corp. 7,800 223,314
Staples, Inc. 14,200 416,202
Target Corp. 108,200 4,595,254
TJX Companies, Inc. 203,600 4,914,904
Walgreen Co. 27,600 999,396
Wal-Mart Stores, Inc. 48,800 2,574,688
----------------
77,773,816
----------------
RETAIL - GROCERY -- 0.2%
Weis Markets, Inc. 9,500 332,975
Whole Foods Market, Inc. 12,600 1,202,670
----------------
1,535,645
----------------
TOBACCO -- 1.5%
Altria Group, Inc. 239,200 11,971,960
----------------
TRANSPORTATION -- 0.2%
J.B. Hunt Transport
Services, Inc. 40,100 1,547,058
----------------
TOTAL EQUITIES
(COST $791,736,501) 809,899,927
----------------
RIGHTS -- 0.0%
COMPUTERS & INFORMATION
Seagate Technology* ++ 66,000 -
----------------
TOTAL RIGHTS
(COST $0) 0
----------------
TOTAL LONG TERM INVESTMENTS
(COST $791,736,501) 809,899,927
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 5.2%
CASH EQUIVALENTS -- 3.0%**
American AAdvantage
Select Money
Market Fund 662,837 662,837
Bank of America
Bank Note
1.500% 07/21/2004 $ 911,399 $ 911,399
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 828,546 828,546
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 215,423 215,423
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 693,131 693,131
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 662,836 662,836
BGIF Prime Money
Market Fund 1,275,959 1,275,959
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 414,272 414,272
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 82,854 82,854
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 1,657,090 1,657,090
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 1,325,672 1,325,672
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 662,836 662,836
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 604,009 604,009
Fannie Mae
Discount Note
0.960% 07/01/2004 497,127 497,127
Fannie Mae
Discount Note
1.131% 07/14/2004 248,563 248,563
Federal Home Loan Bank
Discount Note
0.970% 07/02/2004 248,563 248,563
Federal Home Loan Bank
Discount Note
0.990% 07/01/2004 $ 248,563 $ 248,563
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 1,159,963 1,159,963
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 331,418 331,418
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 248,563 248,563
General Electric
Capital Corp.
1.201% 07/19/2004 414,272 414,272
General Electric
Capital Corp.
1.211% 07/21/2004 414,752 414,752
General Electric
Capital Corp.
1.211% 07/22/2004 247,728 247,728
General Electric
Capital Corp.
1.221% 07/23/2004 82,012 82,012
General Electric
Capital Corp.
1.231% 07/26/2004 413,367 413,367
Goldman Sachs Financial
Square Prime
Obligations Money
Market Fund 414,272 414,272
HBOS Halifax Bank of
Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 497,127 497,127
HBOS Halifax Bank of
Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 248,563 248,563
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 1,325,672 1,325,672
Merrill Lynch Premier
Institutional Money
Market Fund 598,889 598,889
Merrimac Cash Fund,
Premium Class 2,651,344 2,651,344
</Table>
The accompanying notes are an integral part of the financial statements.
138
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 $ 861,687 $ 861,687
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 248,563 248,563
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 828,545 828,545
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 828,545 828,545
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 414,272 414,272
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 248,563 248,563
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 414,272 414,272
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 497,127 497,127
----------------
24,629,196
----------------
REPURCHASE AGREEMENT -- 2.2%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 17,642,677 17,642,677
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 42,271,873
----------------
TOTAL INVESTMENTS -- 104.2%
(COST $834,008,374)*** 852,171,800
OTHER ASSETS/
(LIABILITIES) -- (4.2%) (34,624,674)
----------------
NET ASSETS -- 100.0% $ 817,547,126
================
</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).
+ Denotes all or a portion of security on loan.
++ This security is valued in good faith under procedures established by the
board of directors.
(a) Maturity value of $17,643,021. Collateralized by U.S. Government Agency
obligation with a rate of 3.078%, maturity date of 11/01/2033, and an
aggregate market value, including accrued interest, of $18,525,607.
The accompanying notes are an integral part of the financial statements.
139
<Page>
MASSMUTUAL AGGRESSIVE GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 96.9%
AUTOMOTIVE & PARTS -- 5.7%
Harley-Davidson, Inc.+ 373,000 $ 23,103,620
----------------
BANKING, SAVINGS & LOANS -- 4.5%
Capital One
Financial Corp. 267,000 18,257,460
----------------
COMMERCIAL SERVICES -- 19.8%
Apollo Group, Inc. Cl. A* 300,000 26,487,000
eBay, Inc.* 432,500 39,768,375
Moody's Corp.+ 144,000 9,311,040
Weight Watchers
International, Inc.+ * 108,500 4,246,690
----------------
79,813,105
----------------
COMMUNICATIONS -- 4.7%
Qualcomm, Inc. 256,000 18,682,880
----------------
COMPUTERS & INFORMATION -- 9.6%
Cisco Systems, Inc.* 790,000 18,723,000
Dell, Inc.* 561,500 20,112,930
----------------
38,835,930
----------------
FOODS -- 5.3%
Starbucks Corp.* 494,000 21,479,120
----------------
MEDICAL SUPPLIES -- 10.3%
Allergan, Inc. 155,500 13,920,360
Medtronic, Inc. 320,000 15,590,400
Stryker Corp.+ 216,000 11,880,000
----------------
41,390,760
----------------
PHARMACEUTICALS -- 15.2%
Amgen, Inc.* 206,500 11,268,705
Genentech, Inc.* 463,000 26,020,600
Genzyme Corp.+ * 238,000 11,264,540
Teva Pharmaceutical
Sponsored
ADR (Israel) 190,000 12,785,100
----------------
61,338,945
----------------
PREPACKAGED SOFTWARE -- 5.8%
Microsoft Corp. 446,000 12,737,760
Red Hat, Inc.+ * 457,000 10,497,290
----------------
23,235,050
----------------
RETAIL -- 16.0%
Bed Bath &
Beyond, Inc.* 310,500 11,938,725
Kohl's Corp.* 193,000 8,160,040
Lowe's Companies, Inc. 359,000 18,865,450
Tiffany & Co. 192,500 7,093,625
Walgreen Co. 265,000 9,595,650
Wal-Mart Stores, Inc. 168,000 $ 8,863,680
----------------
64,517,170
----------------
TOTAL EQUITIES
(COST $350,723,519) 390,654,040
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 12.5%
CASH EQUIVALENTS -- 9.3%**
American AAdvantage
Select Money
Market Fund 1,008,295 1,008,295
Bank of America
Bank Note
1.500% 07/21/2004 $ 1,386,406 1,386,406
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 1,260,368 1,260,368
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 327,696 327,696
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 1,054,379 1,054,379
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 1,008,296 1,008,296
BGIF Prime Money
Market Fund 1,940,968 1,940,968
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 630,184 630,184
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 126,037 126,037
Canadian Imperial Bank
of Commerce Bank Note
1.440% 05/18/2005 2,520,738 2,520,738
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 2,016,590 2,016,590
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 $ 1,008,296 $ 1,008,296
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 918,809 918,809
Fannie Mae
Discount Note
0.960% 07/01/2004 756,221 756,221
Fannie Mae
Discount Note
1.131% 07/14/2004 378,111 378,111
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 378,111 378,111
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 378,111 378,111
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 1,764,516 1,764,516
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 504,148 504,148
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 378,111 378,111
General Electric
Capital Corp.
1.201% 07/19/2004 630,184 630,184
General Electric
Capital Corp.
1.211% 07/21/2004 630,913 630,913
General Electric
Capital Corp.
1.211% 07/22/2004 376,840 376,840
General Electric
Capital Corp.
1.221% 07/23/2004 124,756 124,756
General Electric
Capital Corp.
1.231% 07/26/2004 628,806 628,806
Goldman Sachs Financial
Square Prime
Obligations Money
Market Fund 630,184 630,184
</Table>
The accompanying notes are an integral part of the financial statements.
140
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
HBOS Halifax Bank of
Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 $ 756,221 $ 756,221
HBOS Halifax Bank of
Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 378,111 378,111
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 2,016,590 2,016,590
Merrill Lynch Premier
Institutional Money
Market Fund 911,020 911,020
Merrimac Cash Fund,
Premium Class 4,033,180 4,033,180
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 1,310,784 1,310,784
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 378,111 378,111
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 1,260,369 1,260,369
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 1,260,369 1,260,369
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 630,184 630,184
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 378,111 378,111
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 630,184 630,184
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 756,221 756,221
----------------
37,465,529
----------------
REPURCHASE AGREEMENT -- 3.2%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) $ 12,868,332 $ 12,868,332
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 50,333,861
----------------
TOTAL INVESTMENTS -- 109.4%
(COST $401,057,380)*** 440,987,901
OTHER ASSETS/
(LIABILITIES) -- (9.4%) (37,807,086)
----------------
NET ASSETS -- 100.0% $ 403,180,815
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $12,868,582. Collaterized by U.S. Government Agency
obligation with a rate of 3.950%, maturity date 03/25/2029, and an
aggregate market value, including accrued interest, of $13,511,748.
The accompanying notes are an integral part of the financial statements.
141
<Page>
MASSMUTUAL OTC 100 FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 99.2%
ADVERTISING -- 0.3%
Lamar Advertising Co.* + 4,753 $ 206,043
----------------
AIR TRANSPORTATION -- 0.2%
Ryanair Holdings PLC
Sponsored ADR (Ireland)* + 3,416 111,976
----------------
APPAREL, TEXTILES & SHOES -- 0.3%
Ross Stores, Inc. 8,297 222,028
----------------
AUTOMOTIVE & PARTS -- 0.9%
Paccar, Inc.+ 11,058 641,254
----------------
BROADCASTING, PUBLISHING & PRINTING -- 3.9%
Comcast Corp. Cl. A* 53,480 1,499,044
InterActive Corp.* + 40,882 1,232,183
----------------
2,731,227
----------------
COMMERCIAL SERVICES -- 7.4%
Apollo Group, Inc. Cl. A* 10,041 886,520
Career Education Corp.* 5,792 263,884
Cintas Corp.+ 11,549 550,541
eBay, Inc.* 27,569 2,534,970
Fastenal Co. 4,079 231,810
Paychex, Inc. 20,147 682,580
----------------
5,150,305
----------------
COMMUNICATIONS -- 12.2%
EchoStar Communications
Corp. Cl. A* 13,710 421,582
Juniper Networks, Inc.* 19,585 481,203
Network Appliance, Inc.* + 20,434 439,944
Nextel
Communications,
Inc. Cl. A* 77,789 2,073,855
PanAmSat Corp.* 11,387 264,406
Qualcomm, Inc. 54,947 4,010,032
Research In
Motion Limited* 10,397 711,571
Tellabs, Inc.* 13,336 116,557
----------------
8,519,150
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.8%
Sun Microsystems, Inc.* 81,360 353,102
Synopsys, Inc.* 8,049 228,833
----------------
581,935
----------------
COMPUTER PROGRAMMING SERVICES -- 0.8%
Mercury
Interactive Corp.* + 5,520 275,062
VeriSign, Inc.* 13,148 261,645
----------------
536,707
----------------
COMPUTERS & INFORMATION -- 9.7%
Apple Computer, Inc.* 29,807 $ 969,920
CDW Corp. 4,885 311,468
Cisco Systems, Inc.* 135,836 3,219,313
Comverse Technology, Inc.* 11,421 227,735
Dell, Inc.* 52,218 1,870,449
Sandisk Corp.* + 8,331 180,699
----------------
6,779,584
----------------
CONTAINERS -- 0.4%
Smurfit-Stone
Container Corp. 13,932 277,943
----------------
DATA PROCESSING & PREPARATION -- 0.8%
Fiserv, Inc.* 13,713 533,299
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 17.5%
Altera Corp.* + 29,607 657,868
American Power
Conversion Corp. 11,315 222,340
ATI Technologies, Inc.* 13,553 255,610
Broadcom Corp. Cl. A* + 12,980 607,075
Flextronics International
Limited* 32,282 514,898
Garmin Limited+ 5,644 209,054
Gentex Corp. 4,522 179,433
Intel Corp. 127,359 3,515,108
Intersil Corp. Cl. A 7,956 172,327
JDS Uniphase Corp.* 91,950 348,490
Kla-Tencor Corp.* 13,395 661,445
Linear Technology Corp.+ 23,255 917,875
Marvell Technology Group
Limited* + 14,252 380,528
Maxim Integrated
Products, Inc. 25,391 1,330,996
Microchip
Technology, Inc. 9,667 304,897
Molex, Inc. 5,550 178,044
Novellus Systems, Inc.* 8,475 266,454
Nvidia Corp.* + 10,085 206,742
Qlogic Corp.* 5,344 142,097
Sanmina-SCI Corp.* + 31,268 284,539
Xilinx, Inc. 25,893 862,496
----------------
12,218,316
----------------
ENERGY -- 0.2%
Patterson-UTI Energy, Inc. 4,841 161,738
----------------
FOODS -- 1.9%
Starbucks Corp.* 31,002 1,347,967
----------------
HEALTHCARE -- 1.2%
Express Scripts, Inc.* 3,910 309,789
First Health Group Corp.* 5,348 83,482
Lincare Holdings, Inc.* 5,392 $ 177,181
Patterson Dental Co.* + 3,688 282,095
----------------
852,547
----------------
INFORMATION RETRIEVAL SERVICES -- 1.9%
Yahoo!, Inc.* 36,429 1,323,466
----------------
INTERNET CONTENT -- 0.2%
BEA Systems, Inc.* 21,227 174,486
----------------
MANUFACTURING -- 1.7%
Applied Materials, Inc.* 49,025 961,870
Lam Research Corp.* 7,782 208,558
----------------
1,170,428
----------------
MEDICAL SUPPLIES -- 1.6%
Biomet, Inc. 19,264 856,092
Dentsply
International, Inc. 4,348 226,531
----------------
1,082,623
----------------
MISCELLANEOUS -- 0.1%
Nasdaq-100 Index
Tracking Stock+ 2,771 104,605
----------------
PHARMACEUTICALS -- 10.8%
Amgen, Inc.* 33,329 1,818,764
Biogen Idec, Inc.* + 20,768 1,313,576
Cephalon, Inc.* + 2,890 156,060
Chiron Corp.* 14,860 663,350
Genzyme Corp.* + 15,969 755,813
Gilead Sciences, Inc.* 11,869 795,223
Henry Schein, Inc.* 2,305 145,538
Invitrogen Corp.* 2,776 199,844
Medimmune, Inc.* 14,968 350,251
Millennium
Pharmaceuticals, Inc.* 18,791 259,316
Sigma-Aldrich Corp. 3,734 222,584
Teva Pharmaceutical
Sponsored ADR (Israel)+ 12,610 848,527
----------------
7,528,846
----------------
PREPACKAGED SOFTWARE -- 18.3%
Adobe Systems, Inc. 13,157 611,800
Check Point Software
Technologies Limited* 14,303 386,038
Citrix Systems, Inc.* 11,371 231,514
Compuware Corp.* 13,394 88,400
Electronic Arts, Inc.* 17,159 936,023
Intuit, Inc.* 13,945 537,998
Microsoft Corp. 208,908 5,966,412
Oracle Corp.* 121,805 1,453,134
Peoplesoft, Inc.* 28,991 536,333
</Table>
The accompanying notes are an integral part of the financial statements.
142
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Pixar, Inc.* + 3,181 $ 221,111
Siebel Systems, Inc.* + 33,104 353,551
Symantec Corp.* 18,300 801,174
Veritas Software Corp.* 24,575 680,727
----------------
12,804,215
----------------
RETAIL -- 3.5%
Bed Bath & Beyond, Inc.* 22,722 873,661
Costco Wholesale Corp. 13,594 558,306
Dollar Tree Stores, Inc.* 6,149 168,667
Petsmart, Inc.+ 8,042 260,963
Staples, Inc. 18,788 550,676
----------------
2,412,273
----------------
RETAIL - GROCERY -- 0.5%
Whole Foods Market, Inc.+ 3,409 325,389
----------------
RETAIL - INTERNET -- 1.2%
Amazon.com, Inc.* + 15,122 822,637
----------------
TELEPHONE UTILITIES -- 0.2%
Level 3
Communications, Inc.* + 37,718 133,899
----------------
TRANSPORTATION -- 0.7%
Expeditors International of
Washington, Inc. 5,810 287,072
Robinson (C.H.)
Worldwide, Inc. 4,748 217,648
----------------
504,720
----------------
TOTAL EQUITIES
(COST $58,999,367) 69,259,606
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 12.7%
CASH EQUIVALENTS -- 11.8%**
American AAdvantage
Select Money
Market Fund 221,746 221,746
Bank of America
Bank Note
1.500% 07/21/2004 $ 304,901 304,901
Bank of America
Eurodollar Time Deposit
1.080% 07/19/2004 277,183 277,183
Bank of America
Eurodollar Time Deposit
1.100% 07/07/2004 72,068 72,068
Bank of Montreal
Eurodollar Time Deposit
1.200% 07/23/2004 231,882 231,882
Bank of the West
Eurodollar Time Deposit
1.280% 07/28/2004 $ 221,747 $ 221,747
BGIF Prime
Money Market Fund 426,863 426,863
BNP Paribas
Eurodollar Time Deposit
1.080% 07/29/2004 138,592 138,592
Branch Banker & Trust
Eurodollar Time Deposit
1.080% 07/14/2004 27,718 27,718
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 554,367 554,367
Caylon
Eurodollar Time Deposit
1.040% 07/06/2004 443,494 443,494
Caylon
Eurodollar Time Deposit
1.170% 08/04/2004 221,747 221,747
Caylon
Eurodollar Time Deposit
1.340% 08/24/2004 202,067 202,067
Fannie Mae
Discount Note
0.960% 07/01/2004 166,310 166,310
Fannie Mae
Discount Note
1.131% 07/14/2004 83,155 83,155
Federal Home Loan Bank
Discount Note
0.970% 07/02/2004 83,155 83,155
Federal Home Loan Bank
Discount Note
0.990% 07/01/2004 83,155 83,155
Fortis Bank
Eurodollar Time Deposit
1.090% 07/08/2004 388,057 388,057
Fortis Bank
Eurodollar Time Deposit
1.190% 07/14/2004 110,873 110,873
Fortis Bank
Eurodollar Time Deposit
1.290% 09/03/2004 83,155 83,155
General Electric
Capital Corp.
1.201% 07/19/2004 138,592 138,592
General Electric
Capital Corp.
1.211% 07/21/2004 138,752 138,752
General Electric
Capital Corp.
1.211% 07/22/2004 82,876 82,876
General Electric
Capital Corp.
1.221% 07/23/2004 $ 27,437 $ 27,437
General Electric
Capital Corp.
1.231% 07/26/2004 138,289 138,289
Goldman Sachs
Financial Square
Prime Obligations
Money Market Fund 138,592 138,592
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.050% 07/14/2004 166,310 166,310
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.300% 09/03/2004 83,155 83,155
Keybank
Eurodollar Time Deposit
1.250% 07/01/2004 443,494 443,494
Merrill Lynch Premier
Institutional Money
Market Fund 200,354 200,354
Merrimac Cash Fund,
Premium Class 886,988 886,988
Morgan Stanley
Dean Witter & Co.
1.580% 10/22/2004 288,271 288,271
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 07/08/2004 83,155 83,155
Royal Bank of Canada
Eurodollar Time Deposit
1.100% 07/02/2004 277,184 277,184
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/07/2004 277,184 277,184
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/15/2004 138,592 138,592
Royal Bank of Scotland
Eurodollar Time Deposit
1.150% 08/10/2004 83,155 83,155
Wells Fargo
Eurodollar Time Deposit
1.190% 07/14/2004 138,592 138,592
Wells Fargo
Eurodollar Time Deposit
1.250% 07/23/2004 166,310 166,310
----------------
8,239,517
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
143
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
REPURCHASE AGREEMENT -- 0.6%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) $ 459,213 $ 459,213
----------------
U.S. TREASURY BILLS -- 0.3%
U.S. Treasury Bill++
0.950% 07/22/2004 205,000 204,886
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 8,903,616
----------------
TOTAL INVESTMENTS -- 111.9%
(COST $67,902,983)*** 78,163,222
OTHER ASSETS/
(LIABILITIES) -- (11.9%) (8,310,250)
----------------
NET ASSETS -- 100.0% $ 69,852,972
================
</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).
+ Denotes all or a portion of security on loan.
++ This security is held as collateral for open futures contracts. (NOTE 2).
(a) Maturity value of $459,222. Collateralized by U.S. Government Agency
obligation with a rate of 4.625%, maturity date of 07/25/2016, and an
aggregate market value, including accrued interest, of $482,173.
The remainder of this page is intentionally left blank.
The accompanying notes are an integral part of the financial statements.
144
<Page>
MASSMUTUAL FOCUSED VALUE FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 91.9%
ADVERTISING -- 3.4%
Catalina Marketing Corp.* 76,700 $ 1,402,843
Harte-Hanks, Inc. 46,500 1,135,065
Interpublic Group of
Companies, Inc.* + 1,700,000 23,341,000
----------------
25,878,908
----------------
APPAREL, TEXTILES & SHOES -- 6.0%
The Gap, Inc.+ 1,800,000 43,650,000
Jones Apparel Group, Inc. 21,100 833,028
Tommy Hilfiger Corp.* 79,300 1,200,602
----------------
45,683,630
----------------
AUTOMOTIVE & PARTS -- 0.3%
Federal Signal Corp. 81,200 1,511,132
Superior Industries
International, Inc.+ 27,000 903,150
----------------
2,414,282
----------------
BANKING, SAVINGS & LOANS -- 9.4%
Sovereign Bancorp, Inc.+ 2,000,000 44,200,000
Washington Mutual, Inc. 700,000 27,048,000
----------------
71,248,000
----------------
BEVERAGES -- 5.7%
The Pepsi Bottling
Group, Inc. 1,400,000 42,756,000
PepsiAmericas, Inc.+ 30,200 641,448
----------------
43,397,448
----------------
BROADCASTING, PUBLISHING & PRINTING -- 14.4%
Cablevision Systems
Corp. Cl. A* + 1,800,000 35,370,000
Liberty Media
Corp. Cl. A 3,200,000 28,768,000
Liberty Media
International, Inc. Cl. A* 160,000 5,936,000
Time Warner, Inc.* 2,200,000 38,676,000
----------------
108,750,000
----------------
CHEMICALS -- 0.2%
Albemarle Corp. 40,800 1,291,320
----------------
COMMERCIAL SERVICES -- 4.7%
Viad Corp. 69,600 1,879,896
Waste Management, Inc. 1,100,000 33,715,000
----------------
35,594,896
----------------
COMMUNICATIONS -- 0.1%
ADC
Telecommunications, Inc.* 299,000 849,160
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.4%
Computer Sciences
Corp.* + 23,700 $ 1,100,391
Parametric
Technology Corp.* 393,900 1,969,500
----------------
3,069,891
----------------
DATA PROCESSING & PREPARATION -- 4.9%
First Data Corp. 800,000 35,616,000
IMS Health, Inc. 48,100 1,127,464
----------------
36,743,464
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 0.7%
AVX Corp. 36,600 528,870
Entegris, Inc.* 125,600 1,453,192
Hubbell, Inc. Cl. B 42,400 1,980,504
Mykrolis Corp.* 95,500 1,663,610
----------------
5,626,176
----------------
FINANCIAL SERVICES -- 0.1%
Countrywide Financial Corp. 12,900 906,225
----------------
HEALTHCARE -- 0.1%
Universal Health
Services Cl. B 14,700 674,583
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.2%
Steelcase, Inc. 85,200 1,192,800
----------------
HOUSEHOLD PRODUCTS -- 0.3%
Snap-On, Inc. 58,600 1,966,030
----------------
INDUSTRIAL - DIVERSIFIED -- 0.3%
Carlisle Companies, Inc. 34,300 2,135,175
----------------
INSURANCE -- 0.9%
Ambac Financial
Group, Inc. 9,150 671,976
Aon Corp. 75,600 2,152,332
MBIA, Inc. 25,000 1,428,000
Principal Financial
Group, Inc. 24,400 848,632
UnumProvident Corp.+ 95,300 1,515,270
----------------
6,616,210
----------------
MACHINERY & COMPONENTS -- 0.3%
Dover Corp. 19,300 812,530
Pall Corp.+ 63,800 1,670,922
----------------
2,483,452
----------------
MEDICAL SUPPLIES -- 9.0%
Baxter International, Inc. 1,100,000 37,961,000
Becton, Dickinson & Co.+ 12,600 652,680
Guidant Corp. 475,000 $ 26,543,000
Haemonetics Corp.* 73,400 2,176,310
Mettler-Toledo
International, Inc.* 23,700 1,164,618
----------------
68,497,608
----------------
PHARMACEUTICALS -- 3.5%
Hospira, Inc.* 910,000 25,116,000
Medco Health
Solutions, Inc.* 33,400 1,252,500
----------------
26,368,500
----------------
PREPACKAGED SOFTWARE -- 4.1%
SunGard Data
Systems, Inc.* 1,200,000 31,200,000
----------------
RESTAURANTS -- 9.3%
CBRL Group, Inc. 51,700 1,594,945
McDonald's Corp.+ 1,200,000 31,200,000
Wendy's International, Inc. 21,500 749,060
Yum! Brands, Inc.* 1,000,000 37,220,000
----------------
70,764,005
----------------
RETAIL -- 8.4%
Big Lots, Inc.* 171,600 2,481,336
Costco Wholesale Corp. 850,000 34,909,500
Dollar General Corp. 25,700 502,692
Tiffany & Co. 650,000 23,952,500
Zale Corp.* 75,100 2,047,226
----------------
63,893,254
----------------
TOYS, GAMES -- 0.2%
Hasbro, Inc. 63,100 1,198,900
----------------
TRANSPORTATION -- 5.0%
Carnival Corp.+ 800,000 37,600,000
----------------
TOTAL EQUITIES
(COST $569,649,085) 696,043,917
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 20.3%
CASH EQUIVALENTS -- 12.2%**
American AAdvantage
Select Money
Market Fund 2,475,869 2,475,869
Bank of America
Bank Note
1.500% 07/21/2004 $ 3,404,318 3,404,318
</Table>
The accompanying notes are an integral part of the financial statements.
145
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 $ 3,094,834 $ 3,094,834
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 804,657 804,657
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 2,589,028 2,589,028
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 2,475,867 2,475,867
BGIF Prime Money
Market Fund 4,766,045 4,766,045
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 1,547,417 1,547,417
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 309,483 309,483
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 6,189,670 6,189,670
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 4,951,735 4,951,735
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 2,464,077 2,464,077
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 2,267,928 2,267,928
Fannie Mae
Discount Note
0.960% 07/01/2004 1,856,901 1,856,901
Fannie Mae Discount Note
1.131% 07/14/2004 928,450 928,450
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 928,450 928,450
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 928,450 928,450
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 928,450 928,450
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 $ 1,403,998 $ 1,403,998
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 4,166,704 4,166,704
General Electric
Capital Corp.
1.201% 07/19/2004 372,750 372,750
General Electric
Capital Corp.
1.211% 07/21/2004 925,330 925,330
General Electric
Capital Corp.
1.211% 07/22/2004 1,544,215 1,544,215
General Electric
Capital Corp.
1.221% 07/23/2004 1,549,207 1,549,207
General Electric
Capital Corp.
1.231% 07/26/2004 1,480,823 1,480,823
Goldman Sachs
Financial Square Prime
Obligations Money
Market Fund 1,547,417 1,547,417
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 978,270 978,270
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 1,807,081 1,807,081
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 4,951,735 4,951,735
Merrill Lynch
Premier Institutional
Money Market Fund 2,237,009 2,237,009
Merrimac Cash Fund,
Premium Class 9,903,471 9,903,471
Morgan Stanley
Dean Witter & Co.
1.580% 10/22/2004 3,218,628 3,218,628
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 3,094,834 3,094,834
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 928,450 928,450
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 $ 3,094,834 $ 3,094,834
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 961,663 961,663
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 1,514,204 1,514,204
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 1,856,901 1,856,901
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 1,547,417 1,547,417
----------------
91,996,570
----------------
REPURCHASE AGREEMENT -- 8.1%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 61,610,478 61,610,478
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 153,607,048
----------------
TOTAL INVESTMENTS -- 112.2%
(COST $723,256,133)*** 849,650,965
OTHER ASSETS/
(LIABILITIES) -- (12.2%) (92,714,355)
----------------
NET ASSETS -- 100.0% $ 756,936,610
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $61,611,675. Collaterized by U.S. Government Agency
obligations with rates ranging from 1.930% - 4.375%, maturity dates
ranging from 05/25/2016 - 12/01/2032, and an aggregate market value,
including accrued interest, of $64,691,001.
The accompanying notes are an integral part of the financial statements.
146
<Page>
MASSMUTUAL SMALL COMPANY VALUE FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 96.0%
AIR TRANSPORTATION -- 0.5%
MAIR Holdings, Inc.* + 96,800 $ 789,888
Mesa Air Group, Inc.* + 84,900 686,841
----------------
1,476,729
----------------
APPAREL, TEXTILES & SHOES -- 2.5%
American Eagle
Outfitters, Inc.* 43,500 1,257,585
Ashworth, Inc.* 71,300 592,503
Charlotte Russe
Holding, Inc.* 120,050 2,566,669
Charming Shoppes, Inc.* 114,625 1,023,601
Culp, Inc.* 40,000 311,200
Payless Shoesource, Inc.* 132,150 1,970,356
Unifi, Inc.* 119,000 348,670
----------------
8,070,584
----------------
AUTOMOTIVE & PARTS -- 2.1%
Cooper Tire & Rubber Co. 90,800 2,088,400
Federal Signal Corp.+ 52,975 985,865
JLG Industries, Inc. 103,000 1,430,670
Myers Industries, Inc. 49,400 696,540
TBC Corp.* 73,000 1,737,400
----------------
6,938,875
----------------
BANKING, SAVINGS & LOANS -- 6.6%
Advanta Corp. Cl. B 35,625 816,525
Astoria Financial Corp. 32,300 1,181,534
Bankunited Financial
Corp. Cl. A* 51,575 1,330,635
The Colonial
BancGroup, Inc. 78,700 1,429,979
First Republic Bank 57,800 2,490,024
Hibernia Corp. Cl. A 26,000 631,800
Hudson United Bancorp 22,400 835,072
Metris Companies, Inc.* + 93,000 808,170
Providian Financial Corp.* 98,900 1,450,863
Silicon Valley Bancshares* 66,300 2,628,795
Sky Financial Group, Inc. 51,550 1,274,831
The South Financial
Group, Inc. 28,600 810,524
Sterling Financial Corp.* 25,740 820,334
Texas Regional
Bancshares, Inc. 76,597 3,516,568
Webster Financial Corp. 24,450 1,149,639
----------------
21,175,293
----------------
BROADCASTING, PUBLISHING & PRINTING -- 2.6%
CSS Industries, Inc. 42,100 1,475,184
Cumulus Media, Inc. Cl. A* 71,775 1,206,538
Entravision Communications
Corp. Cl. A* 143,675 $ 1,103,424
Hearst-Argyle
Television, Inc. 22,525 580,694
Journal Register Co.* 63,300 1,266,000
Saga Communications,
Inc. Cl. A* 83,800 1,529,350
Scholastic Corp.* 35,400 1,060,230
Sinclair Broadcast Group,
Inc. Cl. A 23,700 243,399
----------------
8,464,819
----------------
BUILDING MATERIALS & CONSTRUCTION -- 1.1%
ElkCorp 39,700 950,418
Florida Rock
Industries, Inc.+ 36,650 1,545,530
Lennox
International, Inc.+ 59,900 1,084,190
----------------
3,580,138
----------------
CHEMICALS -- 1.8%
Airgas, Inc. 64,500 1,542,195
Arch Chemicals, Inc. 69,675 2,008,033
Georgia Gulf Corp. 12,675 454,525
MacDermid, Inc. 26,900 910,565
Symyx Technologies, Inc.* 36,400 877,968
----------------
5,793,286
----------------
COMMERCIAL SERVICES -- 7.7%
Aaron Rents, Inc. 93,550 3,100,247
Aaron Rents, Inc. Cl. A 4,950 149,638
Casella Waste Systems,
Inc. Cl. A* 98,400 1,293,960
Diversa Corp.* 96,300 975,519
Dollar Thrifty Automotive
Group, Inc.* 100,000 2,744,000
Exelixis, Inc.* 85,300 860,677
First Consulting
Group, Inc.* 104,825 578,634
FTI Consulting, Inc.* 45,400 749,100
G&K Services, Inc. Cl. A 42,100 1,691,999
Landauer, Inc. 21,400 955,724
Lexicon Genetics, Inc.* 121,600 953,344
McGrath Rentcorp 39,900 1,474,305
MPS Group, Inc.* 157,500 1,908,900
NCO Group, Inc.* 31,825 849,409
On Assignment, Inc.* 132,300 780,570
Rewards Network, Inc.* + 75,025 675,225
Ryder System, Inc.+ 13,900 556,973
Service
Corp. International* 125,525 925,119
Steiner Leisure Limited* 36,275 $ 798,050
United Rentals, Inc.* + 59,900 1,071,611
Washington Group
International, Inc.* 18,150 651,403
Waste Connections, Inc.* 36,300 1,076,658
----------------
24,821,065
----------------
COMMUNICATIONS -- 0.9%
Cable Design
Technologies Corp.* + 140,000 1,484,000
Nice Systems Limited* + 64,775 1,551,296
----------------
3,035,296
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.7%
Tier Technologies,
Inc. Cl. B* 69,800 679,852
Websense, Inc.* 42,600 1,585,998
----------------
2,265,850
----------------
COMPUTER PROGRAMMING SERVICES -- 0.4%
Ciber, Inc.* 90,800 746,376
Netegrity, Inc.* 70,300 594,738
----------------
1,341,114
----------------
COMPUTER RELATED SERVICES -- 1.6%
Acxiom Corp. 58,400 1,450,072
Carreker Corp.* 83,950 841,179
Checkpoint Systems, Inc.* 35,625 638,756
EarthLink, Inc.* 62,575 647,651
Electro Rent Corp. 81,600 854,352
Register.com, Inc.* 138,525 825,609
----------------
5,257,619
----------------
COMPUTERS & INFORMATION -- 0.2%
Maxtor Corp.* + 76,150 504,874
----------------
CONTAINERS -- 1.0%
Chesapeake Corp. 53,850 1,436,718
Owens-Illinois, Inc.* 99,800 1,672,648
----------------
3,109,366
----------------
DATA PROCESSING & PREPARATION -- 0.8%
The BISYS Group, Inc.* 73,700 1,036,222
eFunds Corp.* 40,625 710,937
S1 Corp.* 91,925 913,734
----------------
2,660,893
----------------
ELECTRIC UTILITIES -- 4.0%
Alliant Energy Corp. 22,100 576,368
Avista Corp. 62,900 1,158,618
Black Hills Corp. 41,900 1,319,850
Calpine Corp.* + 364,650 1,575,288
</Table>
The accompanying notes are an integral part of the financial statements.
147
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Cleco Corp. 46,350 $ 833,373
CMS Energy Corp.* + 266,950 2,437,253
El Paso Electric Co.* 109,275 1,687,206
Northeast Utilities 42,075 819,200
Otter Tail Corp. 27,400 735,964
Reliant Energy, Inc.* + 163,475 1,770,434
----------------
12,913,554
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 5.6%
Analogic Corp. 13,500 572,805
Arrow Electronics, Inc.* 35,900 962,838
ATMI, Inc.* + 39,400 1,076,014
C&D Technologies, Inc. 57,700 1,028,791
Distributed Energy
Systems Corp.* 67,000 182,240
EDO Corp. 36,300 875,556
Exar Corp.* 137,200 2,011,352
Franklin Electric Co., Inc. 63,500 2,397,760
Graftech International
Limited* 51,100 534,506
Integrated Silicon
Solution, Inc.* 51,825 632,783
IXYS Corp.* 81,875 645,175
Littelfuse, Inc.* 45,100 1,912,691
Magnetek, Inc.* 124,275 1,036,453
Methode Electronics, Inc. 88,675 1,150,115
Mykrolis Corp.* 90,700 1,579,994
Rayovac Corp.* 47,850 1,344,585
----------------
17,943,658
----------------
ENERGY -- 5.6%
Atwood Oceanics, Inc.* 23,100 964,425
Cabot Oil & Gas Corp. Cl. A 33,675 1,424,452
CARBO Ceramics, Inc. 23,800 1,624,350
Encore Acquisition Co.* 34,525 963,247
Forest Oil Corp.* + 59,400 1,622,808
Grey Wolf, Inc.* 151,875 643,950
Key Energy Services, Inc.* 137,050 1,293,752
Magnum Hunter
Resources, Inc.* 177,300 1,840,374
NUI Corp. 31,300 456,980
Penn Virginia Corp. 57,400 2,072,714
SEMCO Energy, Inc. 67,175 390,958
TETRA Technologies, Inc.* 65,100 1,747,935
Todco Cl. A* + 88,800 1,373,736
Vectren Corp. 36,200 908,258
W-H Energy Services, Inc.* 42,900 840,840
----------------
18,168,779
----------------
ENTERTAINMENT & LEISURE -- 0.9%
The Nautilus Group, Inc.+ 47,900 934,529
SCP Pool Corp. 44,050 1,982,250
----------------
2,916,779
----------------
FINANCIAL SERVICES -- 9.0%
Allied Capital Corp.+ 59,020 $ 1,441,268
American Capital
Strategies Limited+ 27,500 770,550
AmeriCredit Corp.* 22,300 435,519
BankAtlantic Bancorp,
Inc. Cl. A 90,900 1,677,105
Bedford Property Investors 45,100 1,318,724
Developers Diversified
Realty Corp. 21,800 771,066
East West Bancorp, Inc. 84,700 2,600,290
FelCor Lodging
Trust, Inc.* 243,600 2,947,560
Glenborough Realty
Trust, Inc. 34,600 634,910
HRPT Properties Trust 104,400 1,045,044
Innkeepers USA Trust 87,600 903,156
Instinet Group, Inc.* 159,200 840,576
Kilroy Realty Corp. 54,000 1,841,400
LaSalle Hotel Properties 53,900 1,315,160
LTC Properties, Inc. 70,900 1,176,940
Meristar Hospitality
Corp. REIT* 104,500 714,780
Mills Corp. REIT 15,550 726,185
Raymond James
Financial, Inc. 34,412 910,197
Stewart (W.P.) & Co.
Limited+ 45,425 930,758
Sun Communities, Inc. 41,300 1,554,945
SWS Group, Inc.+ 40,450 618,885
US Restaurants
Properties, Inc. 71,425 1,084,946
Waddell & Reed
Financial, Inc. Cl. A 79,750 1,763,272
Washington Real Estate
Investment Trust 39,900 1,172,262
----------------
29,195,498
----------------
FOODS -- 0.5%
Chiquita Brands
International, Inc.* 43,025 900,083
Wild Oats Markets, Inc.* 49,000 689,430
----------------
1,589,513
----------------
FOREST PRODUCTS & PAPER -- 2.8%
Buckeye
Technologies, Inc.* 93,950 1,080,425
Caraustar Industries, Inc.* 68,125 961,244
Deltic Timber Corp. 36,900 1,416,960
Packaging Corp.
of America 53,900 1,288,210
Playtex Products, Inc.* 161,125 1,259,997
School Specialty, Inc.* + 17,225 625,440
Wausau-Mosinee
Paper Corp. 148,300 2,565,590
----------------
9,197,866
----------------
HEALTHCARE -- 1.8%
Curative Health
Services, Inc.* 50,025 $ 433,217
Hooper Holmes, Inc. 243,075 1,395,251
Orthodontic Centers of
America, Inc.* + 142,300 1,165,437
Province Healthcare Co.* 101,150 1,734,723
Triad Hospitals, Inc.* 31,525 1,173,676
----------------
5,902,304
----------------
HEAVY MACHINERY -- 0.3%
Milacron, Inc.* 209,925 839,700
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.9%
Helen of Troy Limited* + 43,225 1,593,706
Stanley Furniture Co., Inc. 29,100 1,225,401
----------------
2,819,107
----------------
HOUSEHOLD PRODUCTS -- 0.2%
RPM, Inc. 53,800 817,760
----------------
INDUSTRIAL - DIVERSIFIED -- 1.3%
Ameron International Corp. 23,800 812,294
Nordson Corp. 49,900 2,164,163
Tredegar Corp. 67,750 1,092,808
----------------
4,069,265
----------------
INSURANCE -- 7.6%
American Financial
Group, Inc. 26,100 797,877
Brown & Brown, Inc.+ 45,100 1,943,810
Delphi Financial Group,
Inc. Cl. A 39,400 1,753,300
FPIC Insurance
Group, Inc.* + 25,325 625,274
Gallagher
(Arthur J.) & Co.+ 47,275 1,439,524
HCC Insurance
Holdings, Inc. 37,975 1,268,745
Infinity Property &
Casualty Corp. 38,825 1,281,225
Markel Corp.* 5,700 1,581,750
The Midland Co. 33,300 987,345
Ohio Casualty Corp.* 63,200 1,272,216
The Phoenix
Companies, Inc.+ 93,900 1,150,275
Platinum Underwriters
Holdings Limited 55,675 1,694,190
ProAssurance Corp.* + 72,800 2,483,208
Scottish Re
Group Limited+ 119,100 2,769,075
Triad Guaranty, Inc.* 57,925 3,371,235
----------------
24,419,049
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
148
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
MACHINERY & COMPONENTS -- 3.3%
Agco Corp.* + 68,825 $ 1,401,965
Flowserve Corp.* 35,125 876,018
IDEX Corp. 51,150 1,757,003
Insituform Technologies,
Inc. Cl. A* 80,000 1,301,600
Lone Star
Technologies, Inc.* 30,600 843,336
Thomas Industries, Inc. 50,000 1,660,000
Timken Co.+ 61,050 1,617,215
Woodward Governor Co. 14,700 1,060,017
----------------
10,517,154
----------------
MANUFACTURING -- 1.5%
AptarGroup, Inc. 42,500 1,856,825
Stewart & Stevenson
Services Corp. 115,000 2,060,800
Terex Corp.* 29,450 1,005,129
----------------
4,922,754
----------------
MEDICAL SUPPLIES -- 1.9%
Arrow International, Inc. 24,600 736,032
Coherent, Inc.* 49,425 1,475,336
FEI Co.* + 41,250 986,288
Oakley, Inc. 60,500 782,870
Owens & Minor, Inc. 84,000 2,175,600
----------------
6,156,126
----------------
METALS & MINING -- 3.2%
AK Steel Holding Corp.* 193,450 1,019,482
Carpenter Technology 35,800 1,218,990
Gibraltar Steel Corp. 51,900 1,703,358
Intermet Corp. 200,075 860,323
Matthews
International Corp.+ 78,000 2,569,320
Meridian Gold, Inc.* 58,600 760,042
NS Group, Inc.* 56,300 925,572
Reliance Steel &
Aluminum Co. 12,550 506,016
Wolverine Tube, Inc.* 62,175 677,708
----------------
10,240,811
----------------
PHARMACEUTICALS -- 1.6%
Andrx Corp.* 27,000 754,110
Bone Care
International, Inc.* 65,700 1,538,694
Molecular Devices Corp.* 16,375 291,148
Natures Sunshine
Products, Inc. 43,200 615,168
NBTY, Inc.* 39,925 1,173,396
VCA Antech, Inc.* 17,175 769,784
----------------
5,142,300
----------------
PREPACKAGED SOFTWARE -- 2.4%
Activision, Inc.* 96,925 $ 1,541,108
Dendrite
International, Inc.* 53,650 996,817
Packeteer, Inc.* + 102,400 1,653,760
Progress Software Corp.* 66,600 1,443,222
SPSS, Inc.* 58,450 1,050,347
THQ, Inc.* + 41,050 940,045
----------------
7,625,299
----------------
RESTAURANTS -- 1.6%
RARE Hospitality
International, Inc.* 80,300 1,999,470
Ruby Tuesday, Inc. 119,900 3,291,255
----------------
5,290,725
----------------
RETAIL -- 4.0%
Barnes & Noble, Inc.* 67,675 2,299,597
Casey's General Stores, Inc. 84,900 1,553,670
Electronics Boutique
Holdings Corp.* + 33,275 876,464
Fred's, Inc. 70,850 1,565,077
Hancock Fabrics, Inc. 57,600 734,400
Haverty Furniture
Companies, Inc. 96,600 1,688,568
Men's Wearhouse, Inc.* 31,200 823,368
Shopko Stores, Inc.* + 94,275 1,333,049
Stein Mart, Inc.* 135,100 2,196,726
----------------
13,070,919
----------------
TELEPHONE UTILITIES -- 0.2%
Yak Communications, Inc.* 63,750 570,563
----------------
TRANSPORTATION -- 5.3%
Celadon Group, Inc.* 55,550 977,680
CNF, Inc. 34,825 1,447,327
Genesee & Wyoming,
Inc. Cl. A* 33,800 801,060
Kirby Corp.* 46,300 1,801,070
Landstar System, Inc.* 86,300 4,562,681
Navigant
International, Inc.* + 84,495 1,503,166
Overnite Corp. 23,650 695,310
Pegasus Solutions, Inc.* 81,200 1,066,156
Skyline Corp. 24,000 975,600
UTI Worldwide, Inc. 34,800 1,833,612
Yellow Roadway Corp.* 39,450 1,572,477
----------------
17,236,139
----------------
TOTAL EQUITIES
(COST $261,646,222) 310,061,423
----------------
MUTUAL FUNDS -- 0.6%
FINANCIAL SERVICES
First Financial Fund+ 69,500 $ 1,233,625
Government Reserve
Investment Fund 42,558 42,558
iShares Russell 2000 Value
Index Fund+ 4,100 705,159
----------------
1,981,342
----------------
TOTAL MUTUAL FUNDS
(COST $1,628,257) 1,981,342
----------------
TOTAL LONG TERM INVESTMENTS
(COST $263,274,479) 312,042,765
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 17.3%
CASH EQUIVALENTS -- 13.7%**
American AAdvantage
Select Money
Market Fund $ 1,191,622 1,191,622
Bank of America
Bank Note
1.500% 07/21/2004 1,638,480 1,638,480
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 1,489,527 1,489,527
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 387,277 387,277
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 1,246,086 1,246,086
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 1,191,622 1,191,622
BGIF Prime Money
Market Fund 2,293,872 2,293,872
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 744,764 744,764
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 148,952 148,952
</Table>
The accompanying notes are an integral part of the financial statements.
149
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 $ 2,979,054 $ 2,979,054
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 2,383,243 2,383,243
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 1,191,622 1,191,622
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 1,085,865 1,085,865
Fannie Mae
Discount Note
0.960% 07/01/2004 893,716 893,716
Fannie Mae Discount Note
1.131% 07/14/2004 446,858 446,858
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 446,858 446,858
Federal Home Loan Bank
Discount Note
0.990% 07/01/2004 446,858 446,858
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 2,085,339 2,085,339
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 595,811 595,811
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 446,858 446,858
General Electric
Capital Corp.
1.201% 07/19/2004 744,764 744,764
General Electric
Capital Corp.
1.211% 07/21/2004 745,625 745,625
General Electric
Capital Corp.
1.211% 07/22/2004 445,357 445,357
General Electric
Capital Corp.
1.221% 07/23/2004 147,438 147,438
General Electric
Capital Corp.
1.231% 07/26/2004 743,135 743,135
Goldman Sachs Financial
Square Prime Obligations
Money Market Fund 744,764 $ 744,764
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 $ 893,716 893,716
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 446,858 446,858
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 2,383,243 2,383,243
Merrill Lynch Premier
Institutional Money
Market Fund 1,076,661 1,076,661
Merrimac Cash Fund,
Premium Class 4,766,487 4,766,487
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 1,549,109 1,549,109
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 446,858 446,858
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 1,489,527 1,489,527
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 1,489,527 1,489,527
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 744,764 744,764
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 446,858 446,858
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 744,764 744,764
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 893,714 893,714
----------------
44,277,453
----------------
REPURCHASE AGREEMENT -- 3.6%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) $ 11,769,494 $ 11,769,494
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 56,046,947
----------------
TOTAL INVESTMENTS -- 113.9%
(COST $319,321,426)*** 368,089,712
OTHER ASSETS/
(LIABILITIES) -- (13.9%) (44,999,231)
----------------
NET ASSETS -- 100.0% $ 323,090,481
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $11,769,722. Collaterized by U.S. Government Agency
obligation with a rate of 3.831%, maturity date of 02/01/2033, and an
aggregate market value, including accrued interest, of $12,357,968.
The accompanying notes are an integral part of the financial statements.
150
<Page>
MASSMUTUAL SMALL CAP EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 93.8%
AIR TRANSPORTATION -- 1.0%
SkyWest, Inc.+ 269,900 $ 4,698,959
----------------
BANKING, SAVINGS & LOANS -- 7.4%
First Republic Bank 212,500 9,154,500
Hanmi Financial Corp. 176,600 5,209,700
Pacific Capital Bancorp 343,421 9,660,433
Webster Financial Corp. 229,448 10,788,645
----------------
34,813,278
----------------
BROADCASTING, PUBLISHING & PRINTING -- 2 7%
Gray Television, Inc. 489,600 6,800,544
Lin TV Corp. Cl. A* 266,300 5,645,560
----------------
12,446,104
----------------
CHEMICALS -- 2.4%
MacDermid, Inc. 166,800 5,646,180
Spartech Corp. 220,900 5,730,146
----------------
11,376,326
----------------
COMMERCIAL SERVICES -- 5.7%
ADVO, Inc. 268,250 8,830,790
Arbitron, Inc.* 276,700 10,105,084
G&K Services, Inc. Cl. A 188,100 7,559,739
----------------
26,495,613
----------------
COMMUNICATIONS -- 0.6%
Inet Technologies, Inc.* 231,400 2,885,558
----------------
COMPUTER RELATED SERVICES -- 1.3%
eSpeed, Inc. Cl. A* 344,600 6,082,190
----------------
COSMETICS & PERSONAL CARE -- 0.9%
Revlon, Inc. Cl. A* 1,384,700 4,084,865
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 11 4%
Baldor Electric Co. 196,800 4,595,280
Cognex Corp.+ 313,800 12,075,024
Micrel, Inc.* 628,300 7,633,845
Mykrolis Corp.* 409,000 7,124,780
Technitrol, Inc.* 259,500 5,683,050
Teleflex, Inc. 327,300 16,414,095
----------------
53,526,074
----------------
ENERGY -- 8.3%
Headwaters, Inc.* 13,700 355,241
Rowan Companies, Inc.* 358,500 8,722,305
St. Mary Land &
Exploration Co. 227,900 8,124,635
Tidewater, Inc.+ 151,200 4,505,760
Unit Corp.* 328,800 10,340,760
W-H Energy Services, Inc.* 342,000 6,703,200
----------------
38,751,901
----------------
FINANCIAL SERVICES -- 8.9%
Chittenden Corp. 317,700 $ 11,167,155
Eaton Vance Corp. 307,000 11,730,470
Fidelity Bankshares, Inc. 202,900 7,192,805
Jefferies Group, Inc.+ 247,200 7,643,424
Piper Jaffray Cos.* 91,200 4,124,976
----------------
41,858,830
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 1.9%
Fossil, Inc.* 333,950 9,100,137
----------------
HOUSEHOLD PRODUCTS -- 1.2%
Trex Company, Inc.+ * 144,700 5,462,425
----------------
INDUSTRIAL - DIVERSIFIED -- 2.8%
Carlisle Companies, Inc. 211,900 13,190,775
----------------
INSURANCE -- 6.0%
The Commerce Group, Inc. 170,900 8,437,333
HCC Insurance
Holdings, Inc. 233,500 7,801,235
IPC Holdings Limited 185,500 6,850,515
Philadelphia Consolidated
Holding Corp.* 82,300 4,943,761
----------------
28,032,844
----------------
MACHINERY & COMPONENTS -- 14.6%
Actuant Corp. Cl. A* 128,200 4,998,518
Global Power Equipment
Group, Inc.* 873,900 7,008,678
Hardinge, Inc. 429,150 5,158,383
Helix Technology Corp. 501,000 10,686,330
IDEX Corp. 268,250 9,214,388
Kaydon Corp. 343,000 10,608,990
Regal-Beloit Corp. 207,000 4,607,820
Roper Industries, Inc. 288,800 16,432,720
----------------
68,715,827
----------------
MEDICAL SUPPLIES -- 6.0%
Coherent, Inc.* 460,100 13,733,985
Dionex Corp.* 180,100 9,936,117
Mine Safety Appliances Co. 135,600 4,569,720
----------------
28,239,822
----------------
PHARMACEUTICALS -- 1.9%
Taro Pharmaceutical
Industries Limited+ * 82,200 3,575,700
Valeant Pharmaceuticals
International 271,900 5,438,000
----------------
9,013,700
----------------
PREPACKAGED SOFTWARE -- 1.1%
Dendrite
International, Inc.* 284,910 $ 5,293,628
----------------
RESTAURANTS -- 1.0%
RARE Hospitality
International, Inc.* 190,331 4,739,242
----------------
RETAIL -- 1.4%
Cabela's, Inc. Cl. A* 4,600 123,970
Coldwater Creek, Inc.* 251,800 6,665,146
----------------
6,789,116
----------------
TRANSPORTATION -- 5.3%
Heartland Express, Inc. 358,890 9,819,230
Landstar System, Inc.* 158,900 8,401,043
Robinson (C.H.)
Worldwide, Inc. 141,800 6,500,112
----------------
24,720,385
----------------
TOTAL EQUITIES
(COST $361,134,822) 440,317,599
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 9.7%
CASH EQUIVALENTS -- 3.6%**
American
AAdvantage Select
Money Market Fund 456,381 456,381
Bank of America
Bank Note
1.500% 07/21/2004 $ 627,524 627,524
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 570,476 570,476
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 148,324 148,324
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 477,240 477,240
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 456,381 456,381
BGIF Prime Money
Market Fund 878,534 878,534
</Table>
The accompanying notes are an integral part of the financial statements.
151
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 $ 285,238 $ 285,238
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 57,048 57,048
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 1,140,953 1,140,953
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 912,762 912,762
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 456,381 456,381
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 415,878 415,878
Fannie Mae
Discount Note
0.960% 07/01/2004 342,286 342,286
Fannie Mae Discount Note
1.131% 07/14/2004 171,143 171,143
Federal Home Loan Bank
Discount Note
0.970% 07/02/2004 171,143 171,143
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 171,143 171,143
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 798,667 798,667
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 228,191 228,191
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 171,143 171,143
General Electric
Capital Corp.
1.201% 07/19/2004 285,238 285,238
General Electric
Capital Corp.
1.211% 07/21/2004 285,568 285,568
General Electric
Capital Corp.
1.211% 07/22/2004 $ 170,568 $ 170,568
General Electric
Capital Corp.
1.221% 07/23/2004 56,468 56,468
General Electric
Capital Corp.
1.231% 07/26/2004 284,614 284,614
Goldman Sachs
Financial Square
Prime Obligations
Money Market Fund 285,238 285,238
HBOS Halifax Bank
of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 342,286 342,286
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 171,143 171,143
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 912,762 912,762
Merrill Lynch Premier
Institutional Money
Market Fund 412,352 412,352
Merrimac Cash Fund,
Premium Class 1,825,525 1,825,525
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 593,295 593,295
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 171,143 171,143
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 570,476 570,476
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 570,476 570,476
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 285,238 285,238
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 $ 171,143 $ 171,143
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 285,238 285,238
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 342,286 342,286
----------------
16,957,893
----------------
REPURCHASE AGREEMENT -- 6.1%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 28,395,076 28,395,076
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 45,352,969
----------------
TOTAL INVESTMENTS -- 103.5%
(COST $406,487,791)*** 485,670,568
OTHER ASSETS/
(LIABILITIES) -- (3.5%) (16,509,434)
----------------
NET ASSETS -- 100.0% $ 469,161,134
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $28,395,629. Collaterized by U.S. Government Agency
obligations with rates of 4.000% - 4.625%, maturity dates of 08/25/2014 -
06/01/2019, and an aggregate market value, including accrued interest, of
$29,814,830.
The accompanying notes are an integral part of the financial statements.
152
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 98.3%
APPAREL, TEXTILES & SHOES -- 2.5%
Chico's FAS, Inc.* + 41,700 $ 1,883,172
Coach, Inc.* 37,100 1,676,549
----------------
3,559,721
----------------
AUTOMOTIVE & PARTS -- 2.1%
Autoliv, Inc. 43,500 1,835,700
Paccar, Inc.+ 20,000 1,159,800
----------------
2,995,500
----------------
BANKING, SAVINGS & LOANS -- 1.5%
Hudson City Bancorp, Inc. 62,500 2,090,000
----------------
BEVERAGES -- 1.5%
Constellation Brands, Inc.* 57,000 2,116,410
----------------
CHEMICALS -- 1.5%
Church & Dwight, Inc. 46,800 2,142,504
----------------
COMMERCIAL SERVICES -- 1.4%
PerkinElmer, Inc. 99,000 1,983,960
----------------
COMMUNICATIONS -- 4.8%
Avaya, Inc.* 89,400 1,411,626
L-3 Communications
Holdings, Inc. 23,800 1,589,840
Research In Motion
Limited* 34,700 2,374,868
XM Satellite Radio
Holdings, Inc. Cl. A* + 51,300 1,399,977
----------------
6,776,311
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 1.8%
Autodesk, Inc. 60,900 2,607,129
----------------
COMPUTER PROGRAMMING SERVICES -- 1.3%
Cognizant Technology
Solutions Corp.* 71,200 1,809,192
----------------
COMPUTERS & INFORMATION -- 4.8%
International Game
Technology 87,200 3,365,920
Zebra Technologies
Corp. Cl. A* 40,300 3,506,100
----------------
6,872,020
----------------
COSMETICS & PERSONAL CARE -- 1.0%
Alberto-Culver Co. 27,900 1,398,906
----------------
ELECTRIC UTILITIES -- 1.3%
Great Plains Energy, Inc.+ 61,100 1,814,670
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 8.7%
Arrow Electronics, Inc.* 53,600 $ 1,437,552
ATI Technologies, Inc.* 133,000 2,508,380
Energizer Holdings, Inc.* 52,900 2,380,500
Marvell Technology
Group Limited* + 114,800 3,065,160
Rockwell Automation, Inc. 78,600 2,948,286
----------------
12,339,878
----------------
ENERGY -- 8.9%
Canadian Natural
Resources Limited 90,200 2,696,980
Chesapeake Energy Corp.+ 120,100 1,767,872
Kerr-McGee Corp. 41,748 2,244,790
Sunoco, Inc. 43,000 2,735,660
XTO Energy, Inc. 105,000 3,127,950
----------------
12,573,252
----------------
ENTERTAINMENT & LEISURE -- 1.1%
GTECH Holdings Corp. 35,000 1,620,850
----------------
FOODS -- 3.9%
Hershey Foods Corp. 30,600 1,415,862
The J.M. Smucker Co. 43,400 1,992,494
McCormick & Co., Inc. 60,200 2,046,800
----------------
5,455,156
----------------
HEALTHCARE -- 4.9%
Coventry Health Care, Inc.* 38,700 1,892,430
DaVita, Inc.* 60,600 1,868,298
Idexx Laboratories, Inc.* + 20,900 1,315,446
Renal Care Group, Inc.* 58,500 1,938,105
----------------
7,014,279
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 1.4%
Hillenbrand Industries, Inc. 31,800 1,922,310
----------------
INDUSTRIAL - DIVERSIFIED -- 1.5%
ITT Industries, Inc. 26,100 2,166,300
----------------
INSURANCE -- 3.0%
Aetna, Inc. 30,900 2,626,500
Reinsurance Group of
America, Inc. 40,700 1,654,455
----------------
4,280,955
----------------
LODGING -- 4.0%
Mandalay Resort Group 34,300 2,354,352
Starwood Hotels & Resorts
Worldwide, Inc. 34,000 1,524,900
Station Casinos, Inc. 37,200 1,800,480
----------------
5,679,732
----------------
MACHINERY & COMPONENTS -- 2.6%
Graco, Inc. 70,700 $ 2,195,235
Smith International, Inc.* + 27,600 1,538,976
----------------
3,734,211
----------------
MANUFACTURING -- 1.6%
Pentair, Inc. 68,500 2,304,340
----------------
MEDICAL SUPPLIES -- 8.0%
Bard (C.R.), Inc. 25,700 1,455,905
Biomet, Inc. 69,500 3,088,580
Fisher
Scientific International* + 33,000 1,905,750
St. Jude Medical, Inc.* 35,300 2,670,445
Varian Medical
Systems, Inc.* 28,100 2,229,735
----------------
11,350,415
----------------
METALS & MINING -- 1.7%
Cameco Corp.+ 40,500 2,373,705
----------------
PHARMACEUTICALS -- 3.1%
Eon Labs, Inc.* 53,000 2,169,290
Invitrogen Corp.* + 30,000 2,159,700
----------------
4,328,990
----------------
PREPACKAGED SOFTWARE -- 7.5%
Adobe Systems, Inc. 69,400 3,227,100
Electronic Arts, Inc.* 52,000 2,836,600
Red Hat, Inc.* + 47,700 1,095,669
Symantec Corp.* 25,900 1,133,902
Veritas Software Corp.* 83,500 2,312,950
----------------
10,606,221
----------------
RETAIL -- 4.2%
Borders Group, Inc. 53,200 1,247,008
Foot Locker, Inc. 75,900 1,847,406
Marvel Enterprises, Inc.* + 143,450 2,800,144
----------------
5,894,558
----------------
RETAIL - GROCERY -- 1.0%
Whole Foods Market, Inc. 15,200 1,450,840
----------------
TELEPHONE UTILITIES -- 4.5%
Nextel Partners, Inc. Cl. A* 183,000 2,913,360
NII Holdings, Inc. Cl. B* + 48,000 1,617,120
US Cellular Corp.* 47,000 1,811,850
----------------
6,342,330
----------------
TRANSPORTATION -- 1.2%
Teekay Shipping Corp.+ 47,000 1,756,860
----------------
TOTAL EQUITIES
(COST $118,212,364) 139,361,505
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
153
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
SHORT-TERM INVESTMENTS -- 19.2%
CASH EQUIVALENTS -- 16.9%**
American AAdvantage
Select Money
Market Fund 644,292 $ 644,292
Bank of America
Bank Note
1.500% 07/21/2004 $ 885,902 885,902
Bank of America
Eurodollar Time Deposit
1.080% 07/19/2004 805,365 805,365
Bank of America
Eurodollar Time Deposit
1.100% 07/07/2004 209,394 209,394
Bank of Montreal
Eurodollar Time Deposit
1.200% 07/23/2004 673,740 673,740
Bank of the West
Eurodollar Time Deposit
1.280% 07/28/2004 644,292 644,292
BGIF Prime Money
Market Fund 1,240,263 1,240,263
BNP Paribas
Eurodollar Time Deposit
1.080% 07/29/2004 402,683 402,683
Branch Banker & Trust
Eurodollar Time Deposit
1.080% 07/14/2004 80,537 80,537
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 1,610,732 1,610,732
Caylon
Eurodollar Time Deposit
1.040% 07/06/2004 1,288,586 1,288,586
Caylon
Eurodollar Time Deposit
1.170% 08/04/2004 644,293 644,293
Caylon
Eurodollar Time Deposit
1.340% 08/24/2004 587,112 587,112
Fannie Mae Discount Note
0.960% 07/01/2004 483,220 483,220
Fannie Mae Discount Note
1.131% 07/14/2004 241,610 241,610
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 241,610 241,610
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 241,610 241,610
Fortis Bank
Eurodollar Time Deposit
1.090% 07/08/2004 1,127,512 1,127,512
Fortis Bank
Eurodollar Time Deposit
1.190% 07/14/2004 $ 322,146 $ 322,146
Fortis Bank
Eurodollar Time Deposit
1.290% 09/03/2004 241,610 241,610
General Electric
Capital Corp.
1.201% 07/19/2004 402,683 402,683
General Electric
Capital Corp.
1.211% 07/21/2004 403,149 403,149
General Electric
Capital Corp.
1.211% 07/22/2004 240,798 240,798
General Electric
Capital Corp.
1.221% 07/23/2004 79,718 79,718
General Electric
Capital Corp.
1.231% 07/26/2004 401,802 401,802
Goldman Sachs Financial
Square Prime
Obligations Money
Market Fund 402,683 402,683
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.050% 07/14/2004 483,220 483,220
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.300% 09/03/2004 241,610 241,610
Keybank
Eurodollar Time Deposit
1.250% 07/01/2004 1,288,586 1,288,586
Merrill Lynch Premier
Institutional Money
Market Fund 582,135 582,135
Merrimac Cash Fund,
Premium Class 2,577,171 2,577,171
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 837,581 837,581
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 07/08/2004 241,610 241,610
Royal Bank of Canada
Eurodollar Time Deposit
1.100% 07/02/2004 805,366 805,366
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/07/2004 805,366 805,366
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/15/2004 $ 402,683 $ 402,683
Royal Bank of Scotland
Eurodollar Time Deposit
1.150% 08/10/2004 241,610 241,610
Wells Fargo
Eurodollar Time Deposit
1.190% 07/14/2004 402,683 402,683
Wells Fargo
Eurodollar Time Deposit
1.250% 07/23/2004 483,220 483,220
----------------
23,940,183
----------------
REPURCHASE AGREEMENT -- 2.3%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 3,360,841 3,360,841
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 27,301,024
----------------
TOTAL INVESTMENTS -- 117.5%
(COST $145,513,388)*** 166,662,529
OTHER ASSETS/
(LIABILITIES) -- (17.5%) (24,862,917)
----------------
NET ASSETS -- 100.0% $ 141,799,612
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $3,360,906. Collateralized by U.S. Government Agency
obligation with a rate of 4.685%, maturity date of 02/01/2032, and an
aggregate market value, including accrued interest, of $3,528,883.
The accompanying notes are an integral part of the financial statements.
154
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY II FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 95.8%
ADVERTISING -- 1.5%
Catalina
Marketing Corp.* + 171,000 $ 3,127,590
Getty Images, Inc.* 19,400 1,164,000
Harte-Hanks, Inc. 4,100 100,081
Lamar Advertising Co.* + 35,400 1,534,590
Monster
Worldwide, Inc.* + 141,900 3,649,668
Omnicom Group, Inc.+ 1,900 144,191
WPP Group
PLC Sponsored
ADR (United Kingdom) 7,500 384,225
----------------
10,104,345
----------------
AEROSPACE & DEFENSE -- 2.2%
Alliant
Techsystems, Inc.* + 108,000 6,840,720
Embraer - Empresa
Brasileira de
Aeronautica SA
Sponsored
ADR (Brazil) 5,300 151,527
Rockwell Collins, Inc. 229,900 7,660,268
----------------
14,652,515
----------------
AGRIBUSINESS -- 0.0%
Delta & Pine Land Co. 3,900 85,605
AIR TRANSPORTATION -- 0.6%
JetBlue Airways Corp.* + 119,000 3,496,220
SkyWest, Inc.+ 5,900 102,719
Southwest Airlines Co. 5,600 93,912
----------------
3,692,851
----------------
APPAREL, TEXTILES & SHOES -- 0.7%
Coach, Inc.* 3,500 158,165
Ross Stores, Inc. 171,700 4,594,692
----------------
4,752,857
----------------
AUTOMOTIVE & PARTS -- 0.8%
Harley-Davidson, Inc. 1,700 105,298
Oshkosh Truck Corp. 86,000 4,928,660
Winnebago
Industries, Inc. 3,800 141,664
----------------
5,175,622
----------------
BANKING, SAVINGS & LOANS -- 0.8%
City National Corp. 1,500 98,550
First Horizon
National Corp. 2,200 100,034
Investors Financial
Services Corp. 64,500 2,810,910
Mellon Financial Corp. 13,700 $ 401,821
North Fork
Bancorporation, Inc.+ 4,000 152,200
Northern Trust Corp. 11,700 494,676
Silicon
Valley Bancshares* 35,800 1,419,470
Synovus Financial Corp. 6,000 151,920
UCBH Holdings, Inc. 2,600 102,752
----------------
5,732,333
----------------
BEVERAGES -- 0.8%
Cott Corp.* 164,400 5,326,560
----------------
BROADCASTING, PUBLISHING & PRINTING -- 2 8%
Cablevision
Systems Corp. Cl. A* 133,000 2,613,450
Citadel
Broadcasting Corp.* + 347,400 5,061,618
Cox Radio, Inc. Cl. A* 145,700 2,532,266
Cumulus
Media, Inc. Cl. A* 6,200 104,222
Dow Jones & Co., Inc. 3,200 144,320
Entercom
Communications Corp.* 53,100 1,980,630
InterActive Corp.* + 48,000 1,446,720
The McGraw-Hill
Companies, Inc. 2,000 153,140
Meredith Corp. 5,700 313,272
New York Times
Co. Cl. A 6,200 277,202
Radio One, Inc. Cl. D* 9,400 150,494
Regent
Communications, Inc.* 17,200 106,468
Salem Communications
Corp. Cl. A* 4,900 132,937
Scholastic Corp.* 99,000 2,965,050
The Scripps (E.W.) Co. 2,600 273,000
Spanish Broadcasting
System, Inc. Cl. A* 10,200 94,962
Univision
Communications,
Inc. Cl. A* 9,200 293,756
Washington Post
Co. Cl. B 200 186,002
Westwood One, Inc.* 6,900 164,220
----------------
18,993,729
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.8%
Kinetic Concepts, Inc.* 109,000 5,439,100
----------------
CHEMICALS -- 1.1%
Engelhard Corp. 3,100 $ 100,161
Potash Corp.
of Saskatchewan+ 69,000 6,686,100
Praxair, Inc. 3,900 155,649
Symyx
Technologies, Inc.* 3,900 94,068
The Valspar Corp. 2,900 146,276
----------------
7,182,254
----------------
COMMERCIAL SERVICES -- 8.2%
Apollo Group,
Inc. Cl. A* + 36,200 3,196,098
ARAMARK Corp. Cl. B 5,000 143,800
BearingPoint, Inc.* 254,000 2,252,980
Block (H&R), Inc. 2,000 95,360
Career Education Corp.* 3,300 150,348
Certegy, Inc. 194,300 7,538,840
Cintas Corp. 7,600 362,292
Corinthian
Colleges, Inc.* 3,600 89,064
The Corporate Executive
Board Co.+ 3,500 202,265
Decode
Genetics, Inc.* + 11,500 97,750
DeVry, Inc.* 3,500 95,970
Diversa Corp.* 10,500 106,365
Dun & Bradstreet Corp.* 3,500 188,685
Ecolab, Inc.+ 4,700 148,990
Education
Management Corp.* 133,600 4,390,096
Equifax, Inc. 4,800 118,800
Global Payments, Inc.+ 54,800 2,467,096
Hewitt Associates,
Inc. Cl. A* 163,400 4,493,500
Iron Mountain, Inc.* 126,100 6,085,586
ITT Educational
Services, Inc.* 3,700 140,674
Manpower, Inc. 150,000 7,615,500
Moody's Corp. 7,600 491,416
Neurocrine
Biosciences, Inc.* 46,900 2,431,765
Paychex, Inc. 4,100 138,908
QIAGEN NV* 8,800 106,568
Quest Diagnostics, Inc. 2,800 237,860
Robert Half
International, Inc. 198,700 5,915,299
Stericycle, Inc.* 1,900 98,306
Universal Technical
Institute, Inc.* 2,100 83,958
University of
Phoenix Online* 4,500 394,155
</Table>
The accompanying notes are an integral part of the financial statements.
155
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Viad Corp. 212,800 $ 5,747,728
Watson Wyatt & Co.
Holdings 3,500 93,275
----------------
55,719,297
----------------
COMMUNICATIONS -- 4.4%
American Tower
Corp. Cl. A* + 9,800 148,960
Crown Castle
International Corp.* 316,500 4,668,375
Harris Corp.+ 144,000 7,308,000
Juniper Networks, Inc.* 130,400 3,203,928
Network
Appliance, Inc.* + 7,500 161,475
Nextel Communications,
Inc. Cl. A* 89,000 2,372,740
Plantronics, Inc.* 2,500 105,250
Research In Motion
Limited* + 75,100 5,139,844
Rogers Communications,
Inc. Cl. B+ 185,000 3,354,050
XM Satellite Radio
Holdings, Inc. Cl. A* + 134,000 3,656,860
----------------
30,119,482
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 1.0%
Cadence Design
Systems, Inc.* + 276,200 4,040,806
F5 Networks, Inc.* 6,300 166,824
FileNET Corp.* 3,000 94,710
Jack Henry &
Associates, Inc.+ 109,700 2,204,970
Mercury Computer
Systems, Inc.* 4,300 106,640
National
Instruments Corp.+ 3,500 107,275
Synopsys, Inc.* 6,600 187,638
Websense, Inc.* 3,000 111,690
----------------
7,020,553
----------------
COMPUTER PROGRAMMING SERVICES -- 2.7%
CACI International,
Inc. Cl. A* 50,000 2,022,000
Ceridian Corp.* + 257,000 5,782,500
Cognizant Technology
Solutions Corp.* + 12,200 310,002
Mercury
Interactive Corp.* + 75,900 3,782,097
VeriSign, Inc.* 330,400 6,574,960
----------------
18,471,559
----------------
COMPUTER RELATED SERVICES -- 0.4%
Checkfree Corp.* + 63,000 1,890,000
CNET Networks, Inc.* + 77,000 852,390
----------------
2,742,390
----------------
COMPUTERS & INFORMATION -- 2.9%
CDW Corp. 73,500 $ 4,686,360
Cognos, Inc.* 35,300 1,276,448
Comverse
Technology, Inc.* 101,000 2,013,940
Diebold, Inc. 93,100 4,922,197
Emulex Corp.* 6,200 88,722
International
Game Technology 9,500 366,700
Jabil Circuit, Inc.* 110,800 2,789,944
Lexmark
International, Inc.* 37,200 3,590,916
Symbol
Technologies, Inc. 6,600 97,284
Zebra Technologies
Corp. Cl. A* 1,900 165,300
----------------
19,997,811
----------------
CONTAINERS -- 0.0%
Sealed Air Corp.* 3,600 191,772
----------------
COSMETICS & PERSONAL CARE -- 0.0%
Estee Lauder Companies,
Inc. Cl. A 2,200 107,316
----------------
DATA PROCESSING & PREPARATION -- 0.9%
Affiliated Computer
Services, Inc. Cl. A* 2,800 148,232
Factset Research
Systems, Inc.+ 3,000 141,810
Fiserv, Inc.* 116,000 4,511,240
IMS Health, Inc. 10,900 255,496
Kronos, Inc.* 2,300 94,760
SEI Investments Co. 3,600 104,544
WebMD Corp.* 53,000 493,960
----------------
5,750,042
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 5.7%
Agere Systems,
Inc. Cl. A* 299,000 687,700
Agere Systems,
Inc. Cl. B* 531,100 1,141,865
Altera Corp.* 21,300 473,286
AMIS Holdings, Inc.* 158,200 2,676,744
Analog Devices, Inc. 2,300 108,284
ASML Holding NV* 6,200 106,082
Broadcom Corp. Cl. A* 7,800 364,806
Cymer, Inc.* 3,000 112,320
FLIR Systems, Inc.* + 70,800 3,886,920
Garmin Limited+ 89,000 3,296,560
Gentex Corp. 3,300 130,944
Integrated Circuit
Systems, Inc.* 124,200 3,373,272
Intersil Corp. Cl. A 219,700 4,758,702
JDS Uniphase Corp.* 76,300 289,177
Kla-Tencor Corp.* + 3,200 158,016
Linear Technology Corp. 10,400 $ 410,488
Littelfuse, Inc.* 2,300 97,543
Marvell Technology
Group Limited* + 4,200 112,140
Maxim Integrated
Products, Inc. 5,500 288,310
Microchip
Technology, Inc. 181,700 5,730,818
Microsemi Corp.* 7,800 110,838
Molex, Inc. Cl. A 5,100 139,128
National
Semiconductor Corp.* + 11,900 261,681
Novellus Systems, Inc.* 103,800 3,263,472
Power Integrations, Inc.* 4,000 99,600
Qlogic Corp.* 107,800 2,866,402
Semtech Corp.* 131,700 3,100,218
Silicon
Laboratories, Inc.* + 1,900 88,065
Xilinx, Inc. 11,900 396,389
----------------
38,529,770
----------------
ENERGY -- 5.6%
Apache Corp. 4,300 187,265
BJ Services Co.* 208,400 9,553,056
Devon Energy Corp. 3,600 237,600
Diamond Offshore
Drilling, Inc.+ 196,800 4,689,744
EOG Resources, Inc. 107,000 6,388,970
Murphy Oil Corp. 96,000 7,075,200
Weatherford
International Limited* 3,200 143,936
Western Gas
Resources, Inc. 138,000 4,482,240
XTO Energy, Inc. 187,500 5,585,625
----------------
38,343,636
----------------
ENTERTAINMENT & LEISURE -- 1.1%
Alliance Gaming Corp.* 6,300 108,108
Brunswick Corp. 171,500 6,997,200
Multimedia
Games, Inc.* + 3,600 96,552
Shuffle Master, Inc.* + 5,700 206,967
----------------
7,408,827
----------------
FINANCIAL SERVICES -- 3.6%
AG Edwards, Inc. 2,700 91,881
Ameritrade
Holding Corp.* 282,300 3,204,105
AMVESCAP
PLC Sponsored
ADR (United Kingdom)+ 7,000 97,300
Boston Private Financial
Holdings, Inc. 4,300 99,588
CapitalSource, Inc.* + 167,000 4,083,150
East West Bancorp, Inc. 3,200 98,240
</Table>
The accompanying notes are an integral part of the financial statements.
156
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Eaton Vance Corp. 115,500 $ 4,413,255
Federated Investors,
Inc. Cl. B 72,700 2,205,718
Franklin Resources, Inc. 9,900 495,792
Janus Capital Group, Inc. 6,100 100,589
LaBranche & Co., Inc.+ 10,800 90,936
Legg Mason, Inc.+ 46,400 4,222,864
Raymond James
Financial, Inc. 3,400 89,930
The Schwab
(Charles) Corp. 25,800 247,938
Waddell & Reed
Financial, Inc. Cl. A 236,200 5,222,382
----------------
24,763,668
----------------
FOODS -- 0.1%
Hershey Foods Corp. 5,200 240,604
McCormick & Co., Inc. 3,000 102,000
Starbucks Corp.* 3,100 134,788
Tootsie Roll
Industries, Inc. 2,700 87,750
Wrigley (Wm.) Jr. Co. 2,400 151,320
----------------
716,462
----------------
HEALTHCARE -- 4.3%
Caremark Rx, Inc.* 10,400 342,576
Community Health
Systems, Inc.* 72,000 1,927,440
Coventry
Health Care, Inc.* 60,600 2,963,340
DaVita, Inc.* 82,450 2,541,933
Express Scripts, Inc.* 4,800 380,304
Health Management
Associates, Inc. Cl. A+ 261,400 5,860,588
Human Genome
Sciences, Inc.* 126,800 1,474,684
Laboratory Corp. of
America Holdings* + 152,800 6,066,160
Lincare Holdings, Inc.* + 5,000 164,300
Manor Care, Inc. 210,100 6,866,068
Patterson Dental Co.* 1,900 145,331
Renal Care Group, Inc.* 4,550 150,742
Wellpoint Health
Networks, Inc.* 1,700 190,417
----------------
29,073,883
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.2%
Centex Corp. 4,900 224,175
HNI Corp. 3,500 148,155
KB Home+ 1,500 102,945
Lennar Corp.+ 6,600 295,152
Pulte Homes, Inc. 2,800 145,684
Toll Brothers, Inc.* + 5,400 228,528
----------------
1,144,639
----------------
HOUSEHOLD PRODUCTS -- 0.1%
The Clorox Co. 1,900 $ 102,182
Corning, Inc.* 31,500 411,390
Jarden Corp.* 2,800 100,772
Trex Company, Inc.* + 2,300 86,825
----------------
701,169
----------------
INDUSTRIAL - DIVERSIFIED -- 1.7%
Danaher Corp. 104,100 5,397,585
ITT Industries, Inc. 75,000 6,225,000
----------------
11,622,585
----------------
INFORMATION RETRIEVAL SERVICES -- 1.5%
ChoicePoint, Inc.* 223,500 10,205,010
Sina Corp.* + 5,400 178,146
----------------
10,383,156
----------------
INSURANCE -- 3.8%
Ambac Financial
Group, Inc. 2,600 190,944
Anthem, Inc.* + 7,700 689,612
Arch Capital Group
Limited* 2,500 99,700
Assurant, Inc. 106,000 2,796,280
Axis Capital Holdings
Limited 86,000 2,408,000
Brown & Brown, Inc.+ 3,400 146,540
Gallagher
(Arthur J.) & Co. 4,500 137,025
Genworth Financial,
Inc. Cl. A* + 112,000 2,570,400
Markel Corp.* 400 111,000
MBIA, Inc. 1,800 102,816
MGIC Investment Corp.+ 2,300 174,478
Principal Financial
Group, Inc. 117,000 4,069,260
Protective Life Corp. 86,000 3,325,620
Radian Group, Inc. 73,100 3,501,490
RenaissanceRe Holdings
Limited 2,900 156,455
Triad Guaranty, Inc.* 1,800 104,760
WellChoice, Inc.* 8,100 335,340
Willis Group Holdings
Limited 135,500 5,074,475
----------------
25,994,195
----------------
INTERNET SOFTWARE -- 0.0%
MatrixOne, Inc.* 13,900 96,049
----------------
LODGING -- 0.9%
Fairmont Hotels &
Resorts, Inc. 193,000 5,201,350
Hilton Hotels Corp. 5,500 102,630
Marriott International,
Inc. Cl. A 8,400 418,992
Station Casinos, Inc. 7,000 338,800
Wynn Resorts Limited* + 2,700 $ 104,301
----------------
6,166,073
----------------
MACHINERY & COMPONENTS -- 3.8%
Baker Hughes, Inc.+ 9,400 353,910
Cooper Cameron Corp.* 100,400 4,889,480
Dover Corp. 2,300 96,830
FMC Technologies, Inc.* 148,000 4,262,400
IDEX Corp. 3,250 111,638
Kaydon Corp. 3,200 98,976
Pall Corp.+ 4,100 107,379
Roper Industries, Inc. 124,800 7,101,120
Smith
International, Inc.* + 154,800 8,631,648
----------------
25,653,381
----------------
MANUFACTURING -- 0.8%
American Standard
Companies, Inc.* 129,000 5,199,990
Avery Dennison Corp. 1,700 108,817
Lam Research Corp.* 6,200 166,160
Millipore Corp.* 2,800 157,836
----------------
5,632,803
----------------
MEDICAL SUPPLIES -- 1.6%
Allergan, Inc. 2,200 196,944
Applied Biosystems
Group-Applera Corp. 6,400 139,200
ArthoCare Corp.* 3,800 110,504
Bard (C.R.), Inc. 2,600 147,290
Bausch & Lomb, Inc. 1,700 110,619
Beckman Coulter, Inc. 2,500 152,500
Becton, Dickinson & Co. 2,400 124,320
Biomet, Inc. 7,800 346,632
Cooper Cos., Inc.+ 1,900 120,023
Cuno, Inc.* 1,900 101,365
Dentsply
International, Inc. 4,400 229,240
Edwards
Lifesciences Corp.* 95,100 3,314,235
Integra LifeSciences
Holdings Corp.* 3,400 119,918
Mettler-Toledo
International, Inc.* 1,900 93,366
Resmed, Inc.* 1,800 91,728
Respironics, Inc.* + 1,800 105,750
Smith & Nephew PLC
ADR (United Kingdom) 2,800 154,756
St. Jude Medical, Inc.* 2,000 151,300
Stryker Corp. 3,500 192,500
Sybron Dental
Specialties, Inc.* 3,800 113,430
Techne Corp.* 3,500 152,075
Varian Medical
Systems, Inc.* 3,400 269,790
</Table>
The accompanying notes are an integral part of the financial statements.
157
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Waters Corp.* 78,400 $ 3,745,952
Wright Medical
Group, Inc.* 2,700 96,120
Zimmer Holdings, Inc.* 3,000 264,600
----------------
10,644,157
----------------
METALS & MINING -- 1.9%
International Steel
Group, Inc.* 77,000 2,290,750
Newmont Mining Corp. 104,000 4,031,040
Nucor Corp.+ 86,000 6,601,360
----------------
12,923,150
----------------
PHARMACEUTICALS -- 11.3%
Abgenix, Inc.* 115,200 1,350,144
Alkermes, Inc.* + 112,000 1,523,200
AmerisourceBergen Corp. 92,700 5,541,606
Amylin
Pharmaceuticals, Inc.* 78,600 1,792,080
Andrx Corp.* 125,000 3,491,250
Atherogenics, Inc.* 4,900 93,247
Barr Pharmaceuticals* 69,000 2,325,300
Biogen Idec, Inc.* 2,600 164,450
Celgene Corp.* 36,500 2,089,990
Cephalon, Inc.* + 80,700 4,357,800
Charles River
Laboratories
International, Inc.* 2,300 112,401
Chiron Corp.* + 2,400 107,136
Genzyme Corp.* + 3,400 160,922
Gilead Sciences, Inc.* 89,400 5,989,800
Henry Schein, Inc.* 3,000 189,420
ICOS Corp.* + 51,000 1,521,840
ImClone Systems, Inc.* + 52,000 4,461,080
Invitrogen Corp.* 50,400 3,628,296
IVAX Corp.* 227,000 5,445,730
Martek
Biosciences Corp.* 1,600 89,872
McKesson Corp. 2,900 99,557
Medco Health
Solutions, Inc.* 9,400 352,500
The Medicines Co.* 3,700 112,887
Medicis Pharmaceutical
Corp. Cl. A+ 2,300 91,885
Medimmune, Inc.* 360,100 8,426,340
Millennium
Pharmaceuticals, Inc.* 7,300 100,740
Nektar Therapeutics* 5,500 109,780
Omnicare, Inc.+ 274,100 11,734,221
Onyx
Pharmaceuticals, Inc.* + 2,400 101,664
Protein Design
Labs, Inc.* + 82,200 1,572,486
Sepracor, Inc.* + 16,400 867,560
Sigma-Aldrich Corp. 1,800 107,298
Taro Pharmaceutical
Industries Limited* + 72,600 $ 3,158,100
Valeant Pharmaceuticals
International 85,000 1,700,000
Vertex
Pharmaceuticals, Inc.* 140,800 1,526,272
Watson
Pharmaceutical, Inc.* + 95,000 2,555,500
----------------
77,052,354
----------------
PREPACKAGED SOFTWARE -- 5.0%
Adobe Systems, Inc. 107,100 4,980,150
BMC Software, Inc.* 11,200 207,200
Check Point Software
Technologies Limited* 3,900 105,261
Citrix Systems, Inc.* 67,300 1,370,228
DST Systems, Inc.* + 160,300 7,708,827
Electronic Arts, Inc.* + 10,000 545,500
Fair Isaac Corp. 74,300 2,480,134
Internet Security
Systems, Inc.* 5,600 85,904
Intuit, Inc.* 91,100 3,514,638
NetIQ Corp.* 7,500 99,000
Network Associates, Inc.* 354,300 6,423,459
Peoplesoft, Inc.* 4,700 86,950
Red Hat, Inc.* + 127,400 2,926,378
Siebel Systems, Inc.* 13,800 147,384
SunGard Data
Systems, Inc.* 104,300 2,711,800
Symantec Corp.* 11,500 503,470
Veritas Software Corp.* 8,800 243,760
----------------
34,140,043
----------------
REAL ESTATE -- 0.0%
Jones Lang Lasalle, Inc.* 3,500 94,850
----------------
RESTAURANTS -- 0.9%
The Cheesecake Factory* 98,400 3,915,336
Outback Steakhouse, Inc. 2,400 99,264
P.F. Chang's China
Bistro, Inc.* + 52,000 2,139,800
Ruby Tuesday, Inc. 3,000 82,350
----------------
6,236,750
----------------
RETAIL -- 5.2%
99 Cents Only Stores* + 5,900 89,975
AutoZone, Inc.* + 1,600 128,160
Bed Bath & Beyond, Inc.* 5,000 192,250
Best Buy Co., Inc. 95,000 4,820,300
Big Lots, Inc.* 6,600 95,436
CVS Corp. 2,400 100,848
Dollar General Corp. 18,000 352,080
Dollar Tree Stores, Inc.* 140,100 3,842,943
Family Dollar
Stores, Inc.+ 201,600 6,132,672
Fred's, Inc. 4,300 $ 94,987
Men's Wearhouse, Inc.* 3,900 102,921
MSC Industrial
Direct Co. Cl. A+ 22,000 722,480
O'Reilly
Automotive, Inc.* + 87,200 3,941,440
Petsmart, Inc.+ 219,000 7,106,550
Shoppers Drug Mart
Corp. (CAD)* 54,000 1,345,217
Shoppers Drug Mart
Corp. (USD)* 23,000 547,170
Staples, Inc. 17,500 512,925
Tiffany & Co. 4,600 169,510
TJX Companies, Inc. 20,400 492,456
Williams-Sonoma, Inc.* + 128,700 4,241,952
----------------
35,032,272
----------------
RETAIL - GROCERY -- 1.0%
Whole Foods
Market, Inc.+ 70,000 6,681,500
----------------
TELEPHONE UTILITIES -- 1.8%
Nextel Partners,
Inc. Cl. A* + 255,800 4,072,336
Rogers Wireless
Communications, Inc.* 3,600 97,380
Triton PCS Holdings,
Inc. Cl. A* 64,000 279,040
Western Wireless
Corp. Cl. A* 271,500 7,849,065
----------------
12,297,821
----------------
TOYS, GAMES -- 0.0%
Mattel, Inc. 5,400 98,550
----------------
TRANSPORTATION -- 1.3%
Expeditors International
of Washington, Inc. 84,100 4,155,381
Landstar System, Inc.* 2,900 153,323
Polaris Industries, Inc. 2,000 96,000
Robinson (C.H.)
Worldwide, Inc. 88,800 4,070,592
Royal Caribbean Cruises
Limited+ 5,100 221,391
Thor Industries, Inc.+ 4,600 153,916
UTI Worldwide, Inc. 2,000 105,380
----------------
8,955,983
----------------
TRAVEL -- 0.0%
Sabre Holdings Corp. 3,500 96,985
----------------
TOTAL EQUITIES
(COST $534,299,134) 651,742,704
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
158
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
MUTUAL FUND -- 0.3%
FINANCIAL SERVICES
Government Reserve
Investment Fund 1,821,567 $ 1,821,566
----------------
TOTAL MUTUAL FUND
(COST $1,821,567) 1,821,566
----------------
TOTAL LONG TERM INVESTMENTS
(COST $536,120,701) 653,564,270
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 17.5%
CASH EQUIVALENTS -- 13.6%**
American AAdvantage
Select Money
Market Fund 2,493,408 2,493,408
Bank of America
Bank Note
1.500% 07/21/2004 $ 3,428,437 3,428,437
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 3,116,760 3,116,760
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 810,358 810,358
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 2,607,371 2,607,371
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 2,493,408 2,493,408
BGIF Prime Money
Market Fund 4,799,811 4,799,811
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 1,558,380 1,558,380
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 311,676 311,676
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 6,233,521 6,233,521
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 $ 4,986,817 $ 4,986,817
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 2,493,408 2,493,408
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 2,272,118 2,272,118
Fannie Mae
Discount Note
0.960% 07/01/2004 1,870,056 1,870,056
Fannie Mae
Discount Note
1.131% 07/14/2004 935,028 935,028
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 935,028 935,028
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 935,028 935,028
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 4,363,465 4,363,465
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 1,246,704 1,246,704
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 935,028 935,028
General Electric
Capital Corp.
1.201% 07/19/2004 1,558,380 1,558,380
General Electric
Capital Corp.
1.211% 07/21/2004 1,560,183 1,560,183
General Electric
Capital Corp.
1.211% 07/22/2004 931,886 931,886
General Electric
Capital Corp.
1.221% 07/23/2004 308,507 308,507
General Electric
Capital Corp.
1.231% 07/26/2004 1,554,973 1,554,973
Goldman Sachs
Financial Square
Prime Obligations
Money Market Fund 1,558,380 1,558,380
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 $ 1,870,056 $ 1,870,056
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 935,028 935,028
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 4,986,817 4,986,817
Merrill Lynch Premier
Institutional Money
Market Fund 2,252,857 2,252,857
Merrimac Cash Fund,
Premium Class 9,973,633 9,973,633
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 3,241,431 3,241,431
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 935,028 935,028
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 3,116,761 3,116,761
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 3,116,761 3,116,761
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 1,558,380 1,558,380
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 935,028 935,028
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 1,558,380 1,558,380
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 1,870,056 1,870,056
----------------
92,648,335
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
159
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
REPURCHASE AGREEMENT -- 3.9%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) $ 26,554,180 $ 26,554,180
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 119,202,515
----------------
TOTAL INVESTMENTS -- 113.6%
(COST $655,323,216)*** 772,766,785
OTHER ASSETS/
(LIABILITIES) -- (13.6%) (92,607,708)
----------------
NET ASSETS -- 100.0% $ 680,159,077
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $26,554,697. Collateralized by U.S. Government Agency
obligations with rates of 3.065% - 5.231%, maturity dates of 07/01/2032 -
04/01/2035, and an aggregate market value, including accrued interest, of
$27,881,890
The remainder of this page is intentionally left blank.
The accompanying notes are an integral part of the financial statements.
160
<Page>
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 93.6%
ADVERTISING -- 1.9%
Catalina
Marketing Corp.* + 93,700 $ 1,713,773
DoubleClick, Inc.* 124,300 965,811
----------------
Getty Images, Inc.* + 110,150 6,609,000
----------------
9,288,584
----------------
AEROSPACE & DEFENSE -- 0.2%
Triumph Group, Inc.* 32,200 1,028,146
----------------
AIR TRANSPORTATION -- 0.6%
Forward Air Corp.* 9,930 371,382
Gol Linhas Aereas
Inteligentes SA
ADR (Brazil)* 9,380 159,460
Northwest Airlines Corp.* + 222,300 2,471,976
----------------
3,002,818
----------------
APPAREL, TEXTILES & SHOES -- 0.6%
K-Swiss, Inc. Cl. A 2,000 40,420
Quiksilver, Inc.* 113,470 2,701,721
----------------
2,742,141
----------------
AUTOMOTIVE & PARTS -- 1.1%
LKQ Corp.* 147,339 2,730,192
Visteon Corp.+ 229,300 2,675,931
----------------
5,406,123
----------------
BANKING, SAVINGS & LOANS -- 5.3%
Advanta Corp. Cl. B 120,800 2,768,736
Amcore Financial, Inc. 80,400 2,424,864
Bank of Hawaii Corp. 42,600 1,926,372
City National Corp. 42,200 2,772,540
Financial Federal Corp.* 135,350 4,772,441
Hancock Holding Co. 76,500 2,223,090
Providian Financial Corp.* 206,500 3,029,355
Southwest Bancorp. of
Texas, Inc. 97,500 4,301,700
Westcorp 38,000 1,727,100
----------------
25,946,198
----------------
BEVERAGES -- 0.9%
Peet's Coffee & Tea, Inc.* 8,230 205,668
The Robert Mondavi Corp.* 110,250 4,081,455
----------------
4,287,123
----------------
BROADCASTING, PUBLISHING & PRINTING -- 1 1%
Gray Television, Inc. 14,170 196,821
Journal Communications,
Inc. Cl. A+ 27,250 513,117
Lin TV Corp. Cl. A* 86,780 1,839,736
Playboy Enterprises,
Inc. Cl. B* 166,700 $ 1,935,387
TiVo, Inc.* + 160,830 1,140,285
----------------
5,625,346
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.1%
Eagle Materials, Inc. 3,760 267,035
----------------
CHEMICALS -- 1.3%
Cytec Industries, Inc. 57,900 2,631,555
IMC Global, Inc. 130,400 1,747,360
Minerals Technologies, Inc. 33,200 1,925,600
----------------
6,304,515
----------------
COMMERCIAL SERVICES -- 9.7%
ADVO, Inc. 69,250 2,279,710
The Corporate Executive
Board Co.+ 124,580 7,199,478
DiamondCluster
International, Inc. Cl. A* 16,590 144,167
Exelixis, Inc.* 225,620 2,276,506
Fluor Corp. 52,200 2,488,374
Gevity HR, Inc. 11,660 305,375
Harris Interactive, Inc.* 133,100 894,432
Incyte Corp.* + 242,600 1,853,464
ITT Educational
Services, Inc.* 196,200 7,459,524
Jackson Hewitt Tax
Service, Inc.* 13,220 231,350
Maximus, Inc.* 136,800 4,850,928
MemberWorks, Inc.* + 128,700 3,812,094
MPS Group, Inc.* 24,730 299,728
Navigant Consulting, Inc.* 11,140 238,842
Netease.com, Inc.
Sponsored ADR
(China)* + 83,650 3,456,418
Overland Storage, Inc.* 1,870 24,852
Service Corp. International* 41,070 302,686
Sotheby's Holdings,
Inc. Cl. A* 15,960 254,722
Stericycle, Inc.* 119,280 6,171,547
University of Phoenix Online* 2,180 190,946
Washington Group
International, Inc.* 76,860 2,758,505
----------------
47,493,648
----------------
COMMUNICATIONS -- 1.9%
American Tower Corp. Cl. A* 18,670 283,784
Crown Castle
International Corp.* 16,870 248,832
Harmonic, Inc.* 208,160 1,773,523
McData Corp. Cl. A* 157,400 846,812
NMS
Communications Corp.* 19,130 $ 141,179
Openwave
Systems, Inc.* 132,700 1,685,290
Plantronics, Inc.* 4,660 196,186
Polycom, Inc.* 10,410 233,288
Remec, Inc.* 146,400 925,248
Sirius Satellite Radio, Inc.* 45,700 140,756
Tekelec* 77,580 1,409,629
Westell Technologies,
Inc. Cl. A* 302,200 1,541,220
----------------
9,425,747
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 1.8%
Avid Technology, Inc.* 108,450 5,918,116
IDX Systems Corp.* 71,800 2,289,702
SafeNet, Inc.* 3,800 105,184
Sapient Corp.* 47,440 285,114
----------------
8,598,116
----------------
COMPUTER RELATED SERVICES -- 4.5%
Acxiom Corp. 189,580 4,707,271
Checkfree Corp.* + 361,349 10,840,470
Ingram Micro, Inc. Cl. A* 135,100 1,954,897
Manhattan Associates, Inc.* 35,100 1,083,888
Sierra Wireless* 3,730 138,122
Sohu.com, Inc.* + 167,950 3,338,846
----------------
22,063,494
----------------
COMPUTERS & INFORMATION -- 0.3%
Maxtor Corp.* + 220,400 1,461,252
Scientific Games
Corp. Cl. A* 12,620 241,547
----------------
1,702,799
----------------
CONTAINERS -- 0.5%
Pactiv Corp.* 102,300 2,551,362
----------------
COSMETICS & PERSONAL CARE -- 1.4%
Alberto-Culver Co. 94,650 4,745,751
Nu Skin Enterprises,
Inc. Cl. A 88,600 2,243,352
----------------
6,989,103
----------------
DATA PROCESSING & PREPARATION -- 1.3%
The BISYS Group, Inc.* 520 7,311
CSG Systems
International, Inc.* 5,050 104,535
Factset Research
Systems, Inc.+ 137,350 6,492,534
----------------
6,604,380
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
161
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 9.1%
Aeroflex, Inc.* 32,790 $ 469,881
Agere Systems, Inc. Cl. A* + 525,000 1,207,500
Cognex Corp. 8,350 321,308
Credence Systems Corp.* 152,700 2,107,260
Cree, Inc.* + 278,250 6,477,660
ESCO Technologies, Inc.* 3,360 179,290
FuelCell Energy, Inc.* + 167,510 1,956,517
Gentex Corp.+ 185,440 7,358,259
Graftech International
Limited* 19,290 201,773
Leadis Technology, Inc.* + 42,500 569,925
MEMC Electronic
Materials, Inc.* 41,790 412,885
Moog, Inc. Cl. A* 75,690 2,808,856
ON Semiconductor Corp.* 549,580 2,758,892
Pixelworks, Inc.* 7,240 110,917
SBS Technologies, Inc.* 23,380 375,717
Sigmatel, Inc.* 207,988 6,044,131
Teledyne
Technologies, Inc.* 108,400 2,170,168
Visx, Inc.* 335,200 8,956,544
----------------
44,487,483
----------------
ENERGY -- 4.2%
Arch Coal, Inc. 7,210 263,814
Cabot Oil & Gas
Corp. Cl. A 6,480 274,104
CAL Dive
International, Inc.* 35,500 1,076,360
Grey Wolf, Inc.* 595,400 2,524,496
Key Energy Services, Inc.* 8,490 80,146
Newfield Exploration Co.* 124,050 6,914,547
Patina Oil & Gas Corp. 8,570 255,986
Peabody Energy Corp. 49,100 2,749,109
Premcor, Inc.* 44,900 1,683,750
TETRA Technologies, Inc.* 84,250 2,262,113
UGI Corp. 67,000 2,150,700
Whiting Petroleum Corp.* 9,240 232,386
----------------
20,467,511
----------------
ENTERTAINMENT & LEISURE -- 1.4%
AMC Entertainment, Inc.* 163,600 2,514,532
Callaway Golf Co.+ 129,000 1,462,860
Churchill Downs, Inc. 47,700 1,941,390
Life Time Fitness, Inc.* 3,900 81,900
World Wrestling
Entertainment, Inc. 76,000 969,000
----------------
6,969,682
----------------
FINANCIAL SERVICES -- 3.5%
Affiliated Managers
Group, Inc.* + 41,439 2,087,282
The Chicago
Mercantile Exchange+ 60,008 $ 8,663,355
IndyMac Bancorp, Inc. 71,160 2,248,656
Investment Technology
Group, Inc.* + 156,800 2,005,472
Ventas, Inc. 97,100 2,267,285
----------------
17,272,050
----------------
FOODS -- 1.9%
American Italian
Pasta Co. Cl. A+ 148,500 4,526,280
Panera Bread Co. Cl. A* + 88,050 3,159,234
Wild Oats Markets, Inc.* 125,800 1,770,006
----------------
9,455,520
----------------
HEALTHCARE -- 9.9%
Accredo Health, Inc.* 2,430 94,649
Allscripts Healthcare
Solutions, Inc.* 285,547 2,238,688
American
Healthways, Inc.* + 404,950 10,779,769
AmSurg Corp.* 321,500 8,079,295
Covance, Inc.* 7,970 307,483
Genesis HealthCare Corp.* 101,660 2,952,206
Human Genome
Sciences, Inc.* 184,800 2,149,224
Humana, Inc.* 157,000 2,653,300
Manor Care, Inc. 84,300 2,754,924
Matria Healthcare, Inc.* + 61,900 1,551,833
Odyssey Healthcare, Inc.* + 450,750 8,483,115
Province Healthcare Co.* 129,900 2,227,785
Psychiatric Solutions, Inc.* 3,310 82,518
Symbion, Inc.* 8,990 156,965
Triad Hospitals, Inc.* 99,800 3,715,554
----------------
48,227,308
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 1.6%
Fossil, Inc.* 219,600 5,984,100
Furniture Brands
International, Inc.+ 62,450 1,564,373
Helen of Troy Limited* 2,400 88,488
Standard-Pacific Corp. 4,610 227,273
----------------
7,864,234
----------------
HOUSEHOLD PRODUCTS -- 0.5%
Ferro Corp. 88,400 2,358,512
INFORMATION RETRIEVAL SERVICES -- 1.2%
Agile Software Corp.* 167,850 1,468,688
Ask Jeeves, Inc.* 4,080 159,242
CoStar Group, Inc.* 23,000 1,056,390
Sina Corp.* + 90,200 2,975,698
----------------
5,660,018
----------------
INSURANCE -- 1.1%
American Equity Investment
Life Holding Co. 20,240 $ 201,388
Arch Capital Group
Limited* 6,770 269,988
HealthExtras, Inc.* 10,240 169,677
Platinum Underwriters
Holdings Limited 6,840 208,141
Reinsurance Group of
America, Inc. 50,600 2,056,890
USI Holdings Corp.* + 151,670 2,396,386
----------------
5,302,470
----------------
INTERNET SOFTWARE -- 0.4%
webMethods, Inc.* 240,600 2,061,942
----------------
LODGING -- 1.9%
Aztar Corp.* 84,200 2,357,600
Vail Resorts, Inc.* 368,300 7,056,628
----------------
9,414,228
----------------
MACHINERY & COMPONENTS -- 1.9%
Agco Corp.* 120,700 2,458,659
Kennametal, Inc.+ 46,800 2,143,440
Techtronic Industries
Co. Sponsored
ADR (Hong Kong)+ 362,200 2,890,718
Ultratech, Inc.* 95,900 1,561,252
----------------
9,054,069
----------------
MEDICAL SUPPLIES -- 2.9%
Abaxis, Inc.* 6,780 128,684
Arrow International, Inc. 82,800 2,477,376
CONMED Corp.* 53,000 1,452,200
CTI Molecular
Imaging, Inc.* 129,400 1,834,892
DJ Orthopedics, Inc.* 8,780 201,940
Kensey Nash Corp.* + 63,500 2,190,750
Orthofix International NV* 3,380 144,427
PSS World Medical, Inc.* 158,200 1,771,840
Resmed, Inc.* 68,700 3,500,952
Respironics, Inc.* 3,890 228,538
Zoll Medical Corp.* 4,560 159,965
----------------
14,091,564
----------------
METALS & MINING -- 0.6%
Precision Castparts Corp. 50,000 2,734,500
----------------
PHARMACEUTICALS -- 2.2%
Abgenix, Inc.* + 82,350 965,142
Alkermes, Inc.* 13,940 189,584
Angiotech
Pharmaceuticals, Inc.* 102,680 2,069,002
Atherogenics, Inc.* 7,790 148,244
EPIX Medical, Inc.* 127,250 2,684,975
The Medicines Co.* + 56,700 1,729,917
NPS Pharmaceuticals, Inc.* 3,790 79,590
</Table>
The accompanying notes are an integral part of the financial statements.
162
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Omnicare, Inc. 57,780 $ 2,473,562
Salix Pharmaceuticals
Limited* 3,200 105,440
Telik, Inc.* 4,250 101,448
----------------
10,546,904
----------------
PREPACKAGED SOFTWARE -- 7.1%
Cerner Corp.* + 159,900 7,128,342
Dendrite
International, Inc.* 543,200 10,092,656
Embarcadero
Technologies, Inc.* 12,250 151,410
EPIQ Systems, Inc.* + 145,129 2,104,371
Hyperion Solutions Corp.* 51,000 2,229,720
Informatica Corp.* 151,700 1,157,471
Kintera, Inc.* + 49,047 511,560
Network Associates, Inc.* 2,160 39,161
RADVision Limited* 73,300 908,920
Red Hat, Inc.* + 215,600 4,952,332
SkillSoft PLC Sponsored
ADR (Ireland)* 880 6,688
SonicWALL, Inc.* 23,600 202,960
Take-Two Interactive
Software, Inc.* + 159,610 4,890,450
THQ, Inc.* 10,210 233,809
Tumbleweed
Communications Corp.* 12,010 51,163
Verint Systems, Inc.* 7,670 262,467
----------------
34,923,480
----------------
RESTAURANTS -- 0.9%
Krispy Kreme
Doughnuts, Inc.* + 110,450 2,108,491
Landry's Restaurants, Inc. 4,530 135,402
RARE Hospitality
International, Inc.* 83,670 2,083,383
----------------
4,327,276
----------------
RETAIL -- 2.3%
A.C. Moore Arts &
Crafts, Inc.* 8,720 239,887
Borders Group, Inc. 83,700 1,961,928
Foot Locker, Inc. 167,800 4,084,252
Insight Enterprises, Inc.* 11,090 196,958
Kenneth Cole Productions,
Inc. Cl. A 7,090 242,974
Linens `N Things, Inc.* 5,800 169,998
O'Reilly
Automotive, Inc.* + 100,610 4,547,572
----------------
11,443,569
----------------
TELEPHONE UTILITIES -- 1.3%
Dobson Communications
Corp. Cl. A* 526,100 1,715,086
General Communication,
Inc. Cl. A* 216,400 1,718,216
Nextel Partners, Inc. Cl. A* 159,700 $ 2,542,424
Rural Cellular Corp. Cl. A* + 47,500 421,325
----------------
6,397,051
----------------
TRANSPORTATION -- 3.2%
Arkansas Best Corp. 8,540 281,137
CNF, Inc. 64,700 2,688,932
J.B. Hunt Transport
Services, Inc.+ 201,050 7,756,509
Kansas City Southern* 284,650 4,412,075
Sirva, Inc.* 14,100 324,300
Yellow Roadway Corp.* 6,630 264,272
----------------
15,727,225
----------------
TOTAL EQUITIES
(COST $377,625,155) 458,113,274
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 30.9%
CASH EQUIVALENTS -- 24.4%**
American AAdvantage
Select Money
Market Fund 3,218,689 3,218,689
Bank of America
Bank Note
1.500% 07/21/2004 $ 4,425,702 4,425,702
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 4,023,362 4,023,362
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 1,046,075 1,046,075
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 3,365,802 3,365,802
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 3,218,692 3,218,692
BGIF Prime
Money Market Fund 6,195,983 6,195,983
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 2,011,683 2,011,683
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 402,337 402,337
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 $ 8,046,731 $ 8,046,731
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 6,437,385 6,437,385
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 3,218,692 3,218,692
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 2,933,033 2,933,033
Fannie Mae
Discount Note
0.960% 07/01/2004 2,414,020 2,414,020
Fannie Mae
Discount Note
1.131% 07/14/2004 1,207,010 1,207,010
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 1,207,010 1,207,010
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 1,207,010 1,207,010
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 5,632,711 5,632,711
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 1,609,346 1,609,346
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 1,207,010 1,207,010
General
Electric Capital Corp.
1.201% 07/19/2004 2,011,683 2,011,683
General
Electric Capital Corp.
1.211% 07/21/2004 2,014,010 2,014,010
General
Electric Capital Corp.
1.211% 07/22/2004 1,202,953 1,202,953
General
Electric Capital Corp.
1.221% 07/23/2004 398,247 398,247
</Table>
The accompanying notes are an integral part of the financial statements.
163
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
General
Electric Capital Corp.
1.231% 07/26/2004 $ 2,007,284 $ 2,007,284
Goldman Sachs
Financial Square
Prime Obligations
Money Market Fund 2,011,683 2,011,683
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 2,414,020 2,414,020
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 1,207,010 1,207,010
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 6,437,385 6,437,385
Merrill Lynch Premier
Institutional Money
Market Fund 2,908,169 2,908,169
Merrimac Cash Fund,
Premium Class 12,874,769 12,874,769
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 4,184,300 4,184,300
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 1,207,010 1,207,010
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 4,023,365 4,023,365
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 4,023,365 4,023,365
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 2,011,683 2,011,683
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 1,207,010 1,207,010
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 2,011,683 2,011,683
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 $ 2,414,020 $ 2,414,020
----------------
119,597,932
----------------
REPURCHASE AGREEMENT -- 6.5%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 31,733,600 31,733,600
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 151,331,532
----------------
TOTAL INVESTMENTS -- 124.5%
(COST $528,956,687)*** 609,444,806
OTHER ASSETS/
(LIABILITIES) -- (24.5%) (120,005,345)
----------------
NET ASSETS -- 100.0% $ 489,439,461
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $31,734,217. Collaterized by U.S. Government Agency
obligations with rates of 1.839% - 4.108%, maturity dates of 11/15/2032 -
04/01/2033, and an aggregate market value, including accrued interest, of
$33,320,280.
The accompanying notes are an integral part of the financial statements.
164
<Page>
MASSMUTUAL SMALL COMPANY GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 98.7%
ADVERTISING -- 2.4%
Aquantive, Inc.* 123,200 $ 1,217,216
DoubleClick, Inc.* 266,900 2,073,813
Jupitermedia Corp.* 15,800 223,728
Modem Media, Inc.* 168,000 883,680
----------------
4,398,437
----------------
AEROSPACE & DEFENSE -- 0.6%
MTC Technologies, Inc.* 42,800 1,105,096
----------------
APPAREL, TEXTILES & SHOES -- 2.9%
Christopher & Banks Corp. 52,500 929,775
Hot Topic, Inc.* 88,600 1,815,414
Phillips-Van Heusen Corp. 51,800 997,150
Quiksilver, Inc.* 69,300 1,650,033
----------------
5,392,372
----------------
BANKING, SAVINGS & LOANS -- 4.8%
Cascade Bancorp 23,375 431,970
Columbia Bancorp 33,900 990,558
Commercial Capital
Bancorp, Inc.* 164,596 2,859,033
Encore Capital
Group, Inc.* 33,400 441,214
Euronet Worldwide, Inc.* 10,600 245,178
ITLA Capital Corp.* 11,700 474,669
Silicon Valley Bancshares* 34,600 1,371,890
Sterling Financial Corp.* 12,021 383,109
United PanAm
Financial Corp.* 31,700 540,485
W Holding Co., Inc. 70,700 1,213,919
----------------
8,952,025
----------------
BEVERAGES -- 0.6%
Hansen Natural Corp.* + 45,800 1,160,114
----------------
CHEMICALS -- 1.6%
Cabot
Microelectronics Corp.* + 56,400 1,726,404
Symyx Technologies, Inc.* 48,400 1,167,408
----------------
2,893,812
----------------
COMMERCIAL SERVICES -- 4.2%
eResearch
Technology, Inc.* 34,200 957,600
Exact Sciences Corp.* 20,800 127,920
Gevity HR, Inc.+ 56,000 1,466,640
Kosan Biosciences, Inc.* 27,700 218,830
Labor Ready, Inc.* 38,300 593,650
Laureate Education, Inc.* 12,700 485,648
Lionbridge
Technologies, Inc.* 62,700 479,655
Navigant Consulting, Inc.* 19,300 $ 413,792
Opsware, Inc.* + 165,800 1,313,136
Princeton Review, Inc.* 58,700 444,359
Strayer Education, Inc. 10,900 1,216,113
----------------
7,717,343
----------------
COMMUNICATIONS -- 4.1%
Harmonic, Inc.* 40,800 347,616
Polycom, Inc.* 156,200 3,500,442
Remec, Inc.* 155,200 980,864
Telular Corp.* 100,700 724,033
Verso Technologies, Inc.* 820,300 1,435,525
Westell Technologies,
Inc. Cl. A* 140,000 714,000
----------------
7,702,480
----------------
COMPUTER & DATA PROCESSING SERVICES -- 1 3%
Anteon International Corp.* 7,600 247,912
Digimarc Corp.* 165,100 2,204,085
----------------
2,451,997
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 4.3%
Digital Insight Corp.* + 67,400 1,397,202
F5 Networks, Inc.* 79,500 2,105,160
Inforte Corp.* 83,500 843,266
Jack Henry &
Associates, Inc. 61,200 1,230,120
Mentor Graphics Corp.* 18,600 287,742
RadiSys Corp.* + 40,100 744,657
Sapient Corp.* 177,700 1,067,977
Websense, Inc.* 8,400 312,732
----------------
7,988,856
----------------
COMPUTER PROGRAMMING SERVICES -- 0.6%
Cognizant Technology
Solutions Corp.* + 42,100 1,069,761
----------------
COMPUTER RELATED SERVICES -- 2.9%
Corillian Corp.* 223,089 1,124,369
Identix, Inc.* 69,600 519,912
LivePerson, Inc.* 62,700 188,727
Navarre Corp.* + 109,200 1,571,388
Secure Computing Corp.* 162,500 1,893,125
----------------
5,297,521
----------------
COMPUTERS & INFORMATION -- 3.4%
Danka Business
Systems PLC
ADR (United Kingdom)* 209,400 946,488
Immersion Corp.* 191,000 911,070
Komag, Inc.* + 50,300 702,691
Network Engines, Inc.* 270,000 734,400
Scientific Games
Corp. Cl. A* 60,700 $ 1,161,798
Sigma Designs, Inc.* + 142,000 1,133,160
Western Digital Corp.* 73,500 636,510
----------------
6,226,117
----------------
DATA PROCESSING & PREPARATION -- 0.9%
HomeStore, Inc.* 282,500 1,127,175
Internap Network
Services Corp.* 213,100 257,851
The TriZetto Group, Inc.* 40,500 271,350
----------------
1,656,376
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 19 3%
Active Power, Inc.* 40,800 130,152
Artesyn Technologies, Inc.* 10,600 95,400
August Technology Corp.* 45,600 571,824
Ceva, Inc.* + 109,300 864,563
ChipPAC, Inc.* 92,200 578,094
Cognex Corp. 27,300 1,050,504
Credence Systems Corp.* + 229,200 3,162,960
Cymer, Inc.* + 24,800 928,512
Dupont Photomasks, Inc.* + 25,900 526,547
Electric City Corp.* 320,700 606,123
FSI International, Inc.* 150,400 1,174,624
Genesis Microchip, Inc.* 109,800 1,511,946
Integrated Circuit
Systems, Inc.* 11,700 317,772
Ixia* 131,450 1,293,468
Lattice
Semiconductor Corp.* 477,600 3,347,976
Micrel, Inc.* 113,000 1,372,950
Mykrolis Corp.* 70,400 1,226,368
NAM TAI Electronics, Inc.+ 47,500 1,022,200
Nanometrics, Inc.* + 60,100 683,938
OmniVision
Technologies, Inc.* + 65,000 1,036,750
On Track
Innovations Limited* + 146,100 1,344,120
Pixelworks, Inc.* + 271,800 4,163,976
PLX Technology, Inc.* 47,400 818,124
Rudolph
Technologies, Inc.* + 45,200 822,188
Silicon Image, Inc.* 105,700 1,387,841
Skyworks Solutions, Inc.* 110,100 961,173
Spatialight, Inc.* + 376,100 2,275,405
Trident
Microsystems, Inc.* 5,100 57,171
Triquint
Semiconductor, Inc.* + 184,000 1,004,640
Ultra Clean Holdings* 63,400 462,820
</Table>
The accompanying notes are an integral part of the financial statements.
165
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Universal Display Corp.* + 14,900 $ 160,026
YDI Wireless, Inc.* 163,300 938,975
----------------
35,899,130
----------------
ENERGY -- 1.5%
CARBO Ceramics, Inc. 11,000 750,750
Headwaters, Inc.* 34,600 897,178
Range Resources Corp. 8,400 122,640
Ultra Petroleum Corp.* 25,600 955,648
----------------
2,726,216
----------------
ENTERTAINMENT & LEISURE -- 1.9%
Alliance Gaming Corp.* 56,800 974,688
Lions Gate
Entertainment Corp.* 167,700 1,170,546
Macrovision Corp.* + 56,900 1,424,207
----------------
3,569,441
----------------
FINANCIAL SERVICES -- 4.1%
Apollo Investment Corp.* 10,900 150,093
BankAtlantic Bancorp,
Inc. Cl. A 36,000 664,200
E Trade Financial Corp.* 267,200 2,979,280
East West Bancorp, Inc. 9,500 291,650
Friedman Billings Ramsey
Group, Inc. Cl. A 68,500 1,355,615
Greenhill & Co., Inc.* 8,600 179,826
Piper Jaffray Cos.* 3,600 162,828
Redwood Trust, Inc.+ 24,500 1,364,160
Saxon Capital, Inc.* 22,200 506,826
----------------
7,654,478
----------------
FOODS -- 0.9%
Panera Bread Co. Cl. A* + 23,100 828,828
United Natural Foods, Inc.* 26,300 760,333
----------------
1,589,161
----------------
HEALTHCARE -- 1.7%
Alliance Imaging, Inc.* 55,700 254,549
Covance, Inc.* 31,400 1,211,412
LifePoint Hospitals, Inc.* 7,700 286,594
Odyssey Healthcare, Inc.* 9,800 184,436
Orthodontic Centers of
America, Inc.* + 34,300 280,917
Psychiatric Solutions, Inc.* 39,300 979,749
----------------
3,197,657
----------------
HEAVY MACHINERY -- 0.7%
China Yuchai International
Limited+ 60,500 1,102,310
Electroglas, Inc.* + 26,100 139,635
----------------
1,241,945
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 1.2%
Brookfield Homes Corp. 30,400 $ 796,176
Emerson Radio Corp.* 149,800 468,874
Meritage Corp.* 13,100 901,280
----------------
2,166,330
----------------
HOUSEHOLD PRODUCTS -- 0.3%
LJ International, Inc.* + 144,900 536,130
----------------
INFORMATION RETRIEVAL SERVICES -- 1.0%
Ask Jeeves, Inc.* + 45,500 1,775,865
NIC, Inc.* 12,800 91,776
----------------
1,867,641
----------------
INSURANCE -- 1.1%
Infinity Property &
Casualty Corp. 53,200 1,755,600
Selective Insurance Group 7,600 303,088
----------------
2,058,688
----------------
INTERNET SOFTWARE -- 0.5%
webMethods, Inc.* 99,000 848,430
----------------
MACHINERY & COMPONENTS -- 2.5%
Axcelis Technologies, Inc.* 117,100 1,456,724
Brooks Automation, Inc.* 101,000 2,035,150
Kulicke & Soffa
Industries, Inc.* 103,000 1,128,880
----------------
4,620,754
----------------
MEDICAL SUPPLIES -- 3.8%
ADE Corp.* 44,500 961,645
Advanced Medical
Optics, Inc.* 22,100 940,797
Align Technology, Inc.* 17,800 338,200
Bioject Medical
Technologies, Inc.* 44,500 84,995
CTI Molecular
Imaging, Inc.* 34,800 493,464
FEI Co.* + 89,000 2,127,990
Microtek Medical
Holdings, Inc.* 177,900 910,848
PSS World Medical, Inc.* 10,200 114,240
Technology Research Corp. 36,800 454,112
Zoll Medical Corp.* 18,300 641,964
----------------
7,068,255
----------------
METALS & MINING -- 1.8%
Century Aluminum Co.* 56,300 1,395,677
Massey Energy Co. 34,400 970,424
Minco Mining &
Metals Corp.* 254,000 271,780
Steel Dynamics, Inc.* 26,200 750,106
----------------
3,387,987
----------------
PHARMACEUTICALS -- 12.1%
Alkermes, Inc.* + 45,200 $ 614,720
Arqule, Inc.* 15,300 80,631
AVI BioPharma, Inc.* 9,300 22,692
Bradley
Pharmaceuticals, Inc.* + 44,400 1,238,760
Calypte Biomedical Corp.* 1,670,000 1,035,400
Cell Genesys, Inc.* 146,700 1,524,213
Columbia
Laboratories, Inc.* 39,000 134,940
Corixa Corp.* + 134,500 628,115
Cubist
Pharmaceuticals, Inc.* + 144,900 1,608,390
Dendreon Corp.* + 116,000 1,421,000
Eon Labs, Inc.* 24,400 998,692
Genta, Inc.* 172,400 431,000
Isis
Pharmaceuticals, Inc.* + 160,000 918,400
La Jolla
Pharmaceutical Co.* 163,300 396,819
Medarex, Inc.* + 291,300 2,123,577
MGI Pharma, Inc.* 22,900 618,529
NPS Pharmaceuticals, Inc.* 37,400 785,400
Nuvelo, Inc.* 156,100 1,501,682
OraSure Technologies, Inc.* 43,700 425,201
Paradigm Genetics, Inc.* 282,900 223,491
Protein Design Labs, Inc.* + 47,000 899,110
Serologicals Corp.* + 55,500 1,109,445
Telik, Inc.* 37,200 887,964
Third Wave
Technologies, Inc.* 178,300 800,567
Transgenomic, Inc.* 73,600 100,832
United
Therapeutics Corp.* + 36,100 925,965
USANA Health
Sciences, Inc.* + 28,200 876,456
Vasogen, Inc.* 17,100 82,935
Viropharma, Inc.* 35,700 63,903
----------------
22,478,829
----------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.4%
Sonic Solutions, Inc.* 38,200 811,750
----------------
PREPACKAGED SOFTWARE -- 3.8%
Advent Software, Inc.* 13,700 247,559
Blackboard, Inc.* 4,900 98,245
Motive, Inc.* 22,100 228,072
Onyx Software Corp.* 45,550 189,032
Open Solutions, Inc.* 32,100 801,858
Pinnacle Systems, Inc.* + 243,200 1,738,880
RADVision Limited* 92,500 1,147,000
Roxio, Inc.* + 24,400 119,804
Tibco Software, Inc.* 129,400 1,093,430
TradeStation Group, Inc.* 67,100 482,449
</Table>
The accompanying notes are an integral part of the financial statements.
166
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Transaction Systems
Architects, Inc. Cl. A* 40,800 $ 878,424
----------------
7,024,753
----------------
REAL ESTATE -- 0.9%
WCI Communities, Inc.* + 78,100 1,742,411
----------------
RESTAURANTS -- 0.4%
Chicago Pizza &
Brewery, Inc.* + 17,900 272,259
Red Robin Gourmet
Burgers, Inc.* 19,300 528,241
----------------
800,500
----------------
RETAIL -- 1.5%
Cost Plus, Inc.* 26,200 850,190
Kenneth Cole Productions,
Inc. Cl. A 34,600 1,185,742
Marvel Enterprises, Inc.* + 38,250 746,640
----------------
2,782,572
----------------
TELEPHONE UTILITIES -- 1.2%
Novatel Wireless, Inc.* + 82,000 2,173,000
TRANSPORTATION -- 1.5%
OMI Corp.+ 163,300 1,943,270
Yellow Roadway Corp.* 23,600 940,696
2,883,966
----------------
TOTAL EQUITIES
(COST $178,074,204) 183,142,331
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 26.8%
CASH EQUIVALENTS -- 25.4%**
American AAdvantage
Select Money
Market Fund 1,268,316 1,268,316
Bank of America
Bank Note
1.500% 07/21/2004 $ 1,743,935 1,743,935
Bank of America
Eurodollar Time Deposit
1.080% 07/19/2004 1,585,395 1,585,395
Bank of America
Eurodollar Time Deposit
1.100% 07/07/2004 412,204 412,204
Bank of Montreal
Eurodollar Time Deposit
1.200% 07/23/2004 1,326,285 1,326,285
Bank of the West
Eurodollar Time Deposit
1.280% 07/28/2004 1,268,316 1,268,316
BGIF Prime Money
Market Fund 2,441,509 $ 2,441,509
BNP Paribas
Eurodollar Time Deposit
1.080% 07/29/2004 $ 792,698 792,698
Branch Banker & Trust
Eurodollar Time Deposit
1.080% 07/14/2004 158,539 158,539
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 3,170,790 3,170,790
Caylon
Eurodollar Time Deposit
1.040% 07/06/2004 2,536,632 2,536,632
Caylon
Eurodollar Time Deposit
1.170% 08/04/2004 1,268,316 1,268,316
Caylon
Eurodollar Time Deposit
1.340% 08/24/2004 1,155,753 1,155,753
Fannie Mae
Discount Note
0.960% 07/01/2004 951,237 951,237
Fannie Mae
Discount Note
1.131% 07/14/2004 475,618 475,618
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 475,618 475,618
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 475,618 475,618
Fortis Bank
Eurodollar Time Deposit
1.090% 07/08/2004 2,219,553 2,219,553
Fortis Bank
Eurodollar Time Deposit
1.190% 07/14/2004 634,158 634,158
Fortis Bank
Eurodollar Time Deposit
1.290% 09/03/2004 475,618 475,618
General Electric
Capital Corp.
1.201% 07/19/2004 792,698 792,698
General Electric
Capital Corp.
1.211% 07/21/2004 793,615 793,615
General Electric
Capital Corp.
1.211% 07/22/2004 474,020 474,020
General Electric
Capital Corp.
1.221% 07/23/2004 $ 156,928 $ 156,928
General Electric
Capital Corp.
1.231% 07/26/2004 790,964 790,964
Goldman Sachs Financial
Square Prime
Obligations Money
Market Fund 792,698 792,698
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.050% 07/14/2004 951,237 951,237
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.300% 09/03/2004 475,618 475,618
Keybank
Eurodollar Time Deposit
1.250% 07/01/2004 2,536,632 2,536,632
Merrill Lynch Premier
Institutional Money
Market Fund 1,145,955 1,145,955
Merrimac Cash Fund,
Premium Class 5,073,264 5,073,264
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 1,648,811 1,648,811
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 07/08/2004 475,618 475,618
Royal Bank of Canada
Eurodollar Time Deposit
1.100% 07/02/2004 1,585,395 1,585,395
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/07/2004 1,585,395 1,585,395
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/15/2004 792,698 792,698
Royal Bank of Scotland
Eurodollar Time Deposit
1.150% 08/10/2004 475,618 475,618
Wells Fargo
Eurodollar Time Deposit
1.190% 07/14/2004 792,696 792,696
Wells Fargo
Eurodollar Time Deposit
1.250% 07/23/2004 951,237 951,237
----------------
47,127,205
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
167
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
REPURCHASE AGREEMENT -- 1.4%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) $ 2,550,822 $ 2,550,822
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 49,678,027
----------------
TOTAL INVESTMENTS -- 125.5%
(COST $227,752,231)*** 232,820,358
OTHER ASSETS/
(LIABILITIES) -- (25.5%) (47,268,335)
----------------
NET ASSETS -- 100.0% $ 185,552,023
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $2,550,872. Collateralized by U.S. Government Agency
Obligation with a rate of 4.375%, maturity date of 05/25/2015, and an
aggregate market value, including accrued interest, of $2,678,363.
The remainder of this page is intentionally left blank.
The accompanying notes are an integral part of the financial statements.
168
<Page>
MASSMUTUAL EMERGING GROWTH FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 93.5%
ADVERTISING -- 1.4%
Valueclick, Inc.* 159,500 $ 1,910,810
----------------
AEROSPACE & DEFENSE -- 0.2%
Engineered Support
Systems, Inc. 5,500 321,805
----------------
AIR TRANSPORTATION -- 1.2%
Airtran Holdings, Inc.* 45,600 644,784
Forward Air Corp.* 26,400 987,360
Pinnacle Airlines Corp.* 200 2,260
----------------
1,634,404
----------------
APPAREL, TEXTILES & SHOES -- 5.2%
bebe stores, inc.* + 50,100 1,002,000
Deckers Outdoor Corp.* + 37,600 1,108,824
Guess ?, Inc.* 56,400 908,040
Jos. A. Bank
Clothiers, Inc.* + 6,500 204,035
Oxford Industries, Inc. 31,350 1,365,606
Pacific Sunwear of
California, Inc.* + 33,925 663,912
Urban Outfitters, Inc.* 27,300 1,662,843
----------------
6,915,260
----------------
BANKING, SAVINGS & LOANS -- 3.3%
Euronet Worldwide, Inc.* 16,400 379,332
Nara Bancorp, Inc. 40,900 700,617
PrivateBancorp, Inc.+ 32,000 878,720
Silicon Valley Bancshares* 23,950 949,617
UCBH Holdings, Inc.+ 17,700 699,504
Wintrust Financial Corp. 16,650 840,991
----------------
4,448,781
----------------
BEVERAGES -- 0.5%
Peet's Coffee & Tea, Inc.* + 25,763 643,817
----------------
BUILDING MATERIALS & CONSTRUCTION -- 0.3%
Merge Technologies, Inc.* 31,800 465,234
----------------
COMMERCIAL SERVICES -- 7.0%
Aaron Rents, Inc. 20,400 676,056
Bright Horizons Family
Solutions, Inc.* 12,000 643,320
eResearch
Technology, Inc.* + 51,412 1,439,536
Global Payments, Inc.+ 23,900 1,075,978
Heidrick & Struggles
International, Inc.* 12,100 359,128
Magellan Health
Services, Inc.* 8,100 270,945
Marlin Business
Services Corp.* 29,100 $ 437,373
MPS Group, Inc.* 110,400 1,338,048
Navigant
Consulting, Inc.* + 63,700 1,365,728
Netease.com,
Inc. Sponsored
ADR (China)* + 17,600 727,232
Pharmaceutical Product
Development, Inc.* 23,450 745,006
Universal Technical
Institute, Inc.* 8,700 347,826
----------------
9,426,176
----------------
COMMUNICATIONS -- 3.3%
Alvarion Limited* + 46,150 612,872
Andrew Corp.* + 52,500 1,050,525
AudioCodes Limited* + 58,950 706,221
Ditech
Communications Corp.* 55,350 1,291,869
Mindspeed
Technologies, Inc.* 88,300 437,968
PowerDsine Limited* + 8,050 97,324
Research In Motion
Limited* 4,100 280,604
----------------
4,477,383
----------------
COMPUTER & DATA PROCESSING SERVICES -- 0.3%
Anteon
International Corp.* 10,950 357,189
----------------
COMPUTER INTEGRATED SYSTEMS DESIGN -- 1.0%
Blue Coat Systems, Inc.* 13,600 455,464
Mentor Graphics Corp.* 59,150 915,050
----------------
1,370,514
----------------
COMPUTER PROGRAMMING SERVICES -- 1.1%
Macromedia, Inc.* 29,550 725,452
Shanda Interactive
Entertainment Limited
ADR (Cayman Islands)* 46,550 717,801
----------------
1,443,253
----------------
COMPUTER RELATED SERVICES -- 3.1%
Checkfree Corp.* + 33,600 1,008,000
CNET Networks, Inc.* + 139,950 1,549,246
NetFlix, Inc.* + 23,550 846,622
Sierra Wireless* 19,450 720,233
----------------
4,124,101
----------------
COMPUTERS & INFORMATION -- 1.4%
M-Systems Flash Disk
Pioneers Limited* + 46,000 685,860
PalmOne, Inc.* + 9,500 $ 330,315
Scientific Games
Corp. Cl. A* 46,650 892,881
----------------
1,909,056
----------------
DATA PROCESSING & PREPARATION -- 1.3%
CyberSources Corp.* 25,550 213,598
Factset Research
Systems, Inc.+ 20,900 987,943
Intersections, Inc.* 24,000 575,760
----------------
1,777,301
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 11.2%
Aeroflex, Inc.* 29,400 421,302
Artisan Components, Inc.* 13,700 353,460
August Technology Corp.* 68,800 862,752
Ceradyne, Inc.* + 15,724 562,447
Credence Systems Corp.* + 68,800 949,440
ESS Technology, Inc.* 37,100 397,341
FormFactor, Inc.* 66,100 1,483,945
Integrated Silicon
Solution, Inc.* 39,600 483,516
Ixia* 83,350 820,164
Littelfuse, Inc.* 9,400 398,654
O2Micro International
Limited* 73,850 1,257,665
Photon Dynamics, Inc.* + 29,500 1,034,565
Power Integrations, Inc.* + 40,700 1,013,430
Rudolph
Technologies, Inc.* 2,600 47,294
Semtech Corp.* 18,550 436,667
Sigmatel, Inc.* 58,250 1,692,745
SiRF Technology
Holdings, Inc.* 31,650 413,665
Tessera Technologies, Inc.* 61,600 1,110,032
Trident Microsystems, Inc.* 40,200 450,642
Virage Logic Corp.* 83,750 762,125
----------------
14,951,851
----------------
ENERGY -- 0.9%
CAL Dive
International, Inc.* 9,800 297,136
Patina Oil & Gas Corp. 10,300 307,661
Quicksilver
Resources, Inc.* + 4,400 295,108
Unit Corp.* 10,200 320,790
----------------
1,220,695
----------------
ENTERTAINMENT & LEISURE -- 1.1%
Multimedia
Games, Inc.* + 16,950 454,599
</Table>
The accompanying notes are an integral part of the financial statements.
169
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Penn National
Gaming, Inc.* 30,850 $ 1,024,220
----------------
1,478,819
----------------
FINANCIAL SERVICES -- 3.2%
Accredited Home Lenders
Holding Co.* + 21,250 598,188
Affiliated Managers
Group, Inc.* + 14,050 707,699
Ameritrade Holding Corp.* 15,900 180,465
Boston Private Financial
Holdings, Inc. 68,000 1,574,880
First Cash Financial
Services, Inc.* 46,300 985,264
New Century
Financial Corp.+ 4,700 220,054
----------------
4,266,550
----------------
HEALTHCARE -- 3.3%
American
Healthways, Inc.* + 51,700 1,376,254
Matria Healthcare, Inc.* + 31,300 784,691
Sunrise Senior
Living, Inc.* + 19,100 747,574
Symbion, Inc.* 41,500 724,590
United Surgical Partners
International, Inc.* 19,330 762,955
----------------
4,396,064
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 0.3%
Select Comfort Corp.* 13,900 394,760
----------------
INFORMATION RETRIEVAL SERVICES -- 4.2%
Ask Jeeves, Inc.* + 28,600 1,116,258
Autobytel, Inc.* + 102,100 927,068
CoStar Group, Inc.* 20,501 941,611
Infospace, Inc.* 49,250 1,873,470
Sina Corp.* + 21,800 719,182
----------------
5,577,589
----------------
INSURANCE -- 2.5%
AMERIGROUP Corp.* 22,850 1,124,220
Centene Corp.* 20,800 801,840
HealthExtras, Inc.* 27,700 458,989
Infinity Property &
Casualty Corp. 11,250 371,250
LabOne, Inc.* 4,800 152,544
ProAssurance Corp.* + 13,050 445,136
----------------
3,353,979
----------------
INTERNET SOFTWARE -- 1.2%
Chordiant Software, Inc.* 103,150 470,364
WebEx
Communications, Inc.* + 52,666 1,146,012
----------------
1,616,376
----------------
LODGING -- 0.6%
Station Casinos, Inc. 16,400 $ 793,760
----------------
MACHINERY & COMPONENTS -- 1.5%
Axcelis Technologies, Inc.* 59,650 742,046
Grant Prideco, Inc.* 66,450 1,226,667
----------------
1,968,713
----------------
MEDICAL SUPPLIES -- 6.6%
Abaxis, Inc.* 20,000 379,600
Advanced Medical
Optics, Inc.* 15,100 642,807
Advanced
Neuromodulation
Systems, Inc.* 3,900 127,920
Align Technology, Inc.* 47,000 893,000
ArthoCare Corp.* 6,200 180,048
BEI Technologies, Inc. 26,500 750,215
Closure Medical Corp.* 33,350 837,419
Cytyc Corp.* + 44,550 1,130,234
Inamed Corp.* 8,800 553,080
Intuitive Surgical, Inc.* 70,600 1,341,400
Inveresk Research
Group, Inc.* 31,900 983,796
Orthovita, Inc.* 21,550 110,767
Possis Medical, Inc.* 11,600 396,140
Wright Medical
Group, Inc.* 14,800 526,880
----------------
8,853,306
----------------
METALS & MINING -- 1.1%
Maverick Tube Corp.* 24,400 640,744
Schnitzer Steel
Industries, Inc. Cl. A 8,650 293,754
Steel Dynamics, Inc.* 19,900 569,737
----------------
1,504,235
----------------
PHARMACEUTICALS -- 11.4%
Able Laboratories, Inc.* + 56,650 1,164,724
Alexion
Pharmaceuticals, Inc.* 66,750 1,241,550
Angiotech
Pharmaceuticals, Inc.* 52,200 1,051,830
Atherogenics, Inc.* + 29,795 566,999
Charles River Laboratories
International, Inc.* 13,400 654,858
Cypress Bioscience, Inc.* 48,200 661,786
Digene Corp.* 16,850 615,531
Discovery
Laboratories, Inc.* + 112,750 1,081,273
Dyax Corp.* 35,500 417,125
EPIX Medical, Inc.* 27,150 572,865
Flamel Technologies
Sponsored
ADR (France)* 5,150 126,845
Impax Laboratories, Inc.* 8,300 $ 160,854
Inspire
Pharmaceuticals, Inc.* 60,000 1,003,200
The Medicines Co.* + 24,850 758,174
Myogen, Inc.* 35,700 277,032
Nabi Biopharmaceuticals* 78,200 1,112,004
Nuvelo, Inc.* 69,250 666,185
QLT, Inc.* + 45,200 904,904
Regeneration
Technologies, Inc.* 76,400 819,772
Rigel
Pharmaceuticals, Inc.* 45,200 642,292
Salix Pharmaceuticals
Limited* 21,600 711,720
Taro Pharmaceutical
Industries Limited* + 500 21,750
----------------
15,233,273
----------------
PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.6%
Sonic Solutions, Inc.* + 35,300 750,125
----------------
PREPACKAGED SOFTWARE -- 6.3%
Altiris, Inc.* + 54,708 1,510,488
Dendrite
International, Inc.* 73,900 1,373,062
Informatica Corp.* 52,250 398,668
Magma Design
Automation, Inc.* + 84,350 1,622,051
Micromuse, Inc.* 113,050 756,305
MicroStrategy, Inc. Cl. A* 25,000 1,067,500
Open Solutions, Inc.* 32,450 810,601
Quest Software, Inc.* 39,700 512,130
salesforce.com, inc.* + 5,700 91,599
TradeStation Group, Inc.* 6,200 44,578
Verint Systems, Inc.* 6,700 229,274
----------------
8,416,256
----------------
RESTAURANTS -- 1.3%
P.F. Chang's China
Bistro, Inc.* + 14,200 584,330
RARE Hospitality
International, Inc.* 47,750 1,188,975
----------------
1,773,305
----------------
RETAIL -- 2.1%
Cabela's, Inc. Cl. A* 1,600 43,120
Design Within Reach, Inc.* 3,850 63,256
Kenneth Cole
Productions, Inc. Cl. A 34,000 1,165,180
The Sports Authority, Inc.* 14,450 518,755
Tractor Supply Co.* 25,100 1,049,682
----------------
2,839,993
----------------
RETAIL - INTERNET -- 1.2%
Priceline.com, Inc.* + 58,716 1,581,222
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
170
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
TELEPHONE UTILITIES -- 0.1%
Novatel Wireless, Inc.* 6,500 $ 172,250
----------------
TOYS, GAMES -- 0.7%
K2, Inc.* 57,150 897,255
----------------
TRANSPORTATION -- 1.5%
Hub Group, Inc. Cl. A* 14,400 491,040
Old Dominion Freight
Line, Inc.* 8,400 247,632
UTI Worldwide, Inc. 24,300 1,280,367
----------------
2,019,039
----------------
TOTAL EQUITIES
(COST $118,614,087) 125,284,499
----------------
WARRANTS -- 0.1%
INFORMATION RETRIEVAL SERVICES
InterActive Corp.* 4,476 154,471
----------------
TOTAL WARRANTS
(COST $32,545) 154,471
----------------
TOTAL LONG TERM INVESTMENTS
(COST $118,646,632) 125,438,970
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 29.8%
CASH EQUIVALENTS -- 25.5%**
American AAdvantage
Select Money
Market Fund 919,565 919,565
Bank of America
Bank Note
1.500% 07/21/2004 $ 1,264,403 1,264,403
Bank of America
Eurodollar Time Deposit
1.080% 07/19/2004 1,149,458 1,149,458
Bank of America
Eurodollar Time Deposit
1.100% 07/07/2004 298,859 298,859
Bank of Montreal
Eurodollar Time Deposit
1.200% 07/23/2004 961,594 961,594
Bank of the West
Eurodollar Time Deposit
1.280% 07/28/2004 919,566 919,566
BGIF Prime Money
Market Fund 1,770,165 1,770,165
BNP Paribas
Eurodollar Time Deposit
1.080% 07/29/2004 574,729 574,729
Branch Banker & Trust
Eurodollar Time Deposit
1.080% 07/14/2004 $ 114,946 $ 114,946
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 2,298,915 2,298,915
Caylon
Eurodollar Time Deposit
1.040% 07/06/2004 1,839,132 1,839,132
Caylon
Eurodollar Time Deposit
1.170% 08/04/2004 919,566 919,566
Caylon
Eurodollar Time Deposit
1.340% 08/24/2004 837,955 837,955
Fannie Mae Discount Note
0.960% 07/01/2004 689,675 689,675
Fannie Mae Discount Note
1.131% 07/14/2004 344,837 344,837
Federal Home Loan Bank
Discount Note
0.970% 07/02/2004 344,837 344,837
Federal Home Loan Bank
Discount Note
0.990% 07/01/2004 344,837 344,837
Fortis Bank
Eurodollar Time Deposit
1.090% 07/08/2004 1,609,241 1,609,241
Fortis Bank
Eurodollar Time Deposit
1.190% 07/14/2004 459,783 459,783
Fortis Bank
Eurodollar Time Deposit
1.290% 09/03/2004 344,837 344,837
General Electric
Capital Corp.
1.201% 07/19/2004 574,729 574,729
General Electric
Capital Corp.
1.211% 07/21/2004 575,394 575,394
General Electric
Capital Corp.
1.211% 07/22/2004 343,678 343,678
General Electric
Capital Corp.
1.221% 07/23/2004 113,777 113,777
General Electric
Capital Corp.
1.231% 07/26/2004 573,472 573,472
Goldman Sachs Financial
Square Prime
Obligations Money
Market Fund 574,729 574,729
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.050% 07/14/2004 $ 689,675 $ 689,675
HBOS Halifax
Bank of Scotland
Eurodollar Time Deposit
1.300% 09/03/2004 344,837 344,837
Keybank
Eurodollar Time Deposit
1.250% 07/01/2004 1,839,132 1,839,132
Merrill Lynch Premier
Institutional Money
Market Fund 830,851 830,851
Merrimac Cash Fund,
Premium Class 3,678,264 3,678,264
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 1,195,436 1,195,436
Royal Bank of Canada
Eurodollar Time Deposit
1.050% 07/08/2004 344,837 344,837
Royal Bank of Canada
Eurodollar Time Deposit
1.100% 07/02/2004 1,149,458 1,149,458
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/07/2004 1,149,458 1,149,458
Royal Bank of Scotland
Eurodollar Time Deposit
1.050% 07/15/2004 574,729 574,729
Royal Bank of Scotland
Eurodollar Time Deposit
1.150% 08/10/2004 344,837 344,837
Wells Fargo
Eurodollar Time Deposit
1.190% 07/14/2004 574,729 574,729
Wells Fargo
Eurodollar Time Deposit
1.250% 07/23/2004 689,675 689,675
----------------
34,168,597
----------------
REPURCHASE AGREEMENT -- 4.3%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 5,657,324 5,657,324
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 39,825,921
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
171
<Page>
<Table>
<Caption>
MARKET
VALUE
----------------
TOTAL INVESTMENTS -- 123.4%
(COST $158,472,553)*** $ 165,264,891
OTHER ASSETS/
(LIABILITIES) -- (23.4%) (31,296,181)
----------------
NET ASSETS -- 100.0% $ 133,968,710
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $5,657,434. Collateralized by U.S. Government Agency
obligation with a rate of 5.269%, maturity date of 07/01/2032, and an
aggregate market value, including accrued interest, of $5,940,190.
The remainder of this page is intentionally left blank.
The accompanying notes are an integral part of the financial statements.
172
<Page>
MASSMUTUAL INTERNATIONAL EQUITY FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 99.9%
AEROSPACE & DEFENSE -- 3.0%
Embraer-Empresa
Brasileira de Aeronautica
SA, Preference 3,434,519 $ 24,464,155
----------------
APPAREL, TEXTILES & SHOES -- 1.9%
Hennes & Mauritz AB Cl. B 441,800 11,443,027
Next PLC 155,820 4,030,493
----------------
15,473,520
----------------
AUTOMOTIVE & PARTS -- 2.7%
Continental AG 257,284 12,454,801
Porsche AG, Preference 13,991 9,390,280
----------------
21,845,081
----------------
BANKING, SAVINGS & LOANS -- 8.9%
ABN Amro Holding NV 267,200 5,865,760
Anglo Irish Bank
Corp. PLC 1,312,535 20,565,295
ICICI Bank Limited
Sponsored ADR (India)+ 649,175 7,855,017
Joyo Bank Limited 1,078,000 4,804,703
Mitsubishi Tokyo
Financial Group, Inc. 2,104 19,640,558
National Australia Bank+ 196,500 4,087,762
Royal Bank of Scotland
Group PLC 356,100 10,277,090
----------------
73,096,185
----------------
BEVERAGES -- 2.8%
Foster's Group Limited 1,815,004 5,970,886
Heineken NV 207,500 6,827,507
Pernod-Ricard SA 77,750 9,956,252
----------------
22,754,645
----------------
BROADCASTING, PUBLISHING & PRINTING -- 6 1%
British Sky Broadcasting
Group PLC 177,903 2,011,362
Gestevision Telecinco SA* 173,110 2,584,237
Grupo Televisa
SA Sponsored
ADR (Mexico) 121,400 5,495,778
Mediaset SpA 565,900 6,467,355
News Corp. Limited 718,294 6,346,622
Societe
Television Francaise 1 248,150 7,843,422
Sogecable SA+ * 71,900 2,912,783
Vivendi Universal SA* 364,620 10,163,647
ZEE Telefilms Limited 2,260,002 6,198,722
----------------
50,023,928
----------------
COMMERCIAL SERVICES -- 1.9%
Boskalis Westminster 91,554 $ 2,369,657
BTG PLC* 1,999,916 3,935,817
Leighton Holdings Limited+ 356,225 2,257,414
Prosegur, Compania de
Seguridad SA 182,149 2,804,782
Randstad Holdings NV 154,856 4,259,647
----------------
15,627,317
----------------
COMMUNICATIONS -- 8.0%
Ericsson (LM) Cl. B* 7,077,900 20,975,691
Nokia Oyj 232,600 3,367,602
SK Telecom Co. Limited
ADR (South Korea)+ 210,756 4,423,768
Tandberg ASA+ 1,600,800 16,964,984
Vodafone Group PLC 9,339,715 20,512,944
----------------
66,244,989
----------------
COMPUTER & OTHER DATA PROCESSING
SERVICE -- 0.3%
Autonomy Corp. PLC* 505,233 2,306,265
----------------
COMPUTER RELATED SERVICES -- 2.1%
Getronics NV+ * 776,100 2,142,746
Infosys Technologies
Limited 79,906 9,599,445
NIIT Limited* 786,225 2,750,719
T-Online International AG* 238,909 2,736,423
----------------
17,229,333
----------------
COMPUTERS & INFORMATION -- 1.1%
Buhrmann NV+ 458,800 4,580,087
Logitech International
SA Registered* 89,135 4,059,728
----------------
8,639,815
----------------
COSMETICS & PERSONAL CARE -- 0.7%
L'Oreal 75,830 6,071,632
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 11.3%
ASM International NV+ * 588,300 12,166,044
Canon, Inc. 258,000 13,711,611
Electrocomponents PLC 816,320 5,297,202
Epcos AG+ * 360,364 7,581,756
Keyence Corp. 34,090 7,832,119
Nidec Corp. 39,400 4,056,846
Nippon Electric Glass Co.
Limited 303,000 6,401,136
Omron Corp. 331,021 7,770,895
Samsung Electronics Co.
Limited 8,760 3,643,011
Sharp Corp. 633,000 10,180,435
TDK Corp. 54,600 $ 4,158,932
Ushio, Inc. 550,000 9,977,850
----------------
92,777,837
----------------
ENERGY -- 1.4%
BP PLC Sponsored
ADR (United Kingdom) 82,100 4,398,097
Gas Authority of India
Limited 114,960 425,333
Oil & Natural Gas Corp.
Limited 68,300 934,807
Total SA 31,840 6,088,216
----------------
11,846,453
----------------
ENTERTAINMENT & LEISURE -- 0.9%
UBI Soft
Entertainment SA+ * 50,018 1,211,365
William Hill PLC 621,190 6,260,013
----------------
7,471,378
----------------
FINANCIAL SERVICES -- 5.4%
3i Group PLC 1,119,318 12,449,185
Collins Stewart
Holdings PLC 1,567,387 11,992,335
Marschollek
Lautenschlaeger und
Partner AG+ 504,159 7,487,198
Societe Generale Cl. A 97,850 8,346,870
United Internet
AG Registered 160,255 4,481,680
----------------
44,757,268
----------------
FOODS -- 2.3%
Cadbury Schweppes PLC 531,300 4,590,924
Carrefour SA 51,460 2,503,766
Nestle SA 16,442 4,390,943
Unilever PLC 777,740 7,649,999
----------------
19,135,632
----------------
HEAVY MACHINERY -- 1.6%
Technip-Coflexip SA 99,800 13,558,513
----------------
HOUSEHOLD PRODUCTS -- 0.5%
SEB SA+ 35,216 4,209,356
----------------
INDUSTRIAL - DIVERSIFIED -- 1.0%
Siemens AG Registered 112,709 8,153,529
----------------
INFORMATION RETRIEVAL SERVICES -- 1.0%
Yahoo Japan Corp.+ * 839 8,246,537
----------------
INSURANCE -- 2.3%
AMP Limited 1,694,247 7,498,917
Ceres Group, Inc.* ++ 27,000 175,500
</Table>
The accompanying notes are an integral part of the financial statements.
173
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
Ceres Group,
Inc., Preference* ++ 66,772 $ 434,018
Ceres Group, Inc.,
Preference Callable* ++ 900,000 5,850,000
Skandia Forsakrings AB 1,272,600 5,295,569
----------------
19,254,004
----------------
MANUFACTURING -- 3.1%
Aalberts Industries NV+ 422,003 12,639,748
Jenoptik AG+ * 418,816 4,532,873
Konica Minolta
Holdings, Inc. 601,000 8,366,078
----------------
25,538,699
----------------
MEDICAL SUPPLIES -- 9.7%
Art Advanced Research
Technologies, Inc.* 2,215,027 3,485,890
Cie Generale D'Optique
Essilor International SA 131,770 8,610,563
Fujisawa Pharmaceutical
Co. Limited 136,000 3,243,870
Luxottica Group SpA+ 495,800 8,295,086
NeuroSearch A/S* 251,395 9,219,503
Nicox SA* 750,370 3,196,368
Novogen Limited* 5,638,600 20,714,489
Ortivus AB, A Shares* 228,600 880,054
Ortivus AB, B Shares* 679,410 2,572,154
Sanofi-Synthelabo SA+ 68,260 4,332,843
Shionogi & Co. Limited 438,000 7,554,951
SkyePharma PLC* 2,992,690 3,492,769
Terumo Corp. 172,000 4,334,318
----------------
79,932,858
----------------
METALS & MINING -- 2.4%
Cia Vale do Rio Doce
Preferred Sponsored
ADR (Brazil) 163,900 6,408,490
Impala Platinum Holdings
Limited 102,000 7,746,337
Rio Tinto PLC 230,959 5,573,306
----------------
19,728,133
----------------
PHARMACEUTICALS -- 6.9%
AstraZeneca PLC 57,360 2,578,910
Aventis SA+ 84,700 6,406,929
Dr. Reddy's Laboratories
Limited ADR (India)+ 149,100 2,591,358
GlaxoSmithKline PLC 290,780 5,897,562
H. Lundbeck AS+ 358,200 7,815,406
Marshall Edwards, Inc.* 1,745,300 16,458,528
Schering AG 109,390 6,464,086
Takeda Chemical
Industries Limited 99,000 4,364,627
Teva Pharmaceutical
Sponsored
ADR (Israel)+ 64,800 $ 4,360,392
----------------
56,937,798
----------------
REAL ESTATE -- 2.8%
Daito Trust Construction
Co. Limited 141,912 5,471,954
Solidere
GDR (Lebanon)* +++ 926,087 7,288,305
Sumitomo Realty &
Development Co. Limited 822,000 10,238,573
----------------
22,998,832
----------------
RETAIL -- 3.1%
Compagnie Financiere
Richemont AG, A Units 152,000 3,985,900
Dixons Group PLC 3,012,291 9,054,902
LG Home Shopping, Inc. 146,722 5,985,915
Takashimaya Co. Limited 374,206 4,344,223
Woolworths Limited 227,400 1,807,333
----------------
25,178,273
----------------
TELEPHONE UTILITIES -- 2.2%
KDDI Corp. 2,128 12,237,816
Telecom Italia Mobile SpA 1,074,500 6,104,017
----------------
18,341,833
----------------
TRANSPORTATION -- 2.5%
Amadeus Global Travel
Distribution SA Cl. A+ 726,700 4,797,484
Carnival Corp.+ 144,800 6,805,600
Hyundai Heavy Industries
Co. Limited 230,706 5,511,217
Tsakos Energy Navigation
Limited 100,894 3,426,360
----------------
20,540,661
----------------
TOTAL EQUITIES
(COST $699,178,011) 822,384,459
----------------
WARRANTS -- 0.0%
INSURANCE
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) 212,862
----------------
TOTAL LONG TERM INVESTMENTS
(COST $699,178,011) 822,597,321
----------------
</Table>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
SHORT-TERM INVESTMENTS -- 14.0%
CASH EQUIVALENTS**
American AAdvantage
Select Money
Market Fund 3,092,832 $ 3,092,832
Bank of America
Bank Note
1.500% 07/21/2004 $ 4,252,646 4,252,646
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 3,866,040 3,866,040
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 1,005,170 1,005,170
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 3,234,192 3,234,192
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 3,092,832 3,092,832
BGIF Prime
Money Market Fund 5,953,702 5,953,702
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 1,933,020 1,933,020
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 386,604 386,604
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 7,732,080 7,732,080
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 6,185,664 6,185,664
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 3,092,832 3,092,832
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 2,818,343 2,818,343
Fannie Mae
Discount Note
0.960% 07/01/2004 2,319,624 2,319,624
</Table>
The accompanying notes are an integral part of the financial statements.
174
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Fannie Mae
Discount Note
1.131% 07/14/2004 $ 1,159,812 $ 1,159,812
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 1,159,812 1,159,812
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 1,159,812 1,159,812
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 5,412,456 5,412,456
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 1,546,416 1,546,416
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 1,159,812 1,159,812
General Electric
Capital Corp.
1.201% 07/19/2004 1,933,020 1,933,020
General Electric
Capital Corp.
1.211% 07/21/2004 1,935,256 1,935,256
General Electric
Capital Corp.
1.211% 07/22/2004 1,155,914 1,155,914
General Electric
Capital Corp.
1.221% 07/23/2004 382,674 382,674
General Electric
Capital Corp.
1.231% 07/26/2004 1,928,794 1,928,794
Goldman Sachs
Financial Square
Prime Obligations
Money Market Fund 1,933,020 1,933,020
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 2,319,624 2,319,624
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 1,159,812 1,159,812
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 6,185,664 6,185,664
Merrill Lynch Premier
Institutional Money
Market Fund 2,794,451 $ 2,794,451
Merrimac Cash Fund,
Premium Class $ 12,371,329 12,371,329
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 4,020,682 4,020,682
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 1,159,812 1,159,812
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 3,866,040 3,866,040
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 3,866,040 3,866,040
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 1,933,020 1,933,020
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 1,159,812 1,159,812
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 1,933,020 1,933,020
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 2,319,624 2,319,624
----------------
114,921,309
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 114,921,309
----------------
TOTAL INVESTMENTS -- 113.9%
(COST $814,099,320)*** 937,518,630
OTHER ASSETS/
(LIABILITIES) -- (13.9%) (114,461,572)
----------------
NET ASSETS -- 100.0% $ 823,057,058
================
</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).
+ Denotes all or a portion of security on loan.
++ 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. At June 30,
2004, these securities amounted to a value of $7,288,305 or 0.9% of net
assets.
The accompanying notes are an integral part of the financial statements.
175
<Page>
MASSMUTUAL OVERSEAS FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
EQUITIES -- 96.5%
ADVERTISING -- 1.8%
Aegis Group PLC 2,092,800 $ 3,417,526
Publicis Groupe+ 176,000 5,231,809
----------------
8,649,335
----------------
APPAREL, TEXTILES & SHOES -- 2.7%
Ansell Limited 190,600 1,029,209
Chargeurs SA 24,000 809,401
Fast Retailing Co. 25,400 2,069,548
Giordano International
Limited 3,404,000 2,156,806
Next PLC 75,020 1,940,493
Puma AG Rudolf
Dassler Sport 10,750 2,742,014
Toray Industries, Inc. 420,000 1,989,358
----------------
12,736,829
----------------
AUTOMOTIVE & PARTS -- 5.1%
Bayerische Motoren
Werke AG 173,600 7,703,701
Compagnie Generale des
Etablissements
Michelin Cl. B 66,000 3,661,840
Continental AG 40,430 1,957,166
Hyundai Motor Co. Limited 33,550 1,295,967
Lafarge SA 17,082 1,528,595
Porsche AG, Preference 2,180 1,463,141
Toyota Motor Corp. 61,500 2,501,763
Volvo AB Cl. B+ 87,220 3,044,779
Yamaha Motor Co. Limited 72,000 1,122,865
----------------
24,279,817
----------------
BANKING, SAVINGS & LOANS -- 12.5%
Aiful Corp. 16,200 1,704,487
Alpha Bank A.E. 56,386 1,437,185
Anglo Irish Bank
Corp. PLC 119,160 1,867,044
Australia & New Zealand
Banking Group Limited 435,300 5,550,034
Banco Popolare di
Verona e Novara Scrl 185,900 3,198,081
Bank of Ireland 603,500 8,061,344
BNP Paribas SA+ 48,300 2,980,452
Commonwealth
Bank of Australia 67,350 1,530,118
Credit Agricole SA 108,404 2,645,307
Credit Suisse Group* 114,850 4,092,525
Erste Bank der
oesterreichischen
Sparkassen AG 21,293 3,348,234
Hana Bank 59,540 $ 1,264,483
Mitsubishi Tokyo Financial
Group, Inc. 220 2,053,671
Royal Bank of Scotland
Group PLC 38,771 1,118,936
Sanpaolo IMI SpA 255,900 3,092,876
Sumitomo Mitsui Financial
Group, Inc.+ 640 4,402,430
Svenska
Handelsbanken AB Cl. A 56,200 1,128,389
UniCredito Italiano SpA 793,000 3,924,705
United Overseas Bank
Limited 561,000 4,371,042
Yokohama Bank Limited 209,000 1,312,745
----------------
59,084,088
----------------
BEVERAGES -- 6.3%
Diageo PLC 785,010 10,600,247
Fomento Economico
Mexicano SA de CV
Sponsored
ADR (Mexico)+ 75,400 3,456,336
Heineken Holding NV Cl. A 96,250 2,820,628
Heineken NV 32,250 1,061,143
Lotte Chilsung Beverage
Co. Limited 4,130 2,395,899
Molson Inc. Cl. A+ 70,000 1,774,082
Numico NV* 40,260 1,296,899
Pernod-Ricard SA 49,055 6,281,723
----------------
29,686,957
----------------
BROADCASTING, PUBLISHING & PRINTING -- 6 5%
Grupo Televisa SA
Sponsored
ADR (Mexico) 119,700 5,418,819
John Fairfax Holdings
Limited 1,988,400 5,174,462
Pearson PLC 183,490 2,234,494
Reed Elsevier PLC 784,500 7,641,705
United Business Media PLC 139,340 1,283,876
Vivendi Universal SA* 329,440 9,183,018
----------------
30,936,374
----------------
CHEMICALS -- 5.0%
Akzo Nobel, Inc. 173,500 6,396,452
Givaudan SA Registered 12,800 7,425,993
Lonza Group AG Registered 129,500 6,578,314
Syngenta AG* 38,500 3,235,346
----------------
23,636,105
----------------
COMMERCIAL SERVICES -- 2.7%
ABB Limited* 290,429 1,596,988
Abertis Infraestructuras SA 76,420 $ 1,333,978
Accenture Limited Cl. A* 41,000 1,126,680
Michael Page
International PLC 980,800 3,189,560
Mitsui & Co. Limited 275,000 2,070,990
Toppan Printing Co.
Limited 183,000 2,084,934
Yamato Transport Co.
Limited 78,000 1,276,514
----------------
12,679,644
----------------
COMMUNICATIONS -- 4.8%
America Movil SA de CV
Sponsored ADR
Series L (Mexico) 52,800 1,920,336
Ericsson (LM) Cl. B* 1,205,540 3,572,675
mmO2 PLC* 616,047 1,039,603
Mobile Telesystems OJSC
Sponsored ADR (Russia) 22,709 2,770,498
MTN Group Limited 260,080 1,194,193
SK Telecom Co. Limited 38,630 6,363,250
Telefonica SA 229,968 3,411,466
Telenor ASA 166,840 1,161,951
Vimpel-Communications
Sponsored
ADR (Russia)* 13,650 1,316,542
----------------
22,750,514
----------------
COMPUTER RELATED SERVICES -- 1.7%
Meitec Corp. 127,700 5,061,046
SAP AG 18,960 3,156,901
----------------
8,217,947
----------------
ELECTRIC UTILITIES -- 0.6%
Gamesa Corporacion
Tecnologica SA 109,540 1,618,289
Huaneng Power
International, Inc. 1,496,000 1,338,357
----------------
2,956,646
----------------
ELECTRICAL EQUIPMENT & ELECTRONICS -- 4.1%
Canon, Inc. 60,000 3,188,747
Casio Computer Co.
Limited 80,000 1,217,792
Olympus Corp. 200,000 3,800,127
Omron Corp. 75,000 1,760,665
Samsung Electronics Co.
Limited 10,200 4,241,862
Schneider Electric SA 31,580 2,161,178
Sharp Corp. 184,000 2,959,242
----------------
19,329,613
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
176
<Page>
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
ENERGY -- 3.9%
BP PLC 749,950 $ 6,627,878
Norsk Hydro ASA+ 33,020 2,149,819
Repsol YPF SA+ 142,770 3,133,646
Saipem SpA 81,818 745,774
Total SA 30,050 5,745,945
----------------
18,403,062
----------------
ENTERTAINMENT & LEISURE -- 0.6%
Nintendo Co. Limited 14,300 1,662,851
OPAP SA 58,300 1,102,863
----------------
2,765,714
----------------
FINANCIAL SERVICES -- 5.7%
Daiwa Securities
Group, Inc. 291,000 2,101,524
Deutsche Boerse AG+ 103,600 5,275,769
Euronext 283,600 7,915,146
ING Groep NV 76,290 1,811,020
Man Group PLC 100,036 2,594,289
ORIX Corp. 16,400 1,887,054
Societe Generale Cl. A 28,650 2,443,923
UBS AG Registered 43,610 3,082,606
----------------
27,111,331
----------------
FOODS -- 6.0%
Cadbury Schweppes PLC 1,106,570 9,561,790
Ito-Yokado Co. Limited 52,000 2,237,807
J Sainsbury PLC 641,000 3,316,994
Nestle SA 36,270 9,686,140
Tesco PLC 740,810 3,582,640
----------------
28,385,371
----------------
HEALTHCARE -- 0.1%
Fresenius Medical Care AG 8,760 652,141
----------------
HEAVY CONSTRUCTION -- 1.0%
ACS, Actividades de
Construccion y
Servicios SA 75,201 1,268,536
Grupo Ferrovial SA 42,691 1,780,693
Vinci SA 17,910 1,807,585
----------------
4,856,814
----------------
HEAVY MACHINERY -- 0.6%
Metso OYJ 234,200 2,975,084
----------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 1.1%
Matsushita Electric
Industrial Co. Limited 245,000 3,500,558
TOTO Limited 13,000 1,684,978
----------------
5,185,536
----------------
HOUSEHOLD PRODUCTS -- 2.0%
Henkel KGaA+ 65,600 $ 5,121,365
Reckitt Benckiser PLC 154,453 4,375,622
----------------
9,496,987
----------------
INDUSTRIAL - DIVERSIFIED -- 1.6%
Enodis PLC* 777,300 1,439,045
LVMH Moet Hennessy
Louis Vuitton SA 24,323 1,765,971
Siemens AG Registered 19,350 1,399,806
Tyco International Limited+ 86,200 2,856,668
----------------
7,461,490
----------------
INFORMATION RETRIEVAL SERVICES -- 0.2%
Yahoo Japan Corp.* 83 806,305
----------------
INSURANCE -- 1.1%
AXA SA 139,739 3,093,125
QBE Insurance Group
Limited 253,120 2,263,295
----------------
5,356,420
----------------
LODGING -- 0.1%
Accor SA 15,495 655,629
----------------
MEDICAL SUPPLIES -- 2.6%
Cie Generale D'Optique
Essilor International SA 19,480 1,272,928
Hoya Corp. 33,400 3,514,346
Orbotech Limited* 39,100 795,685
Smith & Nephew PLC 459,690 4,958,154
Synthes, Inc. 14,000 1,598,454
----------------
12,139,567
----------------
METALS & MINING -- 0.5%
BHP Billiton Limited 248,660 2,175,437
----------------
PHARMACEUTICALS -- 9.9%
Alcon, Inc. 14,070 1,106,606
AstraZeneca PLC 49,760 2,237,213
Aventis SA+ 73,700 5,574,860
Chugai Pharmaceutical Co.
Limited 107,999 1,698,065
GlaxoSmithKline PLC 466,700 9,465,548
Haw Par Corp. Limited 1,349 4,013
Novartis AG 252,040 11,145,805
Roche Holding AG 54,929 5,449,060
Takeda Chemical
Industries Limited 171,200 7,547,718
Teva Pharmaceutical
Sponsored ADR (Israel)+ 39,360 2,648,534
----------------
46,877,422
----------------
RESTAURANTS -- 0.3%
Enterprise Inns PLC 149,670 1,563,957
----------------
RETAIL -- 4.0%
Compagnie Financiere
Richemont AG, A Units 65,400 $ 1,714,986
Esprit Holdings Limited 298,000 1,339,904
Li & Fung Limited 588,000 861,932
Marui Co. Limited 163,500 2,220,472
Metro AG 34,190 1,626,431
Shoppers Drug Mart
Corp. (CAD)* 45,994 1,145,776
Signet Group PLC 2,576,000 5,355,598
The Swatch Group
AG Cl. B+ 26,300 3,431,526
Wolseley PLC 74,220 1,152,271
----------------
18,848,896
----------------
TELEPHONE UTILITIES -- 0.4%
Amdocs Limited* 51,130 1,197,976
Tele Norte Leste
Participacoes SA 49,370 628,480
----------------
1,826,456
----------------
TRANSPORTATION -- 1.0%
Associated British Ports
Holdings PLC 630,200 4,624,644
----------------
TOTAL EQUITIES
(COST $396,026,870) 457,112,132
----------------
RIGHTS -- 0.2%
ELECTRIC UTILITIES
Terna SpA* 466,104 1,009,412
----------------
TOTAL RIGHTS
(COST $985,411) 1,009,412
----------------
MUTUAL FUND -- 0.3%
FINANCIAL SERVICES
iShares MSCI EAFE
Index Fund+ 10,000 1,430,400
----------------
TOTAL MUTUAL FUND
(COST $1,388,600) 1,430,400
----------------
TOTAL LONG TERM INVESTMENTS
(COST $398,400,881) 459,551,944
----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
SHORT-TERM INVESTMENTS -- 11.8%
CASH EQUIVALENTS -- 9.0%**
American AAdvantage
Select Money
Market Fund 1,148,056 1,148,056
</Table>
The accompanying notes are an integral part of the financial statements.
177
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
Bank of America
Bank Note
1.500% 07/21/2004 $ 1,578,581 $ 1,578,581
Bank of America
Eurodollar
Time Deposit
1.080% 07/19/2004 1,435,072 1,435,072
Bank of America
Eurodollar
Time Deposit
1.100% 07/07/2004 373,118 373,118
Bank of Montreal
Eurodollar
Time Deposit
1.200% 07/23/2004 1,200,529 1,200,529
Bank of the West
Eurodollar
Time Deposit
1.280% 07/28/2004 1,148,058 1,148,058
BGIF Prime Money
Market Fund 2,210,011 2,210,011
BNP Paribas
Eurodollar
Time Deposit
1.080% 07/29/2004 717,537 717,537
Branch Banker & Trust
Eurodollar
Time Deposit
1.080% 07/14/2004 143,507 143,507
Canadian Imperial
Bank of Commerce
Bank Note
1.440% 05/18/2005 2,870,144 2,870,144
Caylon
Eurodollar
Time Deposit
1.040% 07/06/2004 2,296,116 2,296,116
Caylon
Eurodollar
Time Deposit
1.170% 08/04/2004 1,148,058 1,148,058
Caylon
Eurodollar
Time Deposit
1.340% 08/24/2004 1,046,168 1,046,168
Fannie Mae
Discount Note
0.960% 07/01/2004 861,044 861,044
Fannie Mae
Discount Note
1.131% 07/14/2004 430,521 430,521
Federal Home Loan
Bank Discount Note
0.970% 07/02/2004 430,521 430,521
Federal Home Loan
Bank Discount Note
0.990% 07/01/2004 430,521 430,521
Fortis Bank
Eurodollar
Time Deposit
1.090% 07/08/2004 $ 2,009,102 $ 2,009,102
Fortis Bank
Eurodollar
Time Deposit
1.190% 07/14/2004 574,028 574,028
Fortis Bank
Eurodollar
Time Deposit
1.290% 09/03/2004 430,521 430,521
General Electric
Capital Corp.
1.201% 07/19/2004 717,537 717,537
General Electric
Capital Corp.
1.211% 07/21/2004 718,367 718,367
General Electric
Capital Corp.
1.211% 07/22/2004 429,075 429,075
General Electric
Capital Corp.
1.221% 07/23/2004 142,048 142,048
General Electric
Capital Corp.
1.231% 07/26/2004 715,967 715,967
Goldman Sachs Financial
Square Prime
Obligations Money
Market Fund 717,537 717,537
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/14/2004 861,044 861,044
HBOS Halifax
Bank of Scotland
Eurodollar
Time Deposit
1.300% 09/03/2004 430,521 430,521
Keybank
Eurodollar
Time Deposit
1.250% 07/01/2004 2,296,116 2,296,116
Merrill Lynch Premier
Institutional Money
Market Fund 1,037,299 1,037,299
Merrimac Cash Fund,
Premium Class 4,592,231 4,592,231
Morgan Stanley Dean
Witter & Co.
1.580% 10/22/2004 1,492,475 1,492,475
Royal Bank of Canada
Eurodollar
Time Deposit
1.050% 07/08/2004 430,521 430,521
Royal Bank of Canada
Eurodollar
Time Deposit
1.100% 07/02/2004 $ 1,435,072 $ 1,435,072
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/07/2004 1,435,072 1,435,072
Royal Bank of Scotland
Eurodollar
Time Deposit
1.050% 07/15/2004 717,537 717,537
Royal Bank of Scotland
Eurodollar
Time Deposit
1.150% 08/10/2004 430,521 430,521
Wells Fargo
Eurodollar
Time Deposit
1.190% 07/14/2004 717,537 717,537
Wells Fargo
Eurodollar
Time Deposit
1.250% 07/23/2004 861,044 861,044
----------------
42,658,734
----------------
REPURCHASE AGREEMENT -- 2.8%
Investors Bank & Trust
Company Repurchase
Agreement, dated
06/30/2004, 0.70%,
due 07/01/2004(a) 13,225,789 13,225,789
----------------
TOTAL SHORT-TERM
INVESTMENTS
(AT AMORTIZED COST) 55,884,523
----------------
TOTAL INVESTMENTS -- 108.8%
(COST $454,285,404)*** 515,436,467
OTHER ASSETS/
(LIABILITIES) -- (8.8%) (41,700,917)
----------------
NET ASSETS -- 100.0% $ 473,735,550
================
</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).
+ Denotes all or a portion of security on loan.
(a) Maturity value of $13,226,046. Collaterized by U.S. Government Agency
obligation with a rate of 4.270%, maturity date of 05/25/2028, and an
aggregate market value, including accrued interest, of $13,887,079.
The accompanying notes are an integral part of the financial statements.
178
<Page>
MASSMUTUAL DESTINATION RETIREMENT INCOME FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
MUTUAL FUNDS -- 100.0%
FINANCIAL SERVICES
MassMutual Core Bond
Fund, Class S 2,409,267 $ 26,670,586
MassMutual Diversified
Bond Fund, Class S 2,357,351 25,152,936
MassMutual Growth
Equity Fund, Class S* 1,882,140 14,567,767
MassMutual
Inflation-Protected
Bond Fund, Class S* 2,617,979 26,624,851
MassMutual Large Cap
Value Fund, Class S 1,471,184 14,461,742
MassMutual Money
Market Fund, Class S 7,934,725 7,934,725
MassMutual Overseas
Fund, Class S 804,290 8,115,287
MassMutual
Short-Duration
Bond Fund, Class S 2,275,819 23,577,487
MassMutual Small Cap
Equity Fund, Class S 820,724 11,637,867
----------------
158,743,248
----------------
TOTAL MUTUAL FUNDS
(COST $158,537,025)** 158,743,248
----------------
TOTAL INVESTMENTS -- 100.0%
OTHER ASSETS/
(LIABILITIES) -- (0.0%) (37,577)
----------------
NET ASSETS -- 100.0% $ 158,705,671
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Aggregate cost for Federal tax purposes. (NOTE 7).
The following represents securities, held by the underlying Funds in which the
Fund invests, whose value aggregates to more than 5% of the Fund's net assets as
of June 30. 2004:
<Table>
<Caption>
NUMBER OF MARKET
EQUITIES SHARES VALUE
---------------- ----------------
Fannie Mae 4,741 $ 338,339
---------------- ----------------
<Caption>
PRINCIPAL
AMOUNT
----------------
U.S. GOVERNMENT AGENCY OBLIGATIONS
FNMA
4.500% 09/01/2018 $ 17,393 17,021
FNMA
5.000% 03/1/2018-
07/01/2034 1,005,678 974,531
FNMA
5.500% 03/1/2017-
05/01/2018 204,703 209,843
FNMA
6.420% 11/01/2008 166,570 179,394
FNMA
6.500% 07/1/2016-
05/01/2017 35,734 37,814
FNMA
7.000% 07/01/2032 13,979 14,780
FNMA
7.500% 04/1/2031-
10/01/2031 30,470 32,762
FNMA
8.000% 05/1/2013-
09/01/2031 48,499 52,709
FNMA
8.500% 08/01/2026 7,186 7,776
FNMA
9.000% 10/01/2009 3,967 4,248
FNMA (Benchmark Note)
5.500% 03/15/2011 2,365,500 2,474,566
FNMA (Benchmark Note)
6.000% 12/15/2005 1,995,000 2,090,953
FNMA (Benchmark Note)
6.500% 08/15/2004 1,852,500 1,864,743
FNMA Series 1989-20,
Class A
6.750% 04/25/2018 41,637 44,025
----------------
$ 8,005,164
----------------
GNMA
5.000% 05/15/2033-
07/01/2034 5,530,889 5,374,309
GNMA
5.500% 06/15/2033-
07/01/2034 $ 2,494,802 $ 2,494,970
GNMA
6.000% 08/15/2028-
03/15/2033 210,338 216,466
GNMA
6.500% 09/15/2023-
09/15/2032 244,735 256,830
GNMA
7.000% 08/15/2023-
08/15/2032 143,972 153,462
GNMA
7.250% 07/20/2021-
07/20/2022 43,163 46,125
GNMA
7.500% 01/15/2017-
08/15/2029 49,881 54,009
GNMA
8.000% 11/15/2005-
04/15/2030 40,753 44,772
GNMA
9.000% 12/15/2004-
10/15/2009 136 144
----------------
$ 8,641,087
----------------
U.S. TREASURY OBLIGATIONS
U.S. Treasury Bill
0.895% 07/22/2004 70,640 70,603
U.S. Treasury Bill
0.920% 07/01/2004 265,280 265,280
U.S. Treasury Bill
0.925% 07/08/2004 188,720 188,686
U.S. Treasury Bill
0.940% 07/15/2004-
07/29/2004 264,400 264,400
U.S. Treasury Bill
0.955% 08/12/2004-
08/19/2004 293,600 293,244
U.S. Treasury Bill
0.960% 08/05/2004 177,920 177,754
U.S. Treasury Bill
0.965% 07/22/2004 154,000 153,913
U.S. Treasury Bill
0.978% 07/22/2004 75,360 75,317
U.S. Treasury Bill
0.980% 07/15/2004 187,520 187,449
U.S. Treasury Bill
0.990% 08/26/2004 106,960 106,795
U.S. Treasury Bill
1.000% 09/30/2004 114,400 114,111
</Table>
The accompanying notes are an integral part of the financial statements.
179
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
U.S. Treasury Bill
1.035% 09/09/2004 $ 180,800 $ 180,436
U.S. Treasury Bill
1.040% 09/02/2004 109,680 109,480
U.S. Treasury Bill
1.068% 09/16/2004 118,400 118,130
U.S. Treasury Bill
1.074% 08/12/2004 134,240 134,072
U.S. Treasury Bill
1.085% 09/23/2004-
10/07/2004 484,400 483,080
U.S. Treasury Bill
1.090% 10/14/2004 130,240 129,826
U.S. Treasury Bill
1.100% 08/26/2004 79,440 79,304
U.S. Treasury Bill
1.135% 09/30/2004 131,200 130,824
U.S. Treasury Bill
1.160% 09/02/2004 152,000 151,691
U.S. Treasury Bill
1.165% 08/19/2004 77,440 77,317
U.S. Treasury Bill
1.230% 09/16/2004 146,000 145,616
U.S. Treasury Bill
1.345% 11/18/2004 170,880 169,986
U.S. Treasury Bond
6.125% 11/15/2027-
08/15/2029 1,219,421 1,340,694
U.S. Treasury Bond
6.875% 08/15/2025 111,435 132,573
U.S. Treasury Bond
7.125% 02/15/2023 230,840 279,894
U.S. Treasury Bond
7.500% 11/15/2016 137,564 169,634
U.S. Treasury Bond
8.875% 08/15/2017 299,897 411,046
U.S. Treasury
Inflation Index
1.875% 07/15/2013 2,373,067 2,343,033
U.S. Treasury
Inflation Index
2.000% 01/15/2014 2,476,684 2,460,431
U.S. Treasury
Inflation Index
3.000% 07/15/2012 2,803,910 3,028,661
U.S. Treasury
Inflation Index
3.375% 01/15/2012-
04/15/2032 1,331,269 1,538,021
U.S. Treasury
Inflation Index
3.500% 01/15/2011 1,378,791 1,530,889
U.S. Treasury
Inflation Index
3.625% 01/15/2008-
04/15/2028 $ 5,740,911 $ 6,557,620
U.S. Treasury
Inflation Index
3.875% 01/15/2009-
04/15/2029 5,749,152 6,821,881
U.S. Treasury
Inflation Index
4.250% 01/15/2010 1,482,210 1,695,973
U.S. Treasury Note
1.875% 11/30/2005 1,140,000 1,131,984
U.S. Treasury Note
2.000% 05/15/2006 370,500 366,158
U.S. Treasury Note
3.375% 11/15/2008 5,390,768 5,333,491
U.S. Treasury Note
3.875% 02/15/2013 1,123,879 1,074,885
U.S. Treasury Note
4.375% 05/15/2007 684,000 707,085
U.S. Treasury Note
5.000% 08/15/2011 587,250 613,309
U.S. Treasury Note
6.500% 10/15/2006 769,500 830,699
----------------
$ 42,175,275
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
180
<Page>
MASSMUTUAL DESTINATION RETIREMENT 2010 FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
MUTUAL FUNDS -- 100.2%
FINANCIAL SERVICES
MassMutual
Core Bond Fund, Class S 71,524 $ 791,765
MassMutual Diversified
Bond Fund, Class S 74,488 794,787
MassMutual Fundamental
Value Fund, Class S 26,084 268,668
MassMutual Growth
Equity Fund, Class S* 76,071 588,787
MassMutual
Inflation-Protected
Bond Fund, Class S* 77,876 792,002
MassMutual Large Cap
Value Fund, Class S 32,716 321,599
MassMutual Mid Cap
Growth Equity II Fund,
Class S* 22,479 275,146
MassMutual Money
Market Fund, Class S 264,191 264,191
MassMutual
Overseas Fund, Class S 37,298 376,334
MassMutual Short-Duration
Bond Fund, Class S 50,898 527,300
MassMutual Small Cap
Equity Fund, Class S 23,331 330,836
----------------
5,331,415
----------------
TOTAL MUTUAL FUNDS
(COST $5,280,349)** 5,331,415
----------------
TOTAL INVESTMENTS -- 100.2%
OTHER ASSETS/
(LIABILITIES) -- (0.2%) (11,649)
----------------
NET ASSETS -- 100.0% $ 5,319,766
----------------
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security
** Aggregate cost for Federal tax purposes. (NOTE 7).
The following represents securities, held by the underlying Funds in which the
Fund invests, whose value aggregates to more than 5% of the Fund's net assets as
of June 30. 2004:
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
U.S. TREASURY OBLIGATIONS
U.S. Treasury Bill
0.895% 07/22/2004 $ 2,208 $ 2,206
U.S. Treasury Bill
0.920% 07/1/2004 8,290 8,290
U.S. Treasury Bill
0.925% 07/8/2004 5,898 5,896
U.S. Treasury Bill
0.940% 07/15/2004-
07/29/2004 8,263 8,257
U.S. Treasury Bill
0.955% 08/12/2004-
08/19/2004 9,175 9,164
U.S. Treasury Bill
0.960% 08/5/2004 5,560 5,555
U.S. Treasury Bill
0.965% 07/22/2004 4,813 4,810
U.S. Treasury Bill
0.978% 07/22/2004 2,355 2,354
U.S. Treasury Bill
0.980% 07/15/2004 5,860 5,858
U.S. Treasury Bill
0.990% 08/26/2004 3,343 3,337
U.S. Treasury Bill
1.000% 09/30/2004 3,575 3,566
U.S. Treasury Bill
1.035% 09/9/2004 5,650 5,639
U.S. Treasury Bill
1.040% 09/2/2004 3,428 3,421
U.S. Treasury Bill
1.068% 09/16/2004 3,700 3,692
U.S. Treasury Bill
1.074% 08/12/2004 4,195 4,190
U.S. Treasury Bill
1.085% 09/23/2004-
10/7/2004 15,138 15,096
U.S. Treasury Bill
1.090% 10/14/2004 4,070 4,057
U.S. Treasury Bill
1.100% 08/26/2004 2,483 2,478
U.S. Treasury Bill
1.135% 09/30/2004 4,100 4,088
U.S. Treasury Bill
1.160% 09/2/200 44,750 4,740
U.S. Treasury Bill
1.165% 08/19/2004 2,420 2,416
U.S. Treasury Bill
1.230% 09/16/2004 $ 4,563 $ 4,550
U.S. Treasury Bill
1.345% 11/18/2004 5,340 5,312
U.S. Treasury Bond
6.125% 11/15/2027-
08/15/2029 37,741 41,496
U.S. Treasury Bond
6.875% 08/15/2025 3,278 3,899
U.S. Treasury Bond
7.125% 02/15/2023 7,160 8,682
U.S. Treasury Bond
7.500% 11/15/2016 4,046 4,989
U.S. Treasury Bond
8.875% 08/15/2017 8,821 12,090
U.S. Treasury
Inflation Index
1.875% 07/15/2013 70,713 69,818
U.S. Treasury
Inflation Index
2.000% 01/15/2014 73,800 73,316
U.S. Treasury
Inflation Index
3.000% 07/15/2012 83,551 90,248
U.S. Treasury
Inflation Index
3.375% 01/15/2012-
04/15/2032 39,669 45,830
U.S. Treasury
Inflation Index
3.500% 01/15/2011 41,085 45,617
U.S. Treasury
Inflation Index
3.625% 01/15/2008-
04/15/2028 171,068 195,404
U.S. Treasury
Inflation Index
3.875% 01/15/2009-
04/15/2029 171,313 203,278
U.S. Treasury
Inflation Index
4.250% 01/15/2010 44,167 50,537
U.S. Treasury Note
1.875% 11/30/2005 36,000 35,747
U.S. Treasury Note
2.000% 05/15/2006 11,700 11,563
U.S. Treasury Note
3.375% 11/15/2008 163,733 161,993
U.S. Treasury Note
3.875% 02/15/2013 30,636 29,300
</Table>
The accompanying notes are an integral part of the financial statements.
181
<Page>
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
U.S. Treasury Note
4.375% 05/15/2007 $ 21,600 $ 22,329
U.S. Treasury Note
5.000% 08/15/2011 18,075 18,877
U.S. Treasury Note
6.500% 10/15/2006 17,550 18,946
----------------
$ 1,262,931
----------------
</Table>
The remainder of this page is intentionally left blank.
The accompanying notes are an integral part of the financial statements.
182
<Page>
MASSMUTUAL DESTINATION RETIREMENT 2020 FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
MUTUAL FUNDS -- 100.0%
FINANCIAL SERVICES
MassMutual Aggressive
Growth Fund, Class S* 3,303,517 $ 18,598,801
MassMutual Core
Bond Fund, Class S 2,093,055 23,170,114
MassMutual Diversified
Bond Fund, Class S 1,996,178 21,299,221
MassMutual Focused
Value Fund, Class S 556,458 9,988,419
MassMutual Fundamental
Value Fund, Class S 1,751,226 18,037,623
MassMutual Growth
Equity Fund, Class S* 2,328,620 18,023,522
MassMutual
Inflation-Protected
Bond Fund, Class S* 2,249,652 22,878,963
MassMutual Large Cap
Value Fund, Class S 1,827,093 17,960,321
MassMutual Mid Cap
Growth Equity II
Fund, Class S* 846,119 10,356,500
MassMutual
Overseas Fund, Class S 1,790,440 18,065,535
MassMutual Short-Duration
Bond Fund, Class S 935,626 9,693,090
MassMutual Small Cap
Equity Fund, Class S 721,503 10,230,917
----------------
198,303,026
----------------
TOTAL MUTUAL FUNDS
(COST $196,913,523)** 198,303,026
----------------
TOTAL INVESTMENTS -- 100.0%
OTHER ASSETS/
(LIABILITIES) -- (0.0%) (53,111)
----------------
NET ASSETS -- 100.0% $ 198,249,915
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Aggregate cost for Federal tax purposes. (NOTE 7).
The following represents securities, held by the underlying Funds in which the
Fund invests, whose value aggregates to more than 5% of the Fund's net assets as
of June 30. 2004:
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
U.S. TREASURY OBLIGATIONS
U.S. Treasury Bond
6.125% 11/15/2027-
08/15/2029 $ 1,041,135 $ 1,144,653
U.S. Treasury Bond
6.875% 08/15/2025 98,325 116,976
U.S. Treasury Bond
7.125% 02/15/2023 196,800 238,620
U.S. Treasury Bond
7.500% 11/15/2016 121,380 149,677
U.S. Treasury Bond
8.875% 08/15/2017 264,615 362,688
U.S. Treasury
Inflation Index
1.875% 07/15/2013 203,748 201,169
U.S. Treasury
Inflation Index
2.000% 01/15/2014 212,645 211,249
U.S. Treasury
Inflation Index
3.000% 07/15/2012 240,740 260,037
U.S. Treasury
Inflation Index
3.375% 01/15/2012-
04/15/2032 114,301 132,052
U.S. Treasury
Inflation Index
3.500% 01/15/2011 118,381 131,440
U.S. Treasury
Inflation Index
3.625% 01/15/2008-
04/15/2028 492,907 563,028
U.S. Treasury
Inflation Index
3.875% 01/15/2009-
04/15/2029 493,614 585,717
U.S. Treasury
Inflation Index
4.250% 01/15/2010 127,260 145,614
U.S. Treasury Note
1.875% 11/30/2005 960,000 953,250
U.S. Treasury Note
2.000% 05/15/2006 312,000 308,344
U.S. Treasury Note
3.375% 11/15/2008 4,578,570 4,529,923
U.S. Treasury Note
3.875% 02/15/2013 $ 800,025 $ 765,149
U.S. Treasury Note
4.375% 05/15/2007 576,000 595,440
U.S. Treasury Note
5.000% 08/15/2011 503,250 525,582
U.S. Treasury Note
6.500% 10/15/2006 310,500 335,194
----------------
$ 12,255,802
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
183
<Page>
MASSMUTUAL DESTINATION RETIREMENT 2030 FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
MUTUAL FUNDS -- 100.0%
FINANCIAL SERVICES
MassMutual Aggressive
Growth Fund, Class S* 3,607,981 $ 20,312,935
MassMutual Diversified
Bond Fund, Class S 1,043,353 11,132,579
MassMutual Emerging
Growth Fund, Class S 1,789,920 9,772,961
MassMutual Focused
Value Fund, Class S 456,547 8,195,015
MassMutual Fundamental
Value Fund, Class S 2,075,641 21,379,098
MassMutual Growth
Equity Fund, Class S* 2,759,616 21,359,431
MassMutual
Inflation-Protected
Bond Fund, Class S* 1,232,066 12,530,111
MassMutual Large Cap
Value Fund, Class S 1,998,524 19,645,494
MassMutual Mid Cap
Growth Equity II
Fund, Class S* 693,680 8,490,639
MassMutual
Overseas Fund, Class S 2,121,813 21,409,093
MassMutual Small
Company Value Fund,
Class S 765,701 10,191,475
----------------
164,418,831
----------------
TOTAL MUTUAL FUNDS
(COST $161,570,801)** 164,418,831
----------------
TOTAL INVESTMENTS -- 100.0%
OTHER ASSETS/
(LIABILITIES) -- (0.0%) (46,888)
----------------
NET ASSETS -- 100.0% $ 164,371,943
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Aggregate cost for Federal tax purposes. (NOTE 7).
The following represents securities, held by the underlying Funds in which the
Fund invests, whose value aggregates to more than 5% of the Fund's net assets as
of June 30. 2004:
<Table>
<Caption>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ----------------
U.S. TREASURY OBLIGATIONS
U.S. Treasury Bond
6.125% 08/15/2029 $ 379,500 $ 417,509
U.S. Treasury Bond
7.125% 02/15/2023 75,000 90,938
U.S. Treasury
Inflation Index
1.875% 07/15/2013 1,114,622 1,100,515
U.S. Treasury
Inflation Index
2.000% 01/15/2014 1,163,291 1,155,657
U.S. Treasury
Inflation Index
3.000% 07/15/2012 1,316,988 1,422,553
U.S. Treasury
Inflation Index
3.375% 01/15/2012-
04/15/2032 625,293 722,404
U.S. Treasury
Inflation Index
3.500% 01/15/2011 647,614 719,054
U.S. Treasury
Inflation Index
3.625% 01/15/2008-
04/15/2028 2,696,489 3,080,094
U.S. Treasury
Inflation Index
3.875% 01/15/2009-
04/15/2029 2,700,359 3,204,217
U.S. Treasury
Inflation Index
4.250% 01/15/2010 696,190 796,593
U.S. Treasury Note
1.875% 11/30/2005 500,000 496,484
U.S. Treasury Note
2.000% 05/15/2006 162,500 160,596
U.S. Treasury Note
3.375% 11/15/2008 1,230,250 1,217,179
U.S. Treasury Note
3.875% 02/15/2013 36,000 34,431
U.S. Treasury Note
4.375% 05/15/2007 300,000 310,125
U.S. Treasury Note
5.000% 08/15/2011 162,500 169,711
----------------
$ 15,098,060
----------------
</Table>
The accompanying notes are an integral part of the financial statements.
184
<Page>
MASSMUTUAL DESTINATION RETIREMENT 2040 FUND - PORTFOLIO OF INVESTMENTS
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
NUMBER OF MARKET
SHARES VALUE
---------------- ----------------
MUTUAL FUNDS -- 100.0%
FINANCIAL SERVICES
MassMutual Aggressive
Growth Fund, Class S* 2,734,065 $ 15,392,785
MassMutual Emerging
Growth Fund, Class S 1,081,224 5,903,482
MassMutual Focused
Value Fund, Class S 331,598 5,952,177
MassMutual Fundamental
Value Fund, Class S 1,449,137 14,926,108
MassMutual Growth
Equity Fund, Class S* 1,926,796 14,913,399
MassMutual Large Cap
Value Fund, Class S 1,512,094 14,863,883
MassMutual Mid Cap
Growth Equity II Fund,
Class S* 504,061 6,169,707
MassMutual Overseas
Fund, Class S 1,481,455 14,947,879
MassMutual Small
Company Value Fund,
Class S 540,680 7,196,454
----------------
100,265,874
----------------
TOTAL MUTUAL FUNDS
(COST $97,805,424)** 100,265,874
----------------
TOTAL INVESTMENTS -- 100.0%
OTHER ASSETS/
(LIABILITIES) -- (0.0%) (32,130)
----------------
NET ASSETS -- 100.0% $ 100,233,744
================
</Table>
NOTES TO PORTFOLIO OF INVESTMENTS
* Non-income producing security.
** Aggregate cost for Federal tax purposes. (NOTE 7).
The remainder of this page is intentionally left blank.
The accompanying notes are an integral part of the financial statements.
185
<Page>
MASSMUTUAL INSTITUTIONAL FUNDS - FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
MONEY SHORT-DURATION
MARKET BOND
FUND FUND
-------------------- --------------------
ASSETS:
Investments, at value (NOTE 2)(a) $ - $ 333,895,575
Short-term investments, at value (NOTE 2)(b) 481,672,243 108,899,274
-------------------- --------------------
Total Investments(c) 481,672,243 442,794,849
-------------------- --------------------
Cash - -
Foreign currency, at value(d) - -
Receivables from:
Investments sold - -
Open forward foreign currency contracts (NOTE 2) - -
Investment adviser (NOTE 3) - -
Interest and dividends - 3,861,022
Variation margin on open futures contracts (NOTE 2) - -
Settlement of investments purchased on a commitment basis (NOTE 2) - 81,281
Foreign taxes withheld - -
Prepaid expenses 44,923 -
-------------------- --------------------
Total assets 481,717,166 446,737,152
-------------------- --------------------
LIABILITIES:
Payables for:
Investments purchased - -
Dividends (NOTE 2) 193,718 -
Fund shares repurchased - -
Securities on loan (NOTE 2) - 31,338,092
Directors' fees and expenses (NOTE 3) 13,376 8,189
Affiliates (NOTE 3):
Investment management fees 148,703 148,930
Administration fees 51,079 73,425
Service fees 43,547 32,799
Distribution fees - 64
Due to custodian 4,633 6,483,426
Accrued expenses and other liabilities 25,777 24,929
-------------------- --------------------
Total liabilities 480,833 38,109,854
-------------------- --------------------
NET ASSETS $ 481,236,333 $ 408,627,298
==================== ====================
NET ASSETS CONSIST OF:
Paid-in capital $ 481,249,311 $ 403,494,390
Undistributed net investment income (distributions in excess of
net investment income and net realized gain on investments) (10,164) 5,945,108
Accumulated net realized gain (loss) on investments, forward
commitments, futures contracts, swap contracts, written
options and foreign currency translations (2,814) (3,031,401)
Net unrealized appreciation (depreciation) on investments, forward
commitments, futures contracts, swap contracts, written options,
foreign currency and other assets and liabilities - 2,219,201
-------------------- --------------------
NET ASSETS $ 481,236,333 $ 408,627,298
==================== ====================
(a) Cost of investments: $ - $ 331,750,526
(b) Cost of short-term investments: 481,672,243 108,906,403
(c) Securities on loan with market value of: - 30,730,352
(d) Cost of foreign currency: - -
</Table>
The accompanying notes are an integral part of the financial statements.
186
<Page>
<Table>
<Caption>
MASSMUTUAL
INFLATION-PROTECTED MASSMUTUAL
BOND CORE BOND
FUND FUND
-------------------- --------------------
ASSETS:
Investments, at value (NOTE 2)(a) $ 131,194,486 $ 1,293,618,147
Short-term investments, at value (NOTE 2)(b) 1,528,664 403,167,608
-------------------- --------------------
Total Investments(c) 132,723,150 1,696,785,755
-------------------- --------------------
Cash 70,396 55,549
Foreign currency, at value(d) - -
Receivables from:
Investments sold - 52,854
Open forward foreign currency contracts (NOTE 2) - -
Investment adviser (NOTE 3) 2,226 -
Interest and dividends 1,507,529 15,495,458
Variation margin on open futures contracts (NOTE 2) - -
Settlement of investments purchased on a commitment basis (NOTE 2) - 1,839,319
Foreign taxes withheld - -
Prepaid expenses - -
-------------------- --------------------
Total assets 134,303,301 1,714,228,935
-------------------- --------------------
LIABILITIES:
Payables for:
Investments purchased - -
Dividends (NOTE 2) - -
Fund shares repurchased - -
Securities on loan (NOTE 2) - 212,279,990
Directors' fees and expenses (NOTE 3) 158 36,346
Affiliates (NOTE 3):
Investment management fees 56,115 645,509
Administration fees 13,357 196,818
Service fees 430 130,748
Distribution fees 63 727
Due to custodian - -
Accrued expenses and other liabilities 3,786 38,563
-------------------- --------------------
Total liabilities 73,909 213,328,701
-------------------- --------------------
NET ASSETS $ 134,229,392 $ 1,500,900,234
==================== ====================
NET ASSETS CONSIST OF:
Paid-in capital $ 137,363,310 $ 1,461,984,982
Undistributed net investment income (distributions in excess of
net investment income and net realized gain on investments) 1,543,639 24,610,344
Accumulated net realized gain (loss) on investments, forward
commitments, futures contracts, swap contracts, written
options and foreign currency translations 148,817 4,901,545
Net unrealized appreciation (depreciation) on investments, forward
commitments, futures contracts, swap contracts, written options,
foreign currency and other assets and liabilities (4,826,374) 9,403,363
-------------------- --------------------
NET ASSETS $ 134,229,392 $ 1,500,900,234
==================== ====================
(a) Cost of investments: $ 136,020,860 $ 1,286,052,814
(b) Cost of short-term investments: 1,528,664 403,168,897
(c) Securities on loan with market value of: - 207,588,350
(d) Cost of foreign currency: - -
<Caption>
MASSMUTUAL
DIVERSIFIED MASSMUTUAL
BOND BALANCED
FUND FUND
-------------------- --------------------
ASSETS:
Investments, at value (NOTE 2)(a) $ 206,589,327 $ 257,070,785
Short-term investments, at value (NOTE 2)(b) 11,488,445 46,783,025
-------------------- --------------------
Total Investments(c) 218,077,772 303,853,810
-------------------- --------------------
Cash 48,443 15,485
Foreign currency, at value(d) - -
Receivables from:
Investments sold 249,475 2,884,293
Open forward foreign currency contracts (NOTE 2) - -
Investment adviser (NOTE 3) - -
Interest and dividends 2,207,410 1,163,220
Variation margin on open futures contracts (NOTE 2) - 16,100
Settlement of investments purchased on a commitment basis (NOTE 2) - -
Foreign taxes withheld - -
Prepaid expenses - -
-------------------- --------------------
Total assets 220,583,100 307,932,908
-------------------- --------------------
LIABILITIES:
Payables for:
Investments purchased 655,658 -
Dividends (NOTE 2) - -
Fund shares repurchased - -
Securities on loan (NOTE 2) - 24,033,231
Directors' fees and expenses (NOTE 3) 2,241 7,851
Affiliates (NOTE 3):
Investment management fees 97,011 122,083
Administration fees 29,462 25,238
Service fees 10,721 4,866
Distribution fees 74 329
Due to custodian - -
Accrued expenses and other liabilities 18,224 938
-------------------- --------------------
Total liabilities 813,391 24,194,536
-------------------- --------------------
NET ASSETS $ 219,769,709 $ 283,738,372
==================== ====================
NET ASSETS CONSIST OF:
Paid-in capital $ 217,067,486 $ 316,672,071
Undistributed net investment income (distributions in excess of
net investment income and net realized gain on investments) 3,638,321 2,661,620
Accumulated net realized gain (loss) on investments, forward
commitments, futures contracts, swap contracts, written
options and foreign currency translations 866,842 (50,919,600)
Net unrealized appreciation (depreciation) on investments, forward
commitments, futures contracts, swap contracts, written options,
foreign currency and other assets and liabilities (1,802,940) 15,324,281
-------------------- --------------------
NET ASSETS $ 219,769,709 $ 283,738,372
==================== ====================
(a) Cost of investments: $ 208,392,267 $ 241,769,856
(b) Cost of short-term investments: 11,488,445 46,783,025
(c) Securities on loan with market value of: - 23,420,960
(d) Cost of foreign currency: - -
<Caption>
MASSMUTUAL MASSMUTUAL
STRATEGIC CORE VALUE
BALANCED EQUITY
FUND FUND
-------------------- --------------------
ASSETS:
Investments, at value (NOTE 2)(a) $ 207,543,843 $ 853,213,981
Short-term investments, at value (NOTE 2)(b) 21,604,062 51,578,311
-------------------- --------------------
Total Investments(c) 229,147,905 904,792,292
-------------------- --------------------
Cash - -
Foreign currency, at value(d) 563 -
Receivables from:
Investments sold 4,548,309 5,365,470
Open forward foreign currency contracts (NOTE 2) 6,000 -
Investment adviser (NOTE 3) 2,414 -
Interest and dividends 917,475 1,846,200
Variation margin on open futures contracts (NOTE 2) 5,331 -
Settlement of investments purchased on a commitment basis (NOTE 2) 139,180 -
Foreign taxes withheld 39 7,641
Prepaid expenses - -
-------------------- --------------------
Total assets 234,767,216 912,011,603
-------------------- --------------------
LIABILITIES:
Payables for:
Investments purchased 4,715,590 285,038
Dividends (NOTE 2) - -
Fund shares repurchased 13,797 -
Securities on loan (NOTE 2) - 44,584,826
Directors' fees and expenses (NOTE 3) 316 27,044
Affiliates (NOTE 3):
Investment management fees 122,284 386,890
Administration fees 51,461 76,162
Service fees 7,573 14,023
Distribution fees 186 244
Due to custodian - -
Accrued expenses and other liabilities 5,953 39,593
-------------------- --------------------
Total liabilities 4,917,160 45,413,820
-------------------- --------------------
NET ASSETS $ 229,850,056 $ 866,597,783
==================== ====================
NET ASSETS CONSIST OF:
Paid-in capital $ 229,310,966 $ 890,862,430
Undistributed net investment income (distributions in excess of
net investment income and net realized gain on investments) 617,639 22,473,791
Accumulated net realized gain (loss) on investments, forward
commitments, futures contracts, swap contracts, written
options and foreign currency translations (184,792) (169,604,204)
Net unrealized appreciation (depreciation) on investments, forward
commitments, futures contracts, swap contracts, written options,
foreign currency and other assets and liabilities 106,243 122,865,766
-------------------- --------------------
NET ASSETS $ 229,850,056 $ 866,597,783
==================== ====================
(a) Cost of investments: $ 207,531,333 $ 730,348,215
(b) Cost of short-term investments: 21,604,062 51,578,311
(c) Securities on loan with market value of: - 43,008,569
(d) Cost of foreign currency: 579 -
</Table>
187
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
MONEY SHORT-DURATION
MARKET BOND
FUND FUND
-------------------- --------------------
CLASS A SHARES:
Net assets $ 85,803,558 $ 50,512,468
==================== ====================
Shares outstanding 85,803,567 4,926,593
==================== ====================
Net asset value and redemption price per share $ 1.00 $ 10.25
==================== ====================
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ - $ 10.62
==================== ====================
CLASS L SHARES:
Net assets $ 62,750,185 $ 185,476,515
==================== ====================
Shares outstanding 62,750,184 18,071,583
==================== ====================
Net asset value, offering price and redemption price per share $ 1.00 $ 10.26
==================== ====================
CLASS Y SHARES:
Net assets $ 80,809,176 $ 50,714,152
==================== ====================
Shares outstanding 80,809,175 4,922,077
==================== ====================
Net asset value, offering price and redemption price per share $ 1.00 $ 10.30
==================== ====================
CLASS S SHARES:
Net assets $ 251,873,414 $ 121,820,577
==================== ====================
Shares outstanding 251,873,407 11,754,944
==================== ====================
Net asset value, offering price and redemption price per share $ 1.00 $ 10.36
==================== ====================
CLASS N SHARES:
Net assets $ - $ 103,586
==================== ====================
Shares outstanding - 10,137
==================== ====================
Net asset value, offering price and redemption price per share $ - $ 10.22
==================== ====================
</Table>
The accompanying notes are an integral part of the financial statements.
188
<Page>
<Table>
<Caption>
MASSMUTUAL
INFLATION-PROTECTED MASSMUTUAL
BOND CORE BOND
FUND FUND
-------------------- --------------------
CLASS A SHARES:
Net assets $ 704,495 $ 205,536,209
==================== ====================
Shares outstanding 69,665 18,820,968
==================== ====================
Net asset value and redemption price per share $ 10.11 $ 10.92
==================== ====================
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 10.61 $ 11.46
==================== ====================
CLASS L SHARES:
Net assets $ 1,885,421 $ 382,631,316
==================== ====================
Shares outstanding 185,625 34,839,721
==================== ====================
Net asset value, offering price and redemption price per share $ 10.16 $ 10.98
==================== ====================
CLASS Y SHARES:
Net assets $ 58,376,915 $ 174,458,223
==================== ====================
Shares outstanding 5,744,051 15,829,498
==================== ====================
Net asset value, offering price and redemption price per share $ 10.16 $ 11.02
==================== ====================
CLASS S SHARES:
Net assets $ 73,160,776 $ 737,116,466
==================== ====================
Shares outstanding 7,192,062 66,585,067
==================== ====================
Net asset value, offering price and redemption price per share $ 10.17 $ 11.07
==================== ====================
CLASS N SHARES:
Net assets $ 101,785 $ 1,158,020
==================== ====================
Shares outstanding 10,050 107,119
==================== ====================
Net asset value, offering price and redemption price per share $ 10.13 $ 10.81
==================== ====================
<Caption>
MASSMUTUAL
DIVERSIFIED MASSMUTUAL
BOND BALANCED
FUND FUND
-------------------- --------------------
CLASS A SHARES:
Net assets $ 21,071,454 $ 7,399,671
==================== ====================
Shares outstanding 1,979,491 819,460
==================== ====================
Net asset value and redemption price per share $ 10.64 $ 9.03
==================== ====================
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 11.17 $ 9.58
==================== ====================
CLASS L SHARES:
Net assets $ 98,152,507 $ 3,816,699
==================== ====================
Shares outstanding 9,272,446 418,962
==================== ====================
Net asset value, offering price and redemption price per share $ 10.59 $ 9.11
==================== ====================
CLASS Y SHARES:
Net assets $ 6,937,028 $ 2,100,810
==================== ====================
Shares outstanding 652,079 223,543
==================== ====================
Net asset value, offering price and redemption price per share $ 10.64 $ 9.40
==================== ====================
CLASS S SHARES:
Net assets $ 93,486,460 $ 269,883,650
==================== ====================
Shares outstanding 8,764,471 29,525,184
==================== ====================
Net asset value, offering price and redemption price per share $ 10.67 $ 9.14
==================== ====================
CLASS N SHARES:
Net assets $ 122,260 $ 537,542
==================== ====================
Shares outstanding 11,595 60,134
==================== ====================
Net asset value, offering price and redemption price per share $ 10.54 $ 8.94
==================== ====================
<Caption>
MASSMUTUAL MASSMUTUAL
STRATEGIC CORE VALUE
BALANCED EQUITY
FUND FUND
-------------------- --------------------
CLASS A SHARES:
Net assets $ 12,179,903 $ 21,902,949
==================== ====================
Shares outstanding 1,198,560 2,416,846
==================== ====================
Net asset value and redemption price per share $ 10.16 $ 9.06
==================== ====================
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 10.78 $ 9.61
==================== ====================
CLASS L SHARES:
Net assets $ 106,982,125 $ 82,610,204
==================== ====================
Shares outstanding 10,517,215 8,982,797
==================== ====================
Net asset value, offering price and redemption price per share $ 10.17 $ 9.20
==================== ====================
CLASS Y SHARES:
Net assets $ 98,724,630 $ 6,294,418
==================== ====================
Shares outstanding 9,701,392 679,938
==================== ====================
Net asset value, offering price and redemption price per share $ 10.18 $ 9.26
==================== ====================
CLASS S SHARES:
Net assets $ 11,559,717 $ 755,389,266
==================== ====================
Shares outstanding 1,135,175 81,182,160
==================== ====================
Net asset value, offering price and redemption price per share $ 10.18 $ 9.30
==================== ====================
CLASS N SHARES:
Net assets $ 403,681 $ 400,946
==================== ====================
Shares outstanding 39,788 44,652
==================== ====================
Net asset value, offering price and redemption price per share $ 10.15 $ 8.98
==================== ====================
</Table>
189
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
FUNDAMENTAL VALUE
VALUE EQUITY
FUND FUND
--------------- ---------------
ASSETS:
Investments, at value (NOTE 2)(a) $ 753,961,479 $ 82,082,039
Short-term investments, at amortized cost (NOTE 2) 64,345,670 7,623,063
--------------- ---------------
Total Investments(b) 818,307,149 89,705,102
--------------- ---------------
Cash - -
Foreign currency, at value(c) - -
Receivables from:
Investments sold 1,963,145 6,094,297
Investment adviser (NOTE 3) - -
Interest and dividends 551,981 80,405
Variation margin on open futures contracts (NOTE 2) - -
Foreign taxes withheld - -
--------------- ---------------
Total assets 820,822,275 95,879,804
--------------- ---------------
LIABILITIES:
Payables for:
Investments purchased - 2,799,318
Securities on loan (NOTE 2) 54,196,656 7,623,063
Directors' fees and expenses (NOTE 3) 3,260 1,737
Affiliates (NOTE 3):
Investment management fees 438,112 53,792
Administration fees 150,043 11,535
Service fees 109,068 14,263
Distribution fees 981 198
Due to custodian - 2,840,509
Accrued expenses and other liabilities 24,871 15,030
--------------- ---------------
Total liabilities 54,922,991 13,359,445
--------------- ---------------
NET ASSETS $ 765,899,284 $ 82,520,359
=============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 686,706,817 $ 75,976,582
Undistributed net investment income
(accumulated net investment loss) 4,013,313 311,077
Accumulated net realized gain (loss) on investments,
futures contracts and foreign currency translation (1,630,912) 911,285
Net unrealized appreciation on investments, futures contracts,
foreign currency and other assets and liabilities 76,810,066 5,321,415
--------------- ---------------
NET ASSETS $ 765,899,284 $ 82,520,359
=============== ===============
(a) Cost of investments: $ 677,151,413 $ 76,760,624
(b) Securities on loan with market value of: 52,939,082 7,303,645
(c) Cost of foreign currency: - -
</Table>
The accompanying notes are an integral part of the financial statements.
190
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
LARGE CAP INDEXED BLUE CHIP
VALUE EQUITY GROWTH
FUND FUND FUND
--------------- --------------- ---------------
ASSETS:
Investments, at value (NOTE 2)(a) $ 864,951,061 $ 1,539,966,901 $ 427,661,170
Short-term investments, at amortized cost (NOTE 2) 138,857,270 91,945,261 39,180,690
--------------- --------------- ---------------
Total Investments(b) 1,003,808,331 1,631,912,162 466,841,860
--------------- --------------- ---------------
Cash 668,918 - -
Foreign currency, at value(c) 2,855 - -
Receivables from:
Investments sold - - 1,162,591
Investment adviser (NOTE 3) - - -
Interest and dividends 1,457,843 1,980,801 400,778
Variation margin on open futures contracts (NOTE 2) - 70,100 -
Foreign taxes withheld 3,947 - -
--------------- --------------- ---------------
Total assets 1,005,941,894 1,633,963,063 468,405,229
--------------- --------------- ---------------
LIABILITIES:
Payables for:
Investments purchased 2,528,704 292,903 1,031,734
Securities on loan (NOTE 2) 58,341,638 77,321,235 30,240,713
Directors' fees and expenses (NOTE 3) 11,355 21,468 7,349
Affiliates (NOTE 3):
Investment management fees 543,901 138,425 274,328
Administration fees 176,423 443,134 139,683
Service fees 121,935 124,893 21,101
Distribution fees 1,870 1,916 1,236
Due to custodian - - -
Accrued expenses and other liabilities 39,291 54,595 26,131
--------------- --------------- ---------------
Total liabilities 61,765,117 78,398,569 31,742,275
--------------- --------------- ---------------
NET ASSETS $ 944,176,777 $ 1,555,564,494 $ 436,662,954
=============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 892,032,180 $ 1,592,748,577 $ 505,323,877
Undistributed net investment income
(accumulated net investment loss) 2,496,501 8,478,245 7,014
Accumulated net realized gain (loss) on investments,
futures contracts and foreign currency translation (82,613,858) (50,743,539) (82,557,327)
Net unrealized appreciation on investments, futures contracts,
foreign currency and other assets and liabilities 132,261,954 5,081,211 13,889,390
--------------- --------------- ---------------
NET ASSETS $ 944,176,777 $ 1,555,564,494 $ 436,662,954
=============== =============== ===============
(a) Cost of investments: $ 732,689,266 $ 1,535,005,174 $ 413,771,780
(b) Securities on loan with market value of: 56,363,403 74,329,344 28,586,467
(c) Cost of foreign currency: 2,855 - -
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
LARGE CAP GROWTH AGGRESSIVE
GROWTH EQUITY GROWTH
FUND FUND FUND
--------------- --------------- ---------------
ASSETS:
Investments, at value (NOTE 2)(a) $ 36,026,653 $ 809,899,927 $ 390,654,040
Short-term investments, at amortized cost (NOTE 2) 5,203,264 42,271,873 50,333,861
--------------- --------------- ---------------
Total Investments(b) 41,229,917 852,171,800 440,987,901
--------------- --------------- ---------------
Cash - - -
Foreign currency, at value(c) - - -
Receivables from:
Investments sold 51,914 13,745,382 -
Investment adviser (NOTE 3) 3,160 - -
Interest and dividends 30,192 709,491 52,227
Variation margin on open futures contracts (NOTE 2) - - -
Foreign taxes withheld - 4,515 130
--------------- --------------- ---------------
Total assets 41,315,183 866,631,188 441,040,258
--------------- --------------- ---------------
LIABILITIES:
Payables for:
Investments purchased 124,704 23,616,145 -
Securities on loan (NOTE 2) 5,065,127 24,629,196 37,465,529
Directors' fees and expenses (NOTE 3) 486 10,250 3,976
Affiliates (NOTE 3):
Investment management fees 20,802 494,812 229,757
Administration fees 7,242 159,410 84,250
Service fees 1,046 141,348 52,506
Distribution fees 78 1,001 598
Due to custodian - - -
Accrued expenses and other liabilities 11,202 31,900 22,827
--------------- --------------- ---------------
Total liabilities 5,230,687 49,084,062 37,859,443
--------------- --------------- ---------------
NET ASSETS $ 36,084,496 $ 817,547,126 $ 403,180,815
=============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 36,906,537 $ 958,946,162 $ 447,218,387
Undistributed net investment income
(accumulated net investment loss) (23,967) (566,816) (1,344,160)
Accumulated net realized gain (loss) on investments,
futures contracts and foreign currency translation (4,601,298) (158,995,908) (82,623,944)
Net unrealized appreciation on investments, futures contracts,
foreign currency and other assets and liabilities 3,803,224 18,163,688 39,930,532
--------------- --------------- ---------------
NET ASSETS $ 36,084,496 $ 817,547,126 $ 403,180,815
=============== =============== ===============
(a) Cost of investments: $ 32,223,429 $ 791,736,501 $ 350,723,519
(b) Securities on loan with market value of: 4,628,413 23,696,794 36,186,790
(c) Cost of foreign currency: - - -
</Table>
191
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
FUNDAMENTAL VALUE
VALUE EQUITY
FUND FUND
--------------- ---------------
CLASS A SHARES:
Net assets $ 181,703,766 $ 23,499,702
=============== ===============
Shares outstanding 17,751,656 2,389,661
=============== ===============
Net asset value and redemption price per share $ 10.24 $ 9.83
=============== ===============
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 10.86 $ 10.43
=============== ===============
CLASS L SHARES:
Net assets $ 193,252,852 $ 6,636,248
=============== ===============
Shares outstanding 18,812,391 673,173
=============== ===============
Net asset value, offering price and redemption price per share $ 10.27 $ 9.86
=============== ===============
CLASS Y SHARES:
Net assets $ 105,610,399 $ 2,250,044
=============== ===============
Shares outstanding 10,268,811 227,318
=============== ===============
Net asset value, offering price and redemption price per share $ 10.28 $ 9.90
=============== ===============
CLASS S SHARES:
Net assets $ 283,852,143 $ 49,807,222
=============== ===============
Shares outstanding 27,558,969 5,036,794
=============== ===============
Net asset value, offering price and redemption price per share $ 10.30 $ 9.89
=============== ===============
CLASS Z SHARES:
Net assets $ - $ -
=============== ===============
Shares outstanding - -
=============== ===============
Net asset value, offering price and redemption price per share $ - $ -
=============== ===============
CLASS N SHARES:
Net assets $ 1,480,124 $ 327,143
=============== ===============
Shares outstanding 145,727 33,304
=============== ===============
Net asset value, offering price and redemption price per share $ 10.16 $ 9.82
=============== ===============
</Table>
The accompanying notes are an integral part of the financial statements.
192
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
LARGE CAP INDEXED BLUE CHIP
VALUE EQUITY GROWTH
FUND FUND FUND
--------------- --------------- ---------------
CLASS A SHARES:
Net assets $ 206,788,173 $ 217,548,480 $ 32,505,239
=============== =============== ===============
Shares outstanding 21,196,706 20,653,731 3,819,104
=============== =============== ===============
Net asset value and redemption price per share $ 9.76 $ 10.53 $ 8.51
=============== =============== ===============
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 10.36 $ 11.17 $ 9.03
=============== =============== ===============
CLASS L SHARES:
Net assets $ 250,847,641 $ 195,508,216 $ 308,485,023
=============== =============== ===============
Shares outstanding 25,619,278 18,484,035 35,940,697
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 9.79 $ 10.58 $ 8.58
=============== =============== ===============
CLASS Y SHARES:
Net assets $ 96,074,981 $ 355,682,064 $ 4,228,242
=============== =============== ===============
Shares outstanding 9,786,231 33,519,981 491,806
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 9.82 $ 10.61 $ 8.60
=============== =============== ===============
CLASS S SHARES:
Net assets $ 387,403,728 $ 726,602,846 $ 89,070,966
=============== =============== ===============
Shares outstanding 39,398,755 67,860,185 10,327,498
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 9.83 $ 10.71 $ 8.62
=============== =============== ===============
CLASS Z SHARES:
Net assets $ - $ 56,747,577 $ -
=============== =============== ===============
Shares outstanding - 5,291,624 -
=============== =============== ===============
Net asset value, offering price and redemption price per share $ - $ 10.72 $ -
=============== =============== ===============
CLASS N SHARES:
Net assets $ 3,062,254 $ 3,475,311 $ 2,373,484
=============== =============== ===============
Shares outstanding 317,698 333,183 281,158
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 9.64 $ 10.43 $ 8.44
=============== =============== ===============
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
LARGE CAP GROWTH AGGRESSIVE
GROWTH EQUITY GROWTH
FUND FUND FUND
--------------- --------------- ---------------
CLASS A SHARES:
Net assets $ 1,644,451 $ 228,162,975 $ 91,481,312
=============== =============== ===============
Shares outstanding 189,102 30,189,798 16,579,171
=============== =============== ===============
Net asset value and redemption price per share $ 8.70 $ 7.56 $ 5.52
=============== =============== ===============
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 9.23 $ 8.02 $ 5.86
=============== =============== ===============
CLASS L SHARES:
Net assets $ 8,557,008 $ 251,585,703 $ 128,234,441
=============== =============== ===============
Shares outstanding 978,484 32,849,281 22,987,882
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 8.75 $ 7.66 $ 5.58
=============== =============== ===============
CLASS Y SHARES:
Net assets $ 7,937,508 $ 105,563,605 $ 25,816,771
=============== =============== ===============
Shares outstanding 905,871 13,695,906 4,605,293
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 8.76 $ 7.71 $ 5.61
=============== =============== ===============
CLASS S SHARES:
Net assets $ 17,817,210 $ 230,593,909 $ 156,493,991
=============== =============== ===============
Shares outstanding 2,025,924 29,805,142 27,797,900
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 8.79 $ 7.74 $ 5.63
=============== =============== ===============
CLASS Z SHARES:
Net assets $ - $ - $ -
=============== =============== ===============
Shares outstanding - - -
=============== =============== ===============
Net asset value, offering price and redemption price per share $ - $ - $ -
=============== =============== ===============
CLASS N SHARES:
Net assets $ 128,319 $ 1,640,934 $ 1,154,300
=============== =============== ===============
Shares outstanding 14,882 219,236 211,321
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 8.62 $ 7.48 $ 5.46
=============== =============== ===============
</Table>
193
<Page>
<Table>
<Caption>
MASSMUTUAL
MASSMUTUAL FOCUSED
OTC 100 VALUE
FUND FUND
--------------- ---------------
ASSETS:
Investments, at value (NOTE 2)(a) $ 69,259,606 $ 696,043,917
Short-term investments, at amortized cost (NOTE 2) 8,903,616 153,607,048
--------------- ---------------
Total Investments(b) 78,163,222 849,650,965
--------------- ---------------
Cash - -
Receivables from:
Investments sold - -
Investment adviser (NOTE 3) - -
Interest and dividends 5,109 203,593
Variation margin on open futures contracts (NOTE 2) 7,020 -
Foreign taxes withheld - -
--------------- ---------------
Total assets 78,175,351 849,854,558
--------------- ---------------
LIABILITIES:
Payables for:
Investments purchased - 167,469
Securities on loan (NOTE 2) 8,239,517 91,996,570
Directors' fees and expenses (NOTE 3) 1,688 6,268
Affiliates (NOTE 3):
Investment management fees 9,249 463,510
Administration fees 33,521 141,529
Service fees 18,322 117,437
Distribution fees 193 617
Accrued expenses and other liabilities 19,889 24,548
--------------- ---------------
Total liabilities 8,322,379 92,917,948
--------------- ---------------
NET ASSETS $ 69,852,972 $ 756,936,610
=============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 93,623,819 $ 575,861,564
Undistributed net investment income
(accumulated net investment loss) (251,221) (1,312,121)
Accumulated net realized gain (loss) on investments,
futures contracts and foreign currency translation (33,802,047) 55,992,335
Net unrealized appreciation on investments, futures contracts,
foreign currency and other assets and liabilities 10,282,421 126,394,832
--------------- ---------------
NET ASSETS $ 69,852,972 $ 756,936,610
=============== ===============
(a) Cost of investments: $ 58,999,367 $ 569,649,085
(b) Securities on loan with market value of: 7,727,084 88,407,240
</Table>
The accompanying notes are an integral part of the financial statements.
194
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
SMALL MASSMUTUAL MID CAP
COMPANY SMALL CAP GROWTH
VALUE EQUITY EQUITY
FUND FUND FUND
--------------- --------------- ---------------
ASSETS:
Investments, at value (NOTE 2)(a) $ 312,042,765 $ 440,317,599 $ 139,361,505
Short-term investments, at amortized cost (NOTE 2) 56,046,947 45,352,969 27,301,024
--------------- --------------- ---------------
Total Investments(b) 368,089,712 485,670,568 166,662,529
--------------- --------------- ---------------
Cash - 24,766 -
Receivables from:
Investments sold 526,694 1,264,944 1,852,928
Investment adviser (NOTE 3) 1,847 - -
Interest and dividends 384,739 282,079 174,184
Variation margin on open futures contracts (NOTE 2) - - -
Foreign taxes withheld - - 1,509
--------------- --------------- ---------------
Total assets 369,002,992 487,242,357 168,691,150
--------------- --------------- ---------------
LIABILITIES:
Payables for:
Investments purchased 1,275,919 785,801 2,799,836
Securities on loan (NOTE 2) 44,277,453 16,957,893 23,940,183
Directors' fees and expenses (NOTE 3) 1,136 11,831 4,076
Affiliates (NOTE 3):
Investment management fees 231,898 238,102 88,203
Administration fees 71,202 54,634 25,293
Service fees 37,506 7,699 19,072
Distribution fees 377 83 85
Accrued expenses and other liabilities 17,020 25,180 14,790
--------------- --------------- ---------------
Total liabilities 45,912,511 18,081,223 26,891,538
--------------- --------------- ---------------
NET ASSETS $ 323,090,481 $ 469,161,134 $ 141,799,612
=============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 263,870,886 $ 369,198,244 $ 234,917,705
Undistributed net investment income
(accumulated net investment loss) 287,921 319,199 (227,450)
Accumulated net realized gain (loss) on investments,
futures contracts and foreign currency translation 10,163,388 20,460,914 (114,039,784)
Net unrealized appreciation on investments, futures contracts,
foreign currency and other assets and liabilities 48,768,286 79,182,777 21,149,141
--------------- --------------- ---------------
NET ASSETS $ 323,090,481 $ 469,161,134 $ 141,799,612
=============== =============== ===============
(a) Cost of investments: $ 263,274,479 $ 361,134,822 $ 118,212,364
(b) Securities on loan with market value of: 42,152,998 16,437,463 21,599,023
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
MID CAP SMALL CAP SMALL
GROWTH GROWTH COMPANY
EQUITY II EQUITY GROWTH
FUND FUND FUND
--------------- --------------- ---------------
ASSETS:
Investments, at value (NOTE 2)(a) $ 653,564,270 $ 458,113,274 $ 183,142,331
Short-term investments, at amortized cost (NOTE 2) 119,202,515 151,331,532 49,678,027
--------------- --------------- ---------------
Total Investments(b) 772,766,785 609,444,806 232,820,358
--------------- --------------- ---------------
Cash - - -
Receivables from:
Investments sold 2,965,392 1,648,607 912,931
Investment adviser (NOTE 3) - - 5,877
Interest and dividends 227,112 190,959 129,493
Variation margin on open futures contracts (NOTE 2) - - -
Foreign taxes withheld 1,462 - 46
--------------- --------------- ---------------
Total assets 775,960,751 611,284,372 233,868,705
--------------- --------------- ---------------
LIABILITIES:
Payables for:
Investments purchased 2,438,058 1,716,551 940,302
Securities on loan (NOTE 2) 92,648,335 119,597,932 47,127,205
Directors' fees and expenses (NOTE 3) 6,486 6,855 519
Affiliates (NOTE 3):
Investment management fees 443,261 351,241 141,059
Administration fees 149,695 102,479 46,665
Service fees 82,914 44,183 41,083
Distribution fees 552 297 609
Accrued expenses and other liabilities 32,373 25,373 19,240
--------------- --------------- ---------------
Total liabilities 95,801,674 121,844,911 48,316,682
--------------- --------------- ---------------
NET ASSETS $ 680,159,077 $ 489,439,461 $ 185,552,023
=============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 569,069,652 $ 482,461,200 $ 164,163,752
Undistributed net investment income
(accumulated net investment loss) (2,060,772) (1,497,777) (429,061)
Accumulated net realized gain (loss) on investments,
futures contracts and foreign currency translation (4,293,449) (72,012,081) 16,749,205
Net unrealized appreciation on investments, futures contracts,
foreign currency and other assets and liabilities 117,443,646 80,488,119 5,068,127
--------------- --------------- ---------------
NET ASSETS $ 680,159,077 $ 489,439,461 $ 185,552,023
=============== =============== ===============
(a) Cost of investments: $ 536,120,701 $ 377,625,155 $ 178,074,204
(b) Securities on loan with market value of: 88,782,292 114,468,876 44,586,491
</Table>
195
<Page>
<Table>
<Caption>
MASSMUTUAL
MASSMUTUAL FOCUSED
OTC 100 VALUE
FUND FUND
--------------- ---------------
CLASS A SHARES:
Net assets $ 30,560,473 $ 196,393,377
=============== ===============
Shares outstanding 7,949,358 11,141,411
=============== ===============
Net asset value and redemption price per share $ 3.84 $ 17.63
=============== ===============
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 4.07 $ 18.71
=============== ===============
CLASS L SHARES:
Net assets $ 14,389,342 $ 148,313,602
=============== ===============
Shares outstanding 3,707,200 8,335,456
=============== ===============
Net asset value, offering price and redemption price per share $ 3.88 $ 17.79
=============== ===============
CLASS Y SHARES:
Net assets $ 4,071,823 $ 91,624,134
=============== ===============
Shares outstanding 1,042,684 5,125,585
=============== ===============
Net asset value, offering price and redemption price per share $ 3.91 $ 17.88
=============== ===============
CLASS S SHARES:
Net assets $ 20,419,648 $ 319,553,520
=============== ===============
Shares outstanding 5,198,276 17,798,163
=============== ===============
Net asset value, offering price and redemption price per share $ 3.93 $ 17.95
=============== ===============
CLASS N SHARES:
Net assets $ 411,686 $ 1,051,977
=============== ===============
Shares outstanding 108,016 60,141
=============== ===============
Net asset value, offering price and redemption price per share $ 3.81 $ 17.49
=============== ===============
</Table>
The accompanying notes are an integral part of the financial statements.
196
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
SMALL MASSMUTUAL MID CAP
COMPANY SMALL CAP GROWTH
VALUE EQUITY EQUITY
FUND FUND FUND
--------------- --------------- ---------------
CLASS A SHARES:
Net assets $ 69,277,132 $ 10,209,035 $ 30,935,926
=============== =============== ===============
Shares outstanding 5,239,983 729,592 4,012,181
=============== =============== ===============
Net asset value and redemption price per share $ 13.22 $ 13.99 $ 7.71
=============== =============== ===============
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 14.03 $ 14.84 $ 8.18
=============== =============== ===============
CLASS L SHARES:
Net assets $ 69,087,353 $ 75,043,316 $ 36,512,656
=============== =============== ===============
Shares outstanding 5,218,537 5,332,489 4,671,990
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 13.24 $ 14.07 $ 7.82
=============== =============== ===============
CLASS Y SHARES:
Net assets $ 64,534,315 $ 12,404,518 $ 17,059,488
=============== =============== ===============
Shares outstanding 4,860,741 879,540 2,168,402
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 13.28 $ 14.10 $ 7.87
=============== =============== ===============
CLASS S SHARES:
Net assets $ 119,514,000 $ 371,365,083 $ 57,151,293
=============== =============== ===============
Shares outstanding 8,978,487 26,195,539 7,246,018
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 13.31 $ 14.18 $ 7.89
=============== =============== ===============
CLASS N SHARES:
Net assets $ 677,681 $ 139,182 $ 140,249
=============== =============== ===============
Shares outstanding 51,602 10,029 18,325
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 13.13 $ 13.88 $ 7.65
=============== =============== ===============
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
MID CAP SMALL CAP SMALL
GROWTH GROWTH COMPANY
EQUITY II EQUITY GROWTH
FUND FUND FUND
--------------- --------------- ---------------
CLASS A SHARES:
Net assets $ 144,600,407 $ 71,458,189 $ 63,551,136
=============== =============== ===============
Shares outstanding 12,058,098 5,507,169 6,007,128
=============== =============== ===============
Net asset value and redemption price per share $ 11.99 $ 12.98 $ 10.58
=============== =============== ===============
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 12.72 $ 13.77 $ 11.23
=============== =============== ===============
CLASS L SHARES:
Net assets $ 304,317,716 $ 85,951,610 $ 46,690,968
=============== =============== ===============
Shares outstanding 25,112,639 6,546,993 4,379,879
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 12.12 $ 13.13 $ 10.66
=============== =============== ===============
CLASS Y SHARES:
Net assets $ 68,616,708 $ 95,445,973 $ 40,121,741
=============== =============== ===============
Shares outstanding 5,622,689 7,220,645 3,751,179
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 12.20 $ 13.22 $ 10.70
=============== =============== ===============
CLASS S SHARES:
Net assets $ 161,531,522 $ 235,869,808 $ 34,239,299
=============== =============== ===============
Shares outstanding 13,200,753 17,737,958 3,195,692
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 12.24 $ 13.30 $ 10.71
=============== =============== ===============
CLASS N SHARES:
Net assets $ 1,092,724 $ 713,881 $ 948,879
=============== =============== ===============
Shares outstanding 91,831 55,512 90,562
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 11.90 $ 12.86 $ 10.48
=============== =============== ===============
</Table>
197
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
EMERGING INTERNATIONAL
GROWTH EQUITY
FUND FUND
--------------- ---------------
ASSETS:
Investments, at value (NOTE 2)
Unaffiliated issuers(a) $ 125,438,970 $ 822,597,321
Affiliated issuers(b) - -
Short-term investments, at amortized cost (NOTE 2) 39,825,921 114,921,309
--------------- ---------------
Total Investments(c) 165,264,891 937,518,630
--------------- ---------------
Foreign currency, at value(d) - -
Receivables from:
Investments sold 4,400,666 2,263,476
Investment adviser (NOTE 3) - -
Interest and dividends 12,957 1,406,492
Foreign taxes withheld - 117,942
--------------- ---------------
Total assets 169,678,514 941,306,540
--------------- ---------------
LIABILITIES:
Payables for:
Investments purchased 1,376,336 1,969,472
Securities on loan (NOTE 2) 34,168,597 114,921,309
Directors' fees and expenses (NOTE 3) 2,525 17,742
Affiliates (NOTE 3):
Investment management fees 93,157 625,606
Administration fees 30,478 123,851
Service fees 18,962 32,034
Distribution fees 93 95
Investment advisor - -
Due to custodian - 451,876
Accrued expenses and other liabilities 19,656 107,497
--------------- ---------------
Total liabilities 35,709,804 118,249,482
--------------- ---------------
NET ASSETS $ 133,968,710 $ 823,057,058
=============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 183,131,822 $ 1,063,967,274
Undistributed net investment income (accumulated net investment loss)
(distributions in excess of net investment income) (703,207) (1,141,806)
Accumulated net realized gain (loss) on
investments and foreign currency translations (55,252,243) (363,183,660)
Net unrealized appreciation on investments,
foreign currency and other assets and liabilities 6,792,338 123,415,250
--------------- ---------------
NET ASSETS $ 133,968,710 $ 823,057,058
=============== ===============
(a) Cost of investments: $ 118,646,632 $ 699,178,011
(b) Cost of investments: - -
(c) Securities on loan with market value of: 32,847,718 109,377,054
(d) Cost of foreign currency: - -
</Table>
The accompanying notes are an integral part of the financial statements.
198
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
MASSMUTUAL DESTINATION DESTINATION
OVERSEAS RETIREMENT INCOME RETIREMENT 2010
FUND FUND FUND
--------------- ----------------- ---------------
ASSETS:
Investments, at value (NOTE 2)
Unaffiliated issuers(a) $ 459,551,944 $ - $ -
Affiliated issuers(b) - 158,743,248 5,331,415
Short-term investments, at amortized cost (NOTE 2) 55,884,523 - -
--------------- --------------- ---------------
Total Investments(c) 515,436,467 158,743,248 5,331,415
--------------- --------------- ---------------
Foreign currency, at value(d) 93,145 - -
Receivables from:
Investments sold 4,115,018 - -
Investment adviser (NOTE 3) - - 5,039
Interest and dividends 1,348,480 - -
Foreign taxes withheld 221,871 - -
--------------- --------------- ---------------
Total assets 521,214,981 158,743,248 5,336,454
--------------- --------------- ---------------
LIABILITIES:
Payables for:
Investments purchased 4,215,363 - -
Securities on loan (NOTE 2) 42,658,734 - -
Directors' fees and expenses (NOTE 3) 1,903 127 58
Affiliates (NOTE 3):
Investment management fees 418,212 7,069 192
Administration fees 61,534 14,621 524
Service fees 56,265 825 452
Distribution fees 310 63 63
Investment advisor - 261 -
Due to custodian - - -
Accrued expenses and other liabilities 67,110 14,611 15,399
--------------- --------------- ---------------
Total liabilities 47,479,431 37,577 16,688
--------------- --------------- ---------------
NET ASSETS $ 473,735,550 $ 158,705,671 $ 5,319,766
=============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 402,104,785 $ 158,616,128 $ 5,271,076
Undistributed net investment income (accumulated net investment loss)
(distributions in excess of net investment income) 3,271,490 (63,941) (2,649)
Accumulated net realized gain (loss) on
investments and foreign currency translations 7,191,262 (52,739) 273
Net unrealized appreciation on investments,
foreign currency and other assets and liabilities 61,168,013 206,223 51,066
--------------- --------------- ---------------
NET ASSETS $ 473,735,550 $ 158,705,671 $ 5,319,766
=============== =============== ===============
(a) Cost of investments: $ 398,400,881 $ - $ -
(b) Cost of investments: - 158,537,025 5,280,349
(c) Securities on loan with market value of: 40,661,258 - -
(d) Cost of foreign currency: 95,183 - -
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
DESTINATION DESTINATION DESTINATION
RETIREMENT 2020 RETIREMENT 2030 RETIREMENT 2040
FUND FUND FUND
--------------- --------------- ---------------
ASSETS:
Investments, at value (NOTE 2)
Unaffiliated issuers(a) $ - $ - $ -
Affiliated issuers(b) 198,303,026 164,418,831 100,265,874
Short-term investments, at amortized cost (NOTE 2) - - -
--------------- --------------- ---------------
Total Investments(c) 198,303,026 164,418,831 100,265,874
--------------- --------------- ---------------
Foreign currency, at value(d) - - -
Receivables from:
Investments sold - - -
Investment adviser (NOTE 3) 1,561 1,572 1,737
Interest and dividends - - -
Foreign taxes withheld - - -
--------------- --------------- ---------------
Total assets 198,304,587 164,420,403 100,267,611
--------------- --------------- ---------------
LIABILITIES:
Payables for:
Investments purchased - - -
Securities on loan (NOTE 2) - - -
Directors' fees and expenses (NOTE 3) 274 219 138
Affiliates (NOTE 3):
Investment management fees 8,732 7,133 4,418
Administration fees 30,549 24,600 14,184
Service fees 593 1,781 500
Distribution fees 64 64 64
Investment advisor - - -
Due to custodian - - -
Accrued expenses and other liabilities 14,460 14,663 14,563
--------------- --------------- ---------------
Total liabilities 54,672 48,460 33,867
--------------- --------------- ---------------
NET ASSETS $ 198,249,915 $ 164,371,943 $ 100,233,744
=============== =============== ===============
NET ASSETS CONSIST OF:
Paid-in capital $ 196,960,361 $ 161,593,275 $ 97,801,831
Undistributed net investment income (accumulated net investment loss)
(distributions in excess of net investment income) (120,925) (98,154) (61,239)
Accumulated net realized gain (loss) on
investments and foreign currency translations 20,976 28,792 32,702
Net unrealized appreciation on investments,
foreign currency and other assets and liabilities 1,389,503 2,848,030 2,460,450
--------------- --------------- ---------------
NET ASSETS $ 198,249,915 $ 164,371,943 $ 100,233,744
=============== =============== ===============
(a) Cost of investments: $ - $ - $ -
(b) Cost of investments: 196,913,523 161,570,801 97,805,424
(c) Securities on loan with market value of: - - -
(d) Cost of foreign currency: - - -
</Table>
199
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
EMERGING INTERNATIONAL
GROWTH EQUITY
FUND FUND
--------------- ---------------
CLASS A SHARES:
Net assets $ 29,983,921 $ 47,687,921
=============== ===============
Shares outstanding 5,618,912 4,969,077
=============== ===============
Net asset value and redemption price per share $ 5.34 $ 9.60
=============== ===============
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 5.67 $ 10.19
=============== ===============
CLASS L SHARES:
Net assets $ 61,171,048 $ 187,372,397
=============== ===============
Shares outstanding 11,349,536 19,453,117
=============== ===============
Net asset value, offering price and redemption price per share $ 5.39 $ 9.63
=============== ===============
CLASS Y SHARES:
Net assets $ 4,055,474 $ 39,666,027
=============== ===============
Shares outstanding 747,275 4,088,248
=============== ===============
Net asset value, offering price and redemption price per share $ 5.43 $ 9.70
=============== ===============
CLASS S SHARES:
Net assets $ 38,605,645 $ 548,176,741
=============== ===============
Shares outstanding 7,071,440 56,388,409
=============== ===============
Net asset value, offering price and redemption price per share $ 5.46 $ 9.72
=============== ===============
CLASS N SHARES:
Net assets $ 152,622 $ 153,972
=============== ===============
Shares outstanding 28,856 16,141
=============== ===============
Net asset value, offering price and redemption price per share $ 5.29 $ 9.54
=============== ===============
</Table>
The accompanying notes are an integral part of the financial statements.
200
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
MASSMUTUAL DESTINATION DESTINATION
OVERSEAS RETIREMENT INCOME RETIREMENT 2010
FUND FUND FUND
--------------- --------------- ---------------
CLASS A SHARES:
Net assets $ 95,979,849 $ 4,112,360 $ 1,509,323
=============== =============== ===============
Shares outstanding 9,603,563 405,668 148,296
=============== =============== ===============
Net asset value and redemption price per share $ 9.99 $ 10.14 $ 10.18
=============== =============== ===============
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 10.60 $ 10.76 $ 10.80
=============== =============== ===============
CLASS L SHARES:
Net assets $ 126,520,446 $ 87,630,458 $ 2,544,813
=============== =============== ===============
Shares outstanding 12,599,021 8,630,826 249,620
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 10.04 $ 10.15 $ 10.19
=============== =============== ===============
CLASS Y SHARES:
Net assets $ 82,793,008 $ 66,251,027 $ 409,544
=============== =============== ===============
Shares outstanding 8,223,414 6,522,847 40,176
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 10.07 $ 10.16 $ 10.19
=============== =============== ===============
CLASS S SHARES:
Net assets $ 167,767,000 $ 610,112 $ 753,951
=============== =============== ===============
Shares outstanding 16,633,726 60,082 73,935
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 10.09 $ 10.15 $ 10.20
=============== =============== ===============
CLASS N SHARES:
Net assets $ 675,247 $ 101,714 $ 102,135
=============== =============== ===============
Shares outstanding 68,040 10,050 10,050
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 9.92 $ 10.12 $ 10.16
=============== =============== ===============
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
DESTINATION DESTINATION DESTINATION
RETIREMENT 2020 RETIREMENT 2030 RETIREMENT 2040
FUND FUND FUND
--------------- --------------- ---------------
CLASS A SHARES:
Net assets $ 2,368,907 $ 9,358,513 $ 2,085,882
=============== =============== ===============
Shares outstanding 229,592 895,056 198,046
=============== =============== ===============
Net asset value and redemption price per share $ 10.32 $ 10.46 $ 10.53
=============== =============== ===============
Offering price per share
(100/[100-maximum sales charge] of net asset value) $ 10.95 $ 11.10 $ 11.17
=============== =============== ===============
CLASS L SHARES:
Net assets $ 193,950,327 $ 153,571,886 $ 97,256,273
=============== =============== ===============
Shares outstanding 18,770,625 14,661,896 9,221,083
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 10.33 $ 10.47 $ 10.55
=============== =============== ===============
CLASS Y SHARES:
Net assets $ 642,155 $ 596,778 $ 106,022
=============== =============== ===============
Shares outstanding 62,131 56,966 10,050
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 10.34 $ 10.48 $ 10.55
=============== =============== ===============
CLASS S SHARES:
Net assets $ 1,184,987 $ 739,818 $ 679,883
=============== =============== ===============
Shares outstanding 114,629 70,600 64,430
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 10.34 $ 10.48 $ 10.55
=============== =============== ===============
CLASS N SHARES:
Net assets $ 103,539 $ 104,948 $ 105,684
=============== =============== ===============
Shares outstanding 10,050 10,050 10,050
=============== =============== ===============
Net asset value, offering price and redemption price per share $ 10.30 $ 10.44 $ 10.52
=============== =============== ===============
</Table>
201
<Page>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2004 (UNAUDITED)
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
MONEY SHORT-DURATION
MARKET BOND
FUND FUND
-------------- --------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ - $ -
Interest(b) 2,376,845 8,350,441
-------------- --------------
Total investment income 2,376,845 8,350,441
-------------- --------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 828,195 810,370
Custody fees 20,968 20,045
Trustee reporting 2,931 2,931
Audit and legal fees 41,603 12,773
Proxy fees 131 131
Shareholder reporting fees 7,660 6,413
Directors' fees (NOTE 3) 5,595 4,742
-------------- --------------
907,083 857,405
Administration fees (NOTE 3):
Class A 133,787 78,914
Class L 95,346 279,913
Class Y 76,812 45,724
Class S 103,318 72,132
Class N - 190
Distribution fees (NOTE 3):
Class N - 130
Service fees (NOTE 3):
Class A 100,652 62,294
Class N - 130
-------------- --------------
Total expenses 1,416,998 1,396,832
Expenses waived (NOTE 3) (14,899) -
Class A Administration fees waived (NOTE 3) (22,663) (5,907)
Class L Administration fees waived (NOTE 3) (17,522) (20,689)
Class N Administration fees waived (NOTE 3) - (12)
-------------- --------------
Net expenses 1,361,914 1,370,224
-------------- --------------
NET INVESTMENT INCOME 1,014,931 6,980,217
-------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions and forward commitments 28,533 1,083,871
Closed futures contracts - -
Closed swap contracts - -
Written options - -
Foreign currency transactions - -
-------------- --------------
Net realized gain (loss) 28,533 1,083,871
-------------- --------------
Net change in unrealized appreciation (depreciation) on:
Investments - (7,862,358)
Open futures contracts - -
Open swap contracts - -
Written options - -
Translation of assets and liabilities in foreign currencies - -
-------------- --------------
Net unrealized gain (loss) - (7,862,358)
-------------- --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 28,533 (6,778,487)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,043,464 $ 201,730
============== ==============
(a) Net of withholding tax of: $ - $ -
(b) Including securities lending income of: - 26,143
</Table>
The accompanying notes are an integral part of the financial statements.
202
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
INFLATION-PROTECTED MASSMUTUAL DIVERSIFIED
BOND CORE BOND BOND
FUND FUND FUND
------------------- ------------ ------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ - $ 65,625 $ 5,061
Interest(b) 1,755,939 32,514,929 4,405,064
------------------- ------------ ------------
Total investment income 1,755,939 32,580,554 4,410,125
------------------- ------------ ------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 163,442 3,619,330 472,341
Custody fees 2,744 84,835 14,628
Trustee reporting 2,880 2,931 2,931
Audit and legal fees 10,740 31,143 11,588
Proxy fees 131 131 131
Shareholder reporting fees 5,151 27,008 2,459
Directors' fees (NOTE 3) 306 19,463 1,905
------------------- ------------ ------------
185,394 3,784,841 505,983
Administration fees (NOTE 3):
Class A 633 309,600 25,022
Class L 1,297 545,487 137,048
Class Y 20,642 110,428 5,945
Class S 13,987 358,533 50,306
Class N 181 1,995 215
Distribution fees (NOTE 3):
Class N 123 1,453 144
Service fees (NOTE 3):
Class A 500 263,983 19,355
Class N 123 1,453 144
------------------- ------------ ------------
Total expenses 222,880 5,377,773 744,162
Expenses waived (NOTE 3) (10,580) - -
Class A Administration fees waived (NOTE 3) - (26,741) (4,353)
Class L Administration fees waived (NOTE 3) - (49,505) (22,940)
Class N Administration fees waived (NOTE 3) - (150) (29)
------------------- ------------ ------------
Net expenses 212,300 5,301,377 716,840
------------------- ------------ ------------
NET INVESTMENT INCOME 1,543,639 27,279,177 3,693,285
------------------- ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions and forward commitments 148,817 6,734,546 1,023,864
Closed futures contracts - - -
Closed swap contracts - - -
Written options - - -
Foreign currency transactions - - -
------------------- ------------ ------------
Net realized gain (loss) 148,817 6,734,546 1,023,864
------------------- ------------ ------------
Net change in unrealized appreciation (depreciation) on:
Investments (4,826,374) (31,909,382) (4,682,338)
Open futures contracts - - -
Open swap contracts - - -
Written options - - -
Translation of assets and liabilities in foreign currencies - - -
------------------- ------------ ------------
Net unrealized gain (loss) (4,826,374) (31,909,382) (4,682,338)
------------------- ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) (4,677,557) (25,174,836) (3,658,474)
------------------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (3,133,918) $ 2,104,341 $ 34,811
=================== ============ ============
(a) Net of withholding tax of: $ - $ - $ 20
(b) Including securities lending income of: - 131,839 -
<Caption>
MASSMUTUAL MASSMUTUAL
MASSMUTUAL STRATEGIC CORE VALUE
BALANCED BALANCED EQUITY
FUND FUND FUND
------------ ------------ ------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ 1,460,269 $ 398,680 $ 9,697,890
Interest(b) 2,237,199 747,006 211,250
------------ ------------ ------------
Total investment income 3,697,468 1,145,686 9,909,140
------------ ------------ ------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 684,584 354,147 2,187,424
Custody fees 31,128 16,189 55,459
Trustee reporting 2,931 2,880 4,275
Audit and legal fees 26,695 10,807 15,606
Proxy fees 32 276 235
Shareholder reporting fees 4,503 5,290 14,103
Directors' fees (NOTE 3) 3,339 451 10,377
------------ ------------ ------------
753,212 390,040 2,287,479
Administration fees (NOTE 3):
Class A 14,499 10,550 35,400
Class L 7,379 84,774 128,025
Class Y 2,482 43,747 5,013
Class S 115,709 6,425 258,406
Class N 1,177 370 719
Distribution fees (NOTE 3):
Class N 661 245 489
Service fees (NOTE 3):
Class A 9,172 8,066 27,874
Class N 661 245 489
------------ ------------ ------------
Total expenses 904,952 544,462 2,743,894
Expenses waived (NOTE 3) - (16,415) -
Class A Administration fees waived (NOTE 3) - - -
Class L Administration fees waived (NOTE 3) - - -
Class N Administration fees waived (NOTE 3) - - -
------------ ------------ ------------
Net expenses 904,952 528,047 2,743,894
------------ ------------ ------------
NET INVESTMENT INCOME 2,792,516 617,639 7,165,246
------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions and forward commitments 12,459,366 (655,557) 41,647,819
Closed futures contracts 124,695 403,808 -
Closed swap contracts - (5,391) -
Written options - 68 -
Foreign currency transactions - 72,280 -
------------ ------------ ------------
Net realized gain (loss) 12,584,061 (184,792) 41,647,819
------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on:
Investments (8,578,750) 151,690 (16,913,501)
Open futures contracts 23,352 (46,232) -
Open swap contracts - 6,000 -
Written options - (5,282) -
Translation of assets and liabilities in foreign currencies - 67 -
------------ ------------ ------------
Net unrealized gain (loss) (8,555,398) 106,243 (16,913,501)
------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) 4,028,663 (78,549) 24,734,318
------------ ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 6,821,179 $ 539,090 $ 31,899,564
============ ============ ============
(a) Net of withholding tax of: $ - $ 6,931 $ 74,604
(b) Including securities lending income of: 9,592 - 33,118
</Table>
203
<Page>
<Table>
<Caption>
MASSMUTUAL
FUNDAMENTAL MASSMUTUAL
VALUE VALUE EQUITY
FUND FUND
------------ ------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ 7,081,242 $ 727,355
Interest(b) 106,942 12,142
------------ ------------
Total investment income 7,188,184 739,497
------------ ------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 2,206,564 306,805
Custody fees 31,708 30,131
Trustee reporting 4,275 4,275
Audit fees 13,841 11,015
Proxy fees 235 307
Shareholder reporting fees 9,141 1,560
Directors' fees (NOTE 3) 7,020 1,134
------------ ------------
2,272,784 355,227
Administration fees (NOTE 3):
Class A 255,016 31,119
Class L 269,954 8,907
Class Y 70,606 2,031
Class S 156,682 21,759
Class Z - -
Class N 3,140 521
Distribution fees (NOTE 3):
Class N 2,163 397
Service fees (NOTE 3):
Class A 203,752 27,935
Class N 2,163 397
------------ ------------
Total expenses 3,236,260 448,293
Expenses waived (NOTE 3) - -
Class A Administration fees waived (NOTE 3) - -
Class L Administration fees waived (NOTE 3) - -
Class N Administration fees waived (NOTE 3) - -
Fees paid indirectly (NOTE 3) (64,704) (19,623)
------------ ------------
Net expenses 3,171,556 428,670
------------ ------------
NET INVESTMENT INCOME (LOSS) 4,016,628 310,827
------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions 10,859,831 9,652,668
Closed futures contracts - -
Foreign currency transactions - 526
------------ ------------
Net realized gain (loss) 10,859,831 9,653,194
------------ ------------
Net change in unrealized appreciation (depreciation) on:
Investments 1,435,387 (7,181,578)
Open futures contracts - -
Translation of assets and liabilities in foreign currencies - 117
------------ ------------
Net unrealized gain (loss) 1,435,387 (7,181,461)
------------ ------------
NET REALIZED AND UNREALIZED GAIN 12,295,218 2,471,733
------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 16,311,846 $ 2,782,560
============ ============
(a) Net of withholding tax of: $ 19,357 $ 1,516
(b) Including securities lending income of: 33,119 5,592
</Table>
The accompanying notes are an integral part of the financial statements.
204
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL MASSMUTUAL
LARGE CAP INDEXED BLUE CHIP LARGE CAP
VALUE EQUITY GROWTH GROWTH
FUND FUND FUND FUND
------------ ------------ ------------ ------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ 6,404,962 $ 12,004,873 $ 2,315,731 $ 149,756
Interest(b) 138,670 80,027 48,722 13,638
------------ ------------ ------------ ------------
Total investment income 6,543,632 12,084,900 2,364,453 163,394
------------ ------------ ------------ ------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 2,827,327 738,463 1,509,698 137,780
Custody fees 64,185 65,842 23,741 2,816
Trustee reporting 2,931 2,931 2,931 4,275
Audit fees 15,140 18,718 12,979 10,761
Proxy fees 245 229 307 235
Shareholder reporting fees 12,572 22,039 6,633 749
Directors' fees (NOTE 3) 9,499 16,555 4,956 558
------------ ------------ ------------ ------------
2,931,899 864,777 1,561,245 157,174
Administration fees (NOTE 3):
Class A 298,916 454,737 63,147 2,590
Class L 376,586 451,934 621,450 14,255
Class Y 76,200 547,675 5,855 7,844
Class S 153,236 1,069,789 71,624 20,354
Class Z - 21,366 - -
Class N 5,580 7,409 3,965 253
Distribution fees (NOTE 3):
Class N 3,726 3,497 2,162 157
Service fees (NOTE 3):
Class A 230,361 236,990 38,646 1,835
Class N 3,726 3,497 2,162 157
------------ ------------ ------------ ------------
Total expenses 4,080,230 3,661,671 2,370,256 204,619
Expenses waived (NOTE 3) - - - (13,651)
Class A Administration fees waived (NOTE 3) - (32,433) - -
Class L Administration fees waived (NOTE 3) - (31,119) - -
Class N Administration fees waived (NOTE 3) - (540) - -
Fees paid indirectly (NOTE 3) (323) - (19,902) (4,087)
------------ ------------ ------------ ------------
Net expenses 4,079,907 3,597,579 2,350,354 186,881
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) 2,463,725 8,487,321 14,099 (23,487)
------------ ------------ ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions (3,126,463) 327,012 1,395,666 2,475,998
Closed futures contracts - 992,922 - -
Foreign currency transactions (9,158) - 1,564 -
------------ ------------ ------------ ------------
Net realized gain (loss) (3,135,621) 1,319,934 1,397,230 2,475,998
------------ ------------ ------------ ------------
Net change in unrealized appreciation (depreciation) on:
Investments 37,540,200 35,449,503 8,621,216 (1,651,410)
Open futures contracts - (107,977) - -
Translation of assets and liabilities in foreign currencies 159 - (703) -
------------ ------------ ------------ ------------
Net unrealized gain (loss) 37,540,359 35,341,526 8,620,513 (1,651,410)
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN 34,404,738 36,661,460 10,017,743 824,588
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 36,868,463 $ 45,148,781 $ 10,031,842 $ 801,101
============ ============ ============ ============
(a) Net of withholding tax of: $ 132,155 $ - $ 9,736 $ 3,129
(b) Including securities lending income of: 44,620 33,587 15,398 1,744
<Caption>
MASSMUTUAL MASSMUTUAL
GROWTH AGGRESSIVE
EQUITY GROWTH
FUND FUND
----------- ------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ 3,168,112 $ 334,890
Interest(b) 156,550 35,104
------------ ------------
Total investment income 3,324,662 369,994
------------ ------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 2,662,021 1,203,151
Custody fees 78,861 21,094
Trustee reporting 2,931 4,275
Audit fees 14,788 12,162
Proxy fees 245 463
Shareholder reporting fees 11,540 14,240
Directors' fees (NOTE 3) 8,714 3,274
------------ ------------
2,779,100 1,258,659
Administration fees (NOTE 3):
Class A 331,502 131,166
Class L 347,789 178,960
Class Y 76,374 20,195
Class S 96,740 60,391
Class Z - -
Class N 2,786 1,597
Distribution fees (NOTE 3):
Class N 2,004 1,012
Service fees (NOTE 3):
Class A 278,573 95,213
Class N 2,004 1,012
------------ ------------
Total expenses 3,916,872 1,748,205
Expenses waived (NOTE 3) - (50,401)
Class A Administration fees waived (NOTE 3) - -
Class L Administration fees waived (NOTE 3) - -
Class N Administration fees waived (NOTE 3) - -
Fees paid indirectly (NOTE 3) (44,639) (1,040)
------------ ------------
Net expenses 3,872,233 1,696,764
------------ ------------
NET INVESTMENT INCOME (LOSS) (547,571) (1,326,770)
------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions 35,296,463 34,398,808
Closed futures contracts 2,225 -
Foreign currency transactions (14,083) (9,538)
------------ ------------
Net realized gain (loss) 35,284,605 34,389,270
------------ ------------
Net change in unrealized appreciation (depreciation) on:
Investments (18,272,242) 1,444,597
Open futures contracts - -
Translation of assets and liabilities in foreign currencies 42 27
------------ ------------
Net unrealized gain (loss) (18,272,200) 1,444,624
------------ ------------
NET REALIZED AND UNREALIZED GAIN 17,012,405 35,833,894
------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 16,464,834 $ 34,507,124
============ ============
(a) Net of withholding tax of: $ 22,884 $ -
(b) Including securities lending income of: 27,895 13,569
</Table>
205
<Page>
<Table>
<Caption>
MASSMUTUAL
MASSMUTUAL FOCUSED
OTC 100 VALUE
FUND FUND
------------ ------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ 66,133 $ 1,936,196
Interest(b) 8,129 136,150
------------ ------------
Total investment income 74,262 2,072,346
------------ ------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 54,460 2,422,378
Custody fees 21,054 29,525
Trustee reporting 2,931 4,275
Audit fees 11,191 14,309
Proxy fees 229 245
Shareholder reporting fees 1,196 10,175
Directors' fees (NOTE 3) 897 7,700
Administration fees (NOTE 3):
Class A 92,523 299,224
Class L 47,673 226,649
Class Y 8,497 74,115
Class S 44,735 129,252
Class N 774 1,831
Distribution fees (NOTE 3):
Class N 287 1,191
Service fees (NOTE 3):
Class A 37,045 223,702
Class N 287 1,191
------------ ------------
Total expenses 323,779 3,445,762
Expenses waived (NOTE 3) - -
Fees paid indirectly (NOTE 3) - (67,360)
------------ ------------
Net expenses 323,779 3,378,402
------------ ------------
NET INVESTMENT INCOME (LOSS) (249,517) (1,306,056)
------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions 4,473,337 48,183,743
Closed futures contracts 8,926 -
------------ ------------
Net realized gain 4,482,263 48,183,743
------------ ------------
Net change in unrealized appreciation (depreciation) on:
Investments (2,459,611) (18,211,503)
Open futures contracts 16,894 -
Translation of assets and liabilities in foreign currencies - -
------------ ------------
Net unrealized gain (loss) (2,442,717) (18,211,503)
------------ ------------
NET REALIZED AND UNREALIZED GAIN 2,039,546 29,972,240
------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,790,029 $ 28,666,184
============ ============
(a) Net of withholding tax of: $ 536 $ -
(b) Including securities lending income of: 4,831 39,088
</Table>
The accompanying notes are an integral part of the financial statements.
206
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
SMALL COMPANY SMALL CAP MID CAP
VALUE EQUITY GROWTH EQUITY
FUND FUND FUND
------------- ------------ -------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ 1,544,601 $ 1,970,650 $ 398,450
Interest(b) 97,076 97,061 110,426
------------- ------------ -------------
Total investment income 1,641,677 2,067,711 508,876
------------- ------------ -------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 1,105,892 1,356,943 524,202
Custody fees 26,186 26,097 10,754
Trustee reporting 4,275 4,275 4,275
Audit fees 11,755 13,347 11,475
Proxy fees 432 32 276
Shareholder reporting fees 3,435 7,722 2,434
Directors' fees (NOTE 3) 2,640 5,706 1,810
Administration fees (NOTE 3):
Class A 98,821 21,174 53,145
Class L 100,051 116,681 55,505
Class Y 53,019 11,100 13,265
Class S 83,178 157,728 27,178
Class N 1,199 257 249
Distribution fees (NOTE 3):
Class N 732 167 174
Service fees (NOTE 3):
Class A 68,759 15,825 43,207
Class N 732 167 174
------------- ------------ -------------
Total expenses 1,561,106 1,737,221 748,123
Expenses waived (NOTE 3) (8,782) - -
Fees paid indirectly (NOTE 3) (55,333) - (15,782)
------------- ------------ -------------
Net expenses 1,496,991 1,737,221 732,341
------------- ------------ -------------
NET INVESTMENT INCOME (LOSS) 144,686 330,490 (223,465)
------------- ------------ -------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions 8,471,008 20,479,929 9,262,432
Closed futures contracts - - -
------------- ------------ -------------
Net realized gain 8,471,008 20,479,929 9,262,432
------------- ------------ -------------
Net change in unrealized appreciation (depreciation) on:
Investments 18,405,819 2,419,396 (7,346,425)
Open futures contracts - - -
Translation of assets and liabilities in foreign currencies - - -
------------- ------------ -------------
Net unrealized gain (loss) 18,405,819 2,419,396 (7,346,425)
------------- ------------ -------------
NET REALIZED AND UNREALIZED GAIN 26,876,827 22,899,325 1,916,007
------------- ------------ -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 27,021,513 $ 23,229,815 $ 1,692,542
============= ============ =============
(a) Net of withholding tax of: $ - $ - $ 3,872
(b) Including securities lending income of: 44,117 6,861 25,674
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
MID CAP SMALL CAP SMALL COMPANY
GROWTH EQUITY II GROWTH EQUITY GROWTH
FUND FUND FUND
---------------- ------------- -------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) $ 954,008 $ 1,007,339 $ 559,218
Interest(b) 112,335 204,885 116,922
---------------- ------------- -------------
Total investment income 1,066,343 1,212,224 676,140
---------------- ------------- -------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 2,182,340 2,026,956 802,223
Custody fees 52,010 48,679 42,463
Trustee reporting 2,931 4,277 4,275
Audit fees 13,547 13,388 11,483
Proxy fees 245 266 339
Shareholder reporting fees 8,110 7,689 2,675
Directors' fees (NOTE 3) 6,148 5,798 2,067
Administration fees (NOTE 3):
Class A 194,820 145,047 112,695
Class L 426,932 181,886 75,686
Class Y 49,057 115,545 41,941
Class S 59,764 143,269 29,996
Class N 1,408 720 1,989
Distribution fees (NOTE 3):
Class N 940 393 1,246
Service fees (NOTE 3):
Class A 150,139 88,986 80,704
Class N 940 393 1,246
---------------- ------------- -------------
Total expenses 3,149,331 2,783,292 1,211,028
Expenses waived (NOTE 3) - - (24,701)
Fees paid indirectly (NOTE 3) (37,690) (80,210) (81,825)
---------------- ------------- -------------
Net expenses 3,111,641 2,703,082 1,104,502
---------------- ------------- -------------
NET INVESTMENT INCOME (LOSS) (2,045,298) (1,490,858) (428,362)
---------------- ------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions 20,314,983 22,661,017 12,231,945
Closed futures contracts - - -
---------------- ------------- -------------
Net realized gain 20,314,983 22,661,017 12,231,945
---------------- ------------- -------------
Net change in unrealized appreciation (depreciation) on:
Investments 24,754,204 (6,803,506) (16,425,449)
Open futures contracts - - -
Translation of assets and liabilities in foreign currencies 15 - -
---------------- ------------- -------------
Net unrealized gain (loss) 24,754,219 (6,803,506) (16,425,449)
---------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN 45,069,202 15,857,511 (4,193,504)
---------------- ------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 43,023,904 $ 14,366,653 $ (4,621,866)
================ ============= =============
(a) Net of withholding tax of: $ 8,764 $ - $ 917
(b) Including securities lending income of: 40,625 87,148 65,037
</Table>
207
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
EMERGING INTERNATIONAL
GROWTH EQUITY
FUND FUND
------------- -------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) (c) $ 48,650 $ 8,917,676
Interest(b) 38,955 413,178
------------- -------------
Total investment income 87,605 9,330,854
------------- -------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 520,723 3,684,577
Custody fees 43,860 532,555
Trustee reporting 4,275 2,932
Audit fees 11,308 15,743
Proxy fees 307 276
Shareholder reporting fees 1,936 13,869
Directors' fees (NOTE 3) 1,467 10,381
------------- -------------
583,876 4,260,333
Administration fees (NOTE 3):
Class A 50,137 76,819
Class L 95,520 276,247
Class Y 3,292 31,515
Class S 17,298 336,494
Class N 290 266
Distribution fees (NOTE 3):
Class N 188 192
Service fees (NOTE 3):
Class A 37,483 65,056
Class N 188 192
------------- -------------
Total expenses 788,272 5,047,114
Expenses waived (NOTE 3) - -
Fees paid indirectly (NOTE 3) - (61,891)
------------- -------------
Net expenses 788,272 4,985,223
------------- -------------
NET INVESTMENT INCOME (LOSS) (700,667) 4,345,631
------------- -------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions(d) 10,965,566 39,302,972
Foreign currency transactions - (1,786,935)
------------- -------------
Net realized gain (loss) 10,965,566 37,516,037
------------- -------------
Net change in unrealized appreciation (depreciation) on:
Investments (6,087,829) (31,117,399)
Translation of assets and liabilities in foreign currencies - (141,978)
------------- -------------
Net unrealized gain (loss) (6,087,829) (31,259,377)
------------- -------------
NET REALIZED AND UNREALIZED GAIN 4,877,737 6,256,660
------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 4,177,070 $ 10,602,291
============= =============
(a) Net of withholding tax of: $ 39 $ 1,122,506
(b) Including securities lending income of: 23,497 467,782
(c) Includes income earned from affiliated issuers (NOTE 2)
(d) Includes realized gain(loss) from affiliated issuers (NOTE 2)
</Table>
The accompanying notes are an integral part of the financial statements.
208
<Page>
<Table>
<Caption>
MASSMUTUAL MASSMUTUAL
MASSMUTUAL DESTINATION DESTINATION
OVERSEAS RETIREMENT INCOME RETIREMENT 2010
FUND FUND FUND
------------- ----------------- ---------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) (c) $ 6,037,305 $ 5,512 $ 197
Interest(b) 151,912 - -
------------- ----------------- ---------------
Total investment income 6,189,217 5,512 197
------------- ----------------- ---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 2,097,295 16,405 535
Custody fees 324,378 5,364 6,908
Trustee reporting 4,275 2,880 2,880
Audit fees 12,724 10,665 10,632
Proxy fees 307 213 213
Shareholder reporting fees 5,633 1,462 1,387
Directors' fees (NOTE 3) 4,332 143 71
------------- ----------------- ---------------
2,448,944 37,132 22,626
Administration fees (NOTE 3):
Class A 101,506 482 310
Class L 132,760 31,900 737
Class Y 36,692 4,712 59
Class S 33,108 60 62
Class N 564 98 110
Distribution fees (NOTE 3):
Class N 479 125 125
Service fees (NOTE 3):
Class A 103,874 825 456
Class N 479 125 125
------------- ----------------- ---------------
Total expenses 2,858,406 75,459 24,610
Expenses waived (NOTE 3) (24,601) (6,006) (21,764)
Fees paid indirectly (NOTE 3) (10,298) - -
------------- ----------------- ---------------
Net expenses 2,823,507 69,453 2,846
------------- ----------------- ---------------
NET INVESTMENT INCOME (LOSS) 3,365,710 (63,941) (2,649)
------------- ----------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions(d) 11,452,600 (52,739) 273
Foreign currency transactions 73,684 - -
------------- ----------------- ---------------
Net realized gain (loss) 11,526,284 (52,739) 273
------------- ----------------- ---------------
Net change in unrealized appreciation (depreciation) on:
Investments 3,173,030 206,223 51,066
Translation of assets and liabilities in foreign currencies 1,543 - -
------------- ----------------- ---------------
Net unrealized gain (loss) 3,174,573 206,223 51,066
------------- ----------------- ---------------
NET REALIZED AND UNREALIZED GAIN 14,700,857 153,484 51,339
------------- ----------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 18,066,567 $ 89,543 $ 48,690
============= ================= ===============
(a) Net of withholding tax of: $ 751,720 $ - $ -
(b) Including securities lending income of: 135,006 - -
(c) Includes income earned from affiliated issuers (NOTE 2)
(d) Includes realized gain(loss) from affiliated issuers (NOTE 2)
<Caption>
MASSMUTUAL MASSMUTUAL MASSMUTUAL
DESTINATION DESTINATION DESTINATION
RETIREMENT 2020 RETIREMENT 2030 RETIREMENT 2040
FUND FUND FUND
-------------- -------------- --------------
INVESTMENT INCOME (NOTE 2):
Dividends(a) (c) $ - $ - $ -
Interest(b) - - -
--------------- --------------- ---------------
Total investment income - - -
--------------- --------------- ---------------
EXPENSES (NOTE 2):
Investment management fees (NOTE 3) 24,129 19,331 12,194
Custody fees 7,728 7,084 5,364
Trustee reporting 2,880 2,880 2,880
Audit fees 10,738 10,709 10,672
Proxy fees 213 213 213
Shareholder reporting fees 1,640 1,577 1,482
Directors' fees (NOTE 3) 296 239 155
--------------- --------------- ---------------
47,624 42,033 32,960
Administration fees (NOTE 3):
Class A 417 1,235 325
Class L 83,572 64,985 38,424
Class Y 88 61 31
Class S 82 73 36
Class N 114 113 108
Distribution fees (NOTE 3):
Class N 126 127 127
Service fees (NOTE 3):
Class A 593 1,782 502
Class N 126 127 127
--------------- --------------- ---------------
Total expenses 132,742 110,536 72,640
Expenses waived (NOTE 3) (11,817) (12,382) (11,401)
Fees paid indirectly (NOTE 3) - - -
--------------- --------------- ---------------
Net expenses 120,925 98,154 61,239
--------------- --------------- ---------------
NET INVESTMENT INCOME (LOSS) (120,925) (98,154) (61,239)
--------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investment transactions(d) 20,976 28,792 32,702
Foreign currency transactions - - -
--------------- --------------- ---------------
Net realized gain (loss) 20,976 28,792 32,702
--------------- --------------- ---------------
Net change in unrealized appreciation (depreciation) on:
Investments 1,389,503 2,848,030 2,460,450
Translation of assets and liabilities in foreign currencies - - -
--------------- --------------- ---------------
Net unrealized gain (loss) 1,389,503 2,848,030 2,460,450
--------------- --------------- ---------------
NET REALIZED AND UNREALIZED GAIN 1,410,479 2,876,822 2,493,152
--------------- --------------- ---------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,289,554 $ 2,778,668 $ 2,431,913
=============== =============== ===============
(a) Net of withholding tax of: $ - $ - $ -
(b) Including securities lending income of: - - -
(c) Includes income earned from affiliated issuers (NOTE 2)
(d) Includes realized gain(loss) from affiliated issuers (NOTE 2)
</Table>
209
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
MASSMUTUAL MONEY MARKET FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,014,931 $ 3,173,857
Net realized gain on investment transactions and forward
commitments 28,533 2,128
Net change in unrealized appreciation (depreciation) on
investments and forward commitments - -
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 1,043,464 3,175,985
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A (53,832) (212,346)
Class L (100,414) (288,229)
Class Y (184,630) (508,505)
Class S (676,055) (2,164,777)
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME (1,014,931) (3,173,857)
From net realized gains:
Class A (4,609) (321)
Class L (3,754) (236)
Class Y (4,992) (319)
Class S (15,348) (1,083)
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS (28,703) (1,959)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 6,836,046 (11,363,632)
Class L 7,350,178 (11,505,510)
Class Y (9,552,949) (16,727,096)
Class S (17,401,022) (62,801,958)
Class N - -
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (12,767,747) (102,398,196)
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (12,767,917) (102,398,027)
NET ASSETS:
Beginning of period 494,004,250 596,402,277
---------------- ----------------
End of period $ 481,236,333 $ 494,004,250
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ (10,164) $ (10,164)
================ ================
</Table>
* FUND COMMENCED OPERATIONS ON DECEMBER 31, 2003.
The accompanying notes are an integral part of the financial statements.
210
<Page>
<Table>
<Caption>
SHORT-DURATION BOND FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 6,980,217 $ 13,313,218
Net realized gain on investment transactions and forward
commitments 1,083,871 532,335
Net change in unrealized appreciation (depreciation) on
investments and forward commitments (7,862,358) (1,139,685)
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 201,730 12,705,868
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (1,618,600)
Class L - (7,163,674)
Class Y - (2,230,314)
Class S - (5,115,170)
Class N - (3,494)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (16,131,252)
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 7,546,702 22,602,558
Class L 1,747,062 46,088,271
Class Y (4,723,367) 13,519,938
Class S (5,854,169) (18,960,548)
Class N - 3,494
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (1,283,772) 63,253,713
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (1,082,042) 59,828,329
NET ASSETS:
Beginning of period 409,709,340 349,881,011
---------------- ----------------
End of period $ 408,627,298 $ 409,709,340
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 5,945,108 $ (1,035,109)
================ ================
<Caption>
MASSMUTUAL
INFLATION-PROTECTED BOND FUND
-------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003*
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 1,543,639 $ -
Net realized gain on investment transactions and forward
commitments 148,817 -
Net change in unrealized appreciation (depreciation) on
investments and forward commitments (4,826,374) -
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS (3,133,918) -
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 704,402 500
Class L 1,885,115 500
Class Y 59,744,749 500
Class S 64,405,244 10,521,800
Class N 100,000 500
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 126,839,510 10,523,800
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 123,705,592 10,523,800
NET ASSETS:
Beginning of period 10,523,800 -
---------------- ----------------
End of period $ 134,229,392 $ 10,523,800
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 1,543,639 $ -
================ ================
<Caption>
MASSMUTUAL CORE BOND FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 27,279,177 $ 68,347,898
Net realized gain on investment transactions and forward
commitments 6,734,546 44,162,718
Net change in unrealized appreciation (depreciation) on
investments and forward commitments (31,909,382) (15,521,646)
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 2,104,341 96,988,970
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (11,039,067)
Class L - (19,415,058)
Class Y - (8,278,764)
Class S - (46,344,913)
Class N - (68,612)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (85,146,414)
From net realized gains:
Class A - (2,659,519)
Class L - (4,514,340)
Class Y - (1,880,301)
Class S - (10,721,055)
Class N - (15,165)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - (19,790,380)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 1,118,548 52,551,451
Class L 34,841,104 65,078,908
Class Y 20,212,726 (17,168,894)
Class S (80,038,631) (442,857,087)
Class N (52,275) 1,165,079
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (23,918,528) (341,230,543)
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (21,814,187) (349,178,367)
NET ASSETS:
Beginning of period 1,522,714,421 1,871,892,788
---------------- ----------------
End of period $ 1,500,900,234 $ 1,522,714,421
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 24,610,344 $ (2,668,833)
================ ================
</Table>
211
<Page>
<Table>
<Caption>
MASSMUTUAL DIVERSIFIED BOND FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 3,693,285 $ 3,543,401
Net realized gain (loss) on investment transactions, forward
commitments, futures contracts, swap contracts, written
options and translation of assets and liabilities in
foreign currencies 1,023,864 1,224,737
Net change in unrealized appreciation (depreciation) on
investments, forward commitments, futures contracts, swap
contracts, written options, and translation of assets
and liabilities in foreign currencies (4,682,338) 1,870,255
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 34,811 6,638,393
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (206,037)
Class L - (1,712,409)
Class Y - (188,635)
Class S - (1,941,978)
Class N - (2,149)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (4,051,208)
From net realized gains:
Class A - (31,237)
Class L - (161,727)
Class Y - (18,000)
Class S - (185,723)
Class N - (283)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - (396,970)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 8,823,444 (7,740,605)
Class L 33,983,354 65,061,345
Class Y (58,588) 2,975,065
Class S 18,651,780 33,572,471
Class N 11,320 4,831
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 61,411,310 93,873,107
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 61,446,121 96,063,322
NET ASSETS:
Beginning of period 158,323,588 62,260,266
---------------- ----------------
End of period $ 219,769,709 $ 158,323,588
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 3,638,321 $ (54,964)
================ ================
</Table>
* FUND COMMENCED OPERATIONS ON DECEMBER 31, 2003.
The accompanying notes are an integral part of the financial statements.
212
<Page>
<Table>
<Caption>
MASSMUTUAL BALANCED FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 2,792,516 $ 6,056,878
Net realized gain (loss) on investment transactions, forward
commitments, futures contracts, swap contracts, written
options and translation of assets and liabilities in
foreign currencies 12,584,061 (3,363,483)
Net change in unrealized appreciation (depreciation) on
investments, forward commitments, futures contracts, swap
contracts, written options, and translation of assets
and liabilities in foreign currencies (8,555,398) 42,767,827
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 6,821,179 45,461,222
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (131,030)
Class L - (44,639)
Class Y - (43,277)
Class S - (6,173,796)
Class N - (10,156)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (6,402,898)
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A (40,380) 938,775
Class L 1,335,472 (1,290,909)
Class Y (81,005) (567,283)
Class S (14,307,513) (20,964,867)
Class N 4,141 386,865
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (13,089,285) (21,497,419)
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (6,268,106) 17,560,905
NET ASSETS:
Beginning of period 290,006,478 272,445,573
---------------- ----------------
End of period $ 283,738,372 $ 290,006,478
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 2,661,620 $ (130,896)
================ ================
<Caption>
MASSMUTUAL STRATEGIC BALANCED FUND
-------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003*
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 617,639 $ -
Net realized gain (loss) on investment transactions, forward
commitments, futures contracts, swap contracts, written
options and translation of assets and liabilities in
foreign currencies (184,792) -
Net change in unrealized appreciation (depreciation) on
investments, forward commitments, futures contracts, swap
contracts, written options, and translation of assets
and liabilities in foreign currencies 106,243 -
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 539,090 -
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 12,245,923 500
Class L 106,821,153 500
Class Y 98,477,866 500
Class S 1,366,849 10,000,500
Class N 396,675 500
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 219,308,466 10,002,500
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 219,847,556 10,002,500
NET ASSETS:
Beginning of period 10,002,500 -
---------------- ----------------
End of period $ 229,850,056 $ 10,002,500
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 617,639 $ -
================ ================
<Caption>
MASSMUTUAL CORE VALUE EQUITY FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 7,165,246 $ 15,331,003
Net realized gain (loss) on investment transactions, forward
commitments, futures contracts, swap contracts, written
options and translation of assets and liabilities in
foreign currencies 41,647,819 (60,579,703)
Net change in unrealized appreciation (depreciation) on
investments, forward commitments, futures contracts, swap
contracts, written options, and translation of assets
and liabilities in foreign currencies (16,913,501) 266,573,166
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 31,899,564 221,324,466
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (276,785)
Class L - (1,267,877)
Class Y - (76,834)
Class S - (12,067,641)
Class N - (1,661)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (13,690,798)
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A (1,030,003) 2,009,683
Class L 113,693 5,038,678
Class Y 225,399 (4,362,260)
Class S (66,367,734) (223,038,337)
Class N 2,353 240,698
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (67,056,292) (220,111,538)
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (35,156,728) (12,477,870)
NET ASSETS:
Beginning of period 901,754,511 914,232,381
---------------- ----------------
End of period $ 866,597,783 $ 901,754,511
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 22,473,791 $ 15,308,545
================ ================
</Table>
213
<Page>
<Table>
<Caption>
MASSMUTUAL FUNDAMENTAL VALUE FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 4,016,628 $ 5,064,215
Net realized gain (loss) on investment transactions, future
contracts and foreign currency translation 10,859,831 (833,745)
Net change in unrealized appreciation (depreciation) on
investments, future contracts and translation of assets
and liabilities in foreign currency 1,435,387 95,058,710
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 16,311,846 99,289,180
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (927,459)
Class L - (1,142,858)
Class Y - (729,717)
Class S - (2,269,500)
Class Z - -
Class N - (14,224)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (5,083,758)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 48,700,057 69,736,302
Class L 56,363,539 67,732,974
Class Y 20,204,258 28,321,522
Class S 48,611,460 90,551,986
Class Z - -
Class N (513,906) 1,625,565
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 173,365,408 257,968,349
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 189,677,254 352,173,771
NET ASSETS:
Beginning of period 576,222,030 224,048,259
---------------- ----------------
End of period $ 765,899,284 $ 576,222,030
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 4,013,313 $ (3,315)
================ ================
</Table>
The accompanying notes are an integral part of the financial statements.
214
<Page>
<Table>
<Caption>
MASSMUTUAL VALUE EQUITY FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 310,827 $ 1,345,559
Net realized gain (loss) on investment transactions, future
contracts and foreign currency translation 9,653,194 (737,030)
Net change in unrealized appreciation (depreciation) on
investments, future contracts and translation of assets
and liabilities in foreign currency (7,181,461) 23,726,771
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 2,782,560 24,335,300
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (217,954)
Class L - (79,886)
Class Y - (50,613)
Class S - (997,000)
Class Z - -
Class N - (1,099)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (1,346,552)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 1,512,345 1,218,824
Class L 127,505 356,353
Class Y (1,231,107) (6,025,944)
Class S (19,556,918) (8,499,627)
Class Z - -
Class N 3,052 122,038
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (19,145,123) (12,828,356)
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (16,362,563) 10,160,392
NET ASSETS:
Beginning of period 98,882,922 88,722,530
---------------- ----------------
End of period $ 82,520,359 $ 98,882,922
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 311,077 $ 250
================ ================
<Caption>
MASSMUTUAL LARGE CAP VALUE FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 2,463,725 $ 4,517,988
Net realized gain (loss) on investment transactions, future
contracts and foreign currency translation (3,135,621) (15,818,450)
Net change in unrealized appreciation (depreciation) on
investments, future contracts and translation of assets
and liabilities in foreign currency 37,540,359 174,720,357
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 36,868,463 163,419,895
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (550,122)
Class L - (1,150,575)
Class Y - (533,770)
Class S - (2,430,954)
Class Z - -
Class N - (19,919)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (4,685,340)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 45,412,824 29,933,828
Class L 34,055,177 51,312,435
Class Y 13,659,535 24,743,546
Class S 32,258,423 34,711,981
Class Z - -
Class N 50,356 2,643,633
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 125,436,315 143,345,423
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 162,304,778 302,079,978
NET ASSETS:
Beginning of period 781,871,999 479,792,021
---------------- ----------------
End of period $ 944,176,777 $ 781,871,999
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 2,496,501 $ 32,776
================ ================
<Caption>
MASSMUTUAL INDEXED EQUITY FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 8,487,321 $ 14,411,360
Net realized gain (loss) on investment transactions, future
contracts and foreign currency translation 1,319,934 (1,562,649)
Net change in unrealized appreciation (depreciation) on
investments, future contracts and translation of assets
and liabilities in foreign currency 35,341,526 270,989,933
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 45,148,781 283,838,644
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (1,289,285)
Class L - (1,877,635)
Class Y - (3,199,507)
Class S - (7,573,075)
Class Z - (546,840)
Class N - (24,237)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (14,510,579)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 51,477,643 61,496,203
Class L 13,419,372 96,387,674
Class Y 46,221,710 42,440,353
Class S (6,363,795) (7,151,150)
Class Z 12,245,990 19,821,400
Class N 900,833 2,152,156
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 117,901,753 215,146,636
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 163,050,534 484,474,701
NET ASSETS:
Beginning of period 1,392,513,960 908,039,259
---------------- ----------------
End of period $ 1,555,564,494 $ 1,392,513,960
================ ================
Undistributed net investment income (distributions in
excess of net investment income) included in net assets
at end of the period $ 8,478,245 $ (9,076)
================ ================
</Table>
215
<Page>
<Table>
<Caption>
MASSMUTUAL BLUE CHIP GROWTH FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 14,099 $ 650,427
Net realized gain (loss) on investment transactions, future
contracts and translation of assets and liabilities in
foreign currency 1,397,230 (15,481,087)
Net change in unrealized appreciation (depreciation) on
investments, future contracts and translation of assets
and liabilities in foreign currency 8,620,513 92,838,217
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 10,031,842 78,007,557
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (27,904)
Class L - (329,096)
Class Y - (9,505)
Class S - (287,842)
Class N - (277)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (654,624)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 4,930,627 18,783,416
Class L (908,752) 28,716,721
Class Y 511,760 2,272,201
Class S (4,774,253) 2,190,610
Class N 831,383 1,246,564
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 590,765 53,209,512
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 10,622,607 130,562,445
NET ASSETS:
Beginning of period 426,040,347 295,477,902
---------------- ----------------
End of period $ 436,662,954 $ 426,040,347
================ ================
Undistributed net investment income (accumulated net
investment loss) (distributions in excess of net
investment income) included in net assets at end of
the period $ 7,014 $ (7,085)
================ ================
</Table>
The accompanying notes are an integral part of the financial statements.
216
<Page>
<Table>
<Caption>
MASSMUTUAL LARGE CAP GROWTH FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ (23,487) $ 25,929
Net realized gain (loss) on investment transactions, future
contracts and translation of assets and liabilities in
foreign currency 2,475,998 (2,362,073)
Net change in unrealized appreciation (depreciation) on
investments, future contracts and translation of assets
and liabilities in foreign currency (1,651,410) 10,090,958
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 801,101 7,754,814
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - -
Class Y - (11,604)
Class S - (22,220)
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (33,824)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 231,485 365,902
Class L 721,801 2,626,779
Class Y 27,894 7,340,972
Class S (16,307,999) (363,543)
Class N 306 2,676
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (15,326,513) 9,972,786
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (14,525,412) 17,693,776
NET ASSETS:
Beginning of period 50,609,908 32,916,132
---------------- ----------------
End of period $ 36,084,496 $ 50,609,908
================ ================
Undistributed net investment income (accumulated net
investment loss) (distributions in excess of net
investment income) included in net assets at end of
the period $ (23,967) $ (480)
================ ================
<Caption>
MASSMUTUAL GROWTH EQUITY FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ (547,571) $ (184,800)
Net realized gain (loss) on investment transactions, future
contracts and translation of assets and liabilities in
foreign currency 35,284,605 63,304,446
Net change in unrealized appreciation (depreciation) on
investments, future contracts and translation of assets
and liabilities in foreign currency (18,272,200) 44,494,236
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 16,464,834 107,613,882
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 17,811,505 99,468,734
Class L 45,337,958 71,463,884
Class Y 1,268,332 14,426,307
Class S 7,885,177 54,501,986
Class N (47,850) 1,467,880
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 72,255,122 241,328,791
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 88,719,956 348,942,673
NET ASSETS:
Beginning of period 728,827,170 379,884,497
---------------- ----------------
End of period $ 817,547,126 $ 728,827,170
================ ================
Undistributed net investment income (accumulated net
investment loss) (distributions in excess of net
investment income) included in net assets at end of
the period $ (566,816) $ (19,245)
================ ================
<Caption>
MASSMUTUAL AGGRESSIVE GROWTH FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ (1,326,770) $ (492,999)
Net realized gain (loss) on investment transactions, future
contracts and translation of assets and liabilities in
foreign currency 34,389,270 4,048,046
Net change in unrealized appreciation (depreciation) on
investments, future contracts and translation of assets
and liabilities in foreign currency 1,444,624 46,171,968
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 34,507,124 49,727,015
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 18,548,926 13,303,616
Class L 41,277,096 31,970,738
Class Y 6,302,551 3,434,464
Class S 34,724,625 43,965,611
Class N 438,145 493,542
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 101,291,343 93,167,971
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 135,798,467 142,894,986
NET ASSETS:
Beginning of period 267,382,348 124,487,362
---------------- ----------------
End of period $ 403,180,815 $ 267,382,348
================ ================
Undistributed net investment income (accumulated net
investment loss) (distributions in excess of net
investment income) included in net assets at end of
the period $ (1,344,160) $ (17,390)
================ ================
</Table>
217
<Page>
<Table>
<Caption>
MASSMUTUAL OTC 100 FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ (249,517) $ (309,428)
Net realized gain (loss) on investment transactions and
futures contracts 4,482,263 (2,343,555)
Net change in unrealized appreciation (depreciation) on
investments and futures contracts (2,442,717) 20,942,554
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 1,790,029 18,289,571
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A (629,001) 11,184,157
Class L (1,511,556) 5,124,334
Class Y 130,577 1,961,871
Class S (6,427,576) 13,354,675
Class N 241,879 2,268
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (8,195,677) 31,627,305
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (6,405,648) 49,916,876
NET ASSETS:
Beginning of period 76,258,620 26,341,744
---------------- ----------------
End of period $ 69,852,972 $ 76,258,620
================ ================
Undistributed net investment income (accumulated net
investment loss) included in net assets at end of the
period $ (251,221) $ (1,704)
================ ================
</Table>
The accompanying notes are an integral part of the financial statements.
218
<Page>
<Table>
<Caption>
MASSMUTUAL FOCUSED VALUE FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ (1,306,056) $ (334,148)
Net realized gain (loss) on investment transactions and
futures contracts 48,183,743 29,707,822
Net change in unrealized appreciation (depreciation) on
investments and futures contracts (18,211,503) 132,069,939
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 28,666,184 161,443,613
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - (839)
Class Y - (1,466)
Class S - (15,701)
Class N - (15)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (18,021)
From net realized gains:
Class A - (3,724,836)
Class L - (2,669,225)
Class Y - (1,800,806)
Class S - (6,769,993)
Class N - (21,328)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - (14,986,188)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 30,412,447 71,673,188
Class L 28,204,080 48,590,374
Class Y 9,604,051 12,005,182
Class S 13,012,687 113,657,251
Class N 114,140 714,855
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 81,347,405 246,640,850
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 110,013,589 393,080,254
NET ASSETS:
Beginning of period 646,923,021 253,842,767
---------------- ----------------
End of period $ 756,936,610 $ 646,923,021
================ ================
Undistributed net investment income (accumulated net
investment loss) included in net assets at end of the
period $ (1,312,121) $ (6,065)
================ ================
<Caption>
MASSMUTUAL SMALL COMPANY VALUE FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 144,686 $ 563,885
Net realized gain (loss) on investment transactions and
futures contracts 8,471,008 4,904,980
Net change in unrealized appreciation (depreciation) on
investments and futures contracts 18,405,819 36,856,024
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 27,021,513 42,324,889
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (43,182)
Class L - (76,630)
Class Y - (150,682)
Class S - (311,648)
Class N - (175)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (582,317)
From net realized gains:
Class A - (85,674)
Class L - (50,763)
Class Y - (89,042)
Class S - (174,528)
Class N - (1,087)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - (401,094)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 18,863,182 26,702,163
Class L 25,556,118 30,311,352
Class Y 12,687,900 17,882,048
Class S 28,741,413 17,537,554
Class N 56,193 369,808
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 85,904,806 92,802,925
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 112,926,319 134,144,403
NET ASSETS:
Beginning of period 210,164,162 76,019,759
---------------- ----------------
End of period $ 323,090,481 $ 210,164,162
================ ================
Undistributed net investment income (accumulated net
investment loss) included in net assets at end of the
period $ 287,921 $ 143,235
================ ================
<Caption>
MASSMUTUAL SMALL CAP EQUITY FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 330,490 $ 1,108,845
Net realized gain (loss) on investment transactions and
futures contracts 20,479,929 9,111,858
Net change in unrealized appreciation (depreciation) on
investments and futures contracts 2,419,396 113,872,517
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 23,229,815 124,093,220
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - (60,163)
Class Y - (19,843)
Class S - (1,035,273)
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (1,115,279)
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET REALIZED GAINS - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A (2,862,023) 732,580
Class L 6,308,394 1,193,464
Class Y (93,582) (5,957,142)
Class S (32,757,450) (59,888,432)
Class N - -
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (29,404,661) (63,919,530)
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (6,174,846) 59,058,411
NET ASSETS:
Beginning of period 475,335,980 416,277,569
---------------- ----------------
End of period $ 469,161,134 $ 475,335,980
================ ================
Undistributed net investment income (accumulated net
investment loss) included in net assets at end of the
period $ 319,199 $ (11,291)
================ ================
</Table>
219
<Page>
<Table>
<Caption>
MASSMUTUAL MID CAP
GROWTH EQUITY FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (223,465) $ (644,773)
Net realized gain (loss) on investment transactions and
foreign currency transactions 9,262,432 3,277,574
Net change in unrealized appreciation (depreciation) on
investments and translation of assets and liabilities in
foreign currency (7,346,425) 32,545,025
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 1,692,542 35,177,826
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A (7,445,214) 6,589,315
Class L 480,580 3,029,178
Class Y 688,472 3,502,167
Class S (12,105,608) 5,702,869
Class N 2,505 6,303
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (18,379,265) 18,829,832
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (16,686,723) 54,007,658
NET ASSETS:
Beginning of period 158,486,335 104,478,677
---------------- ----------------
End of period $ 141,799,612 $ 158,486,335
================ ================
Accumulated net investment loss included in net assets at
end of the period $ (227,450) $ (3,985)
================ ================
</Table>
The accompanying notes are an integral part of the financial statements.
220
<Page>
<Table>
<Caption>
MASSMUTUAL MID CAP
GROWTH EQUITY II FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (2,045,298) $ (2,238,558)
Net realized gain (loss) on investment transactions and
foreign currency transactions 20,314,983 14,060,439
Net change in unrealized appreciation (depreciation) on
investments and translation of assets and liabilities in
foreign currency 24,754,219 102,169,309
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 43,023,904 113,991,190
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 42,402,335 42,882,570
Class L 59,726,134 56,305,479
Class Y 13,036,816 10,594,258
Class S 24,941,152 24,061,394
Class N 416,570 443,512
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 140,523,007 134,287,213
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 183,546,911 248,278,403
NET ASSETS:
Beginning of period 496,612,166 248,333,763
---------------- ----------------
End of period $ 680,159,077 $ 496,612,166
================ ================
Accumulated net investment loss included in net assets at
end of the period $ (2,060,772) $ (15,474)
================ ================
<Caption>
MASSMUTUAL SMALL CAP
GROWTH EQUITY FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (1,490,858) $ (2,446,516)
Net realized gain (loss) on investment transactions and
foreign currency transactions 22,661,017 (312,646)
Net change in unrealized appreciation (depreciation) on
investments and translation of assets and liabilities in
foreign currency (6,803,506) 125,801,395
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS 14,366,653 123,042,233
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net realized gains:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 1,830,956 14,551,052
Class L (2,437,024) 19,958,559
Class Y 4,740,618 22,748,276
Class S (15,032,878) 58,210,672
Class N 542,169 3,605
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (10,356,159) 115,472,164
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 4,010,494 238,514,397
NET ASSETS:
Beginning of period 485,428,967 246,914,570
---------------- ----------------
End of period $ 489,439,461 $ 485,428,967
================ ================
Accumulated net investment loss included in net assets at
end of the period $ (1,497,777) $ (6,919)
================ ================
<Caption>
MASSMUTUAL SMALL COMPANY
GROWTH FUND
-------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (428,362) $ (595,921)
Net realized gain (loss) on investment transactions and
foreign currency transactions 12,231,945 15,946,268
Net change in unrealized appreciation (depreciation) on
investments and translation of assets and liabilities in
foreign currency (16,425,449) 22,523,189
---------------- ----------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS (4,621,866) 37,873,536
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net realized gains:
Class A - (2,491,228)
Class L - (1,656,669)
Class Y - (1,737,578)
Class S - (1,383,485)
Class N - (44,438)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (7,313,398)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 11,241,775 40,460,350
Class L 11,525,164 15,225,444
Class Y 3,152,301 21,666,453
Class S 5,389,467 15,421,007
Class N 16,104 750,090
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 31,324,811 93,523,344
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 26,702,945 124,083,482
NET ASSETS:
Beginning of period 158,849,078 34,765,596
---------------- ----------------
End of period $ 185,552,023 $ 158,849,078
================ ================
Accumulated net investment loss included in net assets at
end of the period $ (429,061) $ (699)
================ ================
</Table>
221
<Page>
<Table>
<Caption>
MASSMUTUAL EMERGING GROWTH FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ (700,667) $ (887,594)
Net realized gain (loss) on investment transactions and
foreign currency transactions 10,965,566 16,059,050
Net change in unrealized appreciation (depreciation) on
investments and translation of assets and liabilities
in foreign currency (6,087,829) 17,309,332
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 4,177,070 32,480,788
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 3,066,391 9,809,273
Class L 9,823,122 15,300,277
Class Y 889,439 504,091
Class S (3,775,392) 4,192,992
Class N - -
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 10,003,560 29,806,633
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 14,180,630 62,287,421
NET ASSETS:
Beginning of period 119,788,080 57,500,659
---------------- ----------------
End of period $ 133,968,710 $ 119,788,080
================ ================
Undistributed net investment income (accumulated net
investment loss) (distributions in excess of net
investment income) included in net assets
at end of the period $ (703,207) $ (2,540)
================ ================
</Table>
* FUND COMMENCED OPERATIONS ON DECEMBER 31, 2003.
The accompanying notes are an integral part of the financial statements.
222
<Page>
<Table>
<Caption>
MASSMUTUAL INTERNATIONAL EQUITY FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 4,345,631 $ 3,503,867
Net realized gain (loss) on investment transactions and
foreign currency transactions 37,516,037 (145,375,447)
Net change in unrealized appreciation (depreciation) on
investments and translation of assets and liabilities
in foreign currency (31,259,377) 448,558,813
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 10,602,291 306,687,233
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (146,033)
Class L - (851,505)
Class Y - (247,474)
Class S - (3,454,180)
Class N - (73)
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (4,699,265)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A (3,602,392) 3,366,745
Class L 1,017,756 23,974,104
Class Y (4,964,280) (15,079,229)
Class S (46,569,183) (57,773,350)
Class N - 73
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS (54,118,099) (45,511,657)
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (43,515,808) 256,476,311
NET ASSETS:
Beginning of period 866,572,866 610,096,555
---------------- ----------------
End of period $ 823,057,058 $ 866,572,866
================ ================
Undistributed net investment income (accumulated net
investment loss) (distributions in excess of net
investment income) included in net assets
at end of the period $ (1,141,806) $ (5,487,437)
================ ================
<Caption>
MASSMUTUAL OVERSEAS FUND
------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ 3,365,710 $ 1,003,123
Net realized gain (loss) on investment transactions and
foreign currency transactions 11,526,284 7,274,299
Net change in unrealized appreciation (depreciation) on
investments and translation of assets and liabilities
in foreign currency 3,174,573 57,941,715
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 18,066,567 66,219,137
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - (78,267)
Class L - (233,726)
Class Y - (257,679)
Class S - (532,683)
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - (1,102,355)
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 27,729,100 33,509,786
Class L 40,644,684 47,769,907
Class Y 6,619,850 41,108,825
Class S 25,849,030 55,170,982
Class N 403,013 94,314
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 101,245,677 177,653,814
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 119,312,244 242,770,596
NET ASSETS:
Beginning of period 354,423,306 111,652,710
---------------- ----------------
End of period $ 473,735,550 $ 354,423,306
================ ================
Undistributed net investment income (accumulated net
investment loss) (distributions in excess of net
investment income) included in net assets
at end of the period $ 3,271,490 $ (94,220)
================ ================
<Caption>
MASSMUTUAL
DESTINATION RETIREMENT INCOME FUND
-------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003*
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) $ (63,941) $ -
Net realized gain (loss) on investment transactions and
foreign currency transactions (52,739) -
Net change in unrealized appreciation (depreciation) on
investments and translation of assets and liabilities
in foreign currency 206,223 -
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 89,543 -
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2):
From net investment income:
Class A - -
Class L - -
Class Y - -
Class S - -
Class N - -
---------------- ----------------
TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME - -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 3,959,839 100,500
Class L 88,276,282 100,500
Class Y 65,377,181 100,500
Class S 326 600,500
Class N - 100,500
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM NET FUND SHARE
TRANSACTIONS 157,613,628 1,002,500
---------------- ----------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 157,703,171 1,002,500
NET ASSETS:
Beginning of period 1,002,500 -
---------------- ----------------
End of period $ 158,705,671 $ 1,002,500
================ ================
Undistributed net investment income (accumulated net
investment loss) (distributions in excess of net
investment income) included in net assets
at end of the period $ (63,941) $ -
================ ================
</Table>
223
<Page>
<Table>
<Caption>
MASSMUTUAL DESTINATION
RETIREMENT 2010 FUND
-------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003*
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (2,649) $ -
Net realized gain on investment transactions 273 -
Net change in unrealized appreciation on investments 51,066 -
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 48,690 -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 1,392,322 100,500
Class L 2,436,134 100,500
Class Y 298,453 100,500
Class S 141,667 600,500
Class N - 100,500
---------------- ----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 4,268,576 1,002,500
---------------- ----------------
TOTAL INCREASE IN NET ASSETS 4,317,266 1,002,500
NET ASSETS:
Beginning of period 1,002,500 -
---------------- ----------------
End of period $ 5,319,766 $ 1,002,500
================ ================
Accumulated net investment loss included in net assets
at end of the period $ (2,649) $ -
================ ================
</Table>
* FUND COMMENCED OPERATIONS ON DECEMBER 31, 2003.
The accompanying notes are an integral part of the financial statements.
224
<Page>
<Table>
<Caption>
MASSMUTUAL DESTINATION
RETIREMENT 2020 FUND
-------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003*
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (120,925) $ -
Net realized gain on investment transactions 20,976 -
Net change in unrealized appreciation on investments 1,389,503 -
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 1,289,554 -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 2,233,030 100,500
Class L 192,644,893 100,500
Class Y 521,321 100,500
Class S 558,617 600,500
Class N - 100,500
---------------- ----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 195,957,861 1,002,500
---------------- ----------------
TOTAL INCREASE IN NET ASSETS 197,247,415 1,002,500
NET ASSETS:
Beginning of period 1,002,500 -
---------------- ----------------
End of period $ 198,249,915 $ 1,002,500
================ ================
Accumulated net investment loss included in net assets
at end of the period $ (120,925) $ -
================ ================
<Caption>
MASSMUTUAL DESTINATION
RETIREMENT 2030 FUND
-------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003*
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (98,154) $ -
Net realized gain on investment transactions 28,792 -
Net change in unrealized appreciation on investments 2,848,030 -
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 2,778,668 -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 9,075,217 100,500
Class L 150,926,383 100,500
Class Y 480,125 100,500
Class S 109,050 600,500
Class N - 100,500
---------------- ----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 160,590,775 1,002,500
---------------- ----------------
TOTAL INCREASE IN NET ASSETS 163,369,443 1,002,500
NET ASSETS:
Beginning of period 1,002,500 -
---------------- ----------------
End of period $ 164,371,943 $ 1,002,500
================ ================
Accumulated net investment loss included in net assets
at end of the period $ (98,154) $ -
================ ================
<Caption>
MASSMUTUAL DESTINATION
RETIREMENT 2040 FUND
-------------------------------------
SIX MONTHS
ENDED YEAR
JUNE 30, 2004 ENDED
(UNAUDITED) DECEMBER 31, 2003*
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment loss $ (61,239) $ -
Net realized gain on investment transactions 32,702 -
Net change in unrealized appreciation on investments 2,460,450 -
---------------- ----------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 2,431,913 -
NET FUND SHARE TRANSACTIONS (NOTE 5):
Class A 1,941,842 100,500
Class L 94,812,028 100,500
Class Y - 100,500
Class S 45,461 600,500
Class N - 100,500
---------------- ----------------
INCREASE IN NET ASSETS FROM NET FUND SHARE TRANSACTIONS 96,799,331 1,002,500
---------------- ----------------
TOTAL INCREASE IN NET ASSETS 99,231,244 1,002,500
NET ASSETS:
Beginning of period 1,002,500 -
---------------- ----------------
End of period $ 100,233,744 $ 1,002,500
================ ================
Accumulated net investment loss included in net assets
at end of the period $ (61,239) $ -
================ ================
</Table>
225
<Page>
MASSMUTUAL MONEY MARKET FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02^ 12/31/01^ 12/31/00^ 12/31/99^
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***^^ 0.00***^^ 0.01*** 0.03*** 0.06*** 0.05***
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 0.00 0.01 0.03 0.06 0.05
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.00)^^ (0.00)^^ (0.01) (0.03) (0.06) (0.04)
From net realized gains (0.00)^^ (0.00)^^ - - - -
-------- -------- -------- -------- -------- --------
Total distributions (0.00) (0.00) (0.01) (0.03) (0.06) (0.04)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 0.07%** 0.20% 0.92% 3.62% 5.84% 4.59%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 85,804 $ 78,968 $ 90,331 $ 90,121 $ 29,149 $ 3,548
Ratio of expenses to average daily net assets:
Before expense waiver 0.97%* 0.95% 0.95% 0.96% 0.95% 1.04%
After expense waiver# 0.87%* 0.94% N/A N/A N/A N/A
Net investment income to average daily
net assets 0.13%* 0.21% 0.92% 3.28% 5.95% 4.89%
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02^ 12/31/01^ 12/31/00^ 12/31/99+^
---------------- ---------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99 $ 1.00
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***^^ 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^^ (0.00)^^ (0.01)
-------- -------- -------- -------- -------- --------
Total income from investment
operations 0.00 0.00 0.01 0.04 0.07 0.03
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.00)^^ (0.00)^^ (0.01) (0.04) (0.06) (0.04)
From net realized gains (0.00)^^ (0.00)^^ - - - -
-------- -------- -------- -------- -------- --------
Total distributions (0.00) (0.00) (0.01) (0.04) (0.06) (0.04)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 0.18%** 0.44% 1.19% 3.88% 6.07% 3.34%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 62,750 $ 55,400 $ 66,906 $ 53,151 $ 24,010 $ 9,842
Ratio of expenses to average daily net assets:
Before expense waiver 0.72%* 0.70% 0.70% 0.71% 0.70% 0.76%*
After expense waiver# 0.66%* N/A N/A N/A N/A N/A
Net investment income to average daily
net assets 0.35%* 0.44% 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.
^^ NET INVESTMENT INCOME, NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, DISTRIBUTIONS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS
FROM NET REALIZED GAINS 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 YEAR ENDED DECEMBER 31, 2003, AND SIX
MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
226
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02^ 12/31/01^ 12/31/00^ 12/31/99^
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99 $ 0.98
-------- -------- --------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***^^ 0.01*** 0.01*** 0.04*** 0.06*** 0.06***
Net realized and unrealized gain (loss)
on investments 0.00^^ 0.00^^ 0.01 0.00^^ (0.00)^^ (0.01)
-------- -------- --------- -------- -------- --------
Total income from investment
operations 0.00 0.01 0.02 0.04 0.06 0.05
-------- -------- --------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.00)^^ (0.01) (0.02) (0.04) (0.05) (0.04)
From net realized gains (0.00)^^ (0.00)^^ - - - -
-------- -------- --------- -------- -------- --------
Total distributions (0.00) (0.01) (0.02) (0.04) (0.05) (0.04)
-------- -------- --------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99
======== ======== ========= ======== ======== ========
TOTAL RETURN(a) 0.22%** 0.59% 1.33% 4.04% 6.25% 5.13%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 80,809 $ 90,362 $ 107,089 $ 84,481 $ 62,858 $ 33,392
Net expenses to average daily net assets 0.56%* 0.55% 0.55% 0.56% 0.55% 0.57%
Net investment income to average daily
net assets 0.44%* 0.59% 1.31% 3.87% 6.15% 5.60%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02^ 12/31/01^ 12/31/00^ 12/31/99^
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99 $ 0.98
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***^^ 0.01*** 0.01*** 0.04*** 0.06*** 0.05***
Net realized and unrealized gain (loss)
on investments 0.00^^ 0.00^^ 0.01 0.00^^ (0.00)^^ (0.00)^^
--------- --------- --------- --------- --------- ---------
Total income from investment
operations 0.00 0.01 0.02 0.04 0.06 0.05
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.00)^^ (0.01) (0.02) (0.04) (0.05) (0.04)
From net realized gains (0.00)^^ (0.00)^^ - - - -
--------- --------- --------- --------- --------- ---------
Total distributions (0.00) (0.01) (0.02) (0.04) (0.05) (0.04)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 0.99
========= ========= ========= ========= ========= =========
TOTAL RETURN(a) 0.27%** 0.69% 1.42% 4.14% 6.37% 5.10%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 251,873 $ 269,275 $ 332,076 $ 392,587 $ 389,011 $ 316,805
Net expenses to average daily net assets 0.47%* 0.45% 0.45% 0.45% 0.45% 0.48%
Net investment income to average daily
net assets 0.54%* 0.70% 1.43% 4.03% 6.22% 5.06%
</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.
^^ NET INVESTMENT INCOME, NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, DISTRIBUTIONS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS
FROM NET REALIZED GAINS ARE LESS THAN $0.01 PER SHARE.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
227
<Page>
MASSMUTUAL SHORT-DURATION BOND FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.27 $ 10.34 $ 10.03 $ 9.98 $ 9.98 $ 10.31
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.16*** 0.34*** 0.40*** 0.49*** 0.63*** 0.50***
Net realized and unrealized gain (loss)
on investments (0.18) (0.01) 0.32 0.10 (0.03) (0.24)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations (0.02) 0.33 0.72 0.59 0.60 0.26
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.40) (0.41) (0.54) (0.60) (0.58)
From net realized gains - - - - - (0.01)
-------- -------- -------- -------- -------- --------
Total distributions - (0.40) (0.41) (0.54) (0.60) (0.59)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.25 $ 10.27 $ 10.34 $ 10.03 $ 9.98 $ 9.98
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) (0.19)%**(c) 3.22% 7.19% 5.94% 6.04% 2.51%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 50,512 $ 43,144 $ 21,199 $ 11,473 $ 5,359 $ 134
Ratio of expenses to average daily net assets:
Before expense waiver 0.99%* 0.99% 0.99% 0.99% 0.99% 1.05%
After expense waiver# 0.97%* N/A N/A N/A N/A N/A
Net investment income to average daily
net assets 3.20%* 3.20% 3.88% 4.67% 6.08% 4.81%
Portfolio turnover rate 28%** 41% 19% 24% 55% 59%
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99+
---------------- ---------- ---------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.27 $ 10.32 $ 10.01 $ 9.95 $ 9.92 $ 10.42
--------- --------- --------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.17*** 0.36*** 0.43*** 0.51*** 0.63*** 0.38***
Net realized and unrealized gain (loss)
on investments (0.18) 0.01 0.32 0.10 (0.00)^ (0.23)
--------- --------- --------- -------- -------- --------
Total income (loss) from investment
operations (0.01) 0.37 0.75 0.61 0.63 0.15
--------- --------- --------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.42) (0.44) (0.55) (0.60) (0.64)
From net realized gains - - - - - (0.01)
--------- --------- --------- -------- -------- --------
Total distributions - (0.42) (0.44) (0.55) (0.60) (0.65)
--------- --------- --------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.26 $ 10.27 $ 10.32 $ 10.01 $ 9.95 $ 9.92
========= ========= ========= ======== ======== ========
TOTAL RETURN(a) (0.10)%** 3.55% 7.47% 6.16% 6.37% 1.48%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 185,477 $ 183,757 $ 139,555 $ 77,789 $ 45,694 $ 1,524
Ratio of expenses to average daily
net assets:
Before expense waiver 0.74%* 0.74% 0.74% 0.74% 0.74% 0.75%*
After expense waiver# 0.72%* N/A N/A N/A N/A N/A
Net investment income to average daily
net assets 3.41%* 3.46% 4.13% 4.96% 6.14% 5.39%*
Portfolio turnover rate 28%** 41% 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.
^ NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS IS LESS THAN $0.01 PER
SHARE.
+ FOR THE PERIOD 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, 2004 THROUGH JUNE 30,
2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
228
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.30 $ 10.37 $ 10.05 $ 9.99 $ 9.96 $ 10.31
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.18*** 0.38*** 0.44*** 0.53*** 0.65*** 0.57***
Net realized and unrealized gain (loss)
on investments (0.18) (0.02) 0.34 0.10 (0.01) (0.27)
-------- -------- -------- -------- -------- --------
Total income from investment
operations 0.00 0.36 0.78 0.63 0.64 0.30
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.43) (0.46) (0.57) (0.61) (0.64)
From net realized gains - - - - - (0.01)
-------- -------- -------- -------- -------- --------
Total distributions - (0.43) (0.46) (0.57) (0.61) (0.65)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.30 $ 10.30 $ 10.37 $ 10.05 $ 9.99 $ 9.96
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 0.00%** 3.50% 7.73% 6.35% 6.44% 3.04%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 50,714 $ 55,458 $ 42,750 $ 14,733 $ 6,644 $ 1,808
Net expenses to average daily net assets 0.59%* 0.59% 0.59% 0.59% 0.58% 0.61%
Net investment income to average daily
net assets 3.51%* 3.60% 4.24% 5.08% 6.26% 5.45%
Portfolio turnover rate 28%** 41% 19% 24% 55% 59%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.36 $ 10.41 $ 10.08 $ 10.01 $ 9.97 $ 10.30
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.18*** 0.39*** 0.45*** 0.54*** 0.63*** 0.56***
Net realized and unrealized gain (loss)
on investments (0.18) (0.01) 0.33 0.10 0.02 (0.24)
--------- --------- --------- --------- --------- ---------
Total income from investment
operations 0.00 0.38 0.78 0.64 0.65 0.32
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.43) (0.45) (0.57) (0.61) (0.64)
From net realized gains - - - - - (0.01)
--------- --------- --------- --------- --------- ---------
Total distributions - (0.43) (0.45) (0.57) (0.61) (0.65)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 10.36 $ 10.36 $ 10.41 $ 10.08 $ 10.01 $ 9.97
========= ========= ========= ========= ========= =========
TOTAL RETURN(a) 0.00%** 3.68% 7.75% 6.42% 6.48% 3.10%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 121,821 $ 127,246 $ 146,276 $ 161,988 $ 182,669 $ 211,137
Net expenses to average daily net assets 0.54%* 0.54% 0.54% 0.54% 0.54% 0.54%
Net investment income to average daily
net assets 3.56%* 3.67% 4.38% 5.19% 6.15% 5.34%
Portfolio turnover rate 28%** 41% 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
229
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.25 $ 10.30 $ 10.31
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.15*** 0.31*** (0.00)***^
Net realized and unrealized loss on investments (0.18) (0.00)^ (0.01)
---------- ---------- ----------
Total income (loss) from investment operations (0.03) 0.31 (0.01)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.36) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.22 $ 10.25 $ 10.30
========== ========== ==========
TOTAL RETURN(a) (0.29)%**(b) 2.98%(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 104 $ 104 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.29%* 1.29% -@
After expense waiver# 1.27%* N/A N/A
Net investment income to average daily net assets 2.94%* 2.92% -@
Portfolio turnover rate 28%** 41% 19%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT LOSS AND NET REALIZED AND UNREALIZED 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.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2004 THROUGH JUNE 30,
2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGES AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
230
<Page>
MASSMUTUAL INFLATION-PROTECTED BOND FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A CLASS L
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income 0.20*** - 0.23*** -
Net realized and unrealized loss
on investments (0.09) - (0.07) -
---------- ---------- ---------- ----------
Total income from investment
operations 0.11 - 0.16 -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.11 $ 10.00 $ 10.16 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 1.10%**(b) -@ 1.60%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 704 $ 1 $ 1,885 $ 1
Ratio of expenses to average
daily net assets:
Before expense waiver 1.11%* -@ 0.86%* -@
After expense waiver# 1.08%* -@ 0.83%* -@
Net investment income to average daily
net assets 4.03%* -@ 4.53%* -@
Portfolio turnover rate 5%** N/A 5%** N/A
<Caption>
CLASS Y CLASS S
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income 0.22*** - 0.23*** -
Net realized and unrealized loss
on investments (0.06) - (0.06) -
---------- ---------- ---------- ----------
Total income from investment
operations 0.16 - 0.17 -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.16 $ 10.00 $ 10.17 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 1.60%** -@ 1.70%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 58,377 $ 1 $ 73,161 $ 10,521
Ratio of expenses to average
daily net assets:
Before expense waiver 0.71%* -@ 0.61%* -@
After expense waiver# 0.68%* -@ 0.58%* -@
Net investment income to average daily
net assets 4.41%* -@ 4.61%* -@
Portfolio turnover rate 5%** N/A 5%** N/A
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00
---------- ----------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income 0.19*** -
Net realized and unrealized loss
on investments (0.06) -
---------- ----------
Total income from investment
operations 0.13 -
---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.13 $ 10.00
========== ==========
TOTAL RETURN(a) 1.30%**(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 102 $ 1
Ratio of expenses to average
daily net assets:
Before expense waiver 1.41%* -@
After expense waiver# 1.38%* -@
Net investment income to average daily
net assets 3.72%* -@
Portfolio turnover rate 5%** 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, 2003.
@ AMOUNTS ARE DE MINIMIS DUE TO SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2003 AND THE
SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS THEY SET
FORTH IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE
LOWER FOR THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE FOR CLASS A AND A CONTINGENT
DEFERRED SALES CHARGE FOR CLASS N AND WOULD BE LOWER FOR THE PERIOD
PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
231
<Page>
MASSMUTUAL CORE BOND FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.93 $ 11.18 $ 10.76 $ 10.65 $ 10.12 $ 11.06
--------- --------- --------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.18*** 0.36*** 0.48*** 0.56*** 0.65*** 0.62***
Net realized and unrealized gain (loss)
on investments (0.19) 0.17 0.42 0.21 0.42 (0.89)
--------- --------- --------- -------- -------- --------
Total income (loss) from investment
operations (0.01) 0.53 0.90 0.77 1.07 (0.27)
--------- --------- --------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.63) (0.45) (0.57) (0.54) (0.66)
From net realized gains - (0.15) (0.03) (0.09) - (0.01)
--------- --------- --------- -------- -------- --------
Total distributions - (0.78) (0.48) (0.66) (0.54) (0.67)
--------- --------- --------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.92 $ 10.93 $ 11.18 $ 10.76 $ 10.65 $ 10.12
========= ========= ========= ======== ======== ========
TOTAL RETURN(a) (0.09)%**(c) 4.78% 8.28% 7.32% 10.62% (2.43)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 205,536 $ 204,591 $ 156,727 $ 61,179 $ 13,435 $ 576
Ratio of expenses to average daily net assets:
Before expense waiver 1.05%* 1.04% 1.04% 1.05% 1.04% 1.07%
After expense waiver# 1.02%* N/A N/A N/A N/A N/A
Net investment income to average daily
net assets 3.35%* 3.17% 4.34% 5.03% 6.02% 5.70%
Portfolio turnover rate 55%** 146% 187% 68% 39% 61%
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99+
---------------- ---------- ---------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.98 $ 11.22 $ 10.79 $ 10.66 $ 10.11 $ 10.97
--------- --------- --------- --------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.20*** 0.39*** 0.52*** 0.60*** 0.66*** 0.44***
Net realized and unrealized gain (loss)
on investments (0.20) 0.18 0.40 0.21 0.44 (0.61)
--------- --------- --------- --------- -------- --------
Total income (loss) from investment
operations 0.00 0.57 0.92 0.81 1.10 (0.17)
--------- --------- --------- --------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.66) (0.46) (0.59) (0.55) (0.68)
From net realized gains - (0.15) (0.03) (0.09) - (0.01)
--------- --------- --------- --------- -------- --------
Total distributions - (0.81) (0.49) (0.68) (0.55) (0.69)
--------- --------- --------- --------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.98 $ 10.98 $ 11.22 $ 10.79 $ 10.66 $ 10.11
========= ========= ========= ========= ======== ========
TOTAL RETURN(a) 0.00%** 5.09% 8.49% 7.62% 10.85% (1.52)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 382,631 $ 348,158 $ 289,553 $ 174,896 $ 66,686 $ 2,361
Ratio of expenses to average daily net assets:
Before expense waiver 0.80%* 0.79% 0.79% 0.80% 0.79% 0.80%*
After expense waiver# 0.77%* N/A N/A N/A N/A N/A
Net investment income to average daily
net assets 3.56%* 3.42% 4.62% 5.32% 6.21% 6.11%*
Portfolio turnover rate 55%** 146% 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.
+ FOR THE PERIOD 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 SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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 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.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
232
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.01 $ 11.25 $ 10.82 $ 10.68 $ 10.12 $ 11.06
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.20*** 0.41*** 0.54*** 0.62*** 0.68*** 0.68***
Net realized and unrealized gain (loss)
on investments (0.19) 0.17 0.40 0.21 0.43 (0.92)
--------- --------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.01 0.58 0.94 0.83 1.11 (0.24)
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.67) (0.48) (0.60) (0.55) (0.69)
From net realized gains - (0.15) (0.03) (0.09) - (0.01)
--------- --------- --------- --------- --------- ---------
Total distributions - (0.82) (0.51) (0.69) (0.55) (0.70)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 11.02 $ 11.01 $ 11.25 $ 10.82 $ 10.68 $ 10.12
========= ========= ========= ========= ========= =========
TOTAL RETURN(a) 0.09%** 5.23% 8.61% 7.84% 11.01% (2.16)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 174,458 $ 153,913 $ 172,997 $ 108,395 $ 49,579 $ 19,471
Net expenses to average daily net assets 0.65%* 0.64% 0.64% 0.65% 0.64% 0.65%
Net investment income to average daily
net assets 3.67%* 3.58% 4.79% 5.49% 6.37% 6.29%
Portfolio turnover rate 55%** 146% 187% 68% 39% 61%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99
---------------- ---------- ----------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.06 $ 11.29 $ 10.85 $ 10.70 $ 10.14 $ 11.06
--------- --------- ----------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.21*** 0.42*** 0.54*** 0.63*** 0.68*** 0.66***
Net realized and unrealized gain (loss)
on investments (0.20) 0.18 0.41 0.21 0.43 (0.89)
--------- --------- ----------- --------- --------- ---------
Total income (loss) from investment
operations 0.01 0.60 0.95 0.84 1.11 (0.23)
--------- --------- ----------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.68) (0.48) (0.60) (0.55) (0.68)
From net realized gains - (0.15) (0.03) (0.09) - (0.01)
--------- --------- ----------- --------- --------- ---------
Total distributions - (0.83) (0.51) (0.69) (0.55) (0.69)
--------- --------- ----------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 11.07 $ 11.06 $ 11.29 $ 10.85 $ 10.70 $ 10.14
========= ========= =========== ========= ========= =========
TOTAL RETURN(a) 0.09%** 5.32% 8.71% 7.92% 10.99% (2.08)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 737,116 $ 814,837 $ 1,252,515 $ 887,641 $ 758,554 $ 594,002
Net expenses to average daily net assets 0.59%* 0.59% 0.59% 0.60% 0.59% 0.57%
Net investment income to average daily
net assets 3.71%* 3.62% 4.83% 5.61% 6.38% 6.07%
Portfolio turnover rate 55%** 146% 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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 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.
233
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02+
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.84 $ 11.15 $ 11.16
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.17*** 0.34*** (0.00)***^
Net realized and unrealized gain (loss) on investments (0.20) 0.16 (0.01)
---------- ---------- ----------
Total income (loss) from investment operations (0.03) 0.50 (0.01)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.66) -
From net realized gains - (0.15) -
---------- ---------- ----------
Total distributions - (0.81) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.81 $ 10.84 $ 11.15
========== ========== ==========
TOTAL RETURN(a) (0.28)%**(b) 4.51%(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,158 $ 1,215 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.35%* 1.36% -@
After expense waiver# 1.32%* N/A N/A
Net investment income to average daily net assets 3.08%* 2.94% -@
Portfolio turnover rate 55%** 146% 187%
</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.
+ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE 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.
234
<Page>
MASSMUTUAL DIVERSIFIED BOND FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99+
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.63 $ 10.04 $ 9.69 $ 9.57 $ 9.56 $ 10.00
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.19*** 0.44*** 0.46*** 0.57*** 0.62*** 0.39***
Net realized and unrealized gain (loss)
on investments (0.18) 0.36 0.29 0.08 0.02 (0.44)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.01 0.80 0.75 0.65 0.64 (0.05)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.18) (0.40) (0.53) (0.63) (0.39)
Tax return of capital - - - - (0.00)^ -
From net realized gains - (0.03) - - - -
-------- -------- -------- -------- -------- --------
Total distributions - (0.21) (0.40) (0.53) (0.63) (0.39)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.64 $ 10.63 $ 10.04 $ 9.69 $ 9.57 $ 9.56
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 0.09%**(c) 7.95% 7.78% 6.69% 6.81% (0.54)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 21,071 $ 12,221 $ 18,401 $ 4,094 $ 312 $ 100
Ratio of expenses to average daily net assets:
Before expense waiver 1.11%* 1.14% 1.16% 1.11% 1.12% 1.19%*
After expense waiver# 1.05%* N/A 1.15% 1.09% 1.11% N/A
Net investment income to average daily
net assets 3.65%* 4.17% 4.61% 5.70% 6.27% 5.92%*
Portfolio turnover rate 67%** 105% 76% 62% 15% 32%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99+
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.56 $ 10.10 $ 9.66 $ 9.57 $ 9.56 $ 10.00
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.20*** 0.43*** 0.51*** 0.58*** 0.64*** 0.41***
Net realized and unrealized gain (loss)
on investments (0.17) 0.35 0.33 0.07 0.03 (0.45)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.03 0.78 0.84 0.65 0.67 (0.04)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.29) (0.40) (0.56) (0.66) (0.40)
Tax return of capital - - - - (0.00)^ -
From net realized gains - (0.03) - - - -
-------- -------- -------- -------- -------- --------
Total distributions - (0.32) (0.40) (0.56) (0.66) (0.40)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.59 $ 10.56 $ 10.10 $ 9.66 $ 9.57 $ 9.56
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 0.28%** 8.36% 8.09% 6.87% 6.99% (0.38)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 98,153 $ 64,281 $ 632 $ 4,026 $ 283 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 0.86%* 0.90% 0.90% 0.86% 0.88% 0.94%*
After expense waiver# 0.81%* N/A 0.90% 0.84% 0.88% N/A
Net investment income to average daily
net assets 3.87%* 3.99% 5.17% 5.75% 6.53% 6.17%*
Portfolio turnover rate 67%** 105% 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.
^ 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, THE PERIOD JANUARY 1, 2002
THROUGH APRIL 30, 2002, AND THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
235
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99+
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.61 $ 10.07 $ 9.70 $ 9.58 $ 9.56 $ 10.00
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.21*** 0.47*** 0.50*** 0.61*** 0.65*** 0.42***
Net realized and unrealized gain (loss)
on investments (0.18) 0.39 0.30 0.06 0.02 (0.45)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.03 0.86 0.80 0.67 0.67 (0.03)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.29) (0.43) (0.55) (0.65) (0.41)
Tax return of capital - - - - (0.00)^ -
From net realized gains - (0.03) - - - -
-------- -------- -------- -------- -------- --------
Total distributions - (0.32) (0.43) (0.55) (0.65) (0.41)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.64 $ 10.61 $ 10.07 $ 9.70 $ 9.58 $ 9.56
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 0.28%** 8.41% 8.30% 6.96% 7.15% (0.26)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 6,937 $ 6,975 $ 3,979 $ 313 $ 231 $ 146
Ratio of expenses to average daily net assets:
Before expense waiver 0.71%* 0.74% 0.75% 0.71% 0.73% 0.80%*
After expense waiver# N/A N/A 0.74% 0.69% 0.72% N/A
Net investment income to average daily
net assets 3.94%* 4.44% 4.99% 6.10% 6.64% 6.35%*
Portfolio turnover rate 67%** 105% 76% 62% 15% 32%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99+
---------------- ---------- ---------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.64 $ 10.10 $ 9.71 $ 9.59 $ 9.56 $ 10.00
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.21*** 0.48*** 0.53*** 0.61*** 0.66*** 0.42***
Net realized and unrealized gain (loss)
on investments (0.18) 0.38 0.29 0.07 0.03 (0.44)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.03 0.86 0.82 0.68 0.69 (0.02)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.29) (0.43) (0.56) (0.66) (0.42)
Tax return of capital - - - - (0.00)^ -
From net realized gains - (0.03) - - - -
-------- -------- -------- -------- -------- --------
Total distributions - (0.32) (0.43) (0.56) (0.66) (0.42)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.67 $ 10.64 $ 10.10 $ 9.71 $ 9.59 $ 9.56
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 0.28%** 8.48% 8.41% 7.11% 7.19% (0.25)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 93,486 $ 74,735 $ 39,147 $ 29,054 $ 26,790 $ 24,975
Ratio of expenses to average daily net assets:
Before expense waiver 0.66%* 0.69% 0.70% 0.66% 0.69% 0.74%*
After expense waiver# N/A N/A 0.70% 0.64% 0.68% N/A
Net investment income to average daily
net assets 3.99%* 4.57% 5.31% 6.13% 6.71% 6.33%*
Portfolio turnover rate 67%** 105% 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.
^ 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
236
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.55 $ 10.02 $ 10.03
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.18*** 0.40*** 0.00***^
Net realized and unrealized gain (loss) on investments (0.19) 0.37 (0.01)
---------- ---------- ----------
Total income (loss) from investment operations (0.01) 0.77 (0.01)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.21) -
Tax return of capital - (0.03) -
---------- ---------- ----------
Total distributions - (0.24) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.54 $ 10.55 $ 10.02
========== ========== ==========
TOTAL RETURN(a) (0.09)%**(b) 7.65%(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 122 $ 111 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.41%* 1.44% -@
After expense waiver# 1.36%* N/A N/A
Net investment income to average daily net assets 3.35%* 3.86% -@
Portfolio turnover rate 67%** 105% 76%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDED 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.
237
<Page>
MASSMUTUAL BALANCED FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.84 $ 7.66 $ 8.93 $ 9.81 $ 13.21 $ 14.20
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.14*** 0.17*** 0.20*** 0.35*** 0.40***
Net realized and unrealized gain (loss)
on investments 0.13 1.20 (1.24) (0.84) (0.41) (0.70)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.19 1.34 (1.07) (0.64) (0.06) (0.30)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.16) (0.20) (0.24) (0.49) (0.47)
Tax return of capital - - - - - (0.00)^
From net realized gains - - - (0.00)^ (2.85) (0.22)
-------- -------- -------- -------- -------- --------
Total distributions - (0.16) (0.20) (0.24) (3.34) (0.69)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.03 $ 8.84 $ 7.66 $ 8.93 $ 9.81 $ 13.21
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 2.15%**(c) 17.52% (11.98)% (6.51)% (0.58)% (2.17)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 7,400 $ 7,287 $ 5,490 $ 7,168 $ 4,095 $ 573
Net expenses to average daily net assets 1.17%* 1.16% 1.16% 1.16% 1.15% 1.15%
Net investment income to average daily
net assets 1.42%* 1.70% 2.08% 2.20% 2.64% 2.87%
Portfolio turnover rate 62%** 95% 94% 85% 100% 19%
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99+
---------------- ---------- ---------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.91 $ 7.71 $ 8.98 $ 9.85 $ 13.22 $ 14.62
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.08*** 0.16*** 0.20*** 0.23*** 0.39*** 0.47***
Net realized and unrealized gain (loss)
on investments 0.12 1.21 (1.25) (0.85) (0.42) (1.15)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.20 1.37 (1.05) (0.62) (0.03) (0.68)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.17) (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 - (0.17) (0.22) (0.25) (3.34) (0.72)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.11 $ 8.91 $ 7.71 $ 8.98 $ 9.85 $ 13.22
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 2.24%** 17.77% (11.67)% (6.31)% (0.35)% (4.69)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 3,817 $ 2,393 $ 3,280 $ 3,976 $ 4,721 $ 173
Net expenses to average daily net assets 0.93%* 0.91% 0.91% 0.91% 0.90% 0.89%*
Net investment income to average daily
net assets 1.68%* 1.97% 2.33% 2.47% 2.97% 4.97%*
Portfolio turnover rate 62%** 95% 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
238
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.18 $ 7.94 $ 9.25 $ 10.14 $ 13.24 $ 14.20
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.08*** 0.18*** 0.21*** 0.25*** 0.42*** 0.46***
Net realized and unrealized gain (loss)
on investments 0.14 1.25 (1.29) (0.88) (0.44) (0.71)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.22 1.43 (1.08) (0.63) (0.02) (0.25)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.19) (0.23) (0.26) (0.23) (0.49)
Tax return of capital - - - - - (0.00)^
From net realized gains - - - (0.00)^ (2.85) (0.22)
-------- -------- -------- -------- -------- --------
Total distributions - (0.19) (0.23) (0.26) (3.08) (0.71)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.40 $ 9.18 $ 7.94 $ 9.25 $ 10.14 $ 13.24
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 2.40%** 18.02% (11.64)% (6.19)% (0.22)% (1.77)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,101 $ 2,138 $ 2,438 $ 3,087 $ 3,587 $ 59,381
Net expenses to average daily net assets 0.77%* 0.76% 0.76% 0.76% 0.74% 0.75%
Net investment income to average daily
net assets 1.82%* 2.09% 2.48% 2.62% 3.20% 3.23%
Portfolio turnover rate 62%** 95% 94% 85% 100% 19%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(b) 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.93 $ 7.72 $ 9.00 $ 9.88 $ 13.25 $ 14.20
--------- --------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.09*** 0.19*** 0.22*** 0.26*** 0.43*** 0.48***
Net realized and unrealized gain (loss)
on investments 0.12 1.22 (1.25) (0.86) (0.41) (0.70)
--------- --------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.21 1.41 (1.03) (0.60) 0.02 (0.22)
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.20) (0.25) (0.28) (0.54) (0.51)
Tax return of capital - - - - - (0.00)^
From net realized gains - - - (0.00)^ (2.85) (0.22)
--------- --------- --------- --------- --------- ---------
Total distributions - (0.20) (0.25) (0.28) (3.39) (0.73)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 9.14 $ 8.93 $ 7.72 $ 9.00 $ 9.88 $ 13.25
========= ========= ========= ========= ========= =========
TOTAL RETURN(a) 2.35%** 18.30% (11.47)% (6.07)% 0.00% (1.58)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 269,884 $ 277,665 $ 261,137 $ 350,187 $ 432,619 $ 655,478
Net expenses to average daily net assets 0.61%* 0.60% 0.60% 0.60% 0.59% 0.57%
Net investment income to average daily
net assets 1.98%* 2.26% 2.64% 2.78% 3.28% 3.36%
Portfolio turnover rate 62%** 95% 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
239
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
----------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.77 $ 7.63 $ 7.63
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.05*** 0.12*** (0.00)***^
Net realized and unrealized gain (loss) on investments 0.12 1.19 (0.00)^
---------- ---------- ----------
Total income (loss) from investment operations 0.17 1.31 (0.00)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.17) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.94 $ 8.77 $ 7.63
========== ========== ==========
TOTAL RETURN(a) 1.94%**(b) 17.22%(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 538 $ 523 $ 101
Net expenses to average daily net assets 1.47%* 1.47% -@
Net investment income to average daily net assets 1.12%* 1.38% -@
Portfolio turnover rate 62%** 95% 94%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT LOSS AND NET REALIZED AND UNREALIZED 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE 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.
240
<Page>
MASSMUTUAL STRATEGIC BALANCED FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A CLASS L
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income 0.04*** - 0.05*** -
Net realized and unrealized gain
on investments 0.12 - 0.12 -
---------- ---------- ---------- ----------
Total income from investment
operations 0.16 - 0.17 -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.16 $ 10.00 $ 10.17 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 1.60%**(b) -@ 1.70%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 12,180 $ 1 $ 106,982 $ 1
Ratio of expenses to average daily
net assets:
Before expense waiver 1.25%* -@ 0.98%* -@
After expense waiver# 1.21%* -@ 0.96%* -@
Net investment income to average daily
net assets 0.72%* -@ 1.03%* -@
Portfolio turnover rate 18%** N/A 18%** N/A
<Caption>
CLASS Y CLASS S
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income 0.06*** - 0.04*** -
Net realized and unrealized gain
on investments 0.12 - 0.14 -
---------- ---------- ---------- ----------
Total income from investment
operations 0.18 - 0.18 -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.18 $ 10.00 $ 10.18 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 1.80%** -@ 1.80%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 98,725 $ 1 $ 11,560 $ 10,001
Ratio of expenses to average daily
net assets:
Before expense waiver 0.82%* -@ 0.91%* -@
After expense waiver# 0.81%* -@ 0.76%* -@
Net investment income to average daily
net assets 1.18%* -@ 0.71%* -@
Portfolio turnover rate 18%** N/A 18%** N/A
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00
---------- ----------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income 0.02*** -
Net realized and unrealized gain
on investments 0.13 -
---------- ----------
Total income from investment
operations 0.15 -
---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.15 $ 10.00
========== ==========
TOTAL RETURN(a) 1.50%**(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 404 $ 1
Ratio of expenses to average daily
net assets:
Before expense waiver 1.61%* -@
After expense waiver# 1.51%* -@
Net investment income to average daily
net assets 0.40%* -@
Portfolio turnover rate 18%** N/A
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARE METHOD.
+ THE FUND COMMENCED OPERATIONS ON DECEMBER 31, 2003.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2003 AND THE
SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE FOR CLASS A AND A CONTINGENT
DEFERRED SALES CHARGE FOR CLASS N AND WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
241
<Page>
MASSMUTUAL CORE VALUE EQUITY FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.76 $ 7.00 $ 8.75 $ 12.73 $ 16.31 $ 18.40
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.09*** 0.06*** 0.06*** 0.09*** 0.17***
Net realized and unrealized gain (loss)
on investments 0.25 1.78 (1.70) (1.94) 0.28 (0.75)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.30 1.87 (1.64) (1.88) 0.37 (0.58)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.11) - (0.09) (0.19) (0.28)
From net realized gains - - (0.11) (2.01) (3.76) (1.23)
-------- -------- -------- -------- -------- --------
Total distributions - (0.11) (0.11) (2.10) (3.95) (1.51)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.06 $ 8.76 $ 7.00 $ 8.75 $ 12.73 $ 16.31
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 3.42%**(b) 26.95% (18.76)% (14.88)% 2.42% (3.13)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 21,903 $ 22,209 $ 15,722 $ 21,649 $ 12,084 $ 1,841
Net expenses to average daily net assets 1.09%* 1.09% 1.09% 1.10% 1.09% 1.10%
Net investment income to average daily
net assets 1.18%* 1.23% 0.76% 0.54% 0.56% 0.92%
Portfolio turnover rate 24%** 64% 62% 99% 69% 10%
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99+
---------------- ---------- ---------- ----------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.87 $ 7.07 $ 8.82 $ 12.80 $ 16.35 $ 19.36
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.11*** 0.08*** 0.09*** 0.13*** 0.20***
Net realized and unrealized gain (loss)
on investments 0.27 1.80 (1.72) (1.96) 0.29 (1.68)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.33 1.91 (1.64) (1.87) 0.42 (1.48)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.11) - (0.10) (0.21) (0.30)
From net realized gains - - (0.11) (2.01) (3.76) (1.23)
-------- -------- -------- -------- -------- --------
Total distributions - (0.11) (0.11) (2.11) (3.97) (1.53)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.20 $ 8.87 $ 7.07 $ 8.82 $ 12.80 $ 16.35
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 3.72%** 27.26% (18.61)% (14.71)% 2.74% (7.63)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 82,610 $ 79,611 $ 56,616 $ 51,480 $ 41,293 $ 2,380
Net expenses to average daily net assets 0.84%* 0.84% 0.84% 0.85% 0.84% 0.84%*
Net investment income to average daily
net assets 1.43%* 1.48% 1.04% 0.77% 0.82% 1.68%*
Portfolio turnover rate 24%** 64% 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
242
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.93 $ 7.10 $ 8.84 $ 12.82 $ 16.35 $ 18.39
-------- -------- -------- -------- -------- --------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.07*** 0.12*** 0.09*** 0.10*** 0.18*** 0.23***
Net realized and unrealized gain (loss)
on investments 0.26 1.82 (1.72) (1.96) 0.26 (0.73)
-------- -------- -------- -------- -------- --------
Total income (loss) from investment
operations 0.33 1.94 (1.63) (1.86) 0.44 (0.50)
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.11) - (0.11) (0.21) (0.31)
From net realized gains - - (0.11) (2.01) (3.76) (1.23)
-------- -------- -------- -------- -------- --------
Total distributions - (0.11) (0.11) (2.12) (3.97) (1.54)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 9.26 $ 8.93 $ 7.10 $ 8.84 $ 12.82 $ 16.35
======== ======== ======== ======== ======== ========
TOTAL RETURN(a) 3.70%** 27.57% (18.46)% (14.59)% 2.85% (2.71)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 6,294 $ 5,850 $ 8,755 $ 14,066 $ 19,340 $ 20,262
Net expenses to average daily net assets 0.69%* 0.69% 0.69% 0.69% 0.69% 0.69%
Net investment income to average daily
net assets 1.58%* 1.58% 1.14% 0.92% 1.16% 1.26%
Portfolio turnover rate 24%** 64% 62% 99% 69% 10%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99
---------------- ---------- ---------- ----------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.97 $ 7.13 $ 8.87 $ 12.85 $ 16.38 $ 18.39
-------- -------- -------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.08*** 0.13*** 0.10*** 0.11*** 0.20*** 0.27***
Net realized and unrealized gain (loss)
on investments 0.25 1.82 (1.73) (1.96) 0.26 (0.75)
-------- -------- -------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.33 1.95 (1.63) (1.85) 0.46 (0.48)
-------- -------- -------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.11) - (0.12) (0.23) (0.30)
From net realized gains - - (0.11) (2.01) (3.76) (1.23)
-------- -------- -------- ---------- ---------- ----------
Total distributions - (0.11) (0.11) (2.13) (3.99) (1.53)
-------- -------- -------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.30 $ 8.97 $ 7.13 $ 8.87 $ 12.85 $ 16.38
======== ======== ======== ========== ========== ==========
TOTAL RETURN(a) 3.68%** 27.61% (18.39)% (14.45)% 2.94% (2.60)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $755,389 $793,699 $833,038 $1,421,467 $2,068,557 $2,854,390
Net expenses to average daily net assets 0.59%* 0.59% 0.59% 0.59% 0.59% 0.57%
Net investment income to average daily
net assets 1.67%* 1.71% 1.23% 1.01% 1.28% 1.45%
Portfolio turnover rate 24%** 64% 62% 99% 69% 10%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
243
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02+
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.69 $ 6.97 $ 6.96
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.04*** 0.07*** 0.00***^
Net realized and unrealized gain on investments 0.25 1.76 0.01
---------- ---------- ----------
Total income from investment operations 0.29 1.83 0.01
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.11) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.98 $ 8.69 $ 6.97
========== ========== ==========
TOTAL RETURN(a) 3.34%**(b) 26.51%(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 401 $ 386 $ 101
Net expenses to average daily net assets 1.39%* 1.40% -@
Net investment income to average daily net assets 0.88%* 0.93% -@
Portfolio turnover rate 24%** 64% 62%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
+ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE 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.
244
<Page>
MASSMUTUAL FUNDAMENTAL VALUE FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.01 $ 7.79 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.10*** 0.08*** -
Net realized and unrealized gain (loss) on investments 0.18 2.19 (2.25) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.23 2.29 (2.17) -
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.07) (0.04) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.24 $ 10.01 $ 7.79 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 2.30%**(c) 29.43% (21.67)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 181,704 $ 129,552 $ 37,973 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.23%* 1.24% 1.27% -
After expense waiver# 1.21%*(b) 1.22%(b) 1.20%(b) -
Net investment income to average daily net assets 0.91%* 1.18% 1.00% -
Portfolio turnover rate 16%** 28% 38% N/A
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.03 $ 7.81 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.13*** 0.10*** -
Net realized and unrealized gain (loss) on investments 0.18 2.18 (2.24) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.24 2.31 (2.14) -
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.09) (0.05) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.27 $ 10.03 $ 7.81 $ 10.00
========== ========== ========== ==========
Total Return(a) 2.39%** 29.56% (21.40)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 193,253 $ 133,178 $ 44,235 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 0.98%* 0.99% 1.02% -
After expense waiver# 0.96%*(b) 0.97%(b) 0.95%(b) -
Net investment income to average daily net assets 1.16%* 1.44% 1.24% -
Portfolio turnover rate 16%** 28% 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.
(a) EMPLOYEE BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
245
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.03 $ 7.80 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.14*** 0.12*** -
Net realized and unrealized gain (loss) on investments 0.19 2.19 (2.26) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.25 2.33 (2.14) -
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.10) (0.06) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.28 $ 10.03 $ 7.80 $ 10.00
========== ========== ========== ==========
Total Return(a) 2.49%** 29.82% (21.41)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 105,610 $ 82,989 $ 40,511 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 0.83%* 0.84% 0.87% -
After expense waiver# 0.81%*(b) 0.82%(b) 0.81%(b) -
Net investment income to average daily net assets 1.28%* 1.60% 1.44% -
Portfolio turnover rate 16%** 28% 38% N/A
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.05 $ 7.81 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.07*** 0.14*** 0.12*** -
Net realized and unrealized gain (loss) on investments 0.18 2.20 (2.25) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.25 2.34 (2.13) -
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.10) (0.06) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.30 $ 10.05 $ 7.81 $ 10.00
========== ========== ========== ==========
Total Return(a) 2.49%** 29.97% (21.35)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 283,852 $ 228,535 $ 101,228 $ 10,001
Ratio of expenses to average daily net assets:
Before expense waiver 0.79%* 0.80% 0.83% -
After expense waiver# 0.77%*(b) 0.78%(b) 0.77%(b) -
Net investment income to average daily net assets 1.35%* 1.63% 1.36% -
Portfolio turnover rate 16%** 28% 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.
(a) EMPLOYEE BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
246
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.94 $ 7.76 $ 7.76
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.03*** 0.08*** (0.00)***^
Net realized and unrealized gain (loss) on investments 0.19 2.17 (0.00)^
---------- ---------- ----------
Total income (loss) from investment operations 0.22 2.25 (0.00)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.07) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.16 $ 9.94 $ 7.76
========== ========== ==========
TOTAL RETURN(a) 2.21%**(c) 29.03%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,480 $ 1,968 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.53%* 1.54% -@
After expense waiver 1.51%*(b) 1.52%(b) -@
Net investment income to average daily net assets 0.62%* 0.83% -@
Portfolio turnover rate 16%** 28% 38%
</Table>
* ANNUALIZED
** PERCENTAGE RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT LOSS AND NET REALIZED AND UNREALIZED 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.
(a) EMPLOYEE BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE INVESTMENT
ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH IN THEIR
RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES 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.
247
<Page>
MASSMUTUAL VALUE EQUITY FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.55 $ 7.66 $ 9.34 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.02*** 0.08*** 0.07*** 0.04***
Net realized and unrealized gain (loss) on investments 0.26 1.91 (1.68) (0.67)
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.28 1.99 (1.61) (0.63)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.10) (0.07) (0.03)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.83 $ 9.55 $ 7.66 $ 9.34
========== ========== ========== ==========
TOTAL RETURN(a) 2.93%**(c) 25.96% (17.28)% (6.29)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 23,500 $ 21,341 $ 15,852 $ 8,881
Ratio of expenses to average daily net assets:
Before expense waiver 1.34%* 1.29% 1.30% 1.29%*
After expense waiver# 1.30%*(b) 1.27%(b) 1.29% 1.29%*
Net investment income to average daily net assets 0.39%* 0.99% 0.79% 0.65%*
Portfolio turnover rate 104%** 66% 105% 62%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.57 $ 7.67 $ 9.34 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.03*** 0.10*** 0.09*** 0.05***
Net realized and unrealized gain (loss) on investments 0.26 1.92 (1.67) (0.67)
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.29 2.02 (1.58) (0.62)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.12) (0.09) (0.04)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.86 $ 9.57 $ 7.67 $ 9.34
========== ========== ========== ==========
TOTAL RETURN(a) 3.03%** 26.34% (16.97)% (6.21)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 6,636 $ 6,313 $ 4,727 $ 2,658
Ratio of expenses to average daily net assets:
Before expense waiver 1.09%* 1.04% 1.05% 1.05%*
After expense waiver# 1.05%*(b) 1.02%(b) 1.04% 1.04%*
Net investment income to average daily net assets 0.64%* 1.24% 1.07% 0.87%*
Portfolio turnover rate 104%** 66% 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
248
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.59 $ 7.68 $ 9.35 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.04*** 0.12*** 0.10*** 0.06***
Net realized and unrealized gain (loss) on investments 0.27 1.91 (1.67) (0.67)
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.31 2.03 (1.57) (0.61)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.12) (0.10) (0.04)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.90 $ 9.59 $ 7.68 $ 9.35
========== ========== ========== ==========
TOTAL RETURN(a) 3.23%** 26.40% (16.87)% (6.12)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,250 $ 3,378 $ 7,543 $ 5,977
Ratio of expenses to average daily net assets:
Before expense waiver 0.94%* 0.88% 0.90% 0.90%*
After expense waiver# 0.88%*(b) 0.86%(b) 0.89% 0.90%*
Net investment income to average daily net assets 0.79%* 1.42% 1.18% 0.93%*
Portfolio turnover rate 104%** 66% 105% 62%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.59 $ 7.68 $ 9.35 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.04*** 0.12*** 0.10*** 0.07***
Net realized and unrealized gain (loss) on investments 0.26 1.92 (1.68) (0.68)
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.30 2.04 (1.58) (0.61)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.13) (0.09) (0.04)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.89 $ 9.59 $ 7.68 $ 9.35
========== ========== ========== ==========
TOTAL RETURN(a) 3.13%** 26.63% (16.83)% (6.09)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 49,807 $ 67,536 $ 60,499 $ 51,604
Ratio of expenses to average daily net assets:
Before expense waiver 0.89%* 0.84% 0.85% 0.87%*
After expense waiver# 0.84%*(b) 0.82%(b) 0.84% 0.86%*
Net investment income to average daily net assets 0.84%* 1.45% 1.22% 1.05%*
Portfolio turnover rate 104%** 66% 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
249
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.56 $ 7.63 $ 7.62
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***^ 0.06*** 0.00***^
Net realized and unrealized gain on investments 0.26 1.90 0.01
---------- ---------- ----------
Total income from investment operations 0.26 1.96 0.01
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.03) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.82 $ 9.56 $ 7.63
========== ========== ==========
TOTAL RETURN(a) 2.72%**(c) 25.73%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 327 $ 315 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.64%* 1.58% -@
After expense waiver 1.59%*(b) 1.56%(b) -@
Net investment income to average daily net assets 0.10%* 0.70% -@
Portfolio turnover rate 104%** 66% 105%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES 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.
250
<Page>
MASSMUTUAL LARGE CAP VALUE FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.35 $ 7.24 $ 8.74 $ 9.92 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.01*** 0.04*** 0.02*** 0.01*** 0.03
Net realized and unrealized gain (loss)
on investments 0.40 2.10 (1.49) (1.18) (0.06)
---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.41 2.14 (1.47) (1.17) (0.03)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.03) (0.03) (0.01) (0.04)
From net realized gains - - - - (0.01)
---------- ---------- ---------- ---------- ----------
Total distributions - (0.03) (0.03) (0.01) (0.05)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.76 $ 9.35 $ 7.24 $ 8.74 $ 9.92
========== ========== ========== ========== ==========
TOTAL RETURN(a) 4.39%**(c) 29.61% (16.86)% (11.75)% (0.36)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 206,788 $ 153,918 $ 92,001 $ 73,431 $ 15,926
Ratio of expenses to average daily net
assets:
Before expense waiver 1.25%* 1.25% 1.24% 1.25% 1.25%*
After expense waiver# 1.25%*(b) 1.24%(b) 1.23%(b) 1.24% N/A
Net investment income to average daily net
assets 0.26%* 0.45% 0.29% 0.12% 0.53%*
Portfolio turnover rate 1%** 7% 25% 20% 11%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.37 $ 7.26 $ 8.76 $ 9.93 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.02*** 0.06*** 0.04*** 0.03*** 0.05***
Net realized and unrealized gain (loss)
on investments 0.40 2.10 (1.50) (1.17) (0.07)
---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.42 2.16 (1.46) (1.14) (0.02)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.05) (0.04) (0.03) (0.04)
From net realized gains - - - - (0.01)
---------- ---------- ---------- ---------- ----------
Total distributions - (0.05) (0.04) (0.03) (0.05)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.79 $ 9.37 $ 7.26 $ 8.76 $ 9.93
========== ========== ========== ========== ==========
TOTAL RETURN(a) 4.48%** 29.79% (16.64)% (11.47)% (0.26)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 250,848 $ 207,025 $ 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% 1.00%*
After expense waiver# 1.00%*(b) 0.99%(b) 0.98%(b) 0.99% N/A
Net investment income to average daily net
assets 0.50%* 0.70% 0.53% 0.37% 0.72%*
Portfolio turnover rate 1%** 7% 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
251
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.39 $ 7.27 $ 8.77 $ 9.94 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.03*** 0.07*** 0.05*** 0.05*** 0.06***
Net realized and unrealized gain (loss)
on investments 0.40 2.11 (1.50) (1.18) (0.07)
---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.43 2.18 (1.45) (1.13) (0.01)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.06) (0.05) (0.04) (0.04)
From net realized gains - - - - (0.01)
---------- ---------- ---------- ---------- ----------
Total distributions - (0.06) (0.05) (0.04) (0.05)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.82 $ 9.39 $ 7.27 $ 8.77 $ 9.94
========== ========== ========== ========== ==========
TOTAL RETURN(a) 4.58%** 30.04% (16.52)% (11.34)% (0.08)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 96,075 $ 78,751 $ 39,762 $ 52,286 $ 10,076
Ratio of expenses to average daily net
assets:
Before expense waiver 0.85%* 0.85% 0.84% 0.85% 0.84%*
After expense waiver# 0.85%*(b) 0.84%(b) 0.83%(b) 0.84% N/A
Net investment income to average daily net
assets 0.66%* 0.85% 0.66% 0.52% 0.93%*
Portfolio turnover rate 1%** 7% 25% 20% 11%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.40 $ 7.27 $ 8.78 $ 9.94 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.04*** 0.08*** 0.06*** 0.06*** 0.06***
Net realized and unrealized gain (loss)
on investments 0.39 2.12 (1.51) (1.17) (0.07)
---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.43 2.20 (1.45) (1.11) (0.01)
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.07) (0.06) (0.05) (0.04)
From net realized gains - - - - (0.01)
---------- ---------- ---------- ---------- ----------
Total distributions - (0.07) (0.06) (0.05) (0.05)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.83 $ 9.40 $ 7.27 $ 8.78 $ 9.94
========== ========== ========== ========== ==========
TOTAL RETURN(a) 4.57%** 30.24% (16.53)% (11.20)% (0.08)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 387,404 $ 339,287 $ 233,510 $ 277,873 $ 225,913
Ratio of expenses to average daily net
assets:
Before expense waiver 0.76%* 0.76% 0.75% 0.76% 0.76%*
After expense waiver# 0.76%*(b) 0.75%(b) 0.74%(b) 0.75% N/A
Net investment income to average daily net
assets 0.74%* 0.94% 0.76% 0.62% 0.91%*
Portfolio turnover rate 1%** 7% 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
252
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.25 $ 7.21 $ 7.19
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***^ 0.03*** 0.00***^
Net realized and unrealized gain on investments 0.39 2.07 0.02
---------- ---------- ----------
Total income from investment operations 0.39 2.10 0.02
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.06) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.64 $ 9.25 $ 7.21
========== ========== ==========
TOTAL RETURN(a) 4.22%**(c) 29.18%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 3,062 $ 2,891 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.55%* 1.57% -@
After expense waiver 1.55%*(b) 1.56%(b) -@
Net investment income (loss) to average daily net assets (0.05)%* 0.33% -@
Portfolio turnover rate 1%** 7% 25%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME (LOSS) IS LESS THAN $0.01 PER SHARE.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES 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 INDEXED EQUITY FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01
----------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.23 $ 8.09 $ 10.55 $ 12.17
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.04*** 0.08*** 0.07*** 0.06***
Net realized and unrealized gain (loss)
on investments 0.26 2.14 (2.47) (1.60)
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.30 2.22 (2.40) (1.54)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.08) (0.06) (0.08)
From net realized gains - - - -
---------- ---------- ---------- ----------
Total distributions - (0.08) (0.06) (0.08)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.53 $ 10.23 $ 8.09 $ 10.55
========== ========== ========== ==========
TOTAL RETURN(a) 2.93%**(b) 27.49% (22.74)% (12.69)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 217,548 $ 160,470 $ 70,695 $ 81,682
Ratio of expenses to average daily net
assets:
Before expense waiver 0.85%* 0.85% 0.85% 0.86%
After expense waiver# 0.81%* N/A N/A N/A
Net investment income to average daily
net assets 0.83%* 0.94% 0.78% 0.52%
Portfolio turnover rate 1%** 2% 5% 4%
<Caption>
CLASS A
-------
YEAR ENDED PERIOD ENDED YEAR ENDED
12/31/00 12/31/99++ 02/28/99
---------- ------------ ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.81 $ 11.81 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.07*** 0.06***
Net realized and unrealized gain (loss)
on investments (1.40) 2.18 1.78
---------- ---------- ----------
Total income (loss) from investment
operations (1.35) 2.25 1.84
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.10) (0.10) (0.03)
From net realized gains (0.19) (0.15) -
---------- ---------- ----------
Total distributions (0.29) (0.25) (0.03)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 12.17 $ 13.81 $ 11.81
========== ========== ==========
TOTAL RETURN(a) (9.88)% 19.14%** 18.40%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 41,829 $ 2,066 $ 118
Ratio of expenses to average daily net
assets:
Before expense waiver 0.84% 0.85%* 1.09%
After expense waiver# N/A N/A N/A
Net investment income to average daily
net assets 0.41% 0.59%* 0.57%
Portfolio turnover rate 10% N/A N/A
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01
---------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.26 $ 8.11 $ 10.58 $ 12.18
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.11*** 0.10*** 0.08***
Net realized and unrealized gain (loss)
on investments 0.26 2.15 (2.48) (1.60)
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.32 2.26 (2.38) (1.52)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.11) (0.09) (0.08)
From net realized gains - - - -
---------- ---------- ---------- ----------
Total distributions - (0.11) (0.09) (0.08)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.58 $ 10.26 $ 8.11 $ 10.58
========== ========== ========== ==========
TOTAL RETURN(a) 3.12%** 27.88% (22.53)% (12.46)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 195,508 $ 176,247 $ 54,756 $ 40,420
Ratio of expenses to average daily net
assets:
Before expense waiver 0.60%* 0.60% 0.60% 0.60%
After expense waiver# 0.56%* N/A N/A N/A
Net investment income to average daily
net assets 1.07%* 1.21% 1.05% 0.75%
Portfolio turnover rate 1%** 2% 5% 4%
<Caption>
CLASS L
-------
YEAR ENDED PERIOD ENDED
12/31/00 12/31/99+
---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.80 $ 13.11
---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.09*** 0.06***
Net realized and unrealized gain (loss)
on investments (1.41) 0.90
---------- ----------
Total income (loss) from investment
operations (1.32) 0.96
---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.11) (0.12)
From net realized gains (0.19) (0.15)
---------- ----------
Total distributions (0.30) (0.27)
---------- ----------
NET ASSET VALUE, END OF PERIOD $ 12.18 $ 13.80
========== ==========
TOTAL RETURN(a) (9.61)% 7.38%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 28,623 $ 1,772
Ratio of expenses to average daily net
assets:
Before expense waiver 0.59% 0.60%*
After expense waiver# N/A N/A
Net investment income to average daily
net assets 0.64% 0.90%*
Portfolio turnover rate 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.
# 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, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
254
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01
----------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.29 $ 8.12 $ 10.60 $ 12.21
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.12*** 0.11*** 0.10***
Net realized and unrealized gain (loss)
on investments 0.26 2.16 (2.49) (1.61)
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.32 2.28 (2.38) (1.51)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.11) (0.10) (0.10)
From net realized gains - - - -
---------- ---------- ---------- ----------
Total distributions - (0.11) (0.10) (0.10)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.61 $ 10.29 $ 8.12 $ 10.60
========== ========== ========== ==========
TOTAL RETURN(a) 3.11%** 28.10% (22.47)% (12.37)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 355,682 $ 299,713 $ 198,240 $ 172,244
Net expenses to average daily net assets 0.45%* 0.45% 0.45% 0.45%
Net investment income to average daily
net assets 1.19%* 1.34% 1.18% 0.90%
Portfolio turnover rate 1%** 2% 5% 4%
<Caption>
CLASS Y
-------
YEAR ENDED PERIOD ENDED YEAR ENDED
12/31/00 12/31/99++ 02/28/99
---------- ------------ ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.81 $ 11.79 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.11*** 0.11*** 0.12***
Net realized and unrealized gain (loss)
on investments (1.41) 2.18 1.78
---------- ---------- ----------
Total income (loss) from investment
operations (1.30) 2.29 1.90
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.11) (0.12) (0.11)
From net realized gains (0.19) (0.15) -
---------- ---------- ----------
Total distributions (0.30) (0.27) (0.11)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 12.21 $ 13.81 $ 11.79
========== ========== ==========
TOTAL RETURN(a) (9.46)% 19.46%** 18.98%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 115,648 $ 46,253 $ 859
Net expenses to average daily net assets 0.44% 0.44%* 0.52%
Net investment income to average daily
net assets 0.80% 1.01%* 1.09%
Portfolio turnover rate 10% N/A N/A
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01
----------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.38 $ 8.19 $ 10.68 $ 12.29
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.06*** 0.12*** 0.11*** 0.11***
Net realized and unrealized gain (loss)
on investments 0.27 2.18 (2.50) (1.62)
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.33 2.30 (2.39) (1.51)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.11) (0.10) (0.10)
From net realized gains - - - -
---------- ---------- ---------- ----------
Total distributions - (0.11) (0.10) (0.10)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.71 $ 10.38 $ 8.19 $ 10.68
========== ========== ========== ==========
TOTAL RETURN(a) 3.18%** 28.10% (22.41)% (12.33)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 726,603 $ 710,691 $ 567,426 $ 642,799
Net expenses to average daily net assets 0.42%* 0.42% 0.42% 0.42%
Net investment income to average daily
net assets 1.22%* 1.37% 1.20% 0.92%
Portfolio turnover rate 1%** 2% 5% 4%
<Caption>
CLASS S
-------
YEAR ENDED PERIOD ENDED YEAR ENDED
12/31/00 12/31/99++ 02/28/99
---------- ------------ ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.88 $ 11.82 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.11*** 0.12*** 0.13***
Net realized and unrealized gain (loss)
on investments (1.42) 2.19 1.78
---------- ---------- ----------
Total income (loss) from investment
operations (1.31) 2.31 1.91
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.09) (0.10) (0.09)
From net realized gains (0.19) (0.15) -
---------- ---------- ----------
Total distributions (0.28) (0.25) (0.09)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 12.29 $ 13.88 $ 11.82
========== ========== ==========
TOTAL RETURN(a) (9.47)% 19.61%** 19.13%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 761,008 $ 813,419 $ 426,687
Net expenses to average daily net assets 0.42% 0.42%* 0.43%
Net investment income to average daily
net assets 0.83% 1.06%* 1.23%
Portfolio turnover rate 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
255
<Page>
<Table>
<Caption>
CLASS Z
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.38 $ 8.19 $ 10.68 $ 11.66
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.08*** 0.15*** 0.13*** 0.09***
Net realized and unrealized gain (loss) on investments 0.26 2.17 (2.50) (0.95)
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.34 2.32 (2.37) (0.86)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.13) (0.12) (0.12)
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.72 $ 10.38 $ 8.19 $ 10.68
========== ========== ========== ==========
TOTAL RETURN(a) 3.28%** 28.39% (22.23)% (7.33)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 56,748 $ 42,906 $ 16,821 $ 95
Net expenses to average daily net assets 0.20%* 0.21% 0.20% 0.21%*
Net investment income to average daily net assets 1.43%* 1.59% 1.42% 1.20%*
Portfolio turnover rate 1%** 2% 5% 4%**
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.15 $ 8.05 $ 8.05
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.03*** 0.06*** 0.00^
Net realized and unrealized gain (loss) on investments 0.25 2.14 (0.00)^
---------- ---------- ----------
Total income (loss) from investment operations 0.28 2.20 0.00
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.10) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.43 $ 10.15 $ 8.05
========== ========== ==========
TOTAL RETURN(a) 2.76%**(b) 27.34%(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 3,475 $ 2,487 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.15%* 1.15% -@
After expense waiver# 1.11%* N/A N/A
Net investment income to average daily net assets 0.56%* 0.64% -@
Portfolio turnover rate 1%** 2% 5%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
ARE LESS THAN $0.01 PER SHARE.
+ FOR THE PERIOD FROM MAY 1, 2001 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2001.
++ CLASS N SHARES COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE 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.
256
<Page>
MASSMUTUAL BLUE CHIP GROWTH FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.33 $ 6.72 $ 9.07 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.01)*** (0.01)*** (0.02)***
Net realized and unrealized gain (loss) on investments 0.19 1.63 (2.34) (0.91)
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.18 1.62 (2.35) (0.93)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.01) (0.00)^^ -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.51 $ 8.33 $ 6.72 $ 9.07
========== ========== ========== ==========
TOTAL RETURN(a) 2.16%**(c) 24.09% (25.91)% (9.30)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 32,505 $ 26,955 $ 4,914 $ 1,006
Ratio of expenses to average daily net assets:
Before expense waiver 1.38%* 1.39% 1.38% 1.39%*
After expense waiver# 1.37%*(b) 1.38%(b) 1.38% 1.39%*
Net investment loss to average daily net assets (0.27)%* (0.13)% (0.20)% (0.39)%*
Portfolio turnover rate 10%** 23% 30% 27%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.39 $ 6.76 $ 9.09 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***^ 0.01*** (0.00)***^ (0.01)***
Net realized and unrealized gain (loss) on investments 0.19 1.63 (2.33) (0.90)
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.19 1.64 (2.33) (0.91)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.01) - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.58 $ 8.39 $ 6.76 $ 9.09
========== ========== ========== ==========
TOTAL RETURN(a) 2.26%** 24.25% (25.63)% (9.10)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 308,485 $ 302,292 $ 217,427 $ 314,290
Ratio of expenses to average daily net assets:
Before expense waiver 1.13%* 1.13% 1.13% 1.14%*
After expense waiver# 1.12%*(b) 1.12%(b) 1.13% 1.14%*
Net investment income (loss) to average daily net assets (0.03)%* 0.14% (0.05)% (0.18)%*
Portfolio turnover rate 10%** 23% 30% 27%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME (LOSS) IS LESS THAN $0.01 PER SHARE.
^^ DISTRIBUTIONS FROM NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
+ FOR THE PERIOD FROM JUNE 1, 2001 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2001.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
257
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.39 $ 6.77 $ 9.10 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00***^ 0.02*** 0.01*** (0.00)***^
Net realized and unrealized gain (loss) on investments 0.21 1.62 (2.34) (0.90)
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.21 1.64 (2.33) (0.90)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.02) (0.00)^^ -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.60 $ 8.39 $ 6.77 $ 9.10
========== ========== ========== ==========
TOTAL RETURN(a) 2.50%** 24.26% (25.56)% (9.00)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 4,228 $ 3,626 $ 827 $ 617
Ratio of expenses to average daily net assets:
Before expense waiver 1.01%* 1.01% 1.01% 1.02%*
After expense waiver# 1.00%*(b) 1.01%*(b) 1.01% 1.01%*
Net investment income (loss) to average daily net assets 0.09%* 0.26% 0.12% (0.02)%*
Portfolio turnover rate 10%** 23% 30% 27%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.42 $ 6.78 $ 9.10 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.01*** 0.03*** 0.02*** 0.00***^
Net realized and unrealized gain (loss) on investments 0.19 1.64 (2.33) (0.90)
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.20 1.67 (2.31) (0.90)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.03) (0.01) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.62 $ 8.42 $ 6.78 $ 9.10
========== ========== ========== ==========
TOTAL RETURN(a) 2.38%** 24.58% (25.43)% (9.00)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 89,071 $ 91,674 $ 72,210 $ 113,011
Ratio of expenses to average daily net assets:
Before expense waiver 0.88%* 0.88% 0.88% 0.89%*
After expense waiver# 0.87%*(b) 0.87%(b) 0.88% 0.89%*
Net investment income to average daily net assets 0.22%* 0.39% 0.20% 0.07%*
Portfolio turnover rate 10%** 23% 30% 27%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME (LOSS) IS LESS THAN $0.01 PER SHARE.
^^ DISTIBUTIONS FROM NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
+ FOR THE PERIOD FROM JUNE 1, 2001 (COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 2001.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
258
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.27 $ 6.69 $ 6.69
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.02)*** (0.03)*** 0.00***^
Net realized and unrealized gain (loss) on investments 0.19 1.61 (0.00)+
---------- ---------- ----------
Total income from investment operations 0.17 1.58 0.00
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00)^^ -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.44 $ 8.27 $ 6.69
========== ========== ==========
TOTAL RETURN(a) 2.06%**(c) 23.64%(c) 0.00%@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,373 $ 1,493 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.68%* 1.69% -@
After expense waiver# 1.68%*(b) 1.69%(b) N/A@
Net investment loss to average daily net assets (0.54)%* (0.45)% 0.00%@
Portfolio turnover rate 10%** 23% 30%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME (LOSS) AND NET REALIZED AND UNREALIZED LOSS ON
INVESTMENTS ARE LESS THAN $0.01 PER SHARE.
^^ DISTIBUTIONS FROM NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE PERIOD JANUARY 1, 2003 THROUGH APRIL
30, 2003.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES 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.
259
<Page>
MASSMUTUAL LARGE CAP GROWTH FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.48 $ 6.97 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.03)*** (0.04)*** -
Net realized and unrealized gain (loss) on investments 0.24 1.54 (2.99) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.22 1.51 (3.03) 0.00
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.70 $ 8.48 $ 6.97 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 2.59%**(c) 21.66% (30.30)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,644 $ 1,374 $ 826 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.34%* 1.34% 1.40% -
After expense waiver# 1.26%*(b) 1.25%(b) 1.22%(b) -
Net investment loss to average daily net assets (0.48)%* (0.34)% (0.48)% -
Portfolio turnover rate 38%** 47% 56% -
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.52 $ 6.99 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.01)*** (0.01)*** -
Net realized and unrealized gain (loss) on investments 0.24 1.54 (3.00) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.23 1.53 (3.01) 0.00
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.75 $ 8.52 $ 6.99 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 2.70%** 21.89% (30.10)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 8,557 $ 7,628 $ 3,883 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.09%* 1.09% 1.15% -
After expense waiver# 1.01%*(b) 1.00%(b) 0.98%(b) -
Net investment loss to average daily net assets (0.23)%* (0.08)% (0.20)% -
Portfolio turnover rate 38%** 47% 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.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEARS ENDED DECEMBER 31, 2002 AND
2003 AND THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
260
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.53 $ 7.00 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***^ 0.01*** (0.01)*** -
Net realized and unrealized gain (loss) on investments 0.23 1.53 (2.99) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.23 1.54 (3.00) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.01) - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.76 $ 8.53 $ 7.00 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 2.70%** 22.04% (30.00)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 7,938 $ 7,697 $ 78 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 0.94%* 0.94% 1.00% -
After expense waiver# 0.86%*(b) 0.86%(b) 0.82%(b) -
Net investment income (loss) to average daily net assets (0.09)%* 0.08% (0.11)% -
Portfolio turnover rate 38%** 47% 56% -
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.55 $ 7.01 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***^ 0.01*** (0.00)***^ -
Net realized and unrealized gain (loss) on investments 0.24 1.54 (2.99) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations 0.24 1.55 (2.99) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.01) - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.79 $ 8.55 $ 7.01 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 2.81%** 22.05% (29.90)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 17,817 $ 33,787 $ 28,029 $ 10,001
Ratio of expenses to average daily net assets:
Before expense waiver 0.90%* 0.90% 0.96% -
After expense waiver# 0.82%*(b) 0.81%(b) 0.77%(b) -
Net investment income (loss) to average daily net assets (0.05)%* 0.11% (0.05)% -
Portfolio turnover rate 38%** 47% 56% -
</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.
+ 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 YEARS ENDED DECEMBER 31, 2002 AND
2003 AND THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
261
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.42 $ 6.94 $ 6.95
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)*** (0.05)*** (0.00)***^
Net realized and unrealized gain (loss) on investments 0.23 1.53 (0.01)
---------- ---------- ----------
Total income (loss) from investment operations 0.20 1.48 (0.01)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 8.62 $ 8.42 $ 6.94
========== ========== ==========
TOTAL RETURN(a) 2.38%** (c) 21.33%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 128 $ 125 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.65%* 1.64% -@
After expense waiver# 1.56%*(b) 1.55%(b) -@
Net investment loss to average daily net assets (0.79)% (0.63)% -@
Portfolio turnover rate 38%** 47% 56%
</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.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2003 AND THE
SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES 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.
262
<Page>
MASSMUTUAL GROWTH EQUITY FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01
----------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.40 $ 6.04 $ 8.39 $ 11.24
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.02)*** (0.03)*** (0.03)***
Net realized and unrealized gain (loss)
on investments 0.17 1.38 (2.32) (2.82)
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.16 1.36 (2.35) (2.85)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - - -
From net realized gains - - - -
---------- ---------- ---------- ----------
Total distributions - - - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.56 $ 7.40 $ 6.04 $ 8.39
========== ========== ========== ==========
TOTAL RETURN(a) 2.16%**(c) 22.52% (28.01)% (25.36)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 228,163 $ 206,097 $ 79,267 $ 75,186
Ratio of expenses to average daily net
assets:
Before expense waiver 1.26%* 1.26% 1.26% 1.27%
After expense waiver# 1.25%*(b) 1.18%(b) 1.22%(b) 1.24%
Net investment loss to average daily net
assets (0.40)%* (0.31)% (0.41)% (0.36)%
Portfolio turnover rate 130%** 260% 224% 279%
<Caption>
CLASS A
-------
YEAR ENDED PERIOD ENDED
12/31/00 12/31/99+
---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.90 $ 10.00
---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.05)*** (0.05)***
Net realized and unrealized gain (loss)
on investments (0.70) 2.98
---------- ----------
Total income (loss) from investment
operations (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 $ 11.24 $ 12.90
========== ==========
TOTAL RETURN(a) (6.01)% 29.27%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 44,905 $ 2,379
Ratio of expenses to average daily net
assets:
Before expense waiver 1.29% 1.50%*
After expense waiver# 1.25% N/A
Net investment loss to average daily net
assets (0.35)% (0.68)%*
Portfolio turnover rate 264% 114%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01
----------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.49 $ 6.10 $ 8.45 $ 11.29
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.00)***^^ (0.01)*** (0.01)***
Net realized and unrealized gain (loss)
on investments 0.18 1.39 (2.34) (2.83)
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.17 1.39 (2.35) (2.84)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - - -
From net realized gains - - - -
---------- ---------- ---------- ----------
Total distributions - - - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.66 $ 7.49 $ 6.10 $ 8.45
========== ========== ========== ==========
TOTAL RETURN(a) 2.27%** 22.79% (27.81)% (25.15)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 251,586 $ 201,623 $ 99,882 $ 112,901
Ratio of expenses to average daily net
assets:
Before expense waiver 1.01%* 1.01% 1.01% 1.02%
After expense waiver# 1.00%*(b) 0.92%(b) 0.97%(b) 0.99%
Net investment loss to average daily net
assets (0.14)%* (0.05)% (0.17)% (0.11)%
Portfolio turnover rate 130%** 260% 224% 279%
<Caption>
CLASS L
-------
YEAR ENDED PERIOD ENDED
12/31/00 12/31/99+
---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.93 $ 10.00
---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.03)***
Net realized and unrealized gain (loss)
on investments (0.72) 2.99
---------- ----------
Total income (loss) from investment
operations (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 $ 11.29 $ 12.93
========== ==========
TOTAL RETURN(a) (5.84)% 29.57%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 69,163 $ 8,912
Ratio of expenses to average daily net
assets:
Before expense waiver 1.04% 1.25%*
After expense waiver# 1.00% N/A
Net investment loss to average daily net
assets (0.11)% (0.41)%*
Portfolio turnover rate 264% 114%**
</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 IS LESS THAN $0.01 PER SHARE.
^^ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
+ FOR THE PERIOD 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
ALL PERIODS SHOWN IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
263
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01
----------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.54 $ 6.12 $ 8.47 $ 11.31
---------- ---------- ---------- ----------
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 0.17 1.41 (2.35) (2.84)
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.17 1.42 (2.35) (2.84)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - - -
From net realized gains - - - -
---------- ---------- ---------- ----------
Total distributions - - - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.71 $ 7.54 $ 6.12 $ 8.47
========== ========== ========== ==========
TOTAL RETURN(a) 2.25%** 23.20% (27.75)% (25.11)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 105,564 $ 101,937 $ 70,469 $ 81,552
Ratio of expenses to average daily net
assets:
Before expense waiver 0.86%* 0.86% 0.86% 0.87%
After expense waiver# 0.85%*(b) 0.77%(b) 0.82%(b) 0.84%
Net investment income (loss) to average
daily
net assets 0.00%*^^^ 0.10% (0.03)% 0.04%
Portfolio turnover rate 130%** 260% 224% 279%
<Caption>
CLASS Y
-------
YEAR ENDED PERIOD ENDED
12/31/00 12/31/99+
---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.93 $ 10.00
---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00**^^ (0.02)***
Net realized and unrealized gain (loss)
on investments (0.71) 2.98
---------- ----------
Total income (loss) from investment
operations (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 $ 11.31 $ 12.93
========== ==========
TOTAL RETURN(a) (5.69)% 29.57%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 49,165 $ 34,170
Ratio of expenses to average daily net
assets:
Before expense waiver 0.89% 1.12%*
After expense waiver# 0.87% N/A
Net investment income (loss) to average
daily
net assets 0.01% (0.26)%*
Portfolio turnover rate 264% 114%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01
----------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.56 $ 6.14 $ 8.49 $ 11.32
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00***^^ 0.01*** 0.00***^^ 0.01***
Net realized and unrealized gain (loss)
on investments 0.18 1.41 (2.35) (2.84)
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.18 1.42 (2.35) (2.83)
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - - -
From net realized gains - - - -
---------- ---------- ---------- ----------
Total distributions - - - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.74 $ 7.56 $ 6.14 $ 8.49
========== ========== ========== ==========
TOTAL RETURN(a) 2.38%** 23.13% (27.68)% (25.00)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 230,594 $ 217,508 $ 130,165 $ 174,610
Ratio of expenses to average daily net assets:
Before expense waiver 0.80%* 0.80% 0.80% 0.81%
After expense waiver# 0.79%*(b) 0.71%(b) 0.76%(b) 0.78%
Net investment income (loss) to average daily
net assets 0.06%* 0.16% 0.04% 0.10%
Portfolio turnover rate 130%** 260% 224% 279%
<Caption>
CLASS S
-------
YEAR ENDED PERIOD ENDED
12/31/00 12/31/99+
---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.93 $ 10.00
---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01*** (0.01)***
Net realized and unrealized gain (loss)
on investments (0.71) 2.97
---------- ----------
Total income (loss) from investment
operations (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 $ 11.32 $ 12.93
========== ==========
TOTAL RETURN(a) (5.61)% 29.57%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 165,480 $ 62,968
Ratio of expenses to average daily net assets:
Before expense waiver 0.83% 0.97%*
After expense waiver# 0.80% N/A
Net investment income (loss) to average daily
net assets 0.07% (0.10)%*
Portfolio turnover rate 264% 114%**
</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 IS LESS THAN $0.01 PER SHARE.
^^ NET INVESTMENT INCOME (LOSS) IS LESS THAN $0.01 PER SHARE.
^^^ NET INVESTMENT INCOME TO AVERAGE DAILY NET ASSETS IS LESS THAN 0.01%.
+ FOR THE PERIOD 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
ALL PERIODS SHOWN IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
264
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.34 $ 6.01 $ 6.01
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.03)*** (0.05)*** 0.00***^^
Net realized and unrealized gain (loss) on investments 0.17 1.38 (0.00)^^
---------- ---------- ----------
Total income from investment operations 0.14 1.33 0.00
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.48 $ 7.34 $ 6.01
========== ========== ==========
TOTAL RETURN(a) 1.91%**(c) 22.13%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,641 $ 1,661 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.56%* 1.57% -@
After expense waiver 1.55%*(b) 1.52%(b) -@
Net investment loss to average daily net assets (0.71)%* (0.65)% -@
Portfolio turnover rate 130%** 260% 224%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^^ NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
ALL PERIODS SHOWN IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES CONTINGENT SALES CHARGES AND WOULD BE LOWER FOR THE
PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
265
<Page>
MASSMUTUAL AGGRESSIVE GROWTH FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(d) 12/31/00+
---------------- ---------- ---------- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 4.96 $ 3.80 $ 5.28 $ 7.75 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.03)*** (0.02)*** (0.02)*** (0.02)*** 0.01***
Net realized and unrealized gain (loss) on
investments 0.59 1.18 (1.46) (2.45) (2.24)
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.56 1.16 (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 $ 5.52 $ 4.96 $ 3.80 $ 5.28 $ 7.75
========= ========= ========= ========= =========
TOTAL RETURN(a) 11.29%**(c) 30.53% (28.03)% (31.87)% (22.32)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 91,481 $ 65,012 $ 37,203 $ 34,747 $ 32,257
Ratio of expenses to average daily net assets:
Before expense waiver 1.36%* 1.37% 1.37% 1.36% 1.35%*
After expense waiver# 1.33%*(b) 1.33%(b) 1.34%(b) 1.35% N/A
Net investment income (loss) to average daily
net assets (1.10)%* (0.56)% (0.56)% (0.33)% 0.14%*
Portfolio turnover rate 89%** 93% 112% 112% 48%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(d) 12/31/00+
---------------- ---------- ---------- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.01 $ 3.82 $ 5.31 $ 7.77 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.02)*** (0.01)*** (0.01)*** (0.00)***^ 0.03***
Net realized and unrealized gain (loss) on
investments 0.59 1.20 (1.48) (2.46) (2.24)
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.57 1.19 (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 $ 5.58 $ 5.01 $ 3.82 $ 5.31 $ 7.77
========= ========= ========= ========= =========
TOTAL RETURN(a) 11.38%** 31.15% (28.06)% (31.66)% (22.10)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 128,234 $ 76,120 $ 31,012 $ 27,980 $ 21,017
Ratio of expenses to average daily net assets:
Before expense waiver 1.11%* 1.12% 1.12% 1.11% 1.12%*
After expense waiver# 1.08%*(b) 1.08%(b) 1.09%(b) 1.10% N/A
Net investment income (loss) to average daily
net assets (0.85)%* (0.32)% (0.31)% (0.08)% 0.43%*
Portfolio turnover rate 89%** 93% 112% 112% 48%**
</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.
^^ TAX RETURN OF CAPITAL 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, JANUARY 1, 2002 THROUGH APRIL 30, 2002 AND THE SIX MONTHS ENDED
JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
(d) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING GUIDE
FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND DISCOUNTS ON
DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR ENDED DECEMBER 31,
2001 WAS AN INCREASE TO NET INVESTMENT LOSS PER SHARE OF LESS THAN $0.01, A
DECREASE TO NET REALIZED AND UNREALIZED GAINS AND LOSSES PER SHARE OF LESS
THAN $0.01 AND AN INCREASE IN THE RATIO OF NET INVESTMENT LOSS TO AVERAGE
NET ASSETS OF 0.02%. PER SHARE DATA AND RATIOS/SUPPLEMENTAL DATA FOR
PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT BEEN RESTATED TO REFLECT THIS
CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
266
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(c) 12/31/00+
---------------- ---------- ---------- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.03 $ 3.83 $ 5.31 $ 7.77 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.02)*** (0.01)*** (0.01)*** (0.00)***^ 0.03***
Net realized and unrealized gain (loss) on
investments 0.60 1.21 (1.47) (2.46) (2.24)
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.58 1.20 (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 $ 5.61 $ 5.03 $ 3.83 $ 5.31 $ 7.77
========= ========= ========= ========= =========
TOTAL RETURN(a) 11.53%** 31.33% (27.87)% (31.66)% (22.06)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 25,817 $ 17,333 $ 10,145 $ 12,095 $ 2,295
Ratio of expenses to average daily net assets:
Before expense waiver 0.93%* 0.97% 0.97% 0.96% 0.95%*
After expense waiver# 0.93%*(b) 0.93%(b) 0.94%(b) 0.94% N/A
Net investment income (loss) to average daily
net assets (0.70)%* (0.16)% (0.16)% (0.02)% 0.52%*
Portfolio turnover rate 89%** 93% 112% 112% 48%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01(c) 12/31/00+
---------------- ---------- ---------- ----------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.05 $ 3.84 $ 5.32 $ 7.77 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.02)*** (0.00)***^ (0.01)*** 0.01*** 0.04***
Net realized and unrealized gain (loss) on
investments 0.60 1.21 (1.47) (2.46) (2.24)
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.58 1.21 (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 $ 5.63 $ 5.05 $ 3.84 $ 5.32 $ 7.77
========= ========= ========= ========= =========
TOTAL RETURN(a) 11.49%** 31.51% (27.82)% (31.53)% (22.05)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 156,494 $ 108,281 $ 46,026 $ 76,724 $ 75,412
Ratio of expenses to average daily net assets:
Before expense waiver 0.86%* 0.87% 0.87% 0.86% 0.87%*
After expense waiver# 0.83%*(b) 0.83%(b) 0.84%(b) 0.85% N/A
Net investment income (loss) to average daily
net assets (0.60)%* (0.06)% (0.07)% 0.17% 0.70%*
Portfolio turnover rate 89%** 93% 112% 112% 48%**
</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.
^^ TAX RETURN OF CAPITAL 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, JANUARY 1, 2002 THROUGH APRIL 30, 2002 AND THE SIX MONTHS ENDED
JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) THE FUND HAS ADOPTED THE PROVISIONS OF THE AICPA AUDIT AND ACCOUNTING GUIDE
FOR INVESTMENT COMPANIES AND BEGAN AMORTIZING PREMIUMS AND DISCOUNTS ON
DEBT SECURITIES. THE EFFECT OF THIS CHANGE FOR THE YEAR ENDED DECEMBER 31,
2001 WAS AN INCREASE TO NET INVESTMENT LOSS PER SHARE OF LESS THAN $0.01, A
DECREASE TO NET REALIZED AND UNREALIZED GAINS AND LOSSES PER SHARE OF LESS
THAN $0.01 AND AN INCREASE IN THE RATIO OF NET INVESTMENT LOSS TO AVERAGE
NET ASSETS OF 0.02%. PER SHARE DATA AND RATIOS/SUPPLEMENTAL DATA FOR
PERIODS PRIOR TO JANUARY 1, 2001 HAVE NOT BEEN RESTATED TO REFLECT THIS
CHANGE IN PRESENTATION.
The accompanying notes are an integral part of the financial statements.
267
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 4.92 $ 3.77 $ 3.77
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.04)*** (0.04)*** 0.00***^
Net realized and unrealized gain (loss) on investments 0.58 1.19 (0.00)^
---------- ---------- ----------
Total income from investment operations 0.54 1.15 0.00
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 5.46 $ 4.92 $ 3.77
========== ========== ==========
TOTAL RETURN(a) 10.98%**(c) 30.50%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,154 $ 636 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.65%* 1.68% -@
After expense waiver# 1.62%*(b) 1.64%(b) -@
Net investment loss to average daily net assets (1.39)%* (0.91)% -@
Portfolio turnover rate 89%** 93% 112%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME AND NET REALIZED AND UNREALIZED LOSSES ON INVESTMENTS
ARE LESS THAN $0.01 PER SHARE.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
BY THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES EXCLUDES
CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES 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.
268
<Page>
MASSMUTUAL OTC 100 FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.74 $ 2.53 $ 4.08 $ 6.08 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.03)*** (0.03)*** (0.04)*** (0.05)***
Net realized and unrealized gain (loss)
on investments 0.12 1.24 (1.52) (1.96) (3.87)
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.10 1.21 (1.55) (2.00) (3.92)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 3.84 $ 3.74 $ 2.53 $ 4.08 $ 6.08
========= ========= ========= ========= =========
TOTAL RETURN(a) 2.67%**(b) 47.83% (37.99)% (33.00)% (39.10)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 30,560 $ 30,349 $ 11,644 $ 12,472 $ 4,411
Ratio of expenses to average daily net
assets:
Before expense waiver 1.13%* 1.17% 1.18% 1.11% 1.11%*
After expense waiver# N/A 1.12% 1.04% 1.07% N/A
Net investment loss to average daily net
assets (0.92)%* (0.86)% (0.90)% (0.90)% (0.91)%*
Portfolio turnover rate 13%** 66% 65% 45% 30%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.77 $ 2.54 $ 4.10 $ 6.09 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.02)*** (0.02)*** (0.03)*** (0.04)***
Net realized and unrealized gain (loss)
on investments 0.12 1.25 (1.54) (1.96) (3.87)
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.11 1.23 (1.56) (1.99) (3.91)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 3.88 $ 3.77 $ 2.54 $ 4.10 $ 6.09
========= ========= ========= ========= =========
TOTAL RETURN(a) 2.92%** 48.43% (38.05)% (32.68)% (39.10)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 14,389 $ 15,508 $ 6,389 $ 8,225 $ 2,360
Ratio of expenses to average daily net
assets:
Before expense waiver 0.88%* 0.91% 0.93% 0.86% 0.86%*
After expense waiver# N/A 0.87% 0.79% 0.82% N/A
Net investment loss to average daily net
assets (0.68)%* (0.61)% (0.65)% (0.65)% (0.65)%*
Portfolio turnover rate 13%** 66% 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 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, AND THE YEARS ENDED DECEMBER 31, 2002 AND 2003.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
269
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.79 $ 2.54 $ 4.11 $ 6.10 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.01)*** (0.01)*** (0.02)*** (0.03)***
Net realized and unrealized gain (loss)
on investments 0.13 1.26 (1.56) (1.97) (3.87)
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.12 1.25 (1.57) (1.99) (3.90)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 3.91 $ 3.79 $ 2.54 $ 4.11 $ 6.10
========= ========= ========= ========= =========
TOTAL RETURN(a) 3.17%** 48.63% (37.96)% (32.62)% (39.00)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 4,072 $ 3,827 $ 998 $ 350 $ 121
Ratio of expenses to average daily net
assets:
Before expense waiver 0.73%* 0.77% 0.78% 0.71% 0.80%*
After expense waiver# N/A 0.73% 0.64% 0.67% N/A
Net investment loss to average daily net
assets (0.52)%* (0.45)% (0.50)% (0.50)% (0.54)%*
Portfolio turnover rate 13%** 66% 65% 45% 30%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
----------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.81 $ 2.56 $ 4.12 $ 6.10 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.01)*** (0.01)*** (0.02)*** (0.02)***
Net realized and unrealized gain (loss)
on investments 0.13 1.26 (1.55) (1.96) (3.88)
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.12 1.25 (1.56) (1.98) (3.90)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 3.93 $ 3.81 $ 2.56 $ 4.12 $ 6.10
========= ========= ========= ========= =========
TOTAL RETURN(a) 3.15%** 48.83% (37.71)% (32.62)% (39.00)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 20,420 $ 26,424 $ 7,211 $ 19,602 $ 20,466
Ratio of expenses to average daily net
assets:
Before expense waiver 0.63%* 0.67% 0.68% 0.62% 0.69%*
After expense waiver# N/A 0.63% 0.54% 0.58% N/A
Net investment loss to average daily net
assets (0.42)%* (0.36)% (0.41)% (0.39)% (0.39)%*
Portfolio turnover rate 13%** 66% 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 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, AND THE YEARS ENDED DECEMBER 31, 2002 AND 2003.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
270
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 3.71 $ 2.52 $ 2.53
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.04)*** (0.00)***^
Net realized and unrealized gain (loss) on investments 0.12 1.23 (0.01)
------------ ------------ ------------
Total income (loss) from investment operations 0.10 1.19 (0.01)
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 3.81 $ 3.71 $ 2.52
============ ============ ============
TOTAL RETURN(a) 2.70%**(b) 47.22%(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 412 $ 150 $ 100
Ratio of expenses to average daily net assets:
Before expense waiver 1.42%* 1.46% -@
After expense waiver# N/A 1.42% -@
Net investment loss to average daily net assets (1.20)%* (1.15)% -@
Portfolio turnover rate 13%** 66% 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.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2001 THROUGH DECEMBER
31, 2001, AND THE YEARS ENDED DECEMBER 31, 2002 AND 2003.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE 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.
271
<Page>
MASSMUTUAL FOCUSED VALUE FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 16.92 $ 11.94 $ 13.41 $ 10.51 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.06)*** (0.06)*** (0.04)*** (0.04)*** 0.02***
Net realized and unrealized gain (loss)
on investments 0.77 5.45 (1.33) 3.30 0.52
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.71 5.39 (1.37) 3.26 0.54
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00) - (0.00)^ (0.03)
From net realized gains - (0.41) (0.10) (0.36) -
--------- --------- --------- --------- ---------
Total distributions - (0.41) (0.10) (0.36) (0.03)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 17.63 $ 16.92 $ 11.94 $ 13.41 $ 10.51
========= ========= ========= ========= =========
TOTAL RETURN(a) 4.20%**(c) 45.13% (10.18)% 31.08% 5.41%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 196,393 $ 158,981 $ 54,319 $ 24,562 $ 753
Ratio of expenses to average daily net
assets:
Before expense waiver 1.29%* 1.30% 1.30% 1.29% 1.31%*
After expense waiver# 1.27%*(b) 1.29%(b) 1.30%(b) 1.29% N/A
Net investment income (loss) to average
daily net assets (0.68)%* (0.40)% (0.33)% (0.30)% 0.33%*
Portfolio turnover rate 21%** 31% 78% 53% 22%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.05 $ 12.00 $ 13.45 $ 10.51 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.04)*** (0.02)*** (0.01)*** 0.00***^ 0.04***
Net realized and unrealized gain (loss)
on investments 0.78 5.48 (1.34) 3.31 0.51
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.74 5.46 (1.35) 3.31 0.55
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00)^ - (0.01) (0.04)
From net realized gains - (0.41) (0.10) (0.36) -
--------- --------- --------- --------- ---------
Total distributions - (0.41) (0.10) (0.37) (0.04)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 17.79 $ 17.05 $ 12.00 $ 13.45 $ 10.51
========= ========= ========= ========= =========
TOTAL RETURN(a) 4.34%** 45.49% (10.00)% 31.50% 5.48%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 148,314 $ 114,730 $ 39,942 $ 25,594 $ 5,432
Ratio of expenses to average daily net
assets:
Before expense waiver 1.04%* 1.05% 1.05% 1.04% 1.05%*
After expense waiver# 1.02%*(b) 1.04%(b) 1.05%(b) 1.04% N/A
Net investment income (loss) to average
daily net assets (0.43)%* (0.16)% (0.11)% 0.00%^^ 0.59%*
Portfolio turnover rate 21%** 31% 78% 53% 22%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME AND DISTRIBUTIONS FROM NET INVESTMENT INCOME ARE LESS
THAN $0.01 PER SHARE.
^^ 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSE OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
272
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- --------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.12 $ 12.03 $ 13.46 $ 10.52 $ 10.00
--------- --------- --------- --------- ---------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.03)*** (0.00)***^ 0.03*** 0.02*** 0.05***
Net realized and unrealized gain (loss)
on investments 0.79 5.50 (1.36) 3.30 0.52
--------- --------- --------- --------- ---------
Total income (loss) from investment
operations 0.76 5.50 (1.33) 3.32 0.57
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00)^ - (0.02) (0.05)
From net realized gains - (0.41) (0.10) (0.36) -
--------- --------- --------- --------- ---------
Total distributions - (0.41) (0.10) (0.38) (0.05)
--------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 17.88 $ 17.12 $ 12.03 $ 13.46 $ 10.52
========= ========= ========= ========= =========
TOTAL RETURN(a) 4.44%** 45.71% (9.85)% 31.60% 5.66%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 91,624 $ 78,549 $ 45,302 $ 10,137 $ 502
Ratio of expenses to average daily net
assets:
Before expense waiver 0.89%* 0.89% 0.90% 0.89% 0.91%*
After expense waiver# 0.87%*(b) 0.89%(b) 0.90%(b) 0.89% N/A
Net investment income (loss) to average
daily net assets (0.29)%* (0.01)% 0.24% 0.14% 0.75%*
Portfolio turnover rate 21%** 31% 78% 53% 22%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 17.19 $ 12.06 $ 13.48 $ 10.53 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.02)*** 0.01*** 0.02*** 0.03*** 0.06***
Net realized and unrealized gain (loss)
on investments 0.78 5.53 (1.34) 3.31 0.52
---------- ---------- ---------- ---------- ----------
Total income (loss) from investment
operations 0.76 5.54 (1.32) 3.34 0.58
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00)^ - (0.03) (0.05)
From net realized gains - (0.41) (0.10) (0.36) -
---------- ---------- ---------- ---------- ----------
Total distributions - (0.41) (0.10) (0.39) (0.05)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 17.95 $ 17.19 $ 12.06 $ 13.48 $ 10.53
========== ========== ========== ========== ==========
TOTAL RETURN(a) 4.42%** 45.94% (9.76)% 31.70% 5.77%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 319,554 $ 293,759 $ 114,178 $ 110,092 $ 53,628
Ratio of expenses to average daily net
assets:
Before expense waiver 0.79%* 0.80% 0.80% 0.79% 0.83%*
After expense waiver# 0.77%*(b) 0.79%(b) 0.80%(b) 0.79% N/A
Net investment income (loss) to average
daily net assets (0.18)%* 0.09% 0.13% 0.28% 0.95%*
Portfolio turnover rate 21%** 31% 78% 53% 22%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME (LOSS) AND DISTRIBUTIONS FROM NET INVESTMENT INCOME
ARE LESS THAN $0.01 PER SHARE.
+ 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSE OF THE FUND.
The accompanying notes are an integral part of the financial statements.
273
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 16.81 $ 11.90 $ 11.77
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.08)*** (0.11)*** (0.00)***^
Net realized and unrealized gain on investments 0.76 5.43 0.13
------------ ------------ ------------
Total income from investment operations 0.68 5.32 0.13
------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00)^ -
Tax return of capital - (0.41) -
------------ ------------ ------------
Total distributions - (0.41) -
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 17.49 $ 16.81 $ 11.90
============ ============ ============
TOTAL RETURN(a) 4.05%**(c) 44.70%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,052 $ 904 $ 102
Ratio of expenses to average daily net assets:
Before expense waiver 1.59%* 1.61% -@
After expense waiver 1.57%*(b) 1.60%(b) -@
Net investment loss to average daily net assets (0.99)%* (0.70)% -@
Portfolio turnover rate 21%** 31% 78%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT LOSS AND DISTRIBUTIONS FROM NET INVESTMENT INCOME ARE LESS
THAN $0.01 PER SHARE.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS. THROUGH
DECEMBER 31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSE 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.
274
<Page>
MASSMUTUAL SMALL COMPANY VALUE FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.96 $ 8.66 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.01)*** 0.02*** 0.05*** -
Net realized and unrealized gain (loss)
on investments 1.27 3.31 (1.37) -
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 1.26 3.33 (1.32) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.01) (0.02) -
From net realized gains - (0.02) - -
---------- ---------- ---------- ----------
Total distributions - (0.03) (0.02) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.22 $ 11.96 $ 8.66 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 10.54%**(c) 38.66% (13.27)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 69,277 $ 44,754 $ 8,602 $ 1
Ratio of expenses to average daily net
assets:
Before expense waiver 1.50%* 1.51% 1.64% -
After expense waiver# 1.45%*(b) 1.41%(b) 1.37%(b) -
Net investment income (loss) to average
daily net assets (0.19)%* 0.17% 0.52% -
Portfolio turnover rate 18%** 58% 69% N/A
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.96 $ 8.65 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.00***^ 0.05*** 0.08*** -
Net realized and unrealized gain (loss)
on investments 1.28 3.31 (1.39) -
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 1.28 3.36 (1.31) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.03) (0.04) -
From net realized gains - (0.02) - -
---------- ---------- ---------- ----------
Total distributions - (0.05) (0.04) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.24 $ 11.96 $ 8.65 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 10.70%** 38.92% (13.10)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 69,087 $ 37,776 $ 3,252 $ 1
Ratio of expenses to average daily net
assets:
Before expense waiver 1.25%* 1.26% 1.39% -
After expense waiver# 1.20%*(b) 1.17%(b) 1.11%(b) -
Net investment income to average daily
net assets 0.05%* 0.45% 0.86% -
Portfolio turnover rate 18%** 58% 69% N/A
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
+ 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 YEARS ENDED DECEMBER 31, 2002 AND
2003 AND FOR THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
275
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.99 $ 8.66 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.01*** 0.06*** 0.11*** -
Net realized and unrealized gain (loss)
on investments 1.28 3.33 (1.40) -
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 1.29 3.39 (1.29) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) (0.05) -
From net realized gains - (0.02) - -
---------- ---------- ---------- ----------
Total distributions - (0.06) (0.05) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.28 $ 11.99 $ 8.66 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 10.76%** 39.16% (12.92)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 64,534 $ 46,409 $ 19,708 $ 1
Ratio of expenses to average daily net
assets:
Before expense waiver 1.10%* 1.11% 1.24% -
After expense waiver# 1.05%*(b) 1.01%(b) 0.92%(b) -
Net investment income to average daily
net assets 0.23%* 0.58% 1.32% -
Portfolio turnover rate 18%** 58% 69% N/A
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.02 $ 8.67 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.02*** 0.06*** 0.07*** -
Net realized and unrealized gain (loss)
on investments 1.27 3.35 (1.36) -
---------- ---------- ---------- ----------
Total income (loss) from investment
operations 1.29 3.41 (1.29) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) (0.04) -
From net realized gains - (0.02) - -
---------- ---------- ---------- ----------
Total distributions - (0.06) (0.04) -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.31 $ 12.02 $ 8.67 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) 10.73%** 39.37% (12.92)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 119,514 $ 80,661 $ 44,356 $ 10,001
Ratio of expenses to average daily net
assets:
Before expense waiver 1.06%* 1.07% 1.20% -
After expense waiver# 1.01%*(b) 0.97%(b) 0.96%(b) -
Net investment income to average daily
net assets 0.25%* 0.58% 0.76% -
Portfolio turnover rate 18%** 58% 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 YEARS ENDED DECEMBER 31, 2002 AND
2003 AND FOR THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
276
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02+
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.90 $ 8.63 $ 8.59
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)*** (0.01)*** 0.00***^
Net realized and unrealized gain on
investments 1.26 3.30 0.04
---------- ---------- ----------
Total income from investment
operations 1.23 3.29 0.04
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00)^^ -
From net realized gains - (0.02) -
---------- ---------- ----------
Total distributions - (0.02) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.13 $ 11.90 $ 8.63
========== ========== ==========
TOTAL RETURN(a) 10.34%**(c) 38.20%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 678 $ 564 $ 101
Ratio of expenses to average daily
net assets:
Before expense waiver 1.80%* 1.81% -@
After expense waiver# 1.75%*(b) 1.72%(b) -@
Net investment loss to average daily
net assets (0.47)%* (0.08)% -@
Portfolio turnover rate 18%** 58% 69%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
^^ DISTRIBUTIONS FROM NET INVESTMENT INCOME ARE LESS THAN $0.01 PER SHARE.
+ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEARS ENDED DECEMBER 31, 2002 AND
2003 AND FOR THE SIX MONTHS ENDED JUEN 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
277
<Page>
MASSMUTUAL SMALL CAP EQUITY FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.33 $ 10.15 $ 12.62
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.02)*** (0.02)*** (0.01)***
Net realized and unrealized gain (loss)
on investments 0.68 3.20 (1.68)
------------ ------------ ------------
Total income (loss) from investment
operations 0.66 3.18 (1.69)
------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - -
From net realized gains - - (0.78)
------------ ------------ ------------
Total distributions - - (0.78)
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 13.99 $ 13.33 $ 10.15
============ ============ ============
TOTAL RETURN(a) 4.87%**(c) 31.43% (13.30)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 10,209 $ 12,585 $ 9,079
Ratio of expenses to average daily net
assets:
Before expense waiver 1.19%* 1.19% 1.19%
After expense waiver N/A 1.19%(b) 1.19%(b)
Net investment income (loss) to average
daily net assets (0.30)%* (0.21)% (0.13)%
Portfolio turnover rate 22%** 26% 49%
<Caption>
CLASS A
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/01 12/31/00 12/31/99
------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.36 $ 13.56 $ 14.07
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***^ 0.01*** 0.07***
Net realized and unrealized gain (loss)
on investments 0.42 1.82 (0.13)
------------ ------------ ------------
Total income (loss) from investment
operations 0.42 1.83 (0.06)
------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.01) (0.08) (0.09)
From net realized gains (1.15) (1.95) (0.36)
------------ ------------ ------------
Total distributions (1.16) (2.03) (0.45)
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.62 $ 13.36 $ 13.56
============ ============ ============
TOTAL RETURN(a) 3.12% 13.68% (0.36)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 8,361 $ 4,093 $ 262
Ratio of expenses to average daily net
assets:
Before expense waiver 1.19% 1.19% 1.22%
After expense waiver N/A N/A N/A
Net investment income (loss) to average
daily net assets (0.01)% 0.07% 0.49%
Portfolio turnover rate 91% 61% 34%
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.40 $ 10.18 $ 12.65
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.00)***^ 0.00***^ 0.01***
Net realized and unrealized gain (loss)
on investments 0.67 3.23 (1.68)
------------ ------------ ------------
Total income (loss) from investment
operations 0.67 3.23 (1.67)
------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.01) (0.02)
Tax return of capital - - (0.00)+
From net realized gains - - (0.78)
------------ ------------ ------------
Total distributions - (0.01) (0.80)
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 14.07 $ 13.40 $ 10.18
============ ============ ============
TOTAL RETURN(a) 5.00%** 31.73% (13.07)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 75,043 $ 65,205 $ 45,887
Ratio of expenses to average daily net
assets:
Before expense waiver 0.94%* 0.94% 0.94%
After expense waiver N/A 0.94%(b) 0.94%(b)
Net investment income (loss) to average
daily net assets (0.30)%* 0.04% 0.12%
Portfolio turnover rate 22%** 26% 49%
<Caption>
CLASS L
-------
YEAR ENDED YEAR ENDED PERIOD ENDED
12/31/01 12/31/00 12/31/99+
------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.38 $ 13.55 $ 13.66
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.03*** 0.05*** 0.08***
Net realized and unrealized gain (loss)
on investments 0.43 1.82 0.32
------------ ------------ ------------
Total income (loss) from investment
operations 0.46 1.87 0.40
------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.04) (0.09) (0.15)
Tax return of capital - - -
From net realized gains (1.15) (1.95) (0.36)
------------ ------------ ------------
Total distributions (1.19) (2.04) (0.51)
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.65 $ 13.38 $ 13.55
============ ============ ============
TOTAL RETURN(a) 3.38% 13.97% 2.97%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 42,174 $ 22,795 $ 1,634
Ratio of expenses to average daily net
assets:
Before expense waiver 0.94% 0.94% 0.94%*
After expense waiver N/A N/A N/A
Net investment income (loss) to average
daily net assets 0.25% 0.34% 0.83%*
Portfolio turnover rate 91% 61% 34%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME (LOSS) AND TAX RETURN OF CAPITAL ARE LESS THAN $0.01
PER SHARE.
+ FOR THE PERIOD MAY 3, 1999 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER
31, 1999.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
278
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
----------------- ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.41 $ 10.19 $ 12.66
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.01*** 0.02*** 0.03***
Net realized and unrealized gain (loss)
on investments 0.68 3.22 (1.68)
------------ ------------ ------------
Total income (loss) from investment
operations 0.69 3.24 (1.65)
------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.02) (0.04)
Tax return of capital - - (0.00)^
From net realized gains - - (0.78)
------------ ------------ ------------
Total distributions - (0.02) (0.82)
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 14.10 $ 13.41 $ 10.19
============ ============ ============
TOTAL RETURN(a) 5.07%** 31.91% (12.93)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 12,405 $ 11,896 $ 14,820
Ratio of expenses to average daily net
assets:
Before expense waiver 0.79%* 0.79% 0.79%
After expense waiver N/A 0.79%(b) 0.79%(b)
Net investment income to average daily
net assets 0.09%* 0.22% 0.27%
Portfolio turnover rate 22%** 26% 49%
<Caption>
CLASS Y
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/01 12/31/00 12/31/99
------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.39 $ 13.56 $ 14.06
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.08*** 0.12***
Net realized and unrealized gain (loss)
on investments 0.44 1.79 (0.11)
------------ ------------ ------------
Total income (loss) from investment
operations 0.49 1.87 0.01
------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.07) (0.09) (0.15)
Tax return of capital - - -
From net realized gains (1.15) (1.95) (0.36)
------------ ------------ ------------
Total distributions (1.22) (2.04) (0.51)
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.66 $ 13.39 $ 13.56
============ ============ ============
TOTAL RETURN(a) 3.56% 14.02% 0.13%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 15,265 $ 7,444 $ 3,990
Ratio of expenses to average daily net
assets:
Before expense waiver 0.79% 0.78% 0.80%
After expense waiver N/A N/A N/A
Net investment income to average daily
net assets 0.40% 0.54% 0.86%
Portfolio turnover rate 91% 61% 34%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.48 $ 10.24 $ 12.71
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.01*** 0.03*** 0.04***
Net realized and unrealized gain (loss)
on investments 0.69 3.25 (1.68)
------------ ------------ ------------
Total income (loss) from investment
operations 0.70 3.28 (1.64)
------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) (0.05)
Tax return of capital - - (0.00)^
From net realized gains - - (0.78)
------------ ------------ ------------
Total distributions - (0.04) (0.83)
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 14.18 $ 13.48 $ 10.24
============ ============ ============
TOTAL RETURN(a) 5.19%** 31.99% (12.80)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 371,365 $ 385,517 $ 346,390
Ratio of expenses to average daily net
assets:
Before expense waiver 0.69%* 0.69% 0.69%
After expense waiver N/A 0.69%(b) 0.69%(b)
Net investment income to average daily
net assets 0.20%* 0.30% 0.37%
Portfolio turnover rate 22%** 26% 49%
<Caption>
CLASS S
-------
YEAR ENDED YEAR ENDED YEAR ENDED
12/31/01 12/31/00 12/31/99
------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.43 $ 13.58 $ 14.06
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.07*** 0.10*** 0.14***
Net realized and unrealized gain (loss)
on investments 0.43 1.80 (0.11)
------------ ------------ ------------
Total income (loss) from investment
operations 0.50 1.90 0.03
------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.07) (0.10) (0.15)
Tax return of capital - - -
From net realized gains (1.15) (1.95) (0.36)
------------ ------------ ------------
Total distributions (1.22) (2.05) (0.51)
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 12.71 $ 13.43 $ 13.58
============ ============ ============
TOTAL RETURN(a) 3.63% 14.19% 0.25%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 547,927 $ 580,065 $ 640,600
Ratio of expenses to average daily net
assets:
Before expense waiver 0.69% 0.68% 0.67%
After expense waiver N/A N/A N/A
Net investment income to average daily
net assets 0.50% 0.68% 1.03%
Portfolio turnover rate 91% 61% 34%
</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 IS LESS THAN $0.01 PER SHARE.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
279
<Page>
<Table>
<Caption>
CLASS N
--------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02+
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.25 $ 10.12 $ 10.02
------------ ------------ ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.04)*** (0.06)*** (0.00)***^
Net realized and unrealized gain on investments 0.67 3.19 0.10
------------ ------------ ------------
Total income from investment operations 0.63 3.13 0.10
------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD $ 13.88 $ 13.25 $ 10.12
============ ============ ============
TOTAL RETURN(a) 4.75%**(c) 30.93%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 139 $ 133 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.49%* 1.49% -@
After expense waiver N/A 1.49%(b) -@
Net investment loss to average daily net assets (0.61)%* (0.51)% -@
Portfolio turnover rate 22%** 26% 49%
</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.
+ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES 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.
280
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.64 $ 5.87 $ 8.18
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.05)*** (0.06)***
Net realized and unrealized gain (loss)
on investments 0.09 1.82 (2.25)
---------- ---------- ----------
Total income (loss) from investment
operations 0.07 1.77 (2.31)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
Tax return of capital - - -
From net realized gains - - -
---------- ---------- ----------
Total distributions - - -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.71 $ 7.64 $ 5.87
========== ========== ==========
TOTAL RETURN(a) 0.92%**(c) 30.15% (28.24)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 30,936 $ 37,976 $ 23,351
Ratio of expenses to average daily net
assets:
Before expense waiver 1.30%* 1.30% 1.30%
After expense waiver# 1.28%*(b) 1.26%(b) 1.29%
Net investment loss to average daily
net assets (0.60)%* (0.78)% (0.90)%
Portfolio turnover rate 54%** 128% 284%
<Caption>
CLASS A
-------
YEAR ENDED YEAR ENDED PERIOD ENDED
12/31/01 12/31/00 12/31/99+
---------- ---------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.66 $ 13.90 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.08)*** (0.13)*** (0.07)***
Net realized and unrealized gain (loss)
on investments (3.40) (0.84) 3.97
---------- ---------- ----------
Total income (loss) from investment
operations (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 $ 8.18 $ 11.66 $ 13.90
========== ========== ==========
TOTAL RETURN(a) (29.85)% (7.49)% 39.00%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 27,226 $ 25,239 $ 682
Ratio of expenses to average daily net
assets:
Before expense waiver 1.30% 1.33% 1.36%*
After expense waiver# 1.27% 1.28% N/A
Net investment loss to average daily
net assets (0.86)% (0.91)% (0.86)%*
Portfolio turnover rate 160% 153% 127%**
<Caption>
CLASS L
SIX MONTHS ENDED -------
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.73 $ 5.93 $ 8.24
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.04)*** (0.04)***
Net realized and unrealized gain (loss)
on investments 0.10 1.84 (2.27)
---------- ---------- ----------
Total income (loss) from investment
operations 0.09 1.80 (2.31)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - -
Tax return of capital - - -
From net realized gains - - -
---------- ---------- ----------
Total distributions - - -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.82 $ 7.73 $ 5.93
========== ========== ==========
TOTAL RETURN(a) 1.16%** 30.35% (28.03)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 36,513 $ 35,668 $ 24,204
Ratio of expenses to average daily net
assets:
Before expense waiver 1.05%* 1.05% 1.05%
After expense waiver# 1.03%*(b) 1.01%(b) 1.04%
Net investment loss to average daily net
assets (0.34)%* (0.54)% (0.65)%
Portfolio turnover rate 54%** 128% 284%
<Caption>
CLASS L
-------
YEAR ENDED YEAR ENDED PERIOD ENDED
12/31/01 12/31/00 12/31/99+
---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.72 $ 13.93 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.05)*** (0.09)*** (0.05)***
Net realized and unrealized gain (loss)
on investments (3.43) (0.85) 3.98
---------- ---------- ----------
Total income (loss) from investment
operations (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 $ 8.24 $ 11.72 $ 13.93
========== ========== ==========
TOTAL RETURN(a) (29.68)% (7.26)% 39.30%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 28,351 $ 27,061 $ 4,642
Ratio of expenses to average daily net
assets:
Before expense waiver 1.05% 1.08% 1.12%*
After expense waiver# 1.02% 1.03% N/A
Net investment loss to average daily net
assets (0.61)% (0.65)% (0.63)%*
Portfolio turnover rate 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 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE THE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
281
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.78 $ 5.95 $ 8.26
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.03)*** (0.03)***
Net realized and unrealized gain (loss)
on investments 0.10 1.86 (2.28)
---------- ---------- ----------
Total income (loss) from investment
operations 0.09 1.83 (2.31)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - -
Tax return of capital - - -
From net realized gains - - -
---------- ---------- ----------
Total distributions - - -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.87 $ 7.78 $ 5.95
========== ========== ==========
TOTAL RETURN(a) 1.16%** 30.76% (27.97)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 17,059 $ 16,202 $ 9,379
Ratio of expenses to average daily net
assets:
Before expense waiver 0.90%* 0.90% 0.90%
After expense waiver# 0.88%*(b) 0.86%(b) 0.89%
Net investment loss to average daily net
assets (0.19)%* (0.38)% (0.50)%
Portfolio turnover rate 54%** 128% 284%
<Caption>
CLASS Y
-------
YEAR ENDED YEAR ENDED PERIOD ENDED
12/31/01 12/31/00 12/31/99+
---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.75 $ 13.94 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.05)*** (0.07)*** (0.04)***
Net realized and unrealized gain (loss)
on investments (3.44) (0.85) 3.98
---------- ---------- ----------
Total income (loss) from investment
operations (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 $ 8.26 $ 11.75 $ 13.94
========== ========== ==========
TOTAL RETURN(a) (29.67)% (7.11)% 39.40%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 12,490 $ 48,079 $ 41,952
Ratio of expenses to average daily net
assets:
Before expense waiver 0.90% 0.92% 0.98%*
After expense waiver# 0.87% 0.88% N/A
Net investment loss to average daily net
assets (0.49)% (0.50)% (0.48)%*
Portfolio turnover rate 160% 153% 127%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.79 $ 5.96 $ 8.27
-------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.02)*** (0.03)***
Net realized and unrealized gain (loss)
on investments 0.11 1.85 (2.28)
-------- ---------- ----------
Total income (loss) from investment
operations 0.10 1.83 (2.31)
-------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - -
Tax return of capital - - -
From net realized gains - - -
-------- ---------- ----------
Total distributions - - -
-------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 7.89 $ 7.79 $ 5.96
======== ========== ==========
TOTAL RETURN(a) 1.28%** 30.70% (27.93)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 57,151 $ 68,504 $ 47,443
Ratio of expenses to average daily net
assets:
Before expense waiver 0.83%* 0.83% 0.83%
After expense waiver# 0.81%*(b) 0.79%(b) 0.82%
Net investment loss to average daily net
assets (0.13)%* (0.32)% (0.43)%
Portfolio turnover rate 54%** 128% 284%
<Caption>
CLASS S
-------
YEAR ENDED YEAR ENDED PERIOD ENDED
12/31/01 12/31/00 12/31/99+
---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.75 $ 13.94 $ 10.00
---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.04)*** (0.06)*** (0.02)***
Net realized and unrealized gain (loss)
on investments (3.43) (0.86) 3.96
---------- ---------- ------------
Total income (loss) from investment
operations (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 $ 8.27 $ 11.75 $ 13.94
========== ========== ============
TOTAL RETURN(a) (29.52)% (7.11)% 39.40%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 81,248 $ 120,207 $ 60,279
Ratio of expenses to average daily net
assets:
Before expense waiver 0.83% 0.85% 0.89%*
After expense waiver# 0.80% 0.81% N/A
Net investment loss to average daily net
assets (0.40)% (0.43)% (0.32)%*
Portfolio turnover rate 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 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE THE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
282
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.59 $ 5.85 $ 5.86
------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)*** (0.07)*** (0.00)***^
Net realized and unrealized gain (loss)
on investments 0.09 1.81 (0.01)
------- ---------- ------------
Total income (loss) from investment
operations 0.06 1.74 (0.01)
------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 7.65 $ 7.59 $ 5.85
======= ========== ============
TOTAL RETURN(a) 0.79%**(c) 29.74%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 140 $ 137 $ 100
Ratio of expenses to average daily net
assets:
Before expense waiver 1.60%* 1.60% -@
After expense waiver 1.58%*(b) 1.56%(b) -@
Net investment loss to average daily net
assets (0.89)%* (1.09)% -@
Portfolio turnover rate 54%** 128% 284%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FROM THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE THE 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.
283
<Page>
MASSMUTUAL MID CAP GROWTH EQUITY II FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.17 $ 8.12 $ 10.33 $ 10.48 $ 10.00
--------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.06)*** (0.09)*** (0.08)*** (0.09)*** (0.02)***
Net realized and unrealized gain (loss)
on investments 0.88 3.14 (2.13) (0.06) 0.50
--------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 0.82 3.05 (2.21) (0.15) 0.48
--------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 11.99 $ 11.17 $ 8.12 $ 10.33 $ 10.48
========= ========== ========== ========== ============
TOTAL RETURN(a) 7.34%**(c) 37.56% (21.39)% (1.43)% 4.80%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 144,600 $ 93,526 $ 30,968 $ 14,113 $ 2,861
Ratio of expenses to average daily net
assets:
Before expense waiver 1.35%* 1.35% 1.36% 1.35% 1.37%*
After expense waiver# 1.34%*(b) 1.34%(b) 1.35%(b) 1.35% N/A
Net investment loss to average daily net
assets (0.97)%* (0.93)% (0.96)% (0.89)% (0.40)%*
Portfolio turnover rate 31%** 54% 61% 49% 37%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.27 $ 8.17 $ 10.37 $ 10.50 $ 10.00
--------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.04)*** (0.07)*** (0.07)*** (0.06)*** (0.02)***
Net realized and unrealized gain (loss)
on investments 0.89 3.17 (2.13) (0.07) 0.52
--------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 0.85 3.10 (2.20) (0.13) 0.50
--------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 12.12 $ 11.27 $ 8.17 $ 10.37 $ 10.50
========= ========== ========== ========== ============
TOTAL RETURN(a) 7.54%** 37.94% (21.22)% (1.24)% 5.00%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 304,318 $ 225,279 $ 116,835 $ 136,206 $ 126,876
Ratio of expenses to average daily net
assets:
Before expense waiver 1.10%* 1.10% 1.11% 1.10% 1.12%*
After expense waiver# 1.09%*(b) 1.09%(b) 1.09%(b) 1.10% N/A
Net investment loss to average daily net
assets (0.72)%* (0.68)% (0.72)% (0.59)% (0.25)%*
Portfolio turnover rate 31%** 54% 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 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
284
<Page>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.34 $ 8.21 $ 10.40 $ 10.51 $ 10.00
-------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)*** (0.05)*** (0.04)*** (0.05)*** (0.00)***^
Net realized and unrealized gain (loss)
on investments 0.89 3.18 (2.15) (0.06) 0.51
-------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 0.86 3.13 (2.19) (0.11) 0.51
-------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 12.20 $ 11.34 $ 8.21 $ 10.40 $ 10.51
======== ========== ========== ========== ============
TOTAL RETURN(a) 7.58%** 38.12% (21.06)% (1.05)% 5.10%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 68,617 $ 51,284 $ 27,835 $ 622 $ 267
Ratio of expenses to average daily net
assets:
Before expense waiver 0.95%* 0.95% 0.98% 0.95% 0.97%*
After expense waiver# 0.94%*(b) 0.94%(b) 0.96%(b) 0.95% N/A
Net investment loss to average daily net
assets (0.57)%* (0.53)% (0.51)% (0.48)% (0.07)%*
Portfolio turnover rate 31%** 54% 61% 49% 37%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.37 $ 8.22 $ 10.41 $ 10.51 $ 10.00
--------- ---------- ---------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.03)*** (0.04)*** (0.04)*** (0.03)*** (0.00)***^
Net realized and unrealized gain (loss)
on investments 0.90 3.19 (2.15) (0.07) 0.51
--------- ---------- ---------- ---------- ------------
Total income (loss) from investment
operations 0.87 3.15 (2.19) (0.10) 0.51
--------- ---------- ---------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 12.24 $ 11.37 $ 8.22 $ 10.41 $ 10.51
========= ========== ========== ========== ============
TOTAL RETURN(a) 7.65%** 38.32% (21.04)% (0.95)% 5.10%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 161,532 $ 125,907 $ 72,595 $ 88,921 $ 90,248
Ratio of expenses to average daily net
assets:
Before expense waiver 0.86%* 0.86% 0.87% 0.86% 0.88%*
After expense waiver# 0.85%*(b) 0.85%(b) 0.85%(b) 0.86% N/A
Net investment loss to average daily net
assets (0.48)%* (0.44)% (0.48)% (0.34)% (0.01)%*
Portfolio turnover rate 31%** 54% 61% 49% 37%**
</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 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.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
285
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.10 $ 8.09 $ 8.05
-------- ---------- ------------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.07)*** (0.12)*** (0.00)***^
Net realized and unrealized gain on
investments 0.87 3.13 0.04
-------- ---------- ------------
Total income from investment
operations 0.80 3.01 0.04
-------- ---------- ------------
NET ASSET VALUE, END OF PERIOD $ 11.90 $ 11.10 $ 8.09
======== ========== ============
TOTAL RETURN(a) 7.21%**(c) 37.21%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,093 $ 617 $ 101
Ratio of expenses to average daily net
assets:
Before expense waiver 1.66%* 1.66% -@
After expense waiver# 1.64%*(b) 1.65%(b) -@
Net investment loss to average daily
net assets (1.26)%* (1.22)% -@
Portfolio turnover rate 31%** 54% 61%
</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.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE PERIODS MAY 1, 2001 THROUGH DECEMBER
31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
(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.
286
<Page>
MASSMUTUAL SMALL CAP GROWTH EQUITY FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.56 $ 8.76 $ 11.79
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.06)*** (0.12)*** (0.11)***
Net realized and unrealized gain (loss)
on investments 0.48 3.92 (2.92)
---------- ---------- ----------
Total income (loss) from investment
operations 0.42 3.80 (3.03)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - -
Tax return of capital - - -
From net realized gains - - -
---------- ---------- ----------
Total distributions - - -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 12.98 $ 12.56 $ 8.76
========== ========== ==========
TOTAL RETURN(a) 3.34%**(c) 43.38% (25.70)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 71,458 $ 67,686 $ 35,509
Ratio of expenses to average daily net assets:
Before expense waiver 1.51%* 1.51% 1.51%
After expense waiver# 1.48%*(b) 1.49%(b) 1.50%(b)
Net investment loss to average daily net assets (0.99)%* (1.11)% (1.08)%
Portfolio turnover rate 36%** 56% 51%
<Caption>
CLASS A
-------
YEAR ENDED YEAR ENDED PERIOD ENDED
12/31/01 12/31/00 12/31/99+
---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.37 $ 15.86 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.08)*** (0.04)*** (0.03)***
Net realized and unrealized gain (loss)
on investments (1.50) (2.08) 6.06
---------- ---------- ----------
Total income (loss) from investment
operations (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 $ 11.79 $ 13.37 $ 15.86
========== ========== ==========
TOTAL RETURN(a) (11.82)% (13.82)% 60.42%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 32,095 $ 15,854 $ 1,742
Ratio of expenses to average daily net assets:
Before expense waiver 1.51% 1.53% 1.79%*
After expense waiver# 1.49% 1.50% N/A
Net investment loss to average daily net assets (0.67)% (0.28)% (0.39)%*
Portfolio turnover rate 114% 97% 68%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.70 $ 8.83 $ 11.85
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.05)*** (0.09)*** (0.08)***
Net realized and unrealized gain (loss)
on investments 0.48 3.96 (2.94)
---------- ---------- ----------
Total income (loss) from investment
operations 0.43 3.87 (3.02)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - -
Tax return of capital - - -
From net realized gains - - -
---------- ---------- ----------
Total distributions - - -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.13 $ 12.70 $ 8.83
========== ========== ==========
TOTAL RETURN(a) 3.39%** 43.83% (25.49)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 85,952 $ 85,885 $ 44,419
Ratio of expenses to average daily net assets:
Before expense waiver 1.26%* 1.26% 1.26%
After expense waiver# 1.23%*(b) 1.24%(b) 1.25%(b)
Net investment loss to average daily net assets (0.74)%* (0.86)% (0.83)%
Portfolio turnover rate 36%** 56% 51%
<Caption>
CLASS L
-------
YEAR ENDED YEAR ENDED PERIOD ENDED
12/31/01 12/31/00 12/31/99+
---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.41 $ 15.88 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.05)*** (0.01)*** (0.01)***
Net realized and unrealized gain (loss)
on investments (1.51) (2.08) 6.06
---------- ---------- ----------
Total income (loss) from investment
operations (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 $ 11.85 $ 13.41 $ 15.88
========== ========== ==========
TOTAL RETURN(a) (11.63)% (13.54)% 60.55%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 43,839 $ 21,000 $ 2,198
Ratio of expenses to average daily net assets:
Before expense waiver 1.26% 1.28% 1.52%*
After expense waiver# 1.24% 1.25% N/A
Net investment loss to average daily net assets (0.40)% (0.03)% (0.12)%*
Portfolio turnover rate 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 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.
(a) 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 CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
287
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.77 $ 8.87 $ 11.89
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.04)*** (0.08)*** (0.07)***
Net realized and unrealized gain (loss)
on investments 0.49 3.98 (2.95)
---------- ---------- ----------
Total income (loss) from investment
operations 0.45 3.90 (3.02)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - -
Tax return of capital - - -
From net realized gains - - -
---------- ---------- ----------
Total distributions - - -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.22 $ 12.77 $ 8.87
========== ========== ==========
TOTAL RETURN(a) 3.52%** 43.97% (25.40)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 95,446 $ 87,801 $ 43,123
Ratio of expenses to average daily net assets:
Before expense waiver 1.11%* 1.11% 1.11%
After expense waiver# 1.08%*(b) 1.09%(b) 1.10%(b)
Net investment income (loss) to average daily
net assets (0.59)%* (0.71)% (0.68)%
Portfolio turnover rate 36%** 56% 51%
<Caption>
CLASS Y
-------
YEAR ENDED YEAR ENDED PERIOD ENDED
12/31/01 12/31/00 12/31/99+
---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.43 $ 15.90 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.03)*** 0.02*** 0.01***
Net realized and unrealized gain (loss)
on investments (1.51) (2.10) 6.07
---------- ---------- ----------
Total income (loss) from investment
operations (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 $ 11.89 $ 13.43 $ 15.90
========== ========== ==========
TOTAL RETURN(a) (11.47)% (13.44)% 60.71%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 44,759 $ 35,864 $ 12,667
Ratio of expenses to average daily net assets:
Before expense waiver 1.11% 1.13% 1.31%*
After expense waiver# 1.09% 1.10% N/A
Net investment income (loss) to average daily
net assets (0.25)% 0.11% 0.14%*
Portfolio turnover rate 114% 97% 68%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02
---------------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.84 $ 8.91 $ 11.92
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.03)*** (0.06)*** (0.06)***
Net realized and unrealized gain (loss)
on investments 0.49 3.99 (2.95)
---------- ---------- ----------
Total income (loss) from investment
operations 0.46 3.93 (3.01)
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - - -
Tax return of capital - - -
From net realized gains - - -
---------- ---------- ----------
Total distributions - - -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.30 $ 12.84 $ 8.91
========== ========== ==========
TOTAL RETURN(a) 3.58%** 44.11% (25.25)%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 235,870 $ 243,909 $ 123,762
Ratio of expenses to average daily net assets:
Before expense waiver 0.97%* 0.97% 0.97%
After expense waiver# 0.94%*(b) 0.95%(b) 0.96%(b)
Net investment income (loss) to average daily
net assets (0.45)%* (0.57)% (0.54)%
Portfolio turnover rate 36%** 56% 51%
<Caption>
CLASS S
-------
YEAR ENDED YEAR ENDED PERIOD ENDED
12/31/01 12/31/00 12/31/99+
---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.45 $ 15.91 $ 10.00
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.01)*** 0.04*** 0.02***
Net realized and unrealized gain (loss)
on investments (1.52) (2.10) 6.07
---------- ---------- ----------
Total income (loss) from investment
operations (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 $ 11.92 $ 13.45 $ 15.91
========== ========== ==========
TOTAL RETURN(a) (11.38)% (13.32)% 60.91%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 156,565 $ 147,368 $ 92,254
Ratio of expenses to average daily net assets:
Before expense waiver 0.97% 0.99% 1.19%*
After expense waiver# 0.95% 0.97% N/A
Net investment income (loss) to average daily
net assets (0.09)% 0.26% 0.19%*
Portfolio turnover rate 114% 97% 68%**
</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 IS LESS THAN $0.01 PER SHARE.
+ FOR THE PERIOD 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.
(a) 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 CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
288
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02+
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.47 $ 8.72 $ 8.68
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.08)*** (0.15)*** (0.00)***^
Net realized and unrealized gain on investments 0.47 3.90 0.04
---------- ---------- ----------
Total income from investment operations 0.39 3.75 0.04
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 12.86 $ 12.47 $ 8.72
========== ========== ==========
TOTAL RETURN(a) 3.13%**(c) 43.00%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 714 $ 149 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.82%* 1.81% -@
After expense waiver 1.79%*(b) 1.79%(b) -@
Net investment loss to average daily net assets (1.25)%* (1.41)% -@
Portfolio turnover rate 36%** 56% 51%
</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.
+ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
(a) 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 CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES 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.
289
<Page>
MASSMUTUAL SMALL COMPANY GROWTH FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.67 $ 6.99 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.04)*** (0.10)*** (0.06)*** -
Net realized and unrealized gain (loss) on investments (0.05) 4.30 (2.95) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations (0.09) 4.20 (3.01) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net realized gains - (0.52) - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.58 $ 10.67 $ 6.99 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) (0.84)%**(c) 60.01% (30.10)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 63,551 $ 54,038 $ 5,038 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.52%* 1.58% 1.83% -
After expense waiver# 1.40%*(b) 1.37%(b) 1.16%(b) -
Net investment loss to average daily net assets (0.68)%* (1.00)% (0.80)% -
Portfolio turnover rate 82%** 141% 150% -
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.74 $ 7.01 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.07)*** (0.04)*** -
Net realized and unrealized gain (loss) on investments (0.06) 4.32 (2.95) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations (0.08) 4.25 (2.99) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net realized gains - (0.52) - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.66 $ 10.74 $ 7.01 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) (0.74)%** 60.55% (29.90)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 46,691 $ 35,948 $ 10,319 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.27%* 1.33% 1.58% -
After expense waiver# 1.15%*(b) 1.10%(b) 0.92%(b) -
Net investment loss to average daily net assets (0.44)%* (0.72)% (0.59)% -
Portfolio turnover rate 82%** 141% 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 YEARS ENDED DECEMBER 31, 2002, 2003
AND FOR THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
290
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.77 $ 7.02 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)*** (0.05)*** (0.04)*** -
Net realized and unrealized gain (loss) on investments (0.05) 4.32 (2.94) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations (0.07) 4.27 (2.98) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net realized gains - (0.52) - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.70 $ 10.77 $ 7.02 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) (0.65)%** 60.75% (29.80)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 40,122 $ 37,730 $ 10,545 $ 1
Ratio of expenses to average daily net assets:
Before expense waiver 1.12%* 1.18% 1.43% -
After expense waiver# 1.00%*(b) 0.95%(b) 0.83%(b) -
Net investment loss to average daily net assets (0.29)%* (0.60)% (0.52)% -
Portfolio turnover rate 82%** 141% 150% -
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.78 $ 7.02 $ 10.00 $ 10.00
---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.00)***^ (0.05)*** (0.03)*** -
Net realized and unrealized gain (loss) on investments (0.07) 4.33 (2.95) -
---------- ---------- ---------- ----------
Total income (loss) from investment operations (0.07) 4.28 (2.98) 0.00
---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net realized gains - (0.52) - -
---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.71 $ 10.78 $ 7.02 $ 10.00
========== ========== ========== ==========
TOTAL RETURN(a) (0.65)%** 60.66% (29.70)% -
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 34,239 $ 30,181 $ 8,763 $ 10,001
Ratio of expenses to average daily net assets:
Before expense waiver 1.08%* 1.14% 1.39% -
After expense waiver# 0.96%*(b) 0.92%(b) 0.80%(b) -
Net investment loss to average daily net assets (0.25)%* (0.55)% (0.41)% -
Portfolio turnover rate 82%** 141% 150% -
</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.
+ 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 YEARS ENDED DECEMBER 31, 2002, 2003
AND FOR THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
291
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.59 $ 6.95 $ 6.90
---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.05)*** (0.13)*** 0.00***^
Net realized and unrealized gain (loss) on investments (0.06) 4.29 0.05
---------- ---------- ----------
Total income (loss) from investment operations (0.11) 4.16 0.05
---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net realized gains - (0.52) -
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.48 $ 10.59 $ 6.95
========== ========== ==========
TOTAL RETURN(a) (1.04)%**(c) 59.78%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 949 $ 953 $ 101
Ratio of expenses to average daily net assets:
Before expense waiver 1.82%* 1.88% -@
After expense waiver# 1.70%*(b) 1.68%(b) -@
Net investment loss to average daily net assets (0.99)%* (1.31)% -@
Portfolio turnover rate 82%** 141% 150%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME IS LESS THAN $0.01 PER SHARE.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2003 AND FOR
THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES 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.
292
<Page>
MASSMUTUAL EMERGING GROWTH FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.13 $ 3.53 $ 6.11 $ 7.31 $ 10.00
---------------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.01)*** (0.06)*** (0.05)*** (0.06)*** (0.05)***
Net realized and unrealized gain (loss)
on investments 0.22 1.66 (2.53) (1.14) (2.64)
---------------- ---------- ---------- ---------- ----------
Total income (loss) from
investment operations 0.21 1.60 (2.58) (1.20) (2.69)
---------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 5.34 $ 5.13 $ 3.53 $ 6.11 $ 7.31
================ ========== ========== ========== ==========
TOTAL RETURN(a) 4.09%**(b) 45.33% (42.23)% (16.53)% (26.80)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 29,984 $ 26,130 $ 10,153 $ 12,760 $ 5,197
Ratio of expenses to average daily
net assets:
Before expense waiver 1.47%* 1.48% 1.46% 1.44% 1.48%*
After expense waiver# N/A 1.45% 1.39% 1.41% N/A
Net investment loss to average daily
net assets (1.34)%* (1.32)% (1.23)% (0.96)% (0.82)%*
Portfolio turnover rate 99%** 198% 175% 139% 132%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.18 $ 3.55 $ 6.13 $ 7.31 $ 10.00
---------------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00*** (0.05)*** (0.04)*** (0.04)*** (0.03)***
Net realized and unrealized gain (loss)
on investments 0.21 1.68 (2.54) (1.14) (2.66)
---------------- ---------- ---------- ---------- ----------
Total income (loss) from
investment operations 0.21 1.63 (2.58) (1.18) (2.69)
---------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 5.39 $ 5.18 $ 3.55 $ 6.13 $ 7.31
================ ========== ========== ========== ==========
TOTAL RETURN(a) 4.05%** 45.92% (42.09)% (16.37)% (26.70)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 61,171 $ 49,424 $ 20,924 $ 26,106 $ 12,753
Ratio of expenses to average daily
net assets:
Before expense waiver 1.22%* 1.23% 1.21% 1.18% 1.23%*
After expense waiver# N/A 1.20% 1.14% 1.16% N/A
Net investment loss to average daily
net assets (1.09)%* (1.07)% (0.98)% (0.71)% (0.54)%*
Portfolio turnover rate 99%** 198% 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 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 AND THE YEARS ENDED DECEMBER 31, 2002 AND 2003.
(a) 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 A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
293
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.21 $ 3.57 $ 6.15 $ 7.32 $ 10.00
---------------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00*** (0.04)*** (0.04)*** (0.03)*** (0.02)***
Net realized and unrealized gain (loss)
on investments 0.22 1.68 (2.54) (1.14) (2.66)
---------------- ---------- ---------- ---------- ----------
Total income (loss) from
investment operations 0.22 1.64 (2.58) (1.17) (2.68)
---------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 5.43 $ 5.21 $ 3.57 $ 6.15 $ 7.32
================ ========== ========== ========== ==========
TOTAL RETURN(a) 4.22%** 45.94% (41.95)% (16.10)% (26.70)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 4,055 $ 3,051 $ 1,664 $ 3,309 $ 3,222
Ratio of expenses to average daily
net assets:
Before expense waiver 1.07%* 1.08% 1.06% 1.04% 1.06%*
After expense waiver# N/A 1.04% 0.99% 1.01% N/A
Net investment loss to average daily
net assets (0.94)%* (0.91)% (0.83)% (0.55)% (0.35)%*
Portfolio turnover rate 99%** 198% 175% 139% 132%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00+
---------------- ---------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.24 $ 3.58 $ 6.15 $ 7.32 $ 10.00
---------------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.00*** (0.04)*** (0.03)*** (0.03)*** (0.02)***
Net realized and unrealized gain (loss)
on investments 0.22 1.70 (2.54) (1.14) (2.66)
---------------- ---------- ---------- ---------- ----------
Total income (loss) from
investment operations 0.22 1.66 (2.57) (1.17) (2.68)
---------------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 5.46 $ 5.24 $ 3.58 $ 6.15 $ 7.32
================ ========== ========== ========== ==========
TOTAL RETURN(a) 4.20%** 46.37% (41.79)% (16.10)% (26.70)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 38,606 $ 41,306 $ 24,658 $ 56,195 $ 58,872
Ratio of expenses to average daily
net assets:
Before expense waiver 0.97%* 0.98% 0.96% 0.94% 0.98%*
After expense waiver# N/A 0.94% 0.89% 0.91% N/A
Net investment loss to average daily
net assets (0.84)%* (0.81)% (0.73)% (0.45)% (0.29)%*
Portfolio turnover rate 99%** 198% 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 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 AND THE YEARS ENDED DECEMBER 31, 2002 AND 2003.
(a) 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.
294
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 5.09 $ 3.51 $ 3.50
---------------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.00)*** (0.07)*** (0.00)***^
Net realized and unrealized gain on
investments 0.20 1.65 0.01
---------------- ---------- ----------
Total income from investment
operations 0.20 1.58 0.01
---------------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 5.29 $ 5.09 $ 3.51
================ ========== ==========
TOTAL RETURN(a) 3.93%**(b) 45.01%(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 153 $ 147 $ 101
Ratio of expenses to average daily
net assets:
Before expense waiver 1.77%* 1.78% -@
After expense waiver# N/A 1.74% -@
Net investment loss to average daily
net assets (1.64)%* (1.61)% -@
Portfolio turnover rate 99%** 198% 175%
</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.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2001 THROUGH DECEMBER
31, 2001 AND THE YEARS ENDED DECEMBER 31, 2002 AND 2003.
(a) 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.
295
<Page>
MASSMUTUAL INTERNATIONAL EQUITY FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 9.46 $ 6.32 $ 9.12 $ 12.06 $ 16.91 $ 11.37
---------------- ---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss) 0.03*** 0.01*** 0.05*** 0.04*** (0.13)*** (0.04)***
Net realized and
unrealized gain
(loss) on investments 0.11 3.16 (2.80) (2.98) (1.50) 6.39
---------------- ---------- ---------- ---------- ---------- ----------
Total income (loss)
from investment
operations 0.14 3.17 (2.75) (2.94) (1.63) 6.35
---------------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income - (0.03) (0.05) (0.00)^ (0.02) (0.00)^
Tax return of capital - - (0.00)^ - - -
From net realized gains - - - - (3.20) (0.81)
---------------- ---------- ---------- ---------- ---------- ----------
Total distributions - (0.03) (0.05) (0.00) (3.22) (0.81)
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $ 9.60 $ 9.46 $ 6.32 $ 9.12 $ 12.06 $ 16.91
================ ========== ========== ========== ========== ==========
TOTAL RETURN(a) 1.48%**(c) 49.88% (30.11)% (24.37)% (9.30)% 56.25%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 47,688 $ 50,817 $ 30,849 $ 39,762 $ 26,246 $ 548
Ratio of expenses to
average daily
net assets:
Before expense waiver 1.53%* 1.52% 1.53% 1.51% 1.67% 1.55%
After expense waiver# 1.51%*(b) 1.50%(b) 1.52%(b) 1.50% N/A N/A
Net investment income
(loss) to average
daily net assets 0.69%* 0.15% 0.67% 0.42% (0.81)% (0.28)%
Portfolio turnover rate 25%** 70% 40% 38% 69% 63%
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99+
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 9.48 $ 6.34 $ 9.13 $ 12.07 $ 16.89 $ 12.00
---------------- ---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss) 0.04*** 0.03*** 0.08*** 0.07*** (0.06)*** (0.05)***
Net realized and
unrealized gain (loss)
on investments 0.11 3.15 (2.81) (2.99) (1.54) 5.78
---------------- ---------- ---------- ---------- ---------- ----------
Total income (loss)
from investment
operations 0.15 3.18 (2.73) (2.92) (1.60) 5.73
---------------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income - (0.04) (0.06) (0.02) (0.02) (0.03)
Tax return of capital - - (0.00)^ - - -
From net realized gains - - - - (3.20) (0.81)
---------------- ---------- ---------- ---------- ---------- ----------
Total distributions - (0.04) (0.06) (0.02) (3.22) (0.84)
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $ 9.63 $ 9.48 $ 6.34 $ 9.13 $ 12.07 $ 16.89
================ ========== ========== ========== ========== ==========
TOTAL RETURN(a) 1.58%** 50.23% (29.89)% (24.18)% (9.12)% 48.17%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 187,372 $ 183,493 $ 95,876 $ 106,987 $ 67,113 $ 7,335
Ratio of expenses to
average daily
net assets:
Before expense waiver 1.28%* 1.27% 1.28% 1.26% 1.37% 1.26%*
After expense waiver# 1.26%*(b) 1.25%(b) 1.27%(b) 1.25% N/A N/A
Net investment income
(loss) to average
daily net assets 0.92%* 0.34% 0.97% 0.66% (0.37)% (0.54)%*
Portfolio turnover rate 25%** 70% 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.
^ DISTRIBUTIONS FROM NET INVESTMENT INCOME AND TAX RETURN OF CAPITAL ARE LESS
THAN $0.01 PER SHARE.
+ FOR THE PERIOD 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.
(a) 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.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
296
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 9.54 $ 6.37 $ 9.18 $ 12.14 $ 16.95 $ 11.37
---------------- ---------- ---------- ---------- ---------- ----------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income
(loss) 0.05*** 0.05*** 0.08*** 0.08*** 0.00***^ (0.01)***
Net realized and
unrealized gain (loss)
on investments 0.11 3.17 (2.81) (3.01) (1.58) 6.44
---------------- ---------- ---------- ---------- ---------- ----------
Total income (loss)
from investment
operations 0.16 3.22 (2.73) (2.93) (1.58) 6.43
---------------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income - (0.05) (0.08) (0.03) (0.03) (0.04)
Tax return of capital - - (0.00)^ - - -
From net realized gains - - - - (3.20) (0.81)
---------------- ---------- ---------- ---------- ---------- ----------
Total distributions - (0.05) (0.08) (0.03) (3.23) (0.85)
---------------- ---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF
PERIOD $ 9.70 $ 9.54 $ 6.37 $ 9.18 $ 12.14 $ 16.95
================ ========== ========== ========== ========== ==========
TOTAL RETURN(a) 1.68%** 50.60% (29.82)% (24.10)% (8.97)% 57.04%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 39,666 $ 44,227 $ 41,795 $ 51,999 $ 31,651 $ 9,335
Ratio of expenses to
average daily
net assets:
Before expense waiver 1.13%* 1.12% 1.12% 1.11% 1.18% 1.11%
After expense waiver# 1.11%*(b) 1.10%(b) 1.11%(b) 1.10% N/A N/A
Net investment income
(loss) to average
daily net assets 1.00%* 0.64% 1.07% 0.79% 0.02% (0.09)%
Portfolio turnover rate 25%** 70% 40% 38% 69% 63%
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01 12/31/00 12/31/99
---------------- ---------- ---------- ---------- ----------- -----------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 9.56 $ 6.39 $ 9.21 $ 12.16 $ 16.96 $ 11.37
---------------- ---------- ---------- ---------- ----------- -----------
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income 0.05*** 0.04*** 0.09*** 0.08*** 0.04*** 0.05***
Net realized and
unrealized gain (loss)
on investments 0.11 3.19 (2.83) (3.00) (1.61) 6.38
---------------- ---------- ---------- ---------- ----------- -----------
Total income (loss)
from investment
operations 0.16 3.23 (2.74) (2.92) (1.57) 6.43
---------------- ---------- ---------- ---------- ----------- -----------
LESS DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income - (0.06) (0.08) (0.03) (0.03) (0.03)
Tax return of capital - - (0.00)^ - - -
From net realized gains - - - - (3.20) (0.81)
---------------- ---------- ---------- ---------- ----------- -----------
Total distributions - (0.06) (0.08) (0.03) (3.23) (0.84)
---------------- ---------- ---------- ---------- ----------- -----------
NET ASSET VALUE, END OF
PERIOD $ 9.72 $ 9.56 $ 6.39 $ 9.21 $ 12.16 $ 16.96
================ ========== ========== ========== =========== ===========
TOTAL RETURN(a) 1.67%** 50.49% (29.82)% (23.99)% (8.95)% 56.98%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of
period (000's) $ 548,177 $ 587,883 $ 441,475 $ 721,113 $ 1,027,623 $ 1,087,858
Ratio of expenses to
average daily
net assets:
Before expense waiver 1.10%* 1.09% 1.10% 1.08% 1.12% 1.06%
After expense waiver# 1.08%*(b) 1.07%(b) 1.09%(b) 1.07% N/A N/A
Net investment income to
average daily
net assets 1.06%* 0.58% 1.18% 0.82% 0.22% 0.42%
Portfolio turnover rate 25%** 70% 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.
^ 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 PERIODS MAY 1, 2001 THROUGH DECEMBER
31, 2001 AND JANUARY 1, 2002 THROUGH APRIL 30, 2002.
(a) 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.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
297
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02+
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.42 $ 6.30 $ 6.26
---------------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02*** (0.01)*** (0.00)***^
Net realized and unrealized gain on
investments 0.10 3.13 0.04
---------------- ---------- ----------
Total income from investment
operations 0.12 3.12 0.04
---------------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.00)^ -
---------------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.54 $ 9.42 $ 6.30
================ ========== ==========
TOTAL RETURN(a) 1.38%**(c) 49.44%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 154 $ 152 $ 102
Ratio of expenses to average daily
net assets:
Before expense waiver 1.83%* 1.82% -@
After expense waiver 1.81%*(b) 1.81%(b) -@
Net investment income (loss) to average
daily net assets 0.38%* (0.16)% -@
Portfolio turnover rate 25%** 70% 40%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT LOSS AND DISTRIBUTIONS FROM NET INVESTMENT INCOME ARE LESS
THAN $0.01 PER SHARE.
+ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
(a) 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.
(b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
(c) TOTAL RETURN EXCLUDES CONTINGENT DEFERRED SALES CHARGE AND WOULD BE LOWER
FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
298
<Page>
MASSMUTUAL OVERSEAS FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.55 $ 7.36 $ 8.41 $ 10.00
---------------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.06*** 0.02*** 0.01*** (0.05)***
Net realized and unrealized gain (loss)
on investments 0.38 2.18 (1.05) (1.54)
---------------- ---------- ---------- ----------
Total income (loss) from
investment operations 0.44 2.20 (1.04) (1.59)
---------------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.01) (0.01) -
Tax return of capital - - (0.00)^ -
---------------- ---------- ---------- ----------
Total distributions - (0.01) (0.01) -
---------------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.99 $ 9.55 $ 7.36 $ 8.41
================ ========== ========== ==========
TOTAL RETURN(a) 4.61%**(c) 30.27% (12.66)% (15.90)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 95,980 $ 65,012 $ 18,674 $ 1,159
Ratio of expenses to average daily net
assets:
Before expense waiver 1.66%* 1.74% 2.13% 1.95%*
After expense waiver# 1.65%*(b) 1.64%(b) 1.63%(b) 1.73%*
Net investment income (loss) to average
daily net assets 1.33%* 0.22% 0.09% (0.91)%*
Portfolio turnover rate 40%** 92% 138% 111%**
<Caption>
CLASS L
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.59 $ 7.35 $ 8.42 $ 10.00
---------------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.08*** 0.04*** 0.02*** (0.03)***
Net realized and unrealized gain (loss)
on investments 0.37 2.23 (1.08) (1.55)
---------------- ---------- ---------- ----------
Total income (loss) from
investment operations 0.45 2.27 (1.06) (1.58)
---------------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.03) (0.01) -
Tax return of capital - - (0.00)^ -
---------------- ---------- ---------- ----------
Total distributions - (0.03) (0.01) -
---------------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.04 $ 9.59 $ 7.35 $ 8.42
================ ========== ========== ==========
TOTAL RETURN(a) 4.69%** 30.68% (12.44)% (15.80)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 126,520 $ 81,542 $ 19,236 $ 899
Ratio of expenses to average daily net
assets:
Before expense waiver 1.41%* 1.49% 1.88% 1.78%*
After expense waiver# 1.40%*(b) 1.39%(b) 1.37%(b) 1.56%*
Net investment income (loss) to average
daily net assets 1.62%* 0.44% 0.20% (0.59)%*
Portfolio turnover rate 40%** 92% 138% 111%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS THE RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ TAX RETURN OF CAPITAL IS LESS THAN $0.01 PER SHARE.
+ FOR THE PERIOD 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, THE YEARS ENDED DECEMBER 31, 2002 AND 2003 AND THE SIX
MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) 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.
(c) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE AND WOULD BE LOWER FOR THE
PERIOD PRESENTED IF IT REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
299
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.61 $ 7.36 $ 8.43 $ 10.00
---------------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.08*** 0.04*** (0.00)***^ 0.00***^
Net realized and unrealized gain (loss)
on investments 0.38 2.25 (1.05) (1.57)
---------------- ---------- ---------- ----------
Total income (loss) from
investment operations 0.46 2.29 (1.05) (1.57)
---------------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) (0.02) -
Tax return of capital - - (0.00)^ -
---------------- ---------- ---------- ----------
Total distributions - (0.04) (0.02) -
---------------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.07 $ 9.61 $ 7.36 $ 8.43
================ ========== ========== ==========
TOTAL RETURN(a) 4.79%** 30.88% (12.34)% (15.70)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 82,793 $ 72,650 $ 19,204 $ 88
Ratio of expenses to average daily net
assets:
Before expense waiver 1.26%* 1.34% 1.73% 1.90%*
After expense waiver# 1.24%*(b) 1.24%(b) 1.22%(b) 1.69%*
Net investment income (loss) to average
daily net assets 1.62%* 0.50% (0.02)% 0.08%*
Portfolio turnover rate 40%** 92% 138% 111%**
<Caption>
CLASS S
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02 12/31/01+
---------------- ---------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.62 $ 7.37 $ 8.43 $ 10.00
---------------- ---------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.09*** 0.06*** 0.05*** 0.01***
Net realized and unrealized gain (loss)
on investments 0.38 2.23 (1.09) (1.58)
---------------- ---------- ---------- ----------
Total income (loss) from
investment operations 0.47 2.29 (1.04) (1.57)
---------------- ---------- ---------- ----------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.04) (0.02) -
Tax return of capital - - (0.00)^ -
---------------- ---------- ---------- ----------
Total distributions - (0.04) (0.02) -
---------------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.09 $ 9.62 $ 7.37 $ 8.43
================ ========== ========== ==========
TOTAL RETURN(a) 4.89%** 30.87% (12.23)% (15.70)%**
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 167,767 $ 134,965 $ 54,437 $ 20,893
Ratio of expenses to average daily net
assets:
Before expense waiver 1.21%* 1.29% 1.68% 1.85%*
After expense waiver# 1.20%*(b) 1.19%(b) 1.18%(b) 1.63%*
Net investment income to average daily
net assets 1.74%* 0.69% 0.68% 0.14%*
Portfolio turnover rate 40%** 92% 138% 111%**
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS THE RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT INCOME (LOSS) AND TAX RETURN OF CAPITAL ARE LESS THAN $0.01
PER SHARE.
+ FOR THE PERIOD 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, THE YEARS ENDED DECEMBER 31, 2002 AND 2003 AND THE SIX
MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENTS WITH CERTAIN BROKERS TO REBATE A
PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO
REDUCE OPERATING EXPENSES OF THE FUND.
The accompanying notes are an integral part of the financial statements.
300
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/03 12/31/02++
---------------- ---------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.50 $ 7.31 $ 7.24
---------------- ---------- ----------
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.07*** (0.02)*** (0.00)***^
Net realized and unrealized gain on
investments 0.35 2.21 0.07
---------------- ---------- ----------
Total income from investment
operations 0.42 2.19 0.07
---------------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 9.92 $ 9.50 $ 7.31
================ ========== ==========
TOTAL RETURN(a) 4.42%**(c) 29.96%(c) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 675 $ 255 $ 102
Ratio of expenses to average daily net
assets:
Before expense waiver 1.97%* 2.04% -@
After expense waiver# 1.95%*(b) 1.94%(b) -@
Net investment income (loss) to average
daily net assets 1.39%* (0.22)% -@
Portfolio turnover rate 40%** 92% 138%
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS THE RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
++ CLASS N COMMENCED OPERATIONS ON DECEMBER 31, 2002.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2003 AND THE
SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) THE FUND HAS ENTERED INTO AGREEMENT WITH CERTAIN BROKERS TO REBATE A
PORTIONS 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.
301
<Page>
MASSMUTUAL DESTINATION RETIREMENT INCOME FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A CLASS L
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------------- ---------- ---------------- ----------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.02)*** - (0.01)*** -
Net realized and unrealized gain
on investments 0.16 - 0.16 -
---------------- ---------- ---------------- ----------
Total income from investment
operations 0.14 - 0.15 -
---------------- ---------- ---------------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.14 $ 10.00 $ 10.15 $ 10.00
================ ========== ================ ==========
TOTAL RETURN(a) 1.40%**(b) -@ 1.50%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 4,112 $ 101 $ 87,630 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 0.72%* -@ 0.24%* -@
After expense waiver# 0.50%* -@ N/A -@
Net investment loss to average daily
net assets (0.47)%* -@ (0.23)%* -@
Portfolio turnover rate 9%** N/A 9%** N/A
<Caption>
CLASS Y CLASS S
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------------- ---------- ---------------- ----------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.01)*** - (0.01)*** -
Net realized and unrealized gain
on investments 0.17 - 0.16 -
---------------- ---------- ---------------- ----------
Total income from investment
operations 0.16 - 0.15 -
---------------- ---------- ---------------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.16 $ 10.00 $ 10.15 $ 10.00
================ ========== ================ ==========
TOTAL RETURN(a) 1.60% ** -@ 1.50%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 66,251 $ 101 $ 610 $ 601
Ratio of expenses to average
daily net assets:
Before expense waiver 0.14%* -@ 1.63%* -@
After expense waiver# N/A -@ 0.12%* -@
Net investment loss to average daily
net assets (0.12)%* -@ (0.10)%* -@
Portfolio turnover rate 9%** N/A 9%** N/A
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+
---------------- ------------
NET ASSET VALUE, BEGINNING
OF PERIOD $ 10.00 $ 10.00
---------------- ----------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.04)*** -
Net realized and unrealized gain
on investments 0.16 -
---------------- ----------
Total income from investment
operations 0.12 -
---------------- ----------
NET ASSET VALUE, END OF PERIOD $ 10.12 $ 10.00
================ ==========
TOTAL RETURN(a) 1.20%**(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 102 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 2.31%* -@
After expense waiver# 0.80%* -@
Net investment loss to average daily
net assets (0.78)%* -@
Portfolio turnover rate 9%** 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, 2003.
@ AMOUNTS ARE DE MINIMUS 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 YEAR PERIOD DECEMBER 31, 2003 AND THE
SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE FOR CLASS A AND A CONTINGENT
DEFERRED SALES CHARGE FOR CLASS N AND WOULD BE LOWER FOR THE PERIOD
PRESENTED IT THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
302
<Page>
MASSMUTUAL DESTINATION RETIREMENT 2010 FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A CLASS L
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------------- ------------ ---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.02)*** - (0.01)*** -
Net realized and unrealized gain
on investments 0.20 - 0.20 -
---------------- ------------ ---------------- ------------
Total income from investment
operations 0.18 - 0.19 -
---------------- ------------ ---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.18 $ 10.00 $ 10.19 $ 10.00
================ ============ ================ ============
TOTAL RETURN(a) 1.80%**(b) -@ 1.90%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,509 $ 101 $ 2,545 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 2.53%* -@ 2.28%* -@
After expense waiver# 0.50%* -@ 0.25%* -@
Net investment loss to average daily
net assets (0.48)%* -@ (0.23)%* -@
Portfolio turnover rate 7%** N/A 7%** N/A
<Caption>
CLASS Y CLASS S
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------------- ------------ ---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.01)*** - (0.00)***^ -
Net realized and unrealized gain
on investments 0.20 - 0.20 -
---------------- ------------ ---------------- ------------
Total income from investment
operations 0.19 - 0.20 -
---------------- ------------ ---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.19 $ 10.00 $ 10.20 $ 10.00
================ ============ ================ ============
TOTAL RETURN(a) 1.90%** -@ 2.00%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 410 $ 101 $ 754 $ 601
Ratio of expenses to average
daily net assets:
Before expense waiver 2.18%* -@ 2.13%* -@
After expense waiver# 0.15%* -@ 0.10%* -@
Net investment loss to average daily
net assets (0.13)%* -@ (0.08)%* -@
Portfolio turnover rate 7%** N/A 7%** N/A
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00
---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.04)*** -
Net realized and unrealized gain
on investments 0.20 -
---------------- ------------
Total income from investment
operations 0.16 -
---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.16 $ 10.00
================ ============
TOTAL RETURN(a) 1.60%**(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 102 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 2.83%* -@
After expense waiver# 0.80%* -@
Net investment loss to average daily
net assets (0.78)%* -@
Portfolio turnover rate 7%** N/A
</Table>
* ANNUALIZED.
** NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD.
^ NET INVESTMENT LOSS IS LESS THAN $0.01 PER SHARE.
+ THE FUND COMMENCED OPERATIONS ON DECEMBER 31, 2003.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2003 AND SIX
MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE FOR CLASS A AND A CONTINGENT
DEFERRED SALES CHARGE FOR CLASS N AND WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
303
<Page>
MASSMUTUAL DESTINATION RETIREMENT 2020 FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A CLASS L
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.03)*** - (0.01)*** -
Net realized and unrealized gain
on investments 0.35 - 0.34 -
---------------- ------------ ---------------- ------------
Total income from investment
operations 0.32 - 0.33 -
---------------- ------------ ---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.32 $ 10.00 $ 10.33 $ 10.00
================ ============ ================ ============
TOTAL RETURN(a) 3.20%**(b) -@ 3.30%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,369 $ 101 $ 193,950 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 0.85%* -@ 0.26%* -@
After expense waiver# 0.50%* -@ 0.25%* -@
Net investment loss to average daily
net assets (0.50)%* -@ (0.25)%* -@
Portfolio turnover rate 5%** N/A 5%** N/A
<Caption>
CLASS Y CLASS S
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------------- ------------ ---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.01)*** - (0.01)*** -
Net realized and unrealized gain
on investments 0.35 - 0.35 -
---------------- ------------ ---------------- ------------
Total income from investment
operations 0.34 - 0.34 -
---------------- ------------ ---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.34 $ 10.00 $ 10.34 $ 10.00
================ ============ ================ ============
TOTAL RETURN(a) 3.40%** -@ 3.40%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 642 $ 101 $ 1,185 $ 601
Ratio of expenses to average
daily net assets:
Before expense waiver 0.84%* -@ 1.60%* -@
After expense waiver# 0.15%* -@ 0.10%* -@
Net investment loss to average daily
net assets (0.15)%* -@ (0.10)%* -@
Portfolio turnover rate 5%** N/A 5%** N/A
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00
---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.04)*** -
Net realized and unrealized gain
on investments 0.34 -
---------------- ------------
Total income from investment
operations 0.30 -
---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.30 $ 10.00
================ ============
TOTAL RETURN(a) 3.00%**(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 104 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 2.37%* -@
After expense waiver# 0.80%* -@
Net investment loss to average daily
net assets (0.80)%* -@
Portfolio turnover rate 5%** 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, 2003.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PEROD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE PERIOD ENDED DECEMBER 31, 2003 AND
THE SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN WOULD BE LOWER FOR THE
PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE FOR CLASS A AND A CONTINGENT
DEFERRED SALES CHARGE FOR CLASS N AND WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
304
<Page>
MASSMUTUAL DESTINATION RETIREMENT 2030 FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A CLASS L
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------------- ------------ ---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.03)*** - (0.01)*** -
Net realized and unrealized gain
on investments 0.49 - 0.48 -
---------------- ------------ ---------------- ------------
Total income from investment
operations 0.46 - 0.47 -
---------------- ------------ ---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.46 $ 10.00 $ 10.47 $ 10.00
================ ============ ================ ============
TOTAL RETURN(a) 4.60%**(b) -@ 4.70%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 9,359 $ 101 $ 153,572 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 0.61%* -@ 0.27%* -@
After expense waiver# 0.50%* -@ 0.25%* -@
Net investment loss to average daily
net assets (0.50)%* -@ (0.25)%* -@
Portfolio turnover rate 5%** N/A 5%** N/A
<Caption>
CLASS Y CLASS S
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------------- ------------ ---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.01)*** - (0.01)*** -
Net realized and unrealized gain
on investments 0.49 - 0.49 -
---------------- ------------ ---------------- ------------
Total income from investment
operations 0.48 - 0.48 -
---------------- ------------ ---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.48 $ 10.00 $ 10.48 $ 10.00
================ ============ ================ ============
TOTAL RETURN(a) 4.80%** -@ 4.80%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 597 $ 101 $ 740 $ 601
Ratio of expenses to average
daily net assets:
Before expense waiver 0.98%* -@ 1.41%* -@
After expense waiver# 0.15%* -@ 0.10%* -@
Net investment loss to average daily
net assets (0.15)%* -@ (0.10)%* -@
Portfolio turnover rate 5%** N/A 5%** N/A
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00
---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.04)*** -
Net realized and unrealized gain
on investments 0.48 -
---------------- ------------
Total income from investment
operations 0.44 -
---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.44 $ 10.00
================ ============
TOTAL RETURN(a) 4.40%**(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 105 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 2.15%* -@
After expense waiver# 0.80%* -@
Net investment loss to average daily
net assets (0.80)%* -@
Portfolio turnover rate 5%** N/A
</Table>
* ANNUALIZED.
** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED.
*** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARE METHOD.
+ THE FUND COMMENCED OPERATIONS ON DECEMBER 31, 2003.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2003 AND THE
SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE FOR CLASS A AND A CONTINGENT
DEFERRED SALES CHARGE FOR CLASS N AND WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
305
<Page>
MASSMUTUAL DESTINATION RETIREMENT 2040 FUND - FINANCIAL STATEMENTS
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<Table>
<Caption>
CLASS A CLASS L
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------------- ------------ ---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.03)*** - (0.01)*** -
Net realized and unrealized gain
on investments 0.56 - 0.56 -
---------------- ------------ ---------------- ------------
Total income from investment
operations 0.53 - 0.55 -
---------------- ------------ ---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.53 $ 10.00 $ 10.55 $ 10.00
================ ============ ================ ============
TOTAL RETURN(a) 5.30%**(b) -@ 5.50%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,086 $ 101 $ 97,256 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 0.92%* -@ 0.27%* -@
After expense waiver# 0.50%* -@ 0.25%* -@
Net investment loss to average daily
net assets (0.50)%* -@ (0.25)%* -@
Portfolio turnover rate 4%** N/A 4%** N/A
<Caption>
CLASS Y CLASS S
------- -------
SIX MONTHS ENDED SIX MONTHS ENDED
6/30/04 PERIOD ENDED 6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+ (UNAUDITED) 12/31/03+
---------------- ------------ ---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00 $ 10.00
---------------- ------------ ---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.01)*** - (0.01)*** -
Net realized and unrealized gain
on investments 0.56 - 0.56 -
---------------- ------------ ---------------- ------------
Total income from investment
operations 0.55 - 0.55 -
---------------- ------------ ---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.55 $ 10.00 $ 10.55 $ 10.00
================ ============ ================ ============
TOTAL RETURN(a) 5.50%** -@ 5.50%** -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 106 $ 101 $ 680 $ 601
Ratio of expenses to average
daily net assets:
Before expense waiver 1.63%* -@ 1.57%* -@
After expense waiver# 0.15%* -@ 0.10%* -@
Net investment loss to average daily
net assets (0.15)%* -@ (0.10)%* -@
Portfolio turnover rate 4%** N/A 4%** N/A
<Caption>
CLASS N
-------
SIX MONTHS ENDED
6/30/04 PERIOD ENDED
(UNAUDITED) 12/31/03+
---------------- ------------
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00
---------------- ------------
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
Net investment loss (0.04)*** -
Net realized and unrealized gain
on investments 0.56 -
---------------- ------------
Total income from investment
operations 0.52 -
---------------- ------------
NET ASSET VALUE, END OF PERIOD $ 10.52 $ 10.00
================ ============
TOTAL RETURN(a) 5.20%**(b) -@
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 106 $ 101
Ratio of expenses to average
daily net assets:
Before expense waiver 2.28%* -@
After expense waiver# 0.80%* -@
Net investment loss to average daily
net assets (0.80)%* -@
Portfolio turnover rate 4%** 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, 2003.
@ AMOUNTS ARE DE MINIMIS DUE TO THE SHORT PERIOD OF OPERATIONS.
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN
FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2003 AND THE
SIX MONTHS ENDED JUNE 30, 2004.
(a) EMPLOYEE RETIREMENT BENEFIT PLANS THAT INVEST PLAN ASSETS IN THE SEPARATE
INVESTMENT ACCOUNTS (SIAs) MAY BE SUBJECT TO CERTAIN CHARGES AS SET FORTH
IN THEIR RESPECTIVE PLAN DOCUMENTS. TOTAL RETURN FIGURES WOULD BE LOWER FOR
THE PERIOD PRESENTED IF THEY REFLECTED THESE CHARGES.
(b) TOTAL RETURN EXCLUDES A FRONT-END SALES CHARGE FOR CLASS A AND A CONTINGENT
DEFERRED SALES CHARGE FOR CLASS N AND WOULD BE LOWER FOR THE PERIODS
PRESENTED IF THEY REFLECTED THESE CHARGES.
The accompanying notes are an integral part of the financial statements.
306
<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
Inflation-Protected Bond Fund ("Inflation-Protected Bond Fund"), MassMutual Core
Bond Fund ("Core Bond Fund"), MassMutual Diversified Bond Fund ("Diversified
Bond Fund"), MassMutual Balanced Fund ("Balanced Fund"), MassMutual Strategic
Balanced Fund ("Strategic 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 Value Fund
("Small Company Value 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 Growth Fund ("Small Company Growth Fund"),
MassMutual Emerging Growth Fund ("Emerging Growth Fund"), MassMutual
International Equity Fund ("International Equity Fund"), MassMutual Overseas
Fund ("Overseas Fund"), MassMutual Destination Retirement Income Fund
("Destination Retirement Income Fund"), MassMutual Destination Retirement 2010
Fund ("Destination Retirement 2010 Fund"), MassMutual Destination Retirement
2020 Fund ("Destination Retirement 2020 Fund"), MassMutual Destination
Retirement 2030 Fund ("Destination Retirement 2030 Fund") and MassMutual
Destination Retirement 2040 Fund ("Destination Retirement 2040 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
307
<Page>
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 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, 2004, 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 $ 30,730,352 $ 31,338,092
Core Bond Fund 207,588,350 212,279,990
Balanced Fund 23,420,960 24,033,231
Core Value Equity Fund 43,008,569 44,584,826
Fundamental Value Fund 52,939,082 54,196,656
Value Equity Fund 7,303,645 7,623,063
Large Cap Value Fund 56,363,403 58,341,638
Indexed Equity Fund 74,329,344 77,321,235
Blue Chip Growth Fund 28,586,467 30,240,713
Large Cap Growth Fund 4,628,413 5,065,127
Growth Equity Fund 23,696,794 24,629,196
Aggressive Growth Fund 36,186,790 37,465,529
OTC 100 Fund 7,727,084 8,239,517
Focused Value Fund 88,407,240 91,996,570
Small Company Value Fund 42,152,998 44,277,453
Small Cap Equity Fund 16,437,463 16,957,893
Mid Cap Growth Equity Fund 21,599,023 23,940,183
Mid Cap Growth Equity II Fund 88,782,292 92,648,335
Small Cap Growth Equity Fund 114,468,876 119,597,932
Small Company Growth Fund 44,586,491 47,127,205
Emerging Growth Fund 32,847,718 34,168,597
International Equity Fund 109,377,054 114,921,309
Overseas Fund 40,661,258 42,658,734
</Table>
308
<Page>
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
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.
309
<Page>
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.
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, 2004, 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.
310
<Page>
A summary of open obligations for the Short-Duration Bond Fund, Core Bond Fund
and Strategic Balanced Fund under these forward commitments at June 30, 2004, is
as follows:
<Table>
<Caption>
FORWARD EXPIRATION AGGREGATE
COMMITMENT OF FACE VALUE MARKET UNREALIZED
CONTRACTS TO BUY CONTRACTS OF CONTRACTS COST VALUE APPRECIATION
- ---------------------- ---------- ------------ ----------- ----------- ------------
SHORT-DURATION BOND FUND
FNMA
5.0% 07/01/2034 July-04 $ 6,800,000 $ 6,486,563 $ 6,567,844 $ 81,281
CORE BOND FUND
GNMA
5.0% 07/01/2034 July-04 84,710,000 81,030,409 82,095,900 $ 1,065,491
5.5% 07/01/2034 July-04 70,750,000 69,843,516 70,617,344 773,828
------------
$ 1,839,319
------------
STRATEGIC BALANCED FUND
FHLMC
4.5% 07/01/2019 July-04 600,000 579,750 585,750 $ 6,000
FNMA
5.5% 07/01/2034 July-04 3,700,000 3,630,907 3,680,922 50,015
6.0% 07/01/2019 July-04 4,100,000 4,222,039 4,268,485 46,446
6.0% 07/01/2034 July-04 3,600,000 3,636,406 3,673,125 36,719
------------
$ 139,180
------------
</Table>
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.
311
<Page>
A summary of open futures contracts for the Balanced Fund, Strategic Balanced
Fund, Indexed Equity Fund and the OTC 100 Fund at June 30, 2004, is as follows:
<Table>
<Caption>
NOTIONAL NET UNREALIZED
NUMBER OF CONTRACT APPRECIATION/
CONTRACTS TYPE EXPIRATION DATE VALUE (DEPRECIATION)
- -------------------- ------------------------- --------------- ------------ --------------
BALANCED FUND
BUYS
14 S&P 500 Index 09/16/04 $ 3,991,400 $ 23,352
STRATEGIC BALANCED FUND
BUYS
42 90 Day Euro 09/19/05 10,111,500 (25,585)
8 U.S. Long Bond 09/30/04 851,000 16,701
44 U.S. Treasury Note 5 year 09/30/04 4,782,250 44,468
---------
35,584
---------
SELLS
57 U.S. Treasury Note 10 year 09/30/04 6,231,703 (81,816)
INDEXED EQUITY FUND
BUYS
61 S&P 500 Index 09/16/04 11,974,200 119,484
OTC 100 FUND
BUYS
26 NASDAQ 100 Index 09/17/04 790,920 22,182
</Table>
OPTIONS
The Fund may purchase put and call options. By purchasing a put option, a Fund
obtains the right (but not the obligation) to sell the instrument underlying the
option at a fixed strike price. In return for this right, a Fund pays the
current market price for the option (known as the option premium). The Fund pays
a premium which is included in the Fund's Statement of Assets and Liabilities as
an investment and subsequently marked to market to reflect the current value of
the option. Options have various types of underlying instruments, including
specific securities, indexes of securities, indexes of security prices, indexes
of interest rates and futures contracts. A Fund may terminate its position in a
put option it has purchased by allowing it to expire or by exercising the
option. A Fund may also close out a put option position by entering into an
offsetting transactions, if a liquid market exists. If the option is allowed to
expire, a Fund will lose the entire premium it paid. Premiums paid for
purchasing options which expire are treated as realized losses. If a Fund
exercises a put option on a security, it will sell the instrument underlying the
option at the strike price. Premiums paid for purchasing options which are
exercised or closed are added to the amounts paid or offset against the proceeds
on the closing transaction to determine the realized gain or loss. If a Fund
exercises an option on an index, settlement is in cash and does not involve the
actual sale of securities.
The buyer of a typical put option can expect to realize a gain if the price of
the underlying instrument falls substantially. However, if the price of the
instrument underlying the option does not fall enough to offset the cost of
purchasing the option, a put buyer can expect to suffer a loss (limited to the
amount of the premium paid, plus related transaction costs).
The features of call options are essentially the same as those of put options,
except that the purchaser of a call option obtains the right to purchase, rather
than sell, the instrument underlying the option at the option's strike price. A
call buyer typically attempts to participate in potential price increases of the
instrument underlying the option with risk limited to the cost of the option if
security prices fall. At the same time, the buyer can expect to suffer a loss if
security prices do not rise sufficiently to offset the cost of the option. See
the Schedule of Investments of the Strategic Balanced Fund for open purchased
option contracts as of June 30, 2004.
312
<Page>
The Funds may also "write" put and call options. When a Fund writes a put
option, it takes the opposite side of the transaction from the option's
purchaser. In return for receipt of the premium, a Fund assumes the obligation
to pay the strike price for the instrument underlying the option if the other
party to the option chooses to exercise it. A fund may seek to terminate its
position in a put option it writes before exercise by purchasing an offsetting
option in the market at its current price. If the market is not liquid for a put
option a Fund has written, however, a Fund must continue to be prepared to pay
the strike price while the option is outstanding, regardless of price changes,
and must continue to post margin as discussed below.
If the price of the underlying instrument rises, a put writer would generally
expect to profit, although its gain would be limited to the amount of the
premium it received. If security prices remain the same over time, it is likely
that the writer will also profit, because it should be able to close out the
option at a lower price. If security prices fall, the put writer would expect to
suffer a loss. This loss should be less than the loss from purchasing and
holding the underlying instrument directly, however, because the premium
received for writing the option should offset a portion of the decline.
Writing a call option obligates a Fund to sell or deliver the option's
underlying instrument in return for the strike price upon exercise of the
option. The characteristics of writing call options are similar to those of
writing put options, except that writing calls generally is a profitable
strategy if prices remain the same or fall. Through receipt of the option
premium a call writer offsets part of the effect of a price decline. At the same
time, because a call writer must be prepared to deliver the underlying
instrument in return for the strike price, even if its current value is greater,
a call writer gives up some ability to participate in security price increases.
The writer of an exchange traded put or call option on a security, an index of
securities or a futures contract is required to deposit cash or securities or a
letter of credit as margin and to make mark to market payments of variation
margin as the position becomes unprofitable. When a Fund writes a call or put
option, an amount equal to the premium received is recorded as a liability.
Premiums received from writing options which expire are treated as realized
gains. Premiums received from writing options which are exercised or closed are
added to the proceeds or offset against the amount paid on the underlying
investments to determine the realized gain or loss.
A summary of open written option contracts for the Strategic Balanced Fund at
June 30, 2004, is as follows:
<Table>
<Caption>
EXPIRATION MARKET
NOTIONAL AMOUNT DATE DESCRIPTION PREMIUMS VALUE
- -------------- ---------- ---------------------------------------- -------- --------
$ 1,300,000 10/14/05 Call - OTC Interest Rate Swap - $ 8,515 $ 13,797
Agreement with JP Morgan Chase & Co.
dated 4/13/04 to receive the notional
amount multiplied by 3.00% and to
pay the notional amount multiplied by
the 3 month LIBOR.
</Table>
Exchange traded options are valued at the last sale price, or if no sales are
reported, the last bid price for purchased options and the last ask price for
written options. Options traded over-the-counter are valued using prices
supplied by a primary pricing source chosen by the Trust.
SWAPS
The Funds may engage in swap transactions, including, but not limited to,
interest rate, currency, credit default, indices, basket, specific security and
commodity swaps, interest rate caps, floors and collars and options on swaps
(collectively defined as "swap transactions").
Each Fund may enter into swap transactions for any legal purpose consistent with
its investment objective and policies, such as for the purpose of attempting to
obtain or preserve a particular return or
313
<Page>
spread at a lower cost than obtaining that return or spread through purchases
and/or sales of instruments in cash markets, to protect against currency
fluctuation, as a duration management technique, to protect against any increase
in the price of securities a Fund anticipates purchasing at a later date, or to
gain exposure to certain markets in the most economical way possible. A Fund
will not sell interest rate caps, floors or collars if it does not own
securities with coupons which provide the interest that a Fund may be required
to pay.
Swap agreements are two-party contracts entered into primarily by institutional
counterparties for periods ranging from a few weeks to several years. In a
standard swap transaction, two parties agree to exchange the returns (or
differentials in rates of return) that would be earned or realized on specified
notional investments or instruments. The gross returns to be exchanged or
"swapped" between the parties are calculated by reference to a "notional
amount," i.e., the return on or increase in value of a particular dollar amount
invested at a particular interest rate, in a particular foreign currency or
commodity, or in a "basket" of securities representing a particular index. The
purchaser of an interest rate cap or floor, upon payment of a fee, has the right
to receive payments (and the seller of the cap is obligated to make payments) to
the extent a specified interest rate exceeds (in the case of a cap) or is less
than (in the case of a floor) a specified level over a specified period of time
or at specified dates. The purchase of an interest rate collar, upon payment of
a fee, has the right to receive payments (and the seller of the collar is
obligated to make payments) to the extent that a specified interest rate falls
outside an agreed upon range over a specified period of time or at specified
dates. The purchase of an option on an interest rate swap, upon payment of a fee
(either at the time of purchase or in the form of higher payments or lower
receipts within an interest rate swap transaction) has the right, but not the
obligation, to initiate a new swap transaction of a pre-specified notional
amount with pre-specified terms with the seller of the option as the
counterparty.
The amount of a Fund's potential gain or loss on any swap transaction is not
subject to any fixed limit. Nor is there any fixed limit on a Fund's potential
loss if it sells a cap or collar. If the Fund buys a cap, floor or collar,
however, the Fund's potential loss is limited to the amount of the fee that it
has paid. When measured against the initial amount of cash required to initiate
the transaction, which is typically zero in the case of most conventional swap
transactions, swaps, caps, floors and collars tend to be more volatile than many
other types of instruments.
The Funds will maintain cash or liquid assets in an amount sufficient at all
times to cover its current obligations under its swap transactions, caps, floors
and collars. If a Fund enters into a swap agreement on a net basis, it will
segregate assets with a daily value at least equal to the excess, if any, of a
Fund's accrued obligations under the swap agreement over the accrued amount a
Fund is entitled to receive under the agreement. If a Fund enters into a swap
agreement on other than a net basis, or sells a cap, floor or collar, it will
segregate assets with a daily value at least equal to the full amount of a
Fund's accrued obligation under the agreement.
During the term of a swap, cap, floor or collar, changes in the value of the
instrument are recognized as unrealized gains or losses by marking to market to
reflect the market value of the instrument. When the instrument is terminated, a
Fund will record a realized gain or loss equal to the difference, if any,
between the proceeds from (or cost of) the closing transaction and a Fund's
basis in the contract.
A summary of open swap agreements for the Strategic Balanced Fund at June 30,
2004, is as follows:
<Table>
<Caption>
NOTIONAL EXPIRATION NET UNREALIZED
AMOUNT DATE DESCRIPTION APPRECIATION
- ----------------- ---------- ---------------------------------------------------- --------------
Credit Default
Swaps
2,000,000 USD 9/20/09 Agreement with Deutsche Bank AG dated 3/30/04 $ 6,000
to receive 4.30% per year times the notional amount.
The Fund makes payment only upon a default event
of the CDS Indexco LLC.
</Table>
314
<Page>
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.
In addition, the Destination Retirement Income Fund, Destination Retirement 2010
Fund, Destination Retirement 2020 Fund, Destination Retirement 2030 Fund and
Destination Retirement 2040 Fund will also incur certain fees and expenses
indirectly as a shareholder in the underlying funds. Because the underlying
funds have varied expense and fee levels and each Fund may own different
proportions of underlying funds at different times, the amount of fees and
expenses indirectly incurred by each Fund will vary.
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%
Inflation-Protected Bond Fund 0.48%
Core Bond Fund 0.48%
Diversified Bond Fund 0.50%
Balanced Fund 0.48%
Strategic Balanced Fund 0.60%
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%
Destination Retirement Income Fund 0.05%
Destination Retirement 2010 Fund 0.05%
Destination Retirement 2020 Fund 0.05%
Destination Retirement 2030 Fund 0.05%
Destination Retirement 2040 Fund 0.05%
</Table>
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 from MassMutual 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,
0.08% of the average daily net assets of the Inflation-Protected 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.
315
<Page>
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 Selected Advisers, L.P. for the Large Cap Value Fund; Northern Trust
Investments, Inc. for the Indexed Equity Fund and the OTC 100 Fund; Grantham,
Mayo, Van Otterloo & Co. LLC for the Growth Equity Fund; Sands Capital
Management, Inc. for the Aggressive Growth Fund; Harris Associates, L.P. for a
portion of 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; Cooke & Bieler, L.P. for a portion of
the Focused Value 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 5, 2004, Janus Capital Management LLC managed the investment and
reinvestment of the Aggressive Growth Fund. Prior to June 1, 2004, Massachusetts
Financial Services Company managed the investment and reinvestment of the Growth
Equity 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.
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 0.3677%
Inflation-Protected Bond Fund 0.3166% 0.3166% 0.1666% 0.0666% NA 0.3666%
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%
Strategic Balanced Fund 0.3270% 0.3270% 0.1770% 0.1270% NA 0.3770%
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%
</Table>
316
<Page>
<Table>
<Caption>
CLASS A CLASS L CLASS Y CLASS S CLASS Z CLASS N
------- ------- ------- ------- ------- -------
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%
Destination Retirement
Income Fund 0.1459% 0.1459% 0.0459% 0.0200% NA 0.1959%
Destination Retirement 2010 Fund 0.1696% 0.1696% 0.0696% 0.0196% NA 0.2196%
Destination Retirement 2020 Fund 0.1758% 0.1758% 0.0758% 0.0258% NA 0.2258%
Destination Retirement 2030 Fund 0.1733% 0.1733% 0.0733% 0.0233% NA 0.2233%
Destination Retirement 2040 Fund 0.1616% 0.1616% 0.0616% 0.0116% NA 0.2116%
</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. For the Money Market Fund,
pursuant to the waiver as described below under Expense Waivers, MassMutual
waived $14,899 of Class A 12b-1 fees as of June 30, 2004, which amounted to
0.018% of the 0.25% fee. 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. The Distributor has
also entered into a Sub-Distributor's Agreement with OppenheimerFunds
Distributor, Inc. (the "Sub-Distributor"). The Sub-Distributor is an affiliate
of the Distributor and an indirect majority owned subsidiary of MassMutual.
INDIRECT EXPENSES
The Destination Retirement Income Fund, Destination Retirement 2010 Fund,
Destination Retirement 2020 Fund, Destination Retirement 2030 Fund and
Destination Retirement 2040 Fund incur fees and expenses indirectly as
shareholders in the underlying funds. For the six months ended June 30, 2004,
these expenses were as follows:
<Table>
<Caption>
INDIRECT
OPERATING
EXPENSES
---------
Destination Retirement Income Fund 0.67%
Destination Retirement 2010 Fund 0.70%
Destination Retirement 2020 Fund 0.76%
Destination Retirement 2030 Fund 0.85%
Destination Retirement 2040 Fund 0.89%
</Table>
317
<Page>
EXPENSE CAPS AND WAIVERS
MassMutual agreed to cap the fees and expenses of the following Funds through
December 31, 2006, unless otherwise noted, as follows:
<Table>
<Caption>
CLASS A CLASS L CLASS Y CLASS S CLASS N
------- ------- ------- ------- -------
Inflation-Protected Bond Fund 1.08% 0.83% 0.68% 0.58% 1.38%
Strategic Balanced Fund 1.21% 0.96% 0.81% 0.76% 1.51%
Fundamental Value Fund* 1.24% 0.99% 0.84% 0.80% 1.54%
Large Cap Growth Fund* 1.28% 1.03% 0.88% 0.84% 1.58%
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%
Destination Retirement
Income Fund 0.50% 0.25% 0.15% 0.12% 0.80%
Destination Retirement 2010 Fund 0.50% 0.25% 0.15% 0.10% 0.80%
Destination Retirement 2020 Fund 0.50% 0.25% 0.15% 0.10% 0.80%
Destination Retirement 2030 Fund 0.50% 0.25% 0.15% 0.10% 0.80%
Destination Retirement 2040 Fund 0.50% 0.25% 0.15% 0.10% 0.80%
</Table>
* EXPENSE CAPS IN EFFECT THROUGH APRIL 30, 2005.
For the MassMutual Money Market Fund, MassMutual has agreed to voluntarily waive
some or all of its fees and, if necessary, a portion of its management fees, to
allow each class of the Fund to maintain a 7-day yield of at least approximately
0.10%. Payments made to intermediaries will be unaffected. MassMutual may amend
or discontinue this waiver at any time without advance notice.
Effective May 3, 2004, MassMutual agreed to voluntarily waive, through April 30,
2005, Administration fees for Classes A, L and N, as follows: 0.18% for the
Money Market Fund, 0.07% for the Short-Duration Bond Fund, 0.08% for the Core
Bond Fund, 0.15% for the Diversified Bond Fund and 0.10% for the Indexed Equity
Fund. MassMutual has also agreed to voluntarily waive, through April 31, 2005,
0.08% of the management fee of all classes of the Aggressive Growth Fund.
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, International Equity Fund and Overseas 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, 2004, expenses were reduced under these agreements as
follows:
<Table>
<Caption>
REDUCTIONS
----------
Fundamental Value Fund $ 64,704
Value Equity Fund 19,623
Large Cap Value Fund 323
Blue Chip Growth Fund 19,902
Large Cap Growth Fund 4,087
Growth Equity Fund 44,639
Aggressive Growth Fund 1,040
Focused Value Fund 67,360
Small Company Value Fund 55,333
Mid Cap Growth Equity Fund 15,782
Mid Cap Growth Equity II Fund 37,690
Small Cap Growth Equity Fund 80,210
</Table>
318
<Page>
<Table>
<Caption>
REDUCTIONS
----------
Small Company Growth Fund 81,825
International Equity Fund 61,891
Overseas Fund 10,298
</Table>
OTHER
Certain officers and trustees of the Funds are also officers of MassMutual. The
compensation of each trustee who is not an officer or employee of MassMutual is
borne by the Funds.
At June 30, 2004, MassMutual or separate investment accounts thereof owned
97.02% 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, 2004, no significant amounts have been
deferred.
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, 2004, were as follows:
PURCHASES
<Table>
<Caption>
LONG-TERM U.S. OTHER LONG-TERM
GOVERNMENT SECURITIES SECURITIES
--------------------- ---------------
Short-Duration Bond Fund $ 33,216,611 $ 61,865,836
Inflation-Protected Bond Fund 138,803,991 -
Core Bond Fund 486,476,552 233,097,755
Diversified Bond Fund 129,630,137 52,857,429
Balanced Fund 28,286,753 127,224,918
Strategic Balanced Fund 58,923,114 168,780,485
Core Value Equity Fund - 206,600,780
Fundamental Value Fund - 292,493,748
Value Equity Fund - 91,483,747
Large Cap Value Fund - 120,360,676
Indexed Equity Fund - 135,786,532
Blue Chip Growth Fund - 49,283,605
Large Cap Growth Fund - 15,833,613
Growth Equity Fund - 1,080,561,126
Aggressive Growth Fund - 382,177,408
OTC 100 Fund - 8,975,536
Focused Value Fund - 211,989,853
Small Company Value Fund - 125,818,786
Small Cap Equity Fund - 94,707,919
Mid Cap Growth Equity Fund - 80,585,880
Mid Cap Growth Equity II Fund - 304,432,876
Small Cap Growth Equity Fund - 177,934,423
Small Company Growth Fund - 182,389,117
Emerging Growth Fund - 128,687,241
International Equity Fund - 214,267,372
Overseas Fund - 265,684,177
Destination Retirement Income Fund - 163,826,093
Destination Retirement 2010 Fund - 4,442,879
Destination Retirement 2020 Fund - 201,017,598
Destination Retirement 2030 Fund - 164,881,161
Destination Retirement 2040 Fund - 99,092,605
</Table>
319
<Page>
SALES
<Table>
<Caption>
LONG-TERM U.S. OTHER LONG-TERM
GOVERNMENT SECURITIES SECURITIES
--------------------- ---------------
Short-Duration Bond Fund $ 47,231,123 $ 50,478,173
Inflation-Protected Bond Fund 3,702,996 -
Core Bond Fund 581,682,150 261,304,719
Diversified Bond Fund 82,928,503 27,850,706
Balanced Fund 25,990,396 140,035,168
Strategic Balanced Fund 13,647,045 6,706,593
Core Value Equity Fund - 270,287,522
Fundamental Value Fund - 108,623,415
Value Equity Fund - 110,151,834
Large Cap Value Fund - 4,418,054
Indexed Equity Fund - 12,187,213
Blue Chip Growth Fund - 40,765,146
Large Cap Growth Fund - 30,775,739
Growth Equity Fund - 977,471,763
Aggressive Growth Fund - 286,493,479
OTC 100 Fund - 17,265,952
Focused Value Fund - 131,969,427
Small Company Value Fund - 44,504,602
Small Cap Equity Fund - 122,971,565
Mid Cap Growth Equity Fund - 98,121,064
Mid Cap Growth Equity II Fund - 173,439,693
Small Cap Growth Equity Fund - 162,755,044
Small Company Growth Fund - 148,162,564
Emerging Growth Fund - 122,199,100
International Equity Fund - 261,995,897
Overseas Fund - 162,459,948
Destination Retirement Income Fund - 6,238,828
Destination Retirement 2010 Fund - 165,303
Destination Retirement 2020 Fund - 5,127,551
Destination Retirement 2030 Fund - 4,341,652
Destination Retirement 2040 Fund - 2,322,383
</Table>
320
<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, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
MONEY MARKET FUND
Sold 809,414,764 $ 809,414,765 1,397,191,568 $ 1,397,191,542
Issued as reinvestment of dividends 48,789 48,789 246,864 246,867
Redeemed (802,627,508) (802,627,508) (1,408,802,064) (1,408,802,041)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 6,836,045 $ 6,836,046 (11,363,632) $ (11,363,632)
=============== ================= ================= =================
SHORT-DURATION BOND FUND
Sold 1,862,550 $ 19,246,481 3,169,308 $ 33,349,921
Issued as reinvestment of dividends - - 157,678 1,618,232
Redeemed (1,137,919) (11,699,779) (1,175,765) (12,365,595)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 724,631 $ 7,546,702 2,151,221 $ 22,602,558
=============== ================= ================= =================
INFLATION-PROTECTED BOND FUND*
Sold 79,700 $ 804,950 50 $ 500
Issued as reinvestment of dividends - - - -
Redeemed (10,085) (100,548) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 69,615 $ 704,402 50 $ 500
=============== ================= ================= =================
CORE BOND FUND
Sold 4,993,912 $ 54,972,984 12,033,067 $ 137,116,807
Issued as reinvestment of dividends - - 1,253,882 13,697,622
Redeemed (4,889,228) (53,854,436) (8,593,255) (98,262,978)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 104,684 $ 1,118,548 4,693,694 $ 52,551,451
=============== ================= ================= =================
DIVERSIFIED BOND FUND
Sold 1,161,983 $ 12,359,960 1,212,507 $ 12,488,841
Issued as reinvestment of dividends - - 22,326 237,274
Redeemed (331,679) (3,536,516) (1,917,746) (20,466,720)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 830,304 $ 8,823,444 (682,913) $ (7,740,605)
=============== ================= ================= =================
BALANCED FUND
Sold 128,907 $ 1,156,680 268,787 $ 2,216,803
Issued as reinvestment of dividends - - 14,798 130,664
Redeemed (133,459) (1,197,060) (176,070) (1,408,692)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (4,552) $ (40,380) 107,515 $ 938,775
=============== ================= ================= =================
STRATEGIC BALANCED FUND*
Sold 2,139,587 $ 21,760,446 50 $ 500
Issued as reinvestment of dividends - - - -
Redeemed (941,077) (9,514,523) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,198,510 $ 12,245,923 50 $ 500
=============== ================= ================= =================
CORE VALUE EQUITY FUND
Sold 316,472 $ 2,831,182 795,327 $ 5,820,443
Issued as reinvestment of dividends - - 35,440 276,785
Redeemed (435,940) (3,861,185) (541,291) (4,087,545)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (119,468) $ (1,030,003) 289,476 $ 2,009,683
=============== ================= ================= =================
FUNDAMENTAL VALUE FUND
Sold 6,495,374 $ 65,693,567 10,299,301 $ 88,358,455
Issued as reinvestment of dividends - - 92,746 927,459
Redeemed (1,690,676) (16,993,510) (2,316,692) (19,549,612)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 4,804,698 $ 48,700,057 8,075,355 $ 69,736,302
=============== ================= ================= =================
VALUE EQUITY FUND
Sold 398,641 $ 3,837,784 531,726 $ 4,274,648
Issued as reinvestment of dividends - - 22,826 217,757
Redeemed (242,620) (2,325,439) (389,618) (3,273,581)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 156,021 $ 1,512,345 164,934 $ 1,218,824
=============== ================= ================= =================
</Table>
321
<Page>
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
LARGE CAP VALUE FUND
Sold 7,211,528 $ 69,168,345 7,060,040 $ 55,857,788
Issued as reinvestment of dividends - - 58,837 550,122
Redeemed (2,473,760) (23,755,521) (3,360,009) (26,474,082)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 4,737,768 $ 45,412,824 3,758,868 $ 29,933,828
=============== ================= ================= =================
INDEXED EQUITY FUND
Sold 7,514,864 $ 77,914,545 10,967,310 $ 96,785,105
Issued as reinvestment of dividends - - 126,277 1,289,285
Redeemed (2,548,755) (26,436,902) (4,148,431) (36,578,187)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 4,966,109 $ 51,477,643 6,945,156 $ 61,496,203
=============== ================= ================= =================
BLUE CHIP GROWTH FUND
Sold 1,216,788 $ 10,300,334 3,204,864 $ 24,085,208
Issued as reinvestment of dividends - - 3,356 27,885
Redeemed (635,433) (5,369,707) (701,153) (5,329,677)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 581,355 $ 4,930,627 2,507,067 $ 18,783,416
=============== ================= ================= =================
LARGE CAP GROWTH FUND
Sold 49,864 $ 426,516 170,311 $ 1,294,789
Issued as reinvestment of dividends - - - -
Redeemed (22,761) (195,031) (126,722) (928,887)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 27,103 $ 231,485 43,589 $ 365,902
=============== ================= ================= =================
GROWTH EQUITY FUND
Sold 6,446,978 $ 48,499,032 19,956,352 $ 134,636,598
Issued as reinvestment of dividends - - - -
Redeemed (4,096,170) (30,687,527) (5,238,338) (35,167,864)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,350,808 $ 17,811,505 14,718,014 $ 99,468,734
=============== ================= ================= =================
AGGRESSIVE GROWTH FUND
Sold 5,906,988 $ 31,353,789 8,242,554 $ 34,141,045
Issued as reinvestment of dividends - - - -
Redeemed (2,425,149) (12,804,863) (4,946,869) (20,837,429)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,481,839 $ 18,548,926 3,295,685 $ 13,303,616
=============== ================= ================= =================
OTC 100 FUND
Sold 2,774,594 $ 10,310,918 7,591,544 $ 24,031,474
Issued as reinvestment of dividends - - - -
Redeemed (2,945,809) (10,939,919) (4,080,375) (12,847,317)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (171,215) $ (629,001) 3,511,169 $ 11,184,157
=============== ================= ================= =================
FOCUSED VALUE FUND
Sold 3,518,987 $ 61,196,841 7,031,133 $ 102,133,400
Issued as reinvestment of dividends - - 220,900 3,724,375
Redeemed (1,775,732) (30,784,394) (2,404,692) (34,184,587)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,743,255 $ 30,412,447 4,847,341 $ 71,673,188
=============== ================= ================= =================
SMALL COMPANY VALUE FUND
Sold 2,182,769 $ 27,404,341 3,628,167 $ 35,753,279
Issued as reinvestment of dividends - - 10,632 128,857
Redeemed (684,759) (8,541,159) (890,717) (9,179,973)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,498,010 $ 18,863,182 2,748,082 $ 26,702,163
=============== ================= ================= =================
SMALL CAP EQUITY FUND
Sold 204,768 $ 2,770,832 418,950 $ 4,849,363
Issued as reinvestment of dividends - - - -
Redeemed (418,918) (5,632,855) (369,419) (4,116,783)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (214,150) $ (2,862,023) 49,531 $ 732,580
=============== ================= ================= =================
MID CAP GROWTH EQUITY FUND
Sold 774,482 $ 5,984,119 2,767,211 $ 18,482,748
Issued as reinvestment of dividends - - - -
Redeemed (1,735,386) (13,429,333) (1,772,255) (11,893,433)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (960,904) $ (7,445,214) 994,956 $ 6,589,315
=============== ================= ================= =================
</Table>
322
<Page>
<Table>
<Caption>
CLASS A
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
MID CAP GROWTH EQUITY II FUND
Sold 5,236,394 $ 60,243,302 6,222,839 $ 58,480,780
Issued as reinvestment of dividends - - - -
Redeemed (1,554,295) (17,840,967) (1,662,234) (15,598,210)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,682,099 $ 42,402,335 4,560,605 $ 42,882,570
=============== ================= ================= =================
SMALL CAP GROWTH EQUITY FUND
Sold 1,594,074 $ 20,492,093 3,052,883 $ 32,756,644
Issued as reinvestment of dividends - - - -
Redeemed (1,473,829) (18,661,137) (1,718,020) (18,205,592)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 120,245 $ 1,830,956 1,334,863 $ 14,551,052
=============== ================= ================= =================
SMALL COMPANY GROWTH FUND
Sold 3,051,705 $ 33,966,414 5,288,096 $ 49,442,359
Issued as reinvestment of dividends - - 231,958 2,491,228
Redeemed (2,108,287) (22,724,639) (1,177,399) (11,473,237)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 943,418 $ 11,241,775 4,342,655 $ 40,460,350
=============== ================= ================= =================
EMERGING GROWTH FUND
Sold 2,180,414 $ 11,743,489 4,357,187 $ 19,074,430
Issued as reinvestment of dividends - - - -
Redeemed (1,654,679) (8,677,098) (2,140,991) (9,265,157)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 525,735 $ 3,066,391 2,216,196 $ 9,809,273
=============== ================= ================= =================
INTERNATIONAL EQUITY FUND
Sold 1,790,128 $ 17,334,543 2,980,418 $ 21,182,102
Issued as reinvestment of dividends - - 15,519 146,022
Redeemed (2,192,777) (20,936,935) (2,505,726) (17,961,379)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (402,649) $ (3,602,392) 490,211 $ 3,366,745
=============== ================= ================= =================
OVERSEAS FUND
Sold 3,962,513 $ 39,121,399 5,983,002 $ 47,072,892
Issued as reinvestment of dividends - - 8,247 78,267
Redeemed (1,163,356) (11,392,299) (1,725,548) (13,641,373)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,799,157 $ 27,729,100 4,265,701 $ 33,509,786
=============== ================= ================= =================
DESTINATION RETIREMENT INCOME FUND*
Sold 408,537 $ 4,089,766 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (12,919) (129,927) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 395,618 $ 3,959,839 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2010 FUND*
Sold 143,034 $ 1,439,817 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (4,788) (47,495) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 138,246 $ 1,392,322 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2020 FUND*
Sold 233,153 $ 2,370,866 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (13,611) (137,836) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 219,542 $ 2,233,030 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2030 FUND*
Sold 910,344 $ 9,331,445 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (25,338) (256,228) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 885,006 $ 9,075,217 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2040 FUND*
Sold 190,102 $ 1,963,899 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (2,106) (22,057) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 187,996 $ 1,941,842 10,050 $ 100,500
=============== ================= ================= =================
</Table>
323
<Page>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
MONEY MARKET FUND
Sold 236,538,446 $ 236,538,447 459,638,374 $ 459,638,351
Issued as reinvestment of dividends 94,255 94,255 314,493 314,498
Redeemed (229,282,524) (229,282,524) (471,458,377) (471,458,359)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 7,350,177 $ 7,350,178 (11,505,510) $ (11,505,510)
=============== ================= ================= =================
SHORT-DURATION BOND FUND
Sold 3,120,981 $ 32,093,596 7,949,250 $ 83,854,557
Issued as reinvestment of dividends - - 697,952 7,163,674
Redeemed (2,949,579) (30,346,534) (4,266,947) (44,929,960)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 171,402 $ 1,747,062 4,380,255 $ 46,088,271
=============== ================= ================= =================
INFLATION-PROTECTED BOND FUND*
Sold 185,575 $ 1,885,115 50 $ 500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 185,575 $ 1,885,115 50 $ 500
=============== ================= ================= =================
CORE BOND FUND
Sold 8,103,693 $ 89,646,715 16,948,744 $ 194,408,730
Issued as reinvestment of dividends - - 2,180,345 23,929,398
Redeemed (4,973,501) (54,805,611) (13,227,242) (153,259,220)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,130,192 $ 34,841,104 5,901,847 $ 65,078,908
=============== ================= ================= =================
DIVERSIFIED BOND FUND
Sold 3,549,120 $ 37,838,468 6,525,113 $ 70,439,474
Issued as reinvestment of dividends - - 177,644 1,874,136
Redeemed (363,398) (3,855,114) (678,575) (7,252,265)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,185,722 $ 33,983,354 6,024,182 $ 65,061,345
=============== ================= ================= =================
BALANCED FUND
Sold 175,773 $ 1,564,893 49,826 $ 413,516
Issued as reinvestment of dividends - - 5,016 44,639
Redeemed (25,337) (229,421) (211,743) (1,749,064)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 150,436 $ 1,335,472 (156,901) $ (1,290,909)
=============== ================= ================= =================
STRATEGIC BALANCED FUND*
Sold 11,945,817 $ 121,242,740 50 $ 500
Issued as reinvestment of dividends - - - -
Redeemed (1,428,652) (14,421,587) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 10,517,165 $ 106,821,153 50 $ 500
=============== ================= ================= =================
CORE VALUE EQUITY FUND
Sold 92,022 $ 833,459 5,531,470 $ 41,689,179
Issued as reinvestment of dividends - - 160,288 1,267,877
Redeemed (79,672) (719,766) (4,724,879) (37,918,378)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 12,350 $ 113,693 966,879 $ 5,038,678
=============== ================= ================= =================
FUNDAMENTAL VALUE FUND
Sold 8,031,118 $ 81,521,644 9,365,398 $ 82,493,607
Issued as reinvestment of dividends - - 114,058 1,142,858
Redeemed (2,496,873) (25,158,105) (1,867,601) (15,903,491)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 5,534,245 $ 56,363,539 7,611,855 $ 67,732,974
=============== ================= ================= =================
VALUE EQUITY FUND
Sold 71,015 $ 683,227 169,238 $ 1,391,710
Issued as reinvestment of dividends - - 8,365 79,886
Redeemed (57,842) (555,722) (133,986) (1,115,243)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 13,173 $ 127,505 43,617 $ 356,353
=============== ================= ================= =================
LARGE CAP VALUE FUND
Sold 5,527,643 $ 53,309,903 9,538,984 $ 76,826,531
Issued as reinvestment of dividends - - 122,793 1,150,575
Redeemed (1,993,486) (19,254,726) (3,345,073) (26,664,671)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,534,157 $ 34,055,177 6,316,704 $ 51,312,435
=============== ================= ================= =================
</Table>
324
<Page>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
INDEXED EQUITY FUND
Sold 3,834,944 $ 39,853,335 13,388,730 $ 123,324,213
Issued as reinvestment of dividends - - 183,391 1,877,635
Redeemed (2,529,593) (26,433,963) (3,146,024) (28,814,174)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,305,351 $ 13,419,372 10,426,097 $ 96,387,674
=============== ================= ================= =================
BLUE CHIP GROWTH FUND
Sold 7,020,596 $ 59,768,987 23,826,817 $ 174,732,417
Issued as reinvestment of dividends - - 39,319 329,096
Redeemed (7,128,603) (60,677,739) (19,999,085) (146,344,792)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (108,007) $ (908,752) 3,867,051 $ 28,716,721
=============== ================= ================= =================
LARGE CAP GROWTH FUND
Sold 214,824 $ 1,853,082 495,937 $ 3,822,509
Issued as reinvestment of dividends - - - -
Redeemed (131,964) (1,131,281) (156,156) (1,195,730)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 82,860 $ 721,801 339,781 $ 2,626,779
=============== ================= ================= =================
GROWTH EQUITY FUND
Sold 11,934,266 $ 91,438,051 14,621,137 $ 99,077,321
Issued as reinvestment of dividends - - - -
Redeemed (5,993,754) (46,100,093) (4,090,290) (27,613,437)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 5,940,512 $ 45,337,958 10,530,847 $ 71,463,884
=============== ================= ================= =================
AGGRESSIVE GROWTH FUND
Sold 9,905,724 $ 52,492,975 9,749,653 $ 43,555,968
Issued as reinvestment of dividends - - - -
Redeemed (2,105,878) (11,215,879) (2,674,800) (11,585,230)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 7,799,846 $ 41,277,096 7,074,853 $ 31,970,738
=============== ================= ================= =================
OTC 100 FUND
Sold 1,222,363 $ 4,634,321 3,340,670 $ 10,614,736
Issued as reinvestment of dividends - - - -
Redeemed (1,629,348) (6,145,877) (1,739,497) (5,490,402)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (406,985) $ (1,511,556) 1,601,173 $ 5,124,334
=============== ================= ================= =================
FOCUSED VALUE FUND
Sold 2,721,093 $ 47,698,963 4,904,100 $ 70,237,412
Issued as reinvestment of dividends - - 157,067 2,670,064
Redeemed (1,113,106) (19,494,883) (1,661,669) (24,317,102)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,607,987 $ 28,204,080 3,399,498 $ 48,590,374
=============== ================= ================= =================
SMALL COMPANY VALUE FUND
Sold 3,341,949 $ 41,751,977 3,232,849 $ 34,859,010
Issued as reinvestment of dividends - - 10,511 127,393
Redeemed (1,281,563) (16,195,859) (461,200) (4,675,051)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,060,386 $ 25,556,118 2,782,160 $ 30,311,352
=============== ================= ================= =================
SMALL CAP EQUITY FUND
Sold 687,138 $ 9,352,532 2,803,769 $ 31,565,757
Issued as reinvestment of dividends - - 4,430 60,163
Redeemed (222,334) (3,044,138) (2,447,304) (30,432,456)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 464,804 $ 6,308,394 360,895 $ 1,193,464
=============== ================= ================= =================
MID CAP GROWTH EQUITY FUND
Sold 524,835 $ 4,109,014 2,375,688 $ 15,697,924
Issued as reinvestment of dividends - - - -
Redeemed (466,851) (3,628,434) (1,844,732) (12,668,746)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 57,984 $ 480,580 530,956 $ 3,029,178
=============== ================= ================= =================
MID CAP GROWTH EQUITY II FUND
Sold 9,889,055 $ 115,157,557 12,993,997 $ 126,034,640
Issued as reinvestment of dividends - - - -
Redeemed (4,766,297) (55,431,423) (7,302,467) (69,729,161)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 5,122,758 $ 59,726,134 5,691,530 $ 56,305,479
=============== ================= ================= =================
</Table>
325
<Page>
<Table>
<Caption>
CLASS L
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
SMALL CAP GROWTH EQUITY FUND
Sold 1,497,690 $ 19,500,090 3,696,140 $ 40,802,603
Issued as reinvestment of dividends - - - -
Redeemed (1,714,810) (21,937,114) (1,960,874) (20,844,044)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (217,120) $ (2,437,024) 1,735,266 $ 19,958,559
=============== ================= ================= =================
SMALL COMPANY GROWTH FUND
Sold 1,846,055 $ 20,281,196 2,388,359 $ 19,961,294
Issued as reinvestment of dividends - - 153,253 1,656,669
Redeemed (813,085) (8,756,032) (666,759) (6,392,519)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,032,970 $ 11,525,164 1,874,853 $ 15,225,444
=============== ================= ================= =================
EMERGING GROWTH FUND
Sold 2,844,877 $ 15,369,324 6,550,055 $ 28,228,188
Issued as reinvestment of dividends - - - -
Redeemed (1,045,457) (5,546,202) (2,891,606) (12,927,911)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,799,420 $ 9,823,122 3,658,449 $ 15,300,277
=============== ================= ================= =================
INTERNATIONAL EQUITY FUND
Sold 1,249,573 $ 12,113,068 11,531,276 $ 79,137,801
Issued as reinvestment of dividends - - 90,298 851,505
Redeemed (1,147,076) (11,095,312) (7,399,324) (56,015,202)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 102,497 $ 1,017,756 4,222,250 $ 23,974,104
=============== ================= ================= =================
OVERSEAS FUND
Sold 5,812,207 $ 57,480,519 7,440,493 $ 60,245,750
Issued as reinvestment of dividends - - 24,525 233,726
Redeemed (1,717,446) (16,835,835) (1,576,408) (12,709,569)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 4,094,761 $ 40,644,684 5,888,610 $ 47,769,907
=============== ================= ================= =================
DESTINATION RETIREMENT INCOME FUND*
Sold 9,784,218 $ 100,056,900 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (1,163,442) (11,780,618) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 8,620,776 $ 88,276,282 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2010 FUND*
Sold 262,635 $ 2,667,052 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (23,065) (230,918) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 239,570 $ 2,436,134 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2020 FUND*
Sold 20,877,206 $ 214,311,223 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (2,116,631) (21,666,330) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 18,760,575 $ 192,644,893 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2030 FUND*
Sold 16,163,629 $ 166,508,801 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (1,511,783) (15,582,418) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 14,651,846 $ 150,926,383 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2040 FUND*
Sold 10,156,402 $ 104,569,600 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (945,369) (9,757,572) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 9,211,033 $ 94,812,028 10,050 $ 100,500
=============== ================= ================= =================
</Table>
326
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
MONEY MARKET FUND
Sold 557,975,603 $ 557,975,602 1,231,691,851 $ 1,231,691,805
Issued as reinvestment of dividends 190,152 190,152 557,204 557,213
Redeemed (567,718,703) (567,718,703) (1,248,976,151) (1,248,976,114)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (9,552,948) $ (9,552,949) (16,727,096) $ (16,727,096)
=============== ================= ================= =================
SHORT-DURATION BOND FUND
Sold 1,389,545 $ 14,381,349 3,151,827 $ 33,587,146
Issued as reinvestment of dividends - - 212,574 2,188,292
Redeemed (1,852,741) (19,104,716) (2,103,095) (22,255,500)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (463,196) $ (4,723,367) 1,261,306 $ 13,519,938
=============== ================= ================= =================
INFLATION-PROTECTED BOND FUND*
Sold 6,023,650 $ 62,574,178 50 $ 500
Issued as reinvestment of dividends - - - -
Redeemed (279,649) (2,829,429) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 5,744,001 $ 59,744,749 50 $ 500
=============== ================= ================= =================
CORE BOND FUND
Sold 4,422,764 $ 48,593,356 8,267,992 $ 94,601,755
Issued as reinvestment of dividends - - 923,093 10,159,065
Redeemed (2,570,708) (28,380,630) (10,592,260) (121,929,714)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,852,056 $ 20,212,726 (1,401,175) $ (17,168,894)
=============== ================= ================= =================
DIVERSIFIED BOND FUND
Sold 83,554 $ 895,208 966,981 $ 10,160,960
Issued as reinvestment of dividends - - 19,494 206,635
Redeemed (89,011) (953,796) (724,059) (7,392,530)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (5,457) $ (58,588) 262,416 $ 2,975,065
=============== ================= ================= =================
BALANCED FUND
Sold 44,475 $ 416,570 70,940 $ 609,528
Issued as reinvestment of dividends - - 4,719 43,277
Redeemed (53,736) (497,575) (149,673) (1,220,088)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (9,261) $ (81,005) (74,014) $ (567,283)
=============== ================= ================= =================
STRATEGIC BALANCED FUND*
Sold 11,117,047 $ 112,876,836 50 $ 500
Issued as reinvestment of dividends - - - -
Redeemed (1,415,705) (14,398,970) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 9,701,342 $ 98,477,866 50 $ 500
=============== ================= ================= =================
CORE VALUE EQUITY FUND
Sold 83,790 $ 762,559 302,307 $ 2,283,350
Issued as reinvestment of dividends - - 9,665 76,834
Redeemed (59,180) (537,160) (889,413) (6,722,444)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 24,610 $ 225,399 (577,441) $ (4,362,260)
=============== ================= ================= =================
FUNDAMENTAL VALUE FUND
Sold 2,847,111 $ 28,759,355 4,020,893 $ 36,700,178
Issued as reinvestment of dividends - - 72,769 729,717
Redeemed (849,255) (8,555,097) (1,015,092) (9,108,373)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,997,856 $ 20,204,258 3,078,570 $ 28,321,522
=============== ================= ================= =================
VALUE EQUITY FUND
Sold 151,389 $ 1,459,695 221,685 $ 1,822,476
Issued as reinvestment of dividends - - 5,283 50,613
Redeemed (276,238) (2,690,802) (856,867) (7,899,033)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (124,849) $ (1,231,107) (629,899) $ (6,025,944)
=============== ================= ================= =================
LARGE CAP VALUE FUND
Sold 2,277,878 $ 22,083,724 4,183,235 $ 34,740,890
Issued as reinvestment of dividends - - 56,845 533,770
Redeemed (876,601) (8,424,189) (1,324,754) (10,531,114)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,401,277 $ 13,659,535 2,915,326 $ 24,743,546
=============== ================= ================= =================
</Table>
327
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
INDEXED EQUITY FUND
Sold 9,068,256 $ 95,382,150 18,812,869 $ 165,250,556
Issued as reinvestment of dividends - - 311,309 3,195,304
Redeemed (4,684,494) (49,160,440) (14,401,721) (126,005,507)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 4,383,762 $ 46,221,710 4,722,457 $ 42,440,353
=============== ================= ================= =================
BLUE CHIP GROWTH FUND
Sold 113,469 $ 969,791 470,819 $ 3,460,800
Issued as reinvestment of dividends - - 1,134 9,505
Redeemed (53,580) (458,031) (162,249) (1,198,104)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 59,889 $ 511,760 309,704 $ 2,272,201
=============== ================= ================= =================
LARGE CAP GROWTH FUND
Sold 3,239 $ 27,894 890,829 $ 7,334,967
Issued as reinvestment of dividends - - 1,365 11,604
Redeemed - - (712) (5,599)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,239 $ 27,894 891,482 $ 7,340,972
=============== ================= ================= =================
GROWTH EQUITY FUND
Sold 1,271,704 $ 9,731,934 5,009,199 $ 35,468,431
Issued as reinvestment of dividends - - - -
Redeemed (1,103,727) (8,463,602) (2,987,297) (21,042,124)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 167,977 $ 1,268,332 2,021,902 $ 14,426,307
=============== ================= ================= =================
AGGRESSIVE GROWTH FUND
Sold 1,660,994 $ 8,968,587 1,707,639 $ 7,316,453
Issued as reinvestment of dividends - - - -
Redeemed (499,557) (2,666,036) (910,308) (3,881,989)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,161,437 $ 6,302,551 797,331 $ 3,434,464
=============== ================= ================= =================
OTC 100 FUND
Sold 424,437 $ 1,605,305 960,170 $ 3,129,067
Issued as reinvestment of dividends - - - -
Redeemed (391,738) (1,474,728) (342,585) (1,167,196)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 32,699 $ 130,577 617,585 $ 1,961,871
=============== ================= ================= =================
FOCUSED VALUE FUND
Sold 1,456,637 $ 25,676,453 2,988,879 $ 43,355,706
Issued as reinvestment of dividends - - 105,650 1,802,272
Redeemed (919,027) (16,072,402) (2,272,211) (33,152,796)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 537,610 $ 9,604,051 822,318 $ 12,005,182
=============== ================= ================= =================
SMALL COMPANY VALUE FUND
Sold 1,364,384 $ 17,367,237 2,151,564 $ 23,257,286
Issued as reinvestment of dividends - - 19,731 239,724
Redeemed (374,973) (4,679,337) (576,360) (5,614,962)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 989,411 $ 12,687,900 1,594,935 $ 17,882,048
=============== ================= ================= =================
SMALL CAP EQUITY FUND
Sold 147,861 $ 2,013,908 276,858 $ 3,202,510
Issued as reinvestment of dividends - - 1,459 19,843
Redeemed (155,089) (2,107,490) (845,882) (9,179,495)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (7,228) $ (93,582) (567,565) $ (5,957,142)
=============== ================= ================= =================
MID CAP GROWTH EQUITY FUND
Sold 462,097 $ 3,623,071 980,393 $ 6,740,328
Issued as reinvestment of dividends - - - -
Redeemed (377,216) (2,934,599) (472,212) (3,238,161)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 84,881 $ 688,472 508,181 $ 3,502,167
=============== ================= ================= =================
MID CAP GROWTH EQUITY II FUND
Sold 1,688,932 $ 19,885,520 2,166,833 $ 20,274,872
Issued as reinvestment of dividends - - - -
Redeemed (588,352) (6,848,704) (1,034,616) (9,680,614)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,100,580 $ 13,036,816 1,132,217 $ 10,594,258
=============== ================= ================= =================
</Table>
328
<Page>
<Table>
<Caption>
CLASS Y
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
SMALL CAP GROWTH EQUITY FUND
Sold 1,882,834 $ 24,464,975 4,717,107 $ 52,466,384
Issued as reinvestment of dividends - - - -
Redeemed (1,535,217) (19,724,357) (2,703,476) (29,718,108)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 347,617 $ 4,740,618 2,013,631 $ 22,748,276
=============== ================= ================= =================
SMALL COMPANY GROWTH FUND
Sold 921,444 $ 10,440,548 2,566,028 $ 26,459,308
Issued as reinvestment of dividends - - 160,293 1,737,578
Redeemed (674,159) (7,288,247) (724,421) (6,530,433)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 247,285 $ 3,152,301 2,001,900 $ 21,666,453
=============== ================= ================= =================
EMERGING GROWTH FUND
Sold 254,501 $ 1,384,450 214,869 $ 921,314
Issued as reinvestment of dividends - - - -
Redeemed (93,039) (495,011) (95,447) (417,223)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 161,462 $ 889,439 119,422 $ 504,091
=============== ================= ================= =================
INTERNATIONAL EQUITY FUND
Sold 1,359,213 $ 13,278,944 12,604,310 $ 86,381,974
Issued as reinvestment of dividends - - 25,952 246,281
Redeemed (1,904,759) (18,243,224) (14,552,753) (101,707,484)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (545,546) $ (4,964,280) (1,922,491) $ (15,079,229)
=============== ================= ================= =================
OVERSEAS FUND
Sold 1,285,407 $ 12,790,390 6,079,822 $ 50,735,588
Issued as reinvestment of dividends - - 26,982 257,679
Redeemed (624,932) (6,170,540) (1,151,540) (9,884,442)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 660,475 $ 6,619,850 4,955,264 $ 41,108,825
=============== ================= ================= =================
DESTINATION RETIREMENT INCOME FUND*
Sold 6,702,084 $ 67,275,821 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (189,287) (1,898,640) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 6,512,797 $ 65,377,181 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2010 FUND*
Sold 30,126 $ 298,453 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 30,126 $ 298,453 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2020 FUND*
Sold 52,963 $ 530,387 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed (882) (9,066) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 52,081 $ 521,321 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2030 FUND*
Sold 46,916 $ 480,125 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 46,916 $ 480,125 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2040 FUND*
Sold - $ - 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) - $ - 10,050 $ 100,500
=============== ================= ================= =================
</Table>
329
<Page>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
MONEY MARKET FUND
Sold 386,050,055 $ 386,050,055 1,219,828,542 $ 1,219,828,516
Issued as reinvestment of dividends 698,416 698,416 2,329,634 2,329,641
Redeemed (404,149,493) (404,149,493) (1,284,960,134) (1,284,960,115)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (17,401,022) $ (17,401,022) (62,801,958) $ (62,801,958)
=============== ================= ================= =================
SHORT-DURATION BOND FUND
Sold 5,627,850 $ 58,706,068 5,069,448 $ 53,832,741
Issued as reinvestment of dividends - - 493,980 5,115,170
Redeemed (6,159,070) (64,560,237) (7,332,971) (77,908,459)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (531,220) $ (5,854,169) (1,769,543) $ (18,960,548)
=============== ================= ================= =================
INFLATION-PROTECTED BOND FUND*
Sold 11,446,394 $ 120,184,832 1,052,180 $ 10,521,800
Issued as reinvestment of dividends - - - -
Redeemed (5,306,512) (55,779,588) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 6,139,882 $ 64,405,244 1,052,180 $ 10,521,800
=============== ================= ================= =================
CORE BOND FUND
Sold 16,291,005 $ 182,116,928 66,012,789 $ 768,902,813
Issued as reinvestment of dividends - - 5,165,269 57,065,968
Redeemed (23,395,590) (262,155,559) (108,440,070) (1,268,825,868)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (7,104,585) $ (80,038,631) (37,262,012) $ (442,857,087)
=============== ================= ================= =================
DIVERSIFIED BOND FUND
Sold 7,004,122 $ 75,808,630 9,489,168 $ 101,040,328
Issued as reinvestment of dividends - - 200,177 2,127,701
Redeemed (5,266,731) (57,156,850) (6,539,574) (69,595,558)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,737,391 $ 18,651,780 3,149,771 $ 33,572,471
=============== ================= ================= =================
BALANCED FUND
Sold 6,251,717 $ 56,757,524 8,470,647 $ 69,547,892
Issued as reinvestment of dividends - - 692,906 6,173,796
Redeemed (7,830,462) (71,065,037) (11,864,312) (96,686,555)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (1,578,745) $ (14,307,513) (2,700,759) $ (20,964,867)
=============== ================= ================= =================
STRATEGIC BALANCED FUND*
Sold 201,768 $ 2,041,056 1,000,050 $ 10,000,500
Issued as reinvestment of dividends - - - -
Redeemed (66,643) (674,207) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 135,125 $ 1,366,849 1,000,050 $ 10,000,500
=============== ================= ================= =================
CORE VALUE EQUITY FUND
Sold 8,715,538 $ 79,897,800 20,472,404 $ 158,489,778
Issued as reinvestment of dividends - - 1,510,343 12,067,641
Redeemed (16,035,406) (146,265,534) (50,321,111) (393,595,756)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (7,319,868) $ (66,367,734) (28,338,364) $ (223,038,337)
=============== ================= ================= =================
FUNDAMENTAL VALUE FUND
Sold 13,044,922 $ 131,864,657 14,059,260 $ 127,143,240
Issued as reinvestment of dividends - - 226,108 2,269,500
Redeemed (8,231,805) (83,253,197) (4,495,599) (38,860,754)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 4,813,117 $ 48,611,460 9,789,769 $ 90,551,986
=============== ================= ================= =================
VALUE EQUITY FUND
Sold 850,335 $ 8,205,621 1,834,862 $ 14,801,120
Issued as reinvestment of dividends - - 104,180 997,000
Redeemed (2,859,262) (27,762,539) (2,769,503) (24,297,747)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (2,008,927) $ (19,556,918) (830,461) $ (8,499,627)
=============== ================= ================= =================
LARGE CAP VALUE FUND
Sold 13,808,094 $ 133,918,046 11,403,841 $ 93,242,165
Issued as reinvestment of dividends - - 258,612 2,430,954
Redeemed (10,494,567) (101,659,623) (7,684,155) (60,961,138)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 3,313,527 $ 32,258,423 3,978,298 $ 34,711,981
=============== ================= ================= =================
</Table>
330
<Page>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
INDEXED EQUITY FUND
Sold 10,741,882 $ 113,465,238 29,568,865 $ 263,944,559
Issued as reinvestment of dividends - - 731,432 7,573,075
Redeemed (11,358,827) (119,829,033) (31,109,363) (278,668,784)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (616,945) $ (6,363,795) (809,066) $ (7,151,150)
=============== ================= ================= =================
BLUE CHIP GROWTH FUND
Sold 1,829,055 $ 15,641,647 5,522,545 $ 41,110,836
Issued as reinvestment of dividends - - 34,267 287,842
Redeemed (2,394,474) (20,415,900) (5,317,851) (39,208,068)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (565,419) $ (4,774,253) 238,961 $ 2,190,610
=============== ================= ================= =================
LARGE CAP GROWTH FUND
Sold 145,507 $ 1,263,284 586,609 $ 4,507,890
Issued as reinvestment of dividends - - 2,605 22,220
Redeemed (2,069,922) (17,571,283) (639,134) (4,893,653)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (1,924,415) $ (16,307,999) (49,920) $ (363,543)
=============== ================= ================= =================
GROWTH EQUITY FUND
Sold 13,421,180 $ 102,234,960 12,470,818 $ 87,599,095
Issued as reinvestment of dividends - - - -
Redeemed (12,380,648) (94,349,783) (4,899,213) (33,097,109)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,040,532 $ 7,885,177 7,571,605 $ 54,501,986
=============== ================= ================= =================
AGGRESSIVE GROWTH FUND
Sold 19,193,782 $ 103,342,839 15,554,957 $ 70,558,453
Issued as reinvestment of dividends - - - -
Redeemed (12,831,555) (68,618,214) (6,093,757) (26,592,842)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 6,362,227 $ 34,724,625 9,461,200 $ 43,965,611
=============== ================= ================= =================
OTC 100 FUND
Sold 7,752,552 $ 29,729,276 35,134,790 $ 111,598,033
Issued as reinvestment of dividends - - - -
Redeemed (9,491,694) (36,156,852) (31,017,066) (98,243,358)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (1,739,142) $ (6,427,576) 4,117,724 $ 13,354,675
=============== ================= ================= =================
FOCUSED VALUE FUND
Sold 7,889,489 $ 139,455,974 14,396,627 $ 211,196,145
Issued as reinvestment of dividends - - 396,210 6,785,694
Redeemed (7,183,037) (126,443,287) (7,165,949) (104,324,588)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 706,452 $ 13,012,687 7,626,888 $ 113,657,251
=============== ================= ================= =================
SMALL COMPANY VALUE FUND
Sold 5,196,061 $ 65,546,651 5,321,803 $ 55,985,604
Issued as reinvestment of dividends - - 39,949 486,175
Redeemed (2,930,791) (36,805,238) (3,761,712) (38,934,225)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,265,270 $ 28,741,413 1,600,040 $ 17,537,554
=============== ================= ================= =================
SMALL CAP EQUITY FUND
Sold 5,282,556 $ 72,516,566 10,241,784 $ 119,199,205
Issued as reinvestment of dividends - - 75,789 1,035,273
Redeemed (7,691,102) (105,274,016) (15,549,619) (180,122,910)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (2,408,546) $ (32,757,450) (5,232,046) $ (59,888,432)
=============== ================= ================= =================
MID CAP GROWTH EQUITY FUND
Sold 1,907,455 $ 15,080,106 6,246,285 $ 43,191,874
Issued as reinvestment of dividends - - - -
Redeemed (3,451,487) (27,185,714) (5,412,811) (37,489,005)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (1,544,032) $ (12,105,608) 833,474 $ 5,702,869
=============== ================= ================= =================
MID CAP GROWTH EQUITY II FUND
Sold 5,850,806 $ 68,362,415 5,625,384 $ 55,746,939
Issued as reinvestment of dividends - - - -
Redeemed (3,727,677) (43,421,263) (3,377,516) (31,685,545)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,123,129 $ 24,941,152 2,247,868 $ 24,061,394
=============== ================= ================= =================
</Table>
331
<Page>
<Table>
<Caption>
CLASS S
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
SMALL CAP GROWTH EQUITY FUND
Sold 6,097,436 $ 77,201,475 12,983,856 $ 144,118,829
Issued as reinvestment of dividends - - - -
Redeemed (7,352,627) (92,234,353) (7,883,000) (85,908,157)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (1,255,191) $ (15,032,878) 5,100,856 $ 58,210,672
=============== ================= ================= =================
SMALL COMPANY GROWTH FUND
Sold 2,183,140 $ 24,838,894 2,808,668 $ 27,638,797
Issued as reinvestment of dividends - - 127,510 1,383,485
Redeemed (1,786,085) (19,449,427) (1,384,928) (13,601,275)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 397,055 $ 5,389,467 1,551,250 $ 15,421,007
=============== ================= ================= =================
EMERGING GROWTH FUND
Sold 4,570,935 $ 24,938,613 5,425,045 $ 25,762,384
Issued as reinvestment of dividends - - - -
Redeemed (5,336,562) (28,714,005) (4,468,363) (21,569,392)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (765,627) $ (3,775,392) 956,682 $ 4,192,992
=============== ================= ================= =================
INTERNATIONAL EQUITY FUND
Sold 16,578,766 $ 163,646,153 59,533,566 $ 434,295,562
Issued as reinvestment of dividends - - 363,215 3,454,180
Redeemed (21,673,732) (210,215,336) (67,529,904) (495,523,092)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (5,094,966) $ (46,569,183) (7,633,123) $ (57,773,350)
=============== ================= ================= =================
OVERSEAS FUND
Sold 12,195,373 $ 120,734,700 11,201,407 $ 94,937,552
Issued as reinvestment of dividends - - 55,720 532,683
Redeemed (9,590,034) (94,885,670) (4,612,425) (40,299,253)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 2,605,339 $ 25,849,030 6,644,702 $ 55,170,982
=============== ================= ================= =================
DESTINATION RETIREMENT INCOME FUND*
Sold 43 $ 439 60,050 $ 600,500
Issued as reinvestment of dividends - - - -
Redeemed (11) (113) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 32 $ 326 60,050 $ 600,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2010 FUND*
Sold 13,885 $ 141,667 60,050 $ 600,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 13,885 $ 141,667 60,050 $ 600,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2020 FUND*
Sold 54,579 $ 558,617 60,050 $ 600,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 54,579 $ 558,617 60,050 $ 600,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2030 FUND*
Sold 10,550 $ 109,050 60,050 $ 600,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 10,550 $ 109,050 60,050 $ 600,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2040 FUND*
Sold 4,437 $ 46,028 60,050 $ 600,500
Issued as reinvestment of dividends - - - -
Redeemed (57) (567) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 4,380 $ 45,461 60,050 $ 600,500
=============== ================= ================= =================
</Table>
332
<Page>
<Table>
<Caption>
CLASS Z
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
INDEXED EQUITY FUND
Sold 2,252,446 $ 23,776,948 3,041,915 $ 28,675,874
Issued as reinvestment of dividends - - 52,827 546,840
Redeemed (1,093,032) (11,530,958) (1,015,641) (9,401,314)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,159,414 $ 12,245,990 2,079,101 $ 19,821,400
=============== ================= ================= =================
</Table>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
SHORT-DURATION BOND FUND
Sold - $ - - $ -
Issued as reinvestment of dividends - - 341 3,494
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) - $ - 341 $ 3,494
=============== ================= ================= =================
INFLATION-PROTECTED BOND FUND*
Sold 10,000 $ 100,000 50 $ 500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 10,000 $ 100,000 50 $ 500
=============== ================= ================= =================
CORE BOND FUND
Sold 25,168 $ 277,991 96,894 $ 1,098,871
Issued as reinvestment of dividends - - 7,742 83,777
Redeemed (30,190) (330,266) (1,545) (17,569)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (5,022) $ (52,275) 103,091 $ 1,165,079
=============== ================= ================= =================
DIVERSIFIED BOND FUND
Sold 1,071 $ 11,320 223 $ 2,399
Issued as reinvestment of dividends - - 231 2,432
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 1,071 $ 11,320 454 $ 4,831
=============== ================= ================= =================
BALANCED FUND
Sold 604 $ 5,337 45,268 $ 376,709
Issued as reinvestment of dividends - - 1,159 10,156
Redeemed (134) (1,196) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 470 $ 4,141 46,427 $ 386,865
=============== ================= ================= =================
STRATEGIC BALANCED FUND*
Sold 44,179 $ 440,827 50 $ 500
Issued as reinvestment of dividends - - - -
Redeemed (4,441) (44,152) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 39,738 $ 396,675 50 $ 500
=============== ================= ================= =================
CORE VALUE EQUITY FUND
Sold 269 $ 2,353 29,672 $ 239,153
Issued as reinvestment of dividends - - 214 1,661
Redeemed - - (14) (116)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 269 $ 2,353 29,872 $ 240,698
=============== ================= ================= =================
FUNDAMENTAL VALUE FUND
Sold 33,119 $ 337,578 216,179 $ 1,913,146
Issued as reinvestment of dividends - - 1,432 14,224
Redeemed (85,341) (851,484) (32,677) (301,805)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (52,222) $ (513,906) 184,934 $ 1,625,565
=============== ================= ================= =================
VALUE EQUITY FUND
Sold 320 $ 3,062 115,541 $ 968,283
Issued as reinvestment of dividends - - 115 1,099
Redeemed (1) (10) (95,925) (847,344)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 319 $ 3,052 19,731 $ 122,038
=============== ================= ================= =================
</Table>
333
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
LARGE CAP VALUE FUND
Sold 6,310 $ 60,010 297,247 $ 2,632,032
Issued as reinvestment of dividends - - 2,153 19,919
Redeemed (1,012) (9,654) (1,047) (8,318)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 5,298 $ 50,356 298,353 $ 2,643,633
=============== ================= ================= =================
INDEXED EQUITY FUND
Sold 102,958 $ 1,054,424 268,213 $ 2,472,712
Issued as reinvestment of dividends - - 2,395 24,237
Redeemed (14,858) (153,591) (38,009) (344,793)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 88,100 $ 900,833 232,599 $ 2,152,156
=============== ================= ================= =================
BLUE CHIP GROWTH FUND
Sold 115,984 $ 962,545 169,070 $ 1,274,373
Issued as reinvestment of dividends - - 34 277
Redeemed (15,384) (131,162) (3,643) (28,086)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 100,600 $ 831,383 165,461 $ 1,246,564
=============== ================= ================= =================
LARGE CAP GROWTH FUND
Sold 36 $ 306 328 $ 2,676
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 36 $ 306 328 $ 2,676
=============== ================= ================= =================
GROWTH EQUITY FUND
Sold 40,213 $ 305,960 210,906 $ 1,478,702
Issued as reinvestment of dividends - - - -
Redeemed (47,166) (353,810) (1,522) (10,822)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) (6,953) $ (47,850) 209,384 $ 1,467,880
=============== ================= ================= =================
AGGRESSIVE GROWTH FUND
Sold 85,050 $ 453,820 103,282 $ 497,734
Issued as reinvestment of dividends - - - -
Redeemed (2,915) (15,675) (886) (4,192)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 82,135 $ 438,145 102,396 $ 493,542
=============== ================= ================= =================
OTC 100 FUND
Sold 74,721 $ 268,068 681 $ 2,462
Issued as reinvestment of dividends - - - -
Redeemed (7,255) (26,189) (54) (194)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 67,466 $ 241,879 627 $ 2,268
=============== ================= ================= =================
FOCUSED VALUE FUND
Sold 14,807 $ 259,262 45,810 $ 722,604
Issued as reinvestment of dividends - - 1,274 21,343
Redeemed (8,464) (145,122) (1,866) (29,092)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 6,343 $ 114,140 45,218 $ 714,855
=============== ================= ================= =================
SMALL COMPANY VALUE FUND
Sold 13,038 $ 164,590 35,883 $ 371,407
Issued as reinvestment of dividends - - 105 1,262
Redeemed (8,860) (108,397) (263) (2,861)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 4,178 $ 56,193 35,725 $ 369,808
=============== ================= ================= =================
MID CAP GROWTH EQUITY FUND
Sold 1,055 $ 8,309 859 $ 6,303
Issued as reinvestment of dividends - - - -
Redeemed (739) (5,804) - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 316 $ 2,505 859 $ 6,303
=============== ================= ================= =================
MID CAP GROWTH EQUITY II FUND
Sold 44,817 $ 514,387 45,095 $ 463,070
Issued as reinvestment of dividends - - - -
Redeemed (8,616) (97,817) (1,949) (19,558)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 36,201 $ 416,570 43,146 $ 443,512
=============== ================= ================= =================
</Table>
334
<Page>
<Table>
<Caption>
CLASS N
-------
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
--------------- ----------------- ----------------- -----------------
SMALL CAP GROWTH EQUITY FUND
Sold 44,625 $ 555,143 482 $ 5,593
Issued as reinvestment of dividends - - - -
Redeemed (1,060) (12,974) (170) (1,988)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 43,565 $ 542,169 312 $ 3,605
=============== ================= ================= =================
SMALL COMPANY GROWTH FUND
Sold 16,634 $ 187,472 74,103 $ 733,504
Issued as reinvestment of dividends - - 4,173 44,438
Redeemed (16,074) (171,368) (2,839) (27,852)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 560 $ 16,104 75,437 $ 750,090
=============== ================= ================= =================
INTERNATIONAL EQUITY FUND
Sold - $ - - $ -
Issued as reinvestment of dividends - - 8 73
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) - $ - 8 $ 73
=============== ================= ================= =================
OVERSEAS FUND
Sold 41,309 $ 404,232 26,242 $ 211,409
Issued as reinvestment of dividends - - - -
Redeemed (124) (1,219) (13,336) (117,095)
--------------- ----------------- ----------------- -----------------
Net increase (decrease) 41,185 $ 403,013 12,906 $ 94,314
=============== ================= ================= =================
DESTINATION RETIREMENT INCOME FUND*
Sold - $ - 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) - $ - 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2010 FUND*
Sold - $ - 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) - $ - 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2020 FUND*
Sold - $ - 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) - $ - 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2030 FUND*
Sold - $ - 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) - $ - 10,050 $ 100,500
=============== ================= ================= =================
DESTINATION RETIREMENT 2040 FUND*
Sold - $ - 10,050 $ 100,500
Issued as reinvestment of dividends - - - -
Redeemed - - - -
--------------- ----------------- ----------------- -----------------
Net increase (decrease) - $ - 10,050 $ 100,500
=============== ================= ================= =================
</Table>
* THE FUNDS COMMENCED OPERATIONS ON DECEMBER 31, 2003.
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. The
distributor receives all contingent deferred sales charges. Contingent deferred
sales charges imposed during the six months ended June 30, 2004 were all waived.
335
<Page>
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, 2004, 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 $ 440,656,929 $ 5,623,678 $ (3,485,758) $ 2,137,920
Inflation-Protected Bond Fund 137,549,524 - (4,826,374) (4,826,374)
Core Bond Fund 1,689,221,711 27,633,122 (20,069,078) 7,564,044
Diversified Bond Fund 219,880,712 1,997,190 (3,800,130) (1,802,940)
Balanced Fund 288,552,881 19,263,170 (3,962,241) 15,300,929
Strategic Balanced Fund 229,135,395 6,446,590 (6,434,080) 12,510
Core Value Equity Fund 781,926,526 131,714,124 (8,848,358) 122,865,766
Fundamental Value Fund 741,497,083 79,136,326 (2,326,260) 76,810,066
Value Equity Fund 84,383,687 6,825,269 (1,503,854) 5,321,415
Large Cap Value Fund 871,546,536 147,979,066 (15,717,271) 132,261,795
Indexed Equity Fund 1,626,950,435 214,852,074 (209,890,347) 4,961,727
Blue Chip Growth Fund 452,952,470 46,822,858 (32,933,468) 13,889,390
Large Cap Growth Fund 37,426,693 4,346,917 (543,693) 3,803,224
Growth Equity Fund 834,008,374 30,041,610 (11,878,184) 18,163,426
Aggressive Growth Fund 401,057,380 44,351,083 (4,420,562) 39,930,521
OTC 100 Fund 67,902,983 12,333,413 (2,073,174) 10,260,239
Focused Value Fund 723,256,133 130,189,356 (3,794,524) 126,394,832
Small Company Value Fund 319,321,426 52,809,812 (4,041,526) 48,768,286
Small Cap Equity Fund 406,487,791 93,811,933 (14,629,156) 79,182,777
Mid Cap Growth Equity Fund 145,513,388 22,875,059 (1,725,918) 21,149,141
Mid Cap Growth Equity II Fund 655,323,216 134,320,759 (16,877,190) 117,443,569
Small Cap Growth Equity Fund 528,956,687 97,918,875 (17,430,756) 80,488,119
Small Company Growth Fund 227,752,231 17,422,625 (12,354,498) 5,068,127
Emerging Growth Fund 158,472,553 12,602,156 (5,809,818) 6,792,338
International Equity Fund 814,099,320 171,158,576 (47,739,266) 123,419,310
Overseas Fund 454,285,404 64,233,371 (3,082,308) 61,151,063
Destination Retirement Income Fund 158,537,025 1,205,357 (999,134) 206,223
Destination Retirement 2010 Fund 5,280,349 52,071 (1,005) 51,066
Destination Retirement 2020 Fund 196,913,523 3,090,988 (1,701,485) 1,389,503
Destination Retirement 2030 Fund 161,570,801 3,409,850 (561,820) 2,848,030
Destination Retirement 2040 Fund 97,805,424 2,460,450 - 2,460,450
</Table>
Note: The aggregate cost for investments for the Money Market Fund as of June
30, 2004, is the same for financial reporting and Federal income tax purposes.
336
<Page>
At December 31, 2003, the following Funds had available, for Federal income tax
purposes, unused capital losses:
<Table>
<Caption>
EXPIRING EXPIRING EXPIRING EXPIRING
2008 2009 2010 2011
----------- ------------- ------------- -------------
Money Market Fund $ - $ - $ 2,644 $ -
Short-Duration Bond Fund 793,290 - 860,882 371,717
Balanced Fund - 22,166,384 23,308,925 11,306,845
Core Value Equity Fund - - 131,854,019 65,727,767
Fundamental Value Fund - - 5,736,013 5,296,906
Value Equity Fund - 1,119,587 4,727,666 1,352,126
Large Cap Value Fund - 22,553,575 38,862,582 10,633,070
Indexed Equity Fund - 4,449,883 34,948,211 -
Blue Chip Growth Fund - 17,582,488 42,088,672 16,672,836
Large Cap Growth Fund - - 3,599,944 2,883,177
Growth Equity Fund - 87,240,016 98,921,181 -
Aggressive Growth Fund 814,654 74,645,245 39,256,002 -
OTC 100 Fund - 2,229,926 5,742,042 13,741,961
Mid Cap Growth Equity Fund - 86,096,985 35,977,324 976,172
Mid Cap Growth Equity II Fund - 6,057,033 16,323,894 -
Small Cap Growth Equity Fund 1,738,099 37,737,954 49,322,723 4,198,096
Emerging Growth Fund - 36,857,350 28,322,542 -
International Equity Fund - 98,446,792 115,846,145 177,867,569
Overseas Fund - - 3,097,342 -
</Table>
Net Capital loss carryforwards may be applied against any net realized taxable
gains in each succeeding year, or until their respective expiration dates,
whichever occurs first.
Certain differences exist from the amounts reflected in the Statement of Changes
in Net Assets primarily due to the character of short-term capital gains treated
as ordinary income for tax purposes. The tax character of distributions paid
during the year ended December 31, 2003 was as follows:
<Table>
<Caption>
ORDINARY LONG TERM RETURN OF
INCOME CAPITAL GAIN CAPITAL
------------ ------------ ---------
Money Market Fund $ 3,175,816 $ - $ -
Short-Duration Bond Fund 16,131,252 - -
Core Bond Fund 93,124,944 11,811,850 -
Diversified Bond Fund 4,051,208 396,970 -
Balanced Fund 6,402,898 - -
Core Value Equity Fund 13,690,798 - -
Fundamental Value Fund 5,083,758 - -
Value Equity Fund 1,346,552 - -
Large Cap Value Fund 4,685,340 - -
Indexed Equity Fund 14,510,579 - -
Blue Chip Growth Fund 654,624 - -
Focused Value Fund 15,004,209 - -
Small Company Value Fund 612,730 370,681 -
Small Cap Equity Fund 1,115,279 - -
Small Company Growth Fund 6,445,061 868,337 -
International Equity Fund 4,699,265 - -
Overseas Fund 1,102,355 - -
</Table>
337
<Page>
At December 31, 2003, the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED
UNDISTRIBUTED LONG TERM UNREALIZED
ORDINARY CAPITAL GAIN/ APPRECIATION
INCOME (CAPITAL LOSS CARRYOVER) (DEPRECIATION)
------------- ------------------------ --------------
Money Market Fund $ 2,517 $ (2,644) $ -
Short-Duration Bond Fund - (4,115,272) 10,081,559
Core Bond Fund 289,548 1,418,439 41,312,745
Diversified Bond Fund - (157,022) 2,879,398
Balanced Fund - (63,503,661) 23,879,679
Core Value Equity Fund 15,328,865 (211,252,021) 139,779,267
Fundamental Value Fund - (12,490,743) 75,374,679
Value Equity Fund - (8,741,909) 12,502,876
Large Cap Value Fund - (79,478,237) 94,721,595
Indexed Equity Fund - (52,063,473) (30,260,315)
Blue Chip Growth Fund - (83,954,557) 5,268,877
Large Cap Growth Fund - (7,077,296) 5,454,634
Growth Equity Fund - (194,280,513) 36,435,888
Aggressive Growth Fund - (117,013,214) 38,485,908
OTC 100 Fund - (38,284,310) 12,725,138
Focused Value Fund 1,894,131 5,931,492 144,606,335
Small Company Value Fund 1,579,219 899,286 30,362,467
Small Cap Equity Fund - 3,049,087 76,763,381
Mid Cap Growth Equity Fund - (123,302,216) 28,495,566
Mid Cap Growth Equity II Fund - (24,608,432) 92,689,427
Small Cap Growth Equity Fund - (94,673,098) 87,291,625
Small Company Growth Fund 5,432,746 326,548 21,493,576
Emerging Growth Fund - (66,217,809) 12,880,167
International Equity Fund 3,280,264 (400,699,697) 154,674,627
Overseas Fund - (4,335,022) 57,993,440
</Table>
The following Funds have elected to defer to January 1, 2004 post-October
losses:
<Table>
<Caption>
AMOUNT
----------
Diversified Bond Fund $ 53,828
Balanced Fund 801,531
Large Cap Value Fund 6,412,185
Blue Chip Growth Fund 4,226,166
Large Cap Growth Fund 45,043
OTC 100 Fund 3,331,682
International Equity Fund 5,303,439
</Table>
The following Funds have elected to defer to January 1, 2004 post-October
currency losses:
<Table>
<Caption>
AMOUNT
----------
Large Cap Value Fund $ 320,112
Blue Chip Growth Fund 1
Growth Equity Fund 9,210
Aggressive Growth Fund 7,606
Mid Cap Growth Equity II Fund 9,211
International Fund 1,130,413
Overseas Fund 28,579
</Table>
338
<Page>
Pursuant to Section 852 of the Internal Revenue Code, the Funds designate the
following capital gain dividends for the year ended December 31, 2003:
<Table>
<Caption>
CAPITAL GAINS DIVIDEND
----------------------
Core Bond Fund $ 11,811,850
Diversified Bond Fund 396,970
Small Company Value Fund 370,681
Small Company Growth Fund 868,337
</Table>
8. INVESTMENT IN AFFILIATED ISSUERS
A summary of the Fund's transactions in the securities of these issuers during
the six months ended June 30, 2004, is as follows:
<Table>
<Caption>
VALUE, VALUE, NET
BEGINNING SALES END OF DIVIDEND REALIZED
OF PERIOD PURCHASES PROCEEDS PERIOD INCOME GAIN/LOSS
----------- ------------- ----------- ------------- -------- ---------
DESTINATION RETIREMENT
INCOME FUND
Core Bond Fund,
Class S $ 170,425 $ 27,849,499 $ 1,060,601 $ 26,670,586 $ - $ (13,966)
Diversified Bond
Fund, Class S 160,400 26,211,293 998,213 25,152,936 - (12,318)
Growth Equity
Fund, Class S 90,225 14,743,852 561,495 14,567,767 - 1,708
Inflation-Protected
Bond Fund, Class S 170,425 27,849,499 1,060,601 26,624,851 - (19,539)
Large Cap Value
Fund, Class S 90,225 14,743,852 561,495 14,461,742 - 2,981
Money Market Fund,
Class S 50,125 8,196,541 311,941 7,934,725 5,512 -
Overseas Fund, Class S 50,125 8,191,029 311,941 8,115,287 - (113)
Short-Duration Bond
Fund, Class S 150,375 24,573,087 935,823 23,577,487 - (8,946)
Small Cap Equity
Fund, Class S 70,175 11,467,441 436,718 11,637,867 - (2,546)
----------- ------------- ----------- ------------- -------- ---------
TOTALS $ 1,002,500 $ 163,826,093 $ 6,238,828 $ 158,743,248 $ 5,512 $ (52,739)
=========== ============= =========== ============= ======== =========
<Caption>
VALUE, VALUE, NET
BEGINNING SALES END OF DIVIDEND REALIZED
OF PERIOD PURCHASES PROCEEDS PERIOD INCOME GAIN/LOSS
----------- ------------- ----------- ------------- -------- ---------
DESTINATION RETIREMENT
2010 FUND
Core Bond Fund,
Class S $ 150,375 $ 666,402 $ 24,795 $ 791,765 $ - $ (91)
Diversified Bond
Fund, Class S 150,375 666,402 23,041 794,787 - (74)
Fundamental Value
Fund, Class S 50,125 222,134 8,265 268,668 - (82)
Growth Equity
Fund, Class S 110,275 488,695 18,183 588,787 - (55)
Inflation-Protected
Bond Fund, Class S 150,375 666,402 24,795 792,002 - 241
Large Cap Value
Fund, Class S 60,150 266,561 9,918 321,599 - 182
Mid Cap Equity II
Fund, Class S 50,125 222,134 8,265 275,146 - 168
Money Market
Fund, Class S 50,125 222,331 8,265 264,191 197 -
Overseas Fund, Class S 70,175 310,988 13,325 376,334 - 199
Short-Duration Bond
Fund,Class S 100,250 444,268 16,530 527,300 - (29)
Small Cap Equity
Fund,Class S 60,150 266,562 9,918 330,836 - (186)
----------- ------------- ----------- ------------- -------- ---------
TOTALS $ 1,002,500 $ 4,442,879 $ 165,300 $ 5,331,415 $ 197 $ 273
=========== ============= =========== ============= ======== =========
</Table>
339
<Page>
<Table>
<Caption>
VALUE, VALUE, NET
BEGINNING SALES END OF DIVIDEND REALIZED
OF PERIOD PURCHASES PROCEEDS PERIOD INCOME GAIN/LOSS
----------- ------------- ----------- ------------- -------- ---------
DESTINATION RETIREMENT
2020 FUND
Aggressive Growth
Fund, Class S $ 90,225 $ 18,091,582 $ 461,476 $ 18,598,801 $ - $ 11,849
Core Bond Fund,
Class S 120,300 24,122,112 615,306 23,170,114 - (3,793)
Diversified Bond Fund,
Class S 110,275 22,111,936 564,031 21,299,221 - (3,380)
Focused Value Fund,
Class S 50,125 10,050,880 256,378 9,988,419 - 2,777
Fundamental Value
Fund, Class S 90,225 18,091,584 461,480 18,037,623 - 1,599
Growth Equity Fund,
Class S 90,225 18,091,584 461,480 18,023,522 - 3,570
Inflation-Protected
Bond Fund, Class S 120,300 24,122,112 615,306 22,878,963 - (5,820)
Large Cap Value Fund,
Class S 90,225 18,091,584 461,480 17,960,321 - 4,761
Mid Cap Equity II
Fund, Class S 50,125 10,050,880 256,378 10,356,500 - 4,927
Overseas Fund, Class S 90,225 18,091,584 461,480 18,065,535 - 5,309
Short-Duration Bond
Fund, Class S 50,125 10,050,880 256,378 9,693,090 - (1,154)
Small Cap Equity Fund,
Class S 50,125 10,050,880 256,378 10,230,917 - 331
----------- ------------- ----------- ------------- -------- ---------
TOTALS $ 1,002,500 $ 201,017,598 $ 5,127,551 $ 198,303,026 $ - $ 20,976
=========== ============= =========== ============= ======== =========
<Caption>
VALUE, VALUE, NET
BEGINNING SALES END OF DIVIDEND REALIZED
OF PERIOD PURCHASES PROCEEDS PERIOD INCOME GAIN/LOSS
----------- ------------- ----------- ------------- -------- ---------
DESTINATION RETIREMENT
2030 FUND
Aggressive Growth
Fund, Class S $ 120,300 $ 19,785,739 $ 520,997 $ 20,312,935 $ - $ 15,181
Diversified Bond Fund,
Class S 70,175 11,541,681 303,916 11,132,579 - (2,557)
Emerging Growth
Fund, Class S 60,150 9,892,870 260,499 9,772,961 - 3,438
Focused Value Fund,
Class S 50,125 8,244,058 217,083 8,195,015 - 1,270
Fundamental Value
Fund, Class S 130,325 21,434,551 564,415 21,379,098 - (583)
Growth Equity Fund,
Class S 130,325 21,434,551 564,415 21,359,431 - 2,253
Inflation-Protected
Bond Fund, Class S 80,200 13,190,493 347,332 12,530,111 - (4,235)
Large Cap Value Fund,
Class S 120,300 19,785,739 520,998 19,645,494 - 3,628
Mid Cap Equity II
Fund, Class S 50,125 8,244,058 217,083 8,490,639 - 3,625
Overseas Fund, Class S 130,325 21,434,551 564,415 21,409,093 - 2,898
Small Company Value
Fund, Class S 60,160 9,892,870 260,499 10,191,475 - 3,874
----------- ------------- ----------- ------------- -------- ---------
TOTALS $ 1,002,510 $ 164,881,161 $ 4,341,652 $ 164,418,831 $ - $ 28,792
=========== ============= =========== ============= ======== =========
</Table>
340
<Page>
<Table>
<Caption>
VALUE, VALUE, NET
BEGINNING SALES END OF DIVIDEND REALIZED
OF PERIOD PURCHASES PROCEEDS PERIOD INCOME GAIN/LOSS
----------- ------------- ----------- ------------- -------- ---------
DESTINATION RETIREMENT
2040 FUND
Aggressive Growth
Fund, Class S $ 150,375 $ 14,863,891 $ 348,359 $ 15,392,785 $ - $ 15,005
Emerging Growth
Fund, Class S 60,150 5,945,556 139,343 5,903,482 - 1,165
Focused Value Fund,
Class S 60,150 5,945,555 139,340 5,952,177 - 1,850
Fundamental Value
Fund, Class S 150,375 14,863,891 348,359 14,926,108 - (624)
Growth Equity Fund,
Class S 150,375 14,863,891 348,357 14,913,399 - 2,308
Large Cap Value Fund,
Class S 150,375 14,863,891 348,357 14,863,883 - 4,149
Mid Cap Equity II
Fund, Class S 60,150 5,945,556 139,343 6,169,707 - 2,867
Overseas Fund, Class S 150,375 14,863,891 348,357 14,947,879 - 2,483
Small Company Value
Fund, Class S 70,175 6,936,482 162,568 7,196,454 - 3,499
----------- ------------- ----------- ------------- -------- ---------
TOTALS $ 1,002,500 $ 99,092,604 $ 2,322,383 $ 100,265,874 $ - $ 32,702
=========== ============= =========== ============= ======== =========
</Table>
9. PROXY VOTING
A description of the policies and procedures that the Fund's investment adviser
and sub-advisers use to vote proxies relating to the Fund's portfolio securities
is available, without charge, upon request, by calling 1-888-309-3539, and on
the Securities and Exchange Commission's website at http://www.sec.gov.
On or after August 31, 2004, information regarding how the Funds voted proxies
relating to portfolio securities during the most recent 12-month period ended
June 30 will be available, without charge, upon request, on the MassMutual
website at http://www.massmutual.com/retire and on the Securities and Exchange
Commission's website at http://www.sec.gov.
10. LEGAL PROCEEDINGS
On November 6, 2003, the MassMutual Prime Fund (known now as the MassMutual
Money Market Fund), the MassMutual Core Bond Fund, and the MassMutual Balanced
Fund (the "Funds") were each named as a defendant in an adversary proceeding
brought by Enron, Corp. ("Enron"), as debtor and debtor-in-possession, in the
U.S. Bankruptcy Court for the Southern District of New York, in connection with
Enron's Chapter 11 bankruptcy proceeding (In re Enron, Corp.). Enron alleges
that the approximately 80 parties names as defendants, including the Funds and
certain affiliates of the Funds and MassMutual, were initial transferees of
early redemptions or prepayments of Enron commercial paper made shortly before
Enron's bankruptcy in December 2001, or were parties for whose benefit such
redemptions or prepayments were made, or were immediate or mediate transferees
of such redemptions or prepayments. It is alleged that the Funds and the other
defendants urged Enron to make these redemptions or prepayments prior to the
stated maturity of the commercial paper and contrary to the terms of the
commercial paper's original issuing documents, that the transactions depleted
Enron's estate, and that they had the effect of unfairly preferring the holders
of commercial paper at the expense of other general unsecured creditors. Enron
seeks to avoid each of these transactions and recover these payments, plus
interest and court costs, so that all similarly situated creditors of Enron can
equally and ratably share the monies.
The amounts sought to be recovered from the Money Market Fund, the Balanced Fund
and the Core Bond Fund, plus interest and Enron's court costs, are approximately
$9.7 million, $5.5 million and $3.2 million, respectively. The Funds believe
that they have valid defenses to all claims raised by Enron. However, if the
proceeding were to be decided in a manner adverse to the Funds, or if the Funds
enter
341
<Page>
into a settlement agreement with Enron, the payment of such judgment or
settlement could have a material adverse effect on each Fund's net asset value.
To remove any doubt that the Money Market Fund will be able to maintain a net
asset value of $1.00 per share due to this proceeding, the Money Market Fund and
MassMutual have entered into an indemnification agreement whereby MassMutual has
agreed to indemnify the Money Market Fund, to the extent necessary, in order for
the Money Market Fund to maintain a net asset value of $1.00 per share, in the
event that any liability is incurred or settlement payment is made by the Money
Market Fund in connection with this proceeding.
11. SUBSEQUENT EVENT
David L. Babson & Company Inc. is now known as Babson Capital Management LLC
("Babson Capital").
342
<Page>
[MASSMUTUAL FINANCIAL GROUP(SM) LOGO]
Massachusetts Mutual Life Insurance Company
and affiliated companies
Springfield MA 01111-0001
www.massmutual.com
Distributor
MML Distributors, LLC
1414 Main Street
Springfield, MA 01144-1014
August 27, 2004
MassMutual Financial Group is a marketing designation (or fleet name) for
Massachusetts Mutual Life Insurance Company (MassMutual) and its
subsidiaries.
L4543 804
<Page>
ITEM 2. CODE OF ETHICS. (annual only)
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (annual only)
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (annual only)
Not applicable to this filing.
ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable to this filing.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEMS 8. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to this filing.
ITEMS 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable to this filing.
ITEM 10. CONTROLS AND PROCEDURES.
(a) The Registrant's Principal Executive Officer and Principal
Financial Officer concluded that the Registrant's disclosure controls
and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) were effective as of a date within 90 days prior
to the filing date of this report (the "Evaluation Date"), based on
their evaluation of the effectiveness of the Registrant's disclosure
controls and procedures as of the Evaluation Date.
(b) There were no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal
half-year (the Registrant's second fiscal half-year in the case of an
annual report) that has materially affected, or is reasonably likely to
materially affect, the Registrant's internal control over financial
reporting.
ITEM 11. EXHIBITS.
(a)(1) Code of Ethics (Item 2) is not applicable to this filing.
(a)(2) Certification of 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)) is attached hereto as
Exhibit 99CERT.
<Page>
(a)(3) Any written solicitation to purchase securities under Rule 23c-1
under the Act (17 CFR 270.23c-1) sent or given during the period covered
by the report by or on behalf of the registrant to 10 or more persons.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of
2002 as required by Rule 30a-2(b), under the Investment Company Act of
1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange
Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title
18 of the United States Code (18 U.S.C. 1350) is attached hereto as
Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) MassMutual Institutional Funds
-------------------------------------------------------------------
By (Signature and Title) /s/ Frederick C. Castellani
----------------------------------------------------
Frederick C. Castellani, President and Principal
Executive Officer
Date 8/23/04
------------------------------------
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 8/23/04
------------------------------------
By (Signature and Title) /s/ James S. Collins
----------------------------------------------------
James S. Collins, Treasurer and Principal Financial
Officer
Date 8/23/04
------------------------------------