UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-08274

MassMutual Select Funds

(Exact name of registrant as specified in charter)

100 Bright Meadow Blvd., Enfield, CT 06082

(Address of principal executive offices) (Zip code)

Eric Wietsma

100 Bright Meadow Blvd., Enfield, CT 06082

(Name and address of agent for service)

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

Date of fiscal year end: 12/31/2013

Date of reporting period: 12/31/2013

Item 1. Reports to Stockholders.

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Economic and Market Overview (Unaudited)	3
Portfolio Manager Report (Unaudited)	6
Portfolio of Investments
MassMutual Select PIMCO Total Return Fund	70
MassMutual Select Strategic Bond Fund	84
MassMutual Select Diversified Value Fund	101
MassMutual Select Fundamental Value Fund	106
MassMutual Select Large Cap Value Fund	108
MM S&P 500® Index Fund	112
MassMutual Select Focused Value Fund	119
MassMutual Select Fundamental Growth Fund	120
MassMutual Select Blue Chip Growth Fund	123
MassMutual Select Growth Opportunities Fund	126
MassMutual Select Mid-Cap Value Fund	128
MassMutual Select Small Cap Value Equity Fund	131
MassMutual Select Small Company Value Fund	134
MM S&P® Mid Cap Index Fund	140
MM Russell 2000® Small Cap Index Fund	146
MassMutual Select Mid Cap Growth Equity II Fund	169
MassMutual Select Small Cap Growth Equity Fund	173
MassMutual Select Small Company Growth Fund	178
MassMutual Select Diversified International Fund	181
MM MSCI EAFE® International Index Fund	184
MassMutual Select Overseas Fund	196
Statements of Assets and Liabilities	200
Statements of Operations	212
Statements of Changes in Net Assets	218
Financial Highlights	229
Notes to Financial Statements	250
Report of Independent Registered Public Accounting Firm	311
Trustees and Officers (Unaudited)	312
Federal Tax Information (Unaudited)	316
Other Information (Unaudited)
Proxy Voting	317
Quarterly Reporting	317
Trustees’ Approval of Investment Advisory Contracts	317
Fund Expenses	318

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

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

To Our Shareholders

Eric Wietsma

“Whatever decisions you make with regard to your personal retirement plan, MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are.”

December 31, 2013

Stocks in 2013: Strong performance and record highs

I am pleased to present you with the MassMutual Select Funds Annual Report, covering the year ended December 31, 2013. Investors drove U.S. stocks to their strongest annual performance since 1995, navigating political battles over the federal budget and U.S. debt ceiling and finding optimism in general economic improvement here and abroad, stronger corporate earnings, and the continuation of the Federal Reserve’s Quantitative Easing stimulus program. Many of the most widely followed U.S. stock indexes reached new highs in 2013, but domestic bonds – other than high-yield bonds – struggled, turning negative for the first year since 1999. Foreign stocks of developed markets also rewarded investors, with Japanese stocks rising sharply. In a turnabout from the general trend, stocks from emerging markets struggled.

After a strong year for stocks like 2013, MassMutual believes it is prudent to remind retirement investors to maintain perspective and have realistic expectations about the future performance of their investment accounts. Remember, the financial markets go up and down – and it is nearly impossible to predict their future direction. But while you cannot control the direction of the markets, adhering to certain investment guidelines, such as the ones below, can help you throughout the retirement planning process.

Investment guidelines to keep in mind

Keep your eye on the future and stay current with your long-term plan

One of the most important aspects of retirement planning is identifying your long-term financial goals. While much will happen over the course of your career, keeping your eye on your long-term income needs is one of the best ways to help yourself reach your objectives.

Diversify your retirement investing strategy

One of the greatest advantages you have when you diversify your investment choices among different stock, bond, and short-term/money market investments is that these three distinct investment types tend to behave differently under various economic conditions. Diversifying your retirement strategy allows you to participate in the performance of different investments while helping manage your portfolio’s overall exposure to any one or two investment types.*

A financial professional can help you along the way

If you work with a financial professional, this may be an excellent time to consult him or her so that together, you can monitor and evaluate your personal retirement investment strategy. He or she can help you consider, for example, whether or not you should rebalance your portfolio in view of stocks’ sizable 2013 gains. (Rebalancing is a way to help you ensure that one or more strong-performing asset classes do not occupy a larger portion of your portfolio than you intended.) Your financial professional can also help you identify any other adjustments that you may need to make based on your evolving, long-term financial objectives.

Save as much as you can

In retirement planning, as in life itself, there are so many things you cannot control. But you can control how often and how much you save. Contributing regularly and as much as you can to your retirement strategy, and increasing those contributions as you are able, may play an important role in helping you to keep your investment goals on track, regardless of how the financial markets perform.*

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

(Continued)

1

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

Who Matters Most

MassMutual believes “Who Matters Most to You Says the Most About You.” Our customers matter most to us, and our primary focus is to help you take the necessary steps to plan appropriately for your retirement – one that you aspire to enjoy on your terms. The calendar page turning from one year to the next can be a good time for you to assess your financial situation, focus on your strategy for the future, and meet with your financial professional, if you work with one. Whatever decisions you make with regard to your personal retirement plan, MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are. Thank you for putting your trust in MassMutual.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

2

MassMutual Select Funds – Economic and Market Overview (Unaudited)

December 31, 2013

Stock investors flourish amid central bank support

Investors drove many U.S. stock indexes to record highs in 2013 – and domestic bonds had a negative year for the first time since 1999 – in an environment that featured the continuation of the Federal Reserve’s (the “Fed”) Quantitative Easing program (“QE”) and brought multiple political standoffs over fiscal legislation, a partial government shutdown, improvement in economic indicators in the U.S., and varying degrees of economic and market strength in Europe and the Far East.

The Fed continued its ongoing effort to foster an environment accommodative to economic growth. The central bank helped keep short-term interest rates at historically low levels by maintaining the federal funds rate at 0.0% to 0.25% – the level the rate has occupied since December 2008. The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight. The Fed’s QE purchases of mortgage-backed securities and longer-dated Treasuries totaled $85 billion per month, which helped support the prices of bonds by helping keep demand high for much of the year and contributed to the positive environment for stocks.

The Fed kept QE in full force for the entire year and spurred considerable disruption in both the stock and bond markets when Fed Chairman Bernanke appeared before Congress on May 22 and indicated that the central bank was considering some near-term “tapering” or reduction of its bond purchases. The Fed’s policy announcement on September 18 offered a positive surprise to markets by indicating there would be no imminent changes to QE, as most observers had anticipated the implementation of at least a token decrease in the Fed’s monthly purchases. A market-moving event occurred on December 18, when the Fed unveiled its decision to reduce the monthly bond purchases in QE from $85 billion to $75 billion starting in January 2014. Although improving economic conditions had put the possibility of tapering QE on the front burner once again, many observers expected the central bank to postpone the move, as it had in September. The Fed’s proposed cutback of $10 billion per month was near the low end of expectations for the initial reduction, which helped soften the blow. The Fed also reiterated that short-term rates would remain at current levels, saying the central bank won’t raise short-term rates until well past the time that the unemployment rate declines below 6.5%. The Fed’s December 18 statement indicated Fed officials expect short-term rates to be lower than 1% through the end of 2015, which brought some clarity to the Fed’s near-term plans, and investors drove up stocks in response.

Oil started 2013 at nearly $92 per barrel, dipped to less than $85 in April, crested above $110 in early September, and closed the year at about $98. Gas prices rose substantially in the first quarter of 2013, but declined throughout the fourth quarter of 2013, giving consumers some relief at the pumps at the end of the year. The average price moved in a range between approximately $3.55 and $3.75 per gallon for much of the second and third quarters before dropping to around $3.40 by the end of the year. Gold lost much of its luster with investors who sought the higher returns generated by equities and other investments in the positive market environment. The precious metal led off the year at around $1,657 per ounce, headed downward until early July, staged a summer rally that lost steam as the third quarter drew to a close, and finished the year lower at $1,205.

Market performance

Equity markets rewarded investors substantially in 2013, with U.S. stocks showcasing their best performance since 1995. The NASDAQ Composite^® Index, the major technology stock benchmark, returned 40.12% for the year and was the leader among U.S. broad-market indexes. The Russell 2000^® Index, representing small-capitalization stocks, finished the year near the top of the pile with a 38.82% increase. The S&P 500^® Index of large-capitalization U.S. stocks posted a 32.39% advance, while the blue-chip Dow Jones Industrial Average^SM rose 29.65%. The Morgan Stanley Capital International (“MSCI^®”) Europe, Australasia, Far East (EAFE^®) Index, a barometer for foreign stocks in developed markets, gained 22.78%, benefiting from the strong performance of Japanese stocks, which rose 57% and had their best performance in 40 years. Stocks from developing economies did not fare as well, and the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, lost 2.60% during 2013.

Bonds largely struggled during the 12 months, with the Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. investment-grade bond markets, declining 2.02%. The yield of the 10-year U.S. Treasury note advanced (and its price declined) over the course of the year from 1.83% to 3.02%, taking a very choppy route to make the climb, as wary investors sold notes in reaction to signals from the Fed about the reduction of QE. The yield of the 10-year note is a key benchmark in determining mortgage rates, and its advance caused a slowdown in mortgage sales. Conversely, unrelenting low shorter-term interest rates

3

MassMutual Select Funds – Economic and Market Overview (Unaudited) (Continued)

continued to take their toll, with shorter-term debt investments barely managing to stay in positive territory. In this environment, the Barclays U.S. 1-3 Year Government Bond Index, which measures the performance of short-term U.S. government bonds, returned just 0.37%; and Treasury bills, as measured by the Citigroup 3-Month Treasury Bill Index, gained only 0.05%. Fixed-income investors sought the higher returns offered by high-yield bonds, which helped the Barclays U.S. Corporate High-Yield Index, a measure of the performance of fixed-rate, non-investment-grade debt from corporate sectors, advance 7.44% for the year.*

First quarter 2013: stocks outperform bonds to start the year

Congressional votes to secure passage of a deal to avert the “fiscal cliff” were confirmed late on January 1, 2013. (The fiscal cliff was a large reduction of the federal budget deficit through significant tax increases and spending cuts, which were scheduled to become effective on January 1, 2013, unless Congress could strike an alternate plan.) In February, equity investors focused on the specter of sequestration – the automatic, across-the-board series of spending cuts to government agencies set to go into effect March 1, 2013. Ultimately, in March, Congress passed a stopgap spending bill to keep the federal government running through September 2013. Also in March, the Department of Labor reported that the U.S. unemployment rate fell to its lowest level since December 2008, and the Fed continued its commitment to keep the federal funds rate between 0% and 0.25% – announcing at the same time that it would maintain QE.

U.S. and foreign stocks rose in the first quarter of 2013, outperforming their fixed-income counterparts. Treasury yields traded in a relatively narrow range until mid-March, when they spiked higher on growing optimism about the U.S. economy. (Bond prices move in the opposite direction to interest rates [or yields]; when yields rise, the prices of existing bonds fall – and vice versa.)

Overseas, the Japanese Cabinet approved a ¥20 trillion (yen) ($224 billion) stimulus package in January 2013, which was expected to create 600,000 jobs and help repair tsunami-ravaged coastland. Evidence of a possible slowdown in China caused concern over the world’s second-largest economy, but Chinese lending reached a two-year high and aggregate financing increased substantially, which indicated improving conditions. In March, banks in Cyprus, experiencing hard times because of their investments in Greek sovereign debt, took a $10 billion bailout from the European Union and the International Monetary Fund to resolve the country’s banking crisis – although the deal restricted Cyprus’s financial industry and limited its status as an offshore tax haven.

Second quarter 2013: prospect of Fed tapering gives investors pause

While stock prices advanced during April and much of May, they gave up a significant portion of those gains following Ben Bernanke’s May 22 remarks to Congress about tapering QE. The Fed chairman stated that the central bank might begin tapering bond purchases in its QE program later in 2013 if warranted by U.S. economic data. Despite the jitters this announcement sent through the markets, U.S. stocks ultimately managed to move higher during the second quarter.

Interest rates rose in the wake of Bernanke’s QE comments when investors sold bonds on the belief that demand would decline if the Fed were to stop its bond purchases, and ensuing price declines drove interest rates higher. Interestingly, concern about the end of QE gave new life to investors’ “bad news is good news” response to economic data. For example, the Commerce Department’s third and final estimate of first-quarter economic growth, released on June 26, came in at 1.8%, well below the previous estimate of 2.4%. Under normal circumstances, weaker-than-expected economic growth would tend to drive down stock prices. However, the news helped shares advance, as investors were hopeful that the disappointing data might convince the Fed to continue with QE for a while longer.

Also weighing on U.S. stocks late in the period was a swoon in Japanese equity prices. Japan’s stock market had been on a tear since mid-November 2012, and when the Bank of Japan announced a massive QE program of its own in April, the rally in that nation’s stocks accelerated, only to reverse sharply along with U.S. shares following Bernanke’s congressional testimony. Emerging markets, including Brazil and China, struggled with lackluster economic growth.

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

4

MassMutual Select Funds – Economic and Market Overview (Unaudited) (Continued)

Third quarter 2013: stocks on top; Fed comes to the rescue

U.S. stocks posted strong returns in the third quarter of 2013. Share prices moved higher in July, but backed off in August, as investors remained uncertain of the Fed’s tapering timetable. Disappointing quarterly news from companies regarded as bellwethers for the broader economy, including Wal-Mart Stores and Cisco Systems, weighed on the market in August, as did the growing likelihood of U.S. military strikes in Syria in retaliation for the Assad regime’s alleged use of chemical weapons there.

Stocks rebounded again in September in the midst of talk of a possible diplomatic solution to the crisis in Syria. The market also got a lift from news that former U.S. Treasury Secretary Larry Summers was withdrawing from consideration as a possible replacement for Fed Chairman Bernanke, who would step down in January 2014. Summers’ decision cleared the field for Fed Vice Chair Janet Yellen, a stronger proponent of QE. President Obama ultimately nominated Yellen for the post in early October.

On the heels of the big boost stocks and bonds got from the Fed’s September 18 announcement that QE would continue, the final week of the quarter brought stock-price declines attributable to investor concerns about two looming issues. The first was a federal government shutdown that ultimately came to pass on October 1 due to Congress’s inability to reach a funding agreement prior to the September 30 deadline, and the second was a political stalemate over the U.S. debt ceiling, which needed resolution by mid-October to prevent a default.

Fourth quarter 2013: stocks power ahead through government shutdown, possible Fed tapering

Investors largely stood their ground through the political fiscal wrangling and potential Fed actions, and U.S. stocks notched impressive gains in the fourth quarter of 2013 to cap a banner year that saw most of the popular equity benchmarks record a series of new all-time highs.

Sixteen days into the shutdown, Congress finally approved a measure on October 16 that provided funding for the government until mid-January, along with a temporary extension of the U.S. debt ceiling until February 7, 2014. President Obama signed the bill into law in the early hours of October 17, and most federal workers returned to work that same day. The move alleviated fears that the nation would not pay its bills and ended the shutdown, which had been in effect since October 1. The stock market responded with strong gains during the month of October, and the momentum carried over into November, bolstered by upward revisions to economic growth figures, improved consumer confidence, and a reduction in a key interest rate by the European Central Bank, which also sent European equities higher.

In December, equities rose, but the results did not come easily. The major equity market indexes experienced losses in the first two weeks of the month, reflecting investor concerns that the market might be overpriced and lingering questions about the Fed’s timeline for the tapering of QE. In fact, the S&P 500’s decline of 1.6% in the second week of December was its worst weekly performance since August. Sentiment improved in the third week of the month, as the market received clear communication from the Fed of its plans to reduce its bond purchases and, more importantly, its commitment to keep short-term rates very low as it does so.

Stocks in the U.S. also rose during the latter part of December following the passage of a two-year budget agreement that appeared to reduce the risk of another government shutdown, which represented a welcome departure from the political brinksmanship that has characterized most Congressional budget debates over the past few years. A sizable upward revision in the government’s December 20 release of estimated third-quarter economic growth to a healthy 4.1% from 3.6% was another positive catalyst.

As 2013 transitioned into 2014, stock investors focused on the factors likely to impact the markets in the year ahead, with the imminent reduction of QE at the top of the list. As we prepared this report in early January 2014, the Senate confirmed Janet L. Yellen as the first woman to lead the Federal Reserve. Ms. Yellen will succeed outgoing Chairman Ben Bernanke on February 1, 2014, coming in at a time when the Fed is looking to balance economic growth with the tapering of QE. Investors will also keep an eye out for improving economic growth here and abroad to help create a favorable environment for stocks and bonds. We believe these important issues and numerous others will come into play as investors navigate the world’s financial markets in the year ahead.

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

5

MassMutual Select PIMCO Total Return Fund – Portfolio Manager Report (Unaudited)

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

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

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned -1.68%, outperforming the -2.02% return of the Barclays U.S. Aggregate Bond Index (the “benchmark”), an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

During the year, tactical management of interest rate exposure contributed to Fund returns. In particular, an underweight position in longer maturities relative to the benchmark helped drive performance, as interest rates rose significantly in 2013, particularly in the second quarter of 2013, when the Federal Reserve (the “Fed”) signaled that it would begin to slow the pace of the central bank’s bond purchases. Additionally, a focus on shorter-term bonds during the second half of the year also helped performance, as shorter-maturity Treasuries remained anchored by the Fed’s statements indicating continued low interest rates.

Non-U.S. interest rate exposure, with tactical positioning in short-term Spanish and Italian sovereign bonds, was positive for returns when peripheral yields continued to fall due to accommodative monetary policies and implicit support from the European Central Bank. Certain Fund holdings of non-agency mortgaged-backed securities also proved positive for performance, as the sector continued to benefit from the ongoing housing recovery. Non-agency mortgage-backed securities are issued by private institutions that are not backed by government-sponsored entities.

Beyond core sectors, exposure to high-yield financial bonds added to performance, as high-yield bonds posted strong returns in 2013. The Fund’s modest exposure to Build America bonds was another positive factor for performance, as the sector outperformed comparable Treasury securities in 2013. Currency exposure, particularly the Fund’s hedged position in the Japanese yen, also contributed to returns, as the yen depreciated more than 21% relative to the U.S. dollar during the year.

Conversely, an underweight position, relative to the benchmark, in investment-grade corporate securities hampered Fund performance, as prices rose and the sector outperformed like-duration Treasuries over the period. In addition, the Fund’s exposure to Treasury Inflation-Protected Securities (“TIPS”) proved negative for returns, relative to nominal Treasuries, as inflation levels were low and reduced inflation expectations led to a meaningful decline in TIPS’ total return.

The Fund uses derivative instruments, which are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both. In aggregate, derivative positions were beneficial to Fund performance in 2013.

Subadviser outlook

We are modestly optimistic about the outlook for global growth and believe the growth rate may be 2.5% to 3.0% in 2014. Many of the issues of 2013 have faded, yielding a potentially brighter outlook for global growth. While many of the challenges have abated, unwinding the current monetary policy’s supportive grip on financial markets could prove challenging.

In the U.S., we believe the growth of the economy (as measured by the gross domestic product) may accelerate from its recent 1.8% pace toward a rate of 2.25% to 2.75%, due to diminishing fiscal drag and steady improvements in employment. In Europe, we believe there may be a more tempered 0.25% to 0.75% pace of growth, with risks in both directions. In Japan, our view is that extraordinary policies may continue to support growth of 1.0% to 1.5% in 2014, but that Japanese economic policies could

6

MassMutual Select PIMCO Total Return Fund – Portfolio Manager Report (Unaudited) (Continued)

become more challenging. In emerging markets, we believe that growth is likely to be shaped by developed market growth as well as central bank policies. While we expect a 3% to 4% growth rate, our view is that there may be large dispersion across countries, given differentiation in trade, commodity dependence, and policy frameworks.

MassMutual Select PIMCO Total Return Fund Portfolio Characteristics (% of Net Assets) on 12/31/13
U.S. Government Agency Obligations and Instrumentalities	46.2	%
U.S. Treasury Obligations	31.3	%
Corporate Debt	28.6	%
Non-U.S. Government Agency Obligations	10.3	%
Sovereign Debt Obligations	5.1	%
Municipal Obligations	3.4	%
Total Long-Term Investments	124.9	%
Short-Term Investments and Other Assets and Liabilities	(24.9	)%
Net Assets	100.0	%
Forward Sale Commitments	(0.9	)%

7

MassMutual Select PIMCO Total Return Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select PIMCO Total Return Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted), Class Z, and the Barclays U.S. Aggregate Bond Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 7/6/10 - 12/31/13
Class S		-1.68%		3.70%
Class A		-1.94%		3.42%
Class A (sales load deducted)*		-6.60%		1.99%
Class Y		-1.78%		3.60%
Class L		-1.86%		3.48%
Class N		-2.21%		3.15%
Class N (CDSC fees deducted)*		-3.17%		3.15%
Class Z		-1.43%		3.89%
Barclays U.S. Aggregate Bond Index		-2.02%		3.16%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

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

8

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

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

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

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned -1.51%, outperforming the -2.02% return of the Barclays U.S. Aggregate Bond Index (the “benchmark”), an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Investment-grade corporate bonds and other non-Treasury bonds ended the year meaningfully higher due to bond investors’ appetite for higher returns, which helped the Fund outperform the benchmark. The demand for higher bond returns helped drive up prices of investment-grade corporate bonds (as their yields declined). Bond prices move in the opposite direction to interest rates (or yields); when yields rise, the prices of existing bonds fall – and vice versa. The Fund’s investment in bonds from the financials and industrials sectors aided performance significantly in this environment.

The Fund’s allocation to high-yield bonds was also a large contributor to full-year results, as default rates for such securities remained low and prices rose over the year, ending 2013 higher than comparable Treasuries. The Fund’s non-agency mortgage-backed security (MBS) allocation was also a contributor to performance, as the sector benefited from rising prices and positive returns, as well as from consistent coupon and principal payments. (Non-agency mortgage-backed securities are issued by private institutions that are not backed by government-sponsored entities.) During the year, mortgage default rates fell and nationwide home prices, as measured by the Case-Shiller Home Price Index, increased by almost 14%. During this time, the Fund continued to find opportunities in non-agency MBS, where we expect improved homeowner equity positions and higher prepayment rates may continue to boost their performance.

Commercial MBS outperformed during the year, and the Fund’s exposure to this sector mildly detracted from performance – although the Fund’s allocation to agency MBS contributed to performance. (“Agency” refers to government-sponsored entities that issue bonds backed by mortgage loans, including Ginnie Mae, Fannie Mae, Freddie Mac, and the Federal Home Loan Banks.) The sector outperformed comparable U.S. Treasuries over the year. The Fund focused on selecting certain bonds in this group, which helped avoid the higher risk of loss of interest income through prepayments that can result from government-sponsored mortgage refinancing.

The Fund’s overall tactical exposure to interest rate risk had a small positive impact on performance, as interest rates ended the year significantly higher. The Fund held an overweight position, relative to the benchmark, in longer-term securities, which detracted from performance as intermediate-dated bonds rose more than long-dated ones.

The Fund used derivative instruments in 2013 mainly for hedging purposes or to gain or adjust exposure to certain bond sectors. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both. Additionally, the Fund used currency forwards to adjust exposure to various foreign currencies.

Currency forwards are derivatives that lock in the price at which an investor can buy or sell a currency on a future date. Overall, the Fund’s use of derivatives had a positive impact on performance during the year.

9

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

Subadviser outlook

In our view, economic data continue to support our expectations for a mild, yet ongoing, economic recovery. Going into 2014, we believe there is the potential for continued positive domestic economic growth, and we expect that the Fund may retain its overweight positions in certain non-Treasury bond categories that have demonstrated strong fundamentals. We remain mindful of the potential negative consequences of domestically driven events, such as another debt ceiling showdown in Congress. We are cognizant of potential negative spillover effects should another crisis erupt or reignite overseas.

The Federal Reserve remains highly accommodative, but we believe that stance may be changing given the recently announced tapering of its bond purchase program. Corporate balance sheets remain generally strong. Overseas, aggressive central bank action in late 2012 helped contain the European sovereign debt crisis over 2013, and we believe the situation in Europe could continue to improve slowly in 2014. We may take advantage of future opportunities to add to the Fund’s non-Treasury positions if fundamentals and valuations prove favorable.

MassMutual Select Strategic Bond Fund Portfolio Characteristics (% of Net Assets) on 12/31/13
Corporate Debt	38.1	%
U.S. Government Agency Obligations and Instrumentalities	26.9	%
Non-U.S. Government Agency Obligations	12.6	%
U.S. Treasury Obligations	9.7	%
Sovereign Debt Obligations	8.1	%
Bank Loans	3.5	%
Municipal Obligations	1.0	%
Preferred Stock	0.1	%
Purchased Options	0.0	%
Total Long-Term Investments	100.0	%
Short-Term Investments and Other Assets and Liabilities	(0.0	)%
Net Assets	100.0	%

10

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

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Since Inception Average Annual 12/31/04 - 12/31/13
Class S		-1.51%		8.28%		4.70%
Class A		-1.89%		7.80%		4.28%
Class A (sales load deducted)*		-6.55%		6.76%		3.72%
Class Y		-1.55%		8.23%		4.65%
Class L		-1.73%		8.06%		4.53%
Class N		-2.22%		7.45%		3.95%
Class N (CDSC fees deducted)*		-3.17%		7.45%		3.95%
Barclays U.S. Aggregate Bond Index		-2.02%		4.44%		4.59%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

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

11

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

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

The Fund seeks to achieve long-term growth of capital and income by investing primarily in a diversified portfolio of equity securities of larger, well-established companies. The Fund normally invests at least 80% of its net assets in stocks, securities convertible into stocks, and other securities, such as warrants and stock rights, whose value is based on stock prices. The Fund’s subadvisers are Loomis, Sayles & Company, L.P. (Loomis Sayles) which was responsible for approximately 54% of the Fund’s portfolio; and Brandywine Global Investment Management, LLC (Brandywine Global), which managed approximately 46% of the Fund’s portfolio, as of December 31, 2013.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 34.40%, outperforming the 32.53% return of the Russell 1000^® Value Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund’s Loomis Sayles component’s relative performance benefited from strong stock selection in the financial services and energy sectors, and underweight positioning, relative to the benchmark, in holdings of energy stocks. Stock selection was also strong in the materials, producer durables, and utilities sectors – and a large underweight stake in holdings in the utilities sector also boosted Fund returns. On the downside, an overweight position in technology proved beneficial, but it was not enough to offset stock selection in a few underperforming Fund component holdings, particularly Oracle and Motorola Solutions. The Fund’s stock selection in the consumer sectors also detracted slightly from the Loomis Sayles component’s overall relative performance. On an individual stock basis, the top contributor to absolute returns was Fund holding Ameriprise Financial (AMP), a financial planning and services firm. AMP performed well due to solid market growth and lower outflows from Columbia Management, an asset management firm AMP acquired in 2010. For the year, five Fund component holdings slightly hampered performance – with the greatest laggard being First Energy, a public utility holding company whose shareholders feared a dividend cut, which subsequently helped push down the stock.

In 2013, stock selection in the Fund’s Brandywine Global component – including stocks the Fund component avoided – had a greater impact on the Fund performance than did specific factor exposures. In large-capitalization value, quality was mixed, as stocks with higher return on equity outperformed; however, lower-quality, non-earning companies were some of the strongest performers. The technology sector performed strongly across the board in 2013, but was the source of the largest underperformance for the Fund component. The second-largest detractor from performance for the year was the Fund’s cash position, which hindered results in 2013’s strong equity market environment. The Fund component’s largest relative benefit came from avoiding companies whose prices had shown greater volatility. During a year of such strong absolute returns and in an environment of rising interest rates, the Fund component’s avoidance of more defensive companies with higher dividend yields also benefited relative performance, as did underweight positioning in the utilities sector. Additionally, the Fund component’s avoidance of real estate investment trusts (REITs) within the financials sector, buoyed by strong performance of diversified financials and consumer finance holdings, added to returns within the sector. With the economy continuing to strengthen, the industrials sector was one of the better performers. Consequently, the Fund component’s overweight stake in the sector contributed on both an absolute and relative basis during the year. Brandywine Global reduced the Fund component’s weighting in the industrials sector, as some companies in this group appeared to be reaching the high end of their price targets.

Subadviser outlook

Loomis Sayles believes values are not as widespread as they were a few years ago, given the stock market’s recent movement, but they are still in existence. We believe it is unlikely the market may be overvalued. Earnings and cash flow generation from corporations has been very good, and we believe this may continue to be the case in 2014. In our view, interest rates are likely to

12

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

rise in the coming months due to the Federal Reserve (the “Fed”) reducing its bond buying as the economy strengthens. We do not think a rise in interest rates will necessarily derail the economy, because we believe the Fed may step away from its recent monetary policies in a gradual manner.

In Brandywine Global’s view, despite this recovery possibly developing as one of the slowest on record, we are encouraged by signs of improving economic growth domestically and progress within the global recovery. The economy continues to expand with rising gross domestic product numbers, falling unemployment rates buttressed with higher employment participation rates, and even rising housing prices. The Fund’s Brandywine Global component’s overweight positions in the consumer discretionary, technology, and industrials sectors – along with its underweight stake in the utilities sector – may benefit from an improving economy, in our opinion.

MassMutual Select Diversified Value Fund Largest Holdings (% of Net Assets) on 12/31/13
JP Morgan Chase & Co.	3.0	%
General Electric Co.	2.9	%
Chevron Corp.	2.8	%
Wells Fargo & Co.	2.8	%
Pfizer, Inc.	2.4	%
Exxon Mobil Corp.	2.3	%
Apple, Inc.	2.1	%
Merck & Co., Inc.	2.0	%
Bank of America Corp.	1.9	%
Microsoft Corp.	1.6	%
	23.8	%

MassMutual Select Diversified Value Fund Sector Table (% of Net Assets) on 12/31/13
Financial	26.1	%
Consumer, Non-cyclical	17.4	%
Industrial	12.4	%
Energy	11.9	%
Communications	10.8	%
Consumer, Cyclical	7.7	%
Technology	6.8	%
Basic Materials	2.4	%
Utilities	2.0	%
Mutual Funds	0.7	%
Total Long-Term Investments	98.2	%
Short-Term Investments and Other Assets and Liabilities	1.8	%
Net Assets	100.0	%

13

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

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Since Inception Average Annual 10/15/04 - 12/31/13
Class S		34.40%		16.75%		6.57%
Class A		33.78%		16.18%		6.04%
Class A (sales load deducted)*		26.09%		14.81%		5.36%
Class Y		34.24%		16.63%		6.47%
Class L		34.13%		16.52%		6.35%
Class N		33.35%		15.82%		5.71%
Class N (CDSC fees deducted)*		32.35%		15.82%		5.71%
Russell 1000 Value Index		32.53%		16.67%		7.68%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

14

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

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

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

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 31.57%, trailing the 32.53% return of the Russell 1000^® Value Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Despite the Fund’s strong absolute return for 2013, it still underperformed the benchmark, as unfavorable stock selection offset positive results from sector positioning. The Fund’s overweight position in the materials sector, relative to the benchmark, detracted from the Fund’s full-year-performance. Security selection also detracted from relative performance, especially weak selection among information technology and health care stocks. Fund holdings that were primary detractors from the Fund’s relative performance included Mosaic (in the materials sector), Baxter International (health care), and Barrick Gold (materials). Shares of Mosaic, a large producer of phosphate and potash fertilizer, declined after the company faced lower pricing due to an aggressive marketing strategy by a Russian competitor. The Fund exited the stock during the period. Baxter International, a diversified global health care company, underwent price declines as competitive pressures to the company’s hemophilia franchise weighed on the stock during the year. Shares of Barrick Gold, the world’s largest gold producer, fell as lower gold prices reduced earnings forecasts for all miners. We eliminated the stock from the Fund during the year. The Fund’s position in Verizon Communications (telecommunication services) was a notable detractor, and the Fund’s decision against holding Apple (information technology), a stock represented in the benchmark, also hampered results. The Fund’s cash position also detracted amid 2013’s broad-based equity rally.

On the positive side, an underweight position in the lagging utilities sector and an overweight stake in the strong-performing information technology sector contributed to the Fund’s relative performance for the year. Another performance driver was strong stock selection within the financials sector. Top contributors to the Fund’s performance included Spirit Aerosystems (industrials), Ameriprise Financial (financials), and Boeing (industrials). Shares of Spirit Aerosystems, an aerospace and defense company, moved higher after the company reported better-than-expected quarterly earnings, driven by operating performance improvements in its mature programs. Ameriprise Financial, a diversified financial services company, saw its shares rise when good performance in asset growth in the advice and wealth management division combined with strong equity markets to lead to solid earnings growth. Shares of aerospace company Boeing climbed as concerns over electrical issues with its 787 Dreamliner subsided – and the company experienced strong demand for commercial aircraft in the U.S. and abroad. Other notable contributors to the Fund’s relative full-year performance included Fund holdings IntercontinentalExchange, a leading operator of regulated exchanges and clearing houses in the financials sector, and weak-performing ExxonMobil (energy), in which the Fund held an underweight position.

Subadviser outlook

In the U.S. in 2014, we expect there may be a “Goldilocks” environment, with an economy that is “not too hot and not too cold.” We believe gross domestic product growth may exceed 3%, driven by less tax drag on the consumer. The employment picture is moderately improving, and our view is that housing could remain constructive. While housing did take a pause in late 2013 in part due to an uptick in mortgage rates, we believe it may have the potential to reaccelerate in the spring selling season. Mortgage rates are still very low, on a historical basis, and we believe that the increased confidence from better employment and wage growth figures may help offset higher rates. Our view is that the Federal Reserve is likely to remain accommodative with a zero

15

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

interest rate policy through 2014 – and implement only modest tapering of bond-buying throughout the year. We believe unwinding Quantitative Easing (QE) may be healthy for the economy because it caused a lot of investor uncertainty during 2013. As 2014 started, the Fund’s largest overweight positions were in the consumer discretionary and information technology sectors, with its largest underweight stakes in the utilities and energy sectors, reflecting our outlook.

MassMutual Select Fundamental Value Fund Largest Holdings (% of Net Assets) on 12/31/13
Wells Fargo & Co.	3.8	%
JP Morgan Chase & Co.	3.7	%
Chevron Corp.	3.2	%
Cisco Systems, Inc.	2.7	%
Merck & Co., Inc.	2.5	%
PNC Financial Services Group, Inc.	2.2	%
General Electric Co.	2.0	%
ACE Ltd.	2.0	%
Exxon Mobil Corp.	2.0	%
UnitedHealth Group, Inc.	1.9	%
	26.0	%

MassMutual Select Fundamental Value Fund Sector Table (% of Net Assets) on 12/31/13
Financial	27.2	%
Consumer, Non-cyclical	15.9	%
Energy	11.8	%
Consumer, Cyclical	10.7	%
Communications	9.7	%
Industrial	9.6	%
Technology	8.0	%
Basic Materials	4.1	%
Utilities	2.6	%
Total Long-Term Investments	99.6	%
Short-Term Investments and Other Assets and Liabilities	0.4	%
Net Assets	100.0	%

16

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

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		31.57%		16.20%		8.05%
Class A		31.10%		15.69%		7.58%
Class A (sales load deducted)*		23.56%		14.33%		6.94%
Class Y		31.52%		16.14%		8.01%
Class L		31.35%		15.96%		7.85%
Class N		30.66%		15.32%		7.25%
Class N (CDSC fees deducted)*		29.66%		15.32%		7.25%
Russell 1000 Value Index		32.53%		16.67%		7.58%

Hypothetical Investments in MassMutual Select Fundamental Value Fund Class Z and the Russell 1000 Value Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 11/15/10 - 12/31/13
Class Z		31.85%		16.42%
Russell 1000 Value Index		32.53%		17.44%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

17

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

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

The Fund seeks both capital growth and income by investing primarily in large-capitalization companies that the Fund’s subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in the stocks of large-cap companies. The subadvisers currently define “large-cap” companies as those whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 1000^® Index. The Fund’s subadvisers are Huber Capital Management, LLC (Huber Capital Management) which was responsible for approximately 63% of the Fund’s portfolio; and Columbia Management Investment Advisers, LLC (Columbia Management), which managed approximately 37% of the Fund’s portfolio, as of December 31, 2013.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 31.24%, underperforming the 32.53% return of the Russell 1000 Value Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies, based on market capitalization) with greater than average value orientation that tend to exhibit lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe. The Fund also trailed the 32.39% return of the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies. (The Fund’s benchmark is now the Russell 1000 Value Index rather than the S&P 500 Index because Russell 1000 Value Index more closely represents the Fund’s current investment strategy.)

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

In the Fund’s Huber Capital Management component, the sectors that hindered relative performance most during the year were health care, energy, and consumer discretionary. Large pharmaceutical manufacturer Eli Lilly worked against the component’s relative performance, as the holding continued to face market challenges created by some of the firm’s drugs losing patent protection. The largest detractor from relative performance within the energy sector was Fund component holding Ensco, a deep water drilling company that underperformed on investor concerns over some of the company’s financial decisions. Conversely, the primary contributors to relative performance came from Fund component holdings in the financial services, technology, and consumer staples sectors. Within financial services, top contributors included insurance companies CNO Financial Group and ING U.S. The Fund component originally purchased both companies at a significant discount to tangible book value (i.e., the replacement cost of the companies’ books of business), and they are each in the middle of a multi-year transformation. Strong performance from Fund component positioning in diversified information technology companies Hewlett-Packard, CA Technologies, and Microsoft also boosted performance.

Turning to the Columbia Management component of the Fund, 2013 proved to be a challenging year, as investors favored lower-yielding stocks over the dividend-paying equities Columbia Management primarily seeks for the Fund. Stock selection was mixed for the year; the Fund component performed well in some areas of the market – including the industrials and materials sectors – but endured less-favorable results in energy, information technology, and consumer staples. The Fund component’s overweight exposure, relative to the benchmark, to the underperforming telecommunications sector also detracted from returns. In information technology, the Fund component’s semiconductor holdings Maxim Integrated Products and Taiwan Semiconductor lagged industry peers. Shares of Maxim Integrated declined on investor concerns of a potential slowdown in the smartphone market. Taiwan Semiconductor underperformed on concerns over the company’s continued high levels of capital expenses and the intensification of competition in the foundry industry. Sector positioning in generally defensive food products and tobacco companies accounted for the bulk of the underperformance in the consumer staples sector. Conversely, in the industrials sector, commercial printing company R.R. Donnelly & Sons and aerospace and defense firm Lockheed Martin were two Fund component holdings that were notable contributors to full-year performance. R.R. Donnelley & Sons continued to successfully navigate its transition from an old-line printing business to a digital print provider. Defense contractor Lockheed Martin rallied after faring better than expected in the aftermath of the government’s sequestration program – and continued to benefit from overseas exports. Packaging Corporation of America, a supplier of corrugated packaging products, was a relative outperformer in the materials sector. The company benefited from a recent acquisition that created cost synergies – and has begun capturing market share from competitors.

18

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

Subadviser outlook

Although Huber Capital Management uses an investment style that focuses on bottom-up stock selection, we remain cognizant of the complex, intertwined political and economic factors that affect global economies. We attempt to uncover new opportunities and add to existing positions for the Fund component when stock prices trade at considerable discounts to our assessment of fair value.

Overall, Columbia Management believes the U.S. economy remains on a sustainable path, which could provide a favorable backdrop for equity markets in 2014. On the international front, Europe continues to improve incrementally and Japan appears committed to improving its overall growth rate, which could also potentially give a lift to equity markets across the globe. That being said, we believe equity markets have had a considerable run and valuations may not be as compelling, which makes prudent fundamental analysis critical in the near-term environment, in our opinion.

MassMutual Select Large Cap Value Fund Largest Holdings (% of Net Assets) on 12/31/13
CNO Financial Group, Inc.	4.4	%
Pfizer, Inc.	3.5	%
JP Morgan Chase & Co.	3.2	%
Ensco PLC Class A	3.2	%
CA, Inc.	3.1	%
Merck & Co., Inc.	3.1	%
Philip Morris International, Inc.	2.8	%
Eli Lilly & Co.	2.5	%
Microsoft Corp.	2.5	%
Bank of America	2.1	%
	30.4	%

MassMutual Select Large Cap Value Fund Sector Table (% of Net Assets) on 12/31/13
Consumer, Non-cyclical	25.5	%
Financial	20.6	%
Energy	11.4	%
Technology	9.7	%
Industrial	8.4	%
Communications	6.7	%
Utilities	6.3	%
Consumer, Cyclical	4.5	%
Mutual Funds	3.6	%
Basic Materials	3.5	%
Total Long-Term Investments	100.2	%
Short-Term Investments and Other Assets and Liabilities	(0.2	)%
Net Assets	100.0	%

MassMutual Select Large Cap Value Fund Country Weightings (% of Net Assets) on 12/31/13
United States	83.5	%
United Kingdom	7.5	%
Cayman Islands	2.0	%
Canada	1.9	%
Germany	1.4	%
Ireland	1.3	%
Switzerland	0.8	%
Netherlands	0.5	%
France	0.4	%
Australia	0.3	%
Bermuda	0.3	%
Italy	0.2	%
Luxembourg	0.1	%
Total Long-Term Investments	100.2	%
Short-Term Investments and Other Assets and Liabilities	(0.2	)%
Net Assets	100.0	%

19

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

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Large Cap Value Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted), the Russell 1000 Value Index, and the S&P 500 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		31.24%		15.78%		6.34%
Class A		30.53%		15.19%		5.81%
Class A (sales load deducted)*		23.03%		13.83%		5.19%
Class Y		31.11%		15.67%		6.25%
Class L		30.99%		15.50%		6.09%
Class N		30.27%		14.86%		5.51%
Class N (CDSC fees deducted)*		29.27%		14.86%		5.51%
Russell 1000 Value Index#		32.53%		16.67%		7.58%
S&P 500 Index		32.39%		17.94%		7.41%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

* 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.

# Benchmark

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

20

MM S&P 500^® Index Fund – Portfolio Manager Report (Unaudited)

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

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

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 31.86%, trailing the 32.39% return of the Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund’s underperformance versus the Index is mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses, and it is not possible to invest directly in the Index.

Large-capitalization domestic equities outperformed developed equities outside of the United States, as represented by the Morgan Stanley Capital International (MSCI^®) World ex-U.S. Index. The Index rose to new record highs repeatedly over the course of the year on the way to posting its strongest annual total return since 1997. During the year, consumer discretionary and health care were the strongest-performing sectors within the Index. Conversely, the telecommunication services and utilities sectors experienced the worst performance of the year, but all 10 sectors of the Index finished 2013 with double-digit returns.

Global developed markets performed positively in 2013, and stocks in the U.S. outperformed their international counterparts. The year began with a late deal that avoided the most significant portions of the so-called “fiscal cliff,” sparking an early rally in U.S. markets – as earnings, housing, and employment data continued to support growth expectations. Despite the positive economic data, central banks’ continuation of easy monetary policies helped drive the performance of global stock markets.

During his testimony before Congress on May 22, outgoing Federal Reserve (the “Fed”) Chairman Ben Bernanke mentioned the possibility of tapering bond purchases towards the end of the year. The news sparked a widespread stock selloff, but some share prices recovered after several Fed officials suggested that tapering of the asset purchase program known as QE might not come as soon as many feared. Toward the end of the summer, investor concerns surfaced over the possibility of an announcement of Fed tapering at the central bank’s September meeting. Consequently, markets reacted positively to the announcement that Fed tapering was not imminent – and the assurance from Bernanke that the Fed would not cut the asset purchasing program until the central bank had enough evidence to support the sustainability of economic growth.

U.S. equities ended the year strongly, partly due to positive market reactions to monetary and fiscal policy activity in Washington. Congress reached a long-term budget agreement in December, further reducing fiscal uncertainty. President Obama nominated Janet Yellen as the next Fed Chairperson, and her testimony before Congress assured markets that Fed policy would remain appropriately accommodative. (Ms. Yellen received Senate confirmation as we prepared this report.) As the year wound down, markets initially reacted positively to the Fed announcement that tapering would ultimately begin in January 2014, as investors viewed the move favorably – and perceived it as the Fed signaling confidence in the strength and sustainability of the economic recovery.

* The S&P 500 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by MassMutual. Standard & Poor’s^®, S&P^® and S&P 500^® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by MassMutual. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500^® Index.

21

MM S&P 500^® Index Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Although it is impossible to predict the direction equities will take throughout 2014 after their spectacular rise in 2013, numerous forces will continue to influence the direction the market takes moving forward – such as Fed policy, inflation, housing, and unemployment, to name just a few. We believe, however, the Fund continues to be well positioned to pursue returns that are consistent with those of the S&P 500 Index.

MM S&P 500 Index Fund Largest Holdings (% of Net Assets) on 12/31/13
Apple, Inc.	3.0	%
Exxon Mobil Corp.	2.6	%
Google, Inc. Class A	1.9	%
Microsoft Corp.	1.7	%
General Electric Co.	1.7	%
Johnson & Johnson	1.5	%
Chevron Corp.	1.4	%
The Procter & Gamble Co.	1.3	%
JP Morgan Chase & Co.	1.3	%
Wells Fargo & Co.	1.3	%
	17.7	%

MM S&P 500 Index Fund Sector Table (% of Net Assets) on 12/31/13
Consumer, Non-cyclical	22.2	%
Financial	15.7	%
Communications	12.7	%
Technology	11.4	%
Industrial	10.6	%
Energy	10.2	%
Consumer, Cyclical	9.5	%
Basic Materials	3.3	%
Utilities	2.8	%
Diversified	0.1	%
Total Long-Term Investments	98.5	%
Short-Term Investments and Other Assets and Liabilities	1.5	%
Net Assets	100.0	%

22

MM S&P 500^® Index Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		31.86%		17.49%		6.96%
Class A		31.57%		17.21%		6.69%
Class A (sales load deducted)*		24.01%		15.83%		6.06%
Class Y		31.81%		17.43%		6.93%
Class L		31.76%		17.49%		6.95%
Class I		32.11%		17.72%		7.20%
Class N		31.14%		16.85%		6.36%
Class N (CDSC fees deducted)*		30.14%		16.85%		6.36%
S&P 500 Index		32.39%		17.94%		7.41%

Hypothetical Investments in MM S&P 500 Index Fund Class Z and the S&P 500 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 12/7/11 - 12/31/13
Class Z		32.34%		23.00%
S&P 500 Index		32.39%		23.10%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

23

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

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

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

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 38.28%, significantly outperforming the 33.11% return of the Russell 1000^® Index (the “benchmark”), a widely recognized, unmanaged index representing the performance of common stocks of larger capitalized U.S. companies.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

For the year, stock selection was the main driver of the Fund’s outperformance, relative to the benchmark, and sector allocations also contributed to the Fund’s returns.

The consumer discretionary sector produced the largest returns for the Fund, on both a relative and an absolute basis. Within the sector, eight of the nine Fund holdings contributed substantially to performance for the year. Top performers in the Fund included apparel firm Fifth & Pacific, jewelry producer and retailer Tiffany, and auto technology and electronics provider Delphi Automotive. The standout performer in this group was Fifth & Pacific, which advanced 158% during the reporting period, driven by robust results in its Kate Spade brand. Revenues from Kate Spade have been increasing, with comparable store sales growing, on average, about 45% over the past three years – and increasing more than 30% in the past six months. For full-year 2013, Kate Spade accounted for approximately $742 million of net sales and $130 million of earnings based on the company’s preliminary calculations. Another Fund holding that was a performance driver in 2013 was technology firm Applied Materials, a corporation that provides equipment, services, and software used to manufacture smartphones, flat screen TVs, and solar panels.

On the downside, the Fund’s holdings in the energy and industrials sectors, along with a lack of exposure to health care shares, were the primary factors that detracted from the Fund’s relative performance for the year.

The Fund’s holdings in the energy sector supplied the smallest cumulative absolute returns for the Fund in 2013. Nevertheless, two of three Fund holdings in the energy sector added value: National Oilwell Varco, a worldwide leader in the design, manufacture and sale of equipment and components used in oil and gas drilling and production; and Dresser-Rand Group, a global supplier of custom-engineered rotating equipment solutions for applications in the oil, gas, process, power, and other industries. A third Fund holding in the energy sector, Apache (a multinational oil and gas corporation) underperformed during the year. The Fund exited the stock in the first quarter after learning the company’s full-year 2012 finding costs were 45% higher than anticipated and management’s 2013 production forecast would not keep pace with the company’s five-year expectations for production. After considering these factors, we determined the assets the Fund had invested in this holding could be deployed to other stocks with better upside potential. Another Fund holding that was a performance detractor during 2013 was technology company Diebold, which is the largest U.S. manufacturer of ATMs. The Fund also sold out of Diebold during the year.

Subadviser outlook

Our fundamental outlook for 2014 is that we expect continued company-specific progress on profitability, albeit at a more moderate pace than in 2013. Equity markets already seem to reflect some of this improved performance and outlook, such as the breadth and strength of the underlying economy. In our opinion, the stock market may not yet be fully priced, based on our review of current stock valuations. Finally, many financial experts have declared the market to be expensive, which reinforces one of the clear distinctions and advantages we have in not “following the crowd.” Indeed, we focus on fundamental valuations across market cycles and not on simple price activity in our management of the Fund.

24

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

MassMutual Select Focused Value Fund Largest Holdings (% of Net Assets) on 12/31/13
General Motors Co.	6.2	%
Wells Fargo & Co.	6.0	%
Intel Corp.	5.5	%
American International Group, Inc.	5.4	%
Applied Materials, Inc.	5.4	%
Franklin Resources, Inc.	5.4	%
Visa, Inc. Class A	5.2	%
JP Morgan Chase & Co.	5.0	%
National Oilwell Varco, Inc.	4.9	%
Family Dollar Stores, Inc.	4.8	%
	53.8	%

MassMutual Select Focused Value Fund Sector Table (% of Net Assets) on 12/31/13
Consumer, Cyclical	31.9	%
Financial	25.0	%
Technology	15.4	%
Energy	8.2	%
Industrial	6.8	%
Consumer, Non-cyclical	5.2	%
Total Long-Term Investments	92.5	%
Short-Term Investments and Other Assets and Liabilities	7.5	%
Net Assets	100.0	%

MassMutual Select Focused Value Fund Country Weightings (% of Net Assets) on 12/31/13
United States	85.1	%
United Kingdom	7.4	%
Total Long-Term Investments	92.5	%
Short-Term Investments and Other Assets and Liabilities	7.5	%
Net Assets	100.0	%

25

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

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		38.28%		27.15%		10.45%
Class A		37.66%		26.52%		9.90%
Class A (sales load deducted)*		29.74%		25.03%		9.25%
Class Y		38.13%		27.03%		10.34%
Class L		37.97%		26.84%		10.17%
Class N		37.19%		26.14%		9.56%
Class N (CDSC fees deducted)*		36.19%		26.14%		9.56%
Russell 1000 Index		33.11%		18.59%		7.79%

Hypothetical Investments in MassMutual Select Focused Value Fund Class Z and the Russell 1000 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 11/15/10 - 12/31/13
Class Z		38.45%		19.55%
Russell 1000 Index		33.11%		17.55%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

26

MassMutual Select Fundamental Growth Fund – Portfolio Manager Report (Unaudited)

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

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

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 32.24%, underperforming the 33.48% return of the Russell 1000^® Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

During the year, the Fund advanced substantially on an absolute basis, but underperformed the benchmark, as unfavorable stock selection offset positive results from sector positioning. Stock selection within the consumer discretionary, materials, and information technology sectors detracted from the Fund’s results, relative to the benchmark during 2013. Fund holdings that were top detractors from relative performance included Altera, Cisco Systems, and Broadcom – all in information technology. Shares of Altera, a programmable logic semiconductor device manufacturer, declined after the company posted better-than-expected quarterly earnings, but slightly missed revenue expectations. Additionally, the company’s fourth-quarter sales outlook was well below consensus estimates. Cisco Systems, a networking systems and communication products provider, saw its shares decline after management provided an updated outlook that disappointed investors, primarily as a result of a muted growth outlook in Asia. Finally, after shares of Broadcom, a provider of semiconductor solutions for wired and wireless communications, fell based on disappointing earnings results, we eliminated the Fund’s position in the stock. Other notable Fund holdings that detracted from performance were Allied Nevada Gold in the materials sector and Facebook in the information technology sector. The Fund’s cash position also detracted amid 2013’s broad-based equity rally.

Turning to the positive side, an underweight position, relative to the benchmark, in the lagging consumer staples sector, as well as an overweight stake in health care stocks, contributed to the Fund’s relative performance during the year. Stock selection within the industrials and financials sectors, however, proved positive for the Fund’s full-year performance.

Fund holdings that were top contributors to the Fund’s relative returns included Yahoo! (information technology), Celgene (health care), and Boeing (industrials). Shares of Yahoo!, a U.S.-based Internet company, climbed due to signs of improvement in pricing, volumes, and display advertising during the period (when we initiated the Fund’s position). Celgene, a global biopharmaceutical firm focused on developing drugs that target cancer and immune-inflammatory diseases, got a lift from strong earnings results and a better-than-expected outlook. Shares of aerospace company Boeing rose as concerns over electrical issues with its 787 Dreamliner subsided – and the company continued to see strong demand for commercial aircraft in the U.S. and abroad. Finally, the Fund’s underweight positions in information technology giants International Business Machines (IBM) and Apple also contributed to the Fund’s benchmark-relative performance.

Subadviser outlook

The Fund continues to have balance with respect to growth, quality, and valuation metrics. From a sector perspective, we increased the Fund’s information technology exposure during the period – and as of December 31, 2013, it represented the Fund’s largest overweight position. We believe that, broadly speaking, the sector may have good organic growth prospects and attractive quality characteristics, such as potentially high returns on capital and strong balance sheets. At year-end, the Fund also had overweight stakes in the health care and industrials sectors. We believe the valuations for many companies within the consumer staples sector are not justified by their modest growth rates, and the Fund’s underweight positions in the materials and telecommunication services sectors heading into 2014 reflect our near-term outlook for companies in those sectors.

27

MassMutual Select Fundamental Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Fundamental Growth Fund Largest Holdings (% of Net Assets) on 12/31/13
Microsoft Corp.	4.7	%
Google, Inc. Class A	4.0	%
Apple, Inc.	3.0	%
Oracle Corp.	2.8	%
The Boeing Co.	2.2	%
Amgen, Inc.	2.2	%
Lowe’s Cos., Inc.	2.0	%
Celgene Corp.	1.9	%
The Home Depot, Inc.	1.9	%
United Technologies Corp.	1.9	%
	26.6	%

MassMutual Select Fundamental Growth Fund Sector Table (% of Net Assets) on 12/31/13
Technology	21.6	%
Consumer, Non-cyclical	21.3	%
Communications	19.3	%
Consumer, Cyclical	15.6	%
Industrial	14.3	%
Financial	4.1	%
Energy	2.9	%
Mutual Funds	1.0	%
Basic Materials	0.6	%
Total Long-Term Investments	100.7	%
Short-Term Investments and Other Assets and Liabilities	(0.7	)%
Net Assets	100.0	%

28

MassMutual Select Fundamental Growth Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		32.24%		23.38%		8.83%
Class A		31.53%		22.75%		8.28%
Class A (sales load deducted)*		23.96%		21.31%		7.64%
Class Y		32.23%		23.19%		8.72%
Class L		32.00%		23.08%		8.57%
Class N		31.26%		22.33%		7.96%
Class N (CDSC fees deducted)*		30.26%		22.33%		7.96%
Russell 1000 Growth Index		33.48%		20.39%		7.84%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

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

29

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

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

The Fund seeks growth of capital over the long term by investing, under normal circumstances, at least 80% of net assets in the common stocks of large- and medium-sized blue chip growth companies. The Fund’s subadviser currently defines blue chip growth companies to mean firms that, in its view, are well-established in their industries and have the potential for above-average earnings growth. The Fund’s subadviser is T. Rowe Price Associates, Inc. (T. Rowe Price).

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 41.38%, significantly outpacing the 33.48% return of the Russell 1000^® Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe. The Fund also substantially outperformed the 32.39% return of the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

Overall, stock selection drove the Fund’s relative performance for the year, but sector weighting also contributed, as Fund holdings in the information technology, health care, and consumer discretionary sectors were the leading relative outperformers. Conversely, Fund investments in the materials sector were significant detractors during the year.

The Fund’s stock selection in the information technology sector benefited performance, as the price of Internet giant Google rose due to the continued popularity of smartphones running its Android operating system – and increased advertising revenues. Global payment networks MasterCard and Visa were two Fund holdings that experienced gains from better cost controls and an increase in consumer credit card use in Europe, Asia, and Latin America. Baidu, China’s dominant Internet search company, benefited from becoming the primary application (“app”) distributor in that country after acquiring mobile app store 91 Wireless in July. This Fund holding also reported strong growth from increased mobile advertising revenues.

Stock selection in health care, the best-performing sector in the benchmark, benefited Fund performance during the year. The Fund’s biotechnology industry holdings notably outperformed. Gilead Sciences rose due to broader approval of its HIV treatment, Stribild. The company also benefited as its treatments for certain types of cancer showed positive results during early trials. Shares of Fund holding Celgene, a biotechnology company specializing in the treatment of cancer and immune-system diseases, rose as a result of positive trial results for a multiple myeloma treatment. The company also received Food and Drug Administration approval for Abraxane, a drug used to treat pancreatic cancer.

The Fund benefited from stock selection and an overweight position, relative to the benchmark, in holdings in the consumer discretionary sector. Shares of online travel company Priceline.com, a Fund holding, rose due to increased travel-related spending and the popularity of its smartphone apps. Shares of Fund holding Amazon.com moved higher during the second half of 2013, led by investor optimism for a strong holiday shopping season, particularly in the online sector – and Amazon Web Services’ growth in the cloud-computing and storage markets.

On the downside, stock selection in, and the Fund’s allocation to, the materials sector detracted from relative performance for the year. Shares of paint company Sherwin-Williams rose more than 20%, but this Fund holding lagged the overall materials sector after losing both a lead-paint lawsuit in California and its bid to acquire Comex Mexico. Shares of Fund holding Praxair, an industrial gases producer which generates more than half of its sales outside the United States, rose – but still underperformed the overall sector due to currency exchange challenges.

30

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

Subadviser outlook

Equities rose substantially in 2013 as investors moved out of safer assets and into riskier areas of the market. We expect a continuation of this trend may be likely in 2014, although on a more moderate scale. We are generally optimistic about the environment for equities. In our view, improving global economic growth, attractive stock valuations (despite 2013’s notable performance), and restrained inflation may have the potential to permit large-capitalization growth stocks perform strongly. While a moderate stock market correction is always a possibility, we do not believe there is likely to be a significant selloff in 2014.

MassMutual Select Blue Chip Growth Fund Largest Holdings (% of Net Assets) on 12/31/13
Google, Inc. Class A	5.9	%
Amazon.com, Inc.	5.3	%
MasterCard, Inc. Class A	3.4	%
Priceline.com, Inc.	3.3	%
Gilead Sciences, Inc.	3.2	%
Danaher Corp.	2.8	%
Precision Castparts Corp.	2.2	%
McKesson Corp.	2.2	%
Visa, Inc. Class A	2.2	%
Biogen Idec, Inc.	2.1	%
	32.6	%

MassMutual Select Blue Chip Growth Fund Sector Table (% of Net Assets) on 12/31/13
Communications	25.8	%
Consumer, Non-cyclical	22.3	%
Consumer, Cyclical	17.1	%
Industrial	12.4	%
Financial	9.2	%
Technology	5.0	%
Basic Materials	4.3	%
Energy	3.9	%
Mutual Funds	0.0	%
Total Long-Term Investments	100.0	%
Short-Term Investments and Other Assets and Liabilities	0.0	%
Net Assets	100.0	%

31

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

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select Blue Chip Growth Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted), the Russell 1000 Growth Index, and the S&P 500 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		41.38%		23.18%		8.18%
Class A		40.76%		22.67%		7.68%
Class A (sales load deducted)*		32.67%		21.22%		7.04%
Class Y		41.34%		23.11%		8.09%
Class L		41.01%		22.90%		7.92%
Class N		40.30%		22.26%		7.35%
Class N (CDSC fees deducted)*		39.30%		22.26%		7.35%
Russell 1000 Growth Index#		33.48%		20.39%		7.84%
S&P 500 Index		32.39%		17.94%		7.41%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

* 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.

# Benchmark

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

32

MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited)

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

The Fund seeks long-term capital appreciation by investing primarily in equity securities of U.S. companies. Under normal market conditions, the Fund invests at least 80% of its net assets in equity securities. Equity securities may include common stocks, preferred stocks, securities convertible into common or preferred stock, rights, and warrants. The Fund’s subadvisers are Sands Capital Management, LLC (Sands Capital), which managed approximately 53% of the Fund’s portfolio; and Delaware Investment Fund Advisers (Delaware), formerly known as Delaware Management Company, which was responsible for approximately 47% of the Fund’s portfolio, as of December 31, 2013.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 38.28%, significantly outperforming the 33.48% return of the Russell 1000^® Growth Index (the “benchmark”), an unmanaged index consisting of those Russell 1000 securities (representing the 1,000 largest U.S. companies based on market capitalization) with greater than average growth orientation that tend to exhibit higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

For the year, the strong performance of the Sands Capital component was primarily due to security selection, although sector allocation also contributed somewhat. Fund holdings that were the largest individual contributors to the Fund’s relative return were online retailer Amazon.com, web services company Baidu, global payments technology company Visa, global online travel agent Priceline.com, and fast-casual restaurant Chipotle. Conversely, Fund holdings that were among the largest detractors from relative returns were consumer electronics giant Apple, technology provider F5 Networks, robotic surgical systems manufacturer Intuitive Surgical, premium handbag designer Coach, and professional social networking firm LinkedIn. During the year, Sands Capital initiated new holdings in ARM Holdings, a supplier of intellectual property to the semiconductor industry with a highly scalable business model; Biogen, a biotechnology pioneer and an innovator in the field of neurology, with a particular focus on multiple sclerosis (MS); and Baidu, the leading Internet search engine in China. Conversely, the Fund component exited positions in Coach, due to concerns its competitive advantages in North America were eroding; Apple, since the company has matured as the high-end segment of the smartphone market reaches saturation in developed markets; and semiconductor company Qualcomm, as its core business, licensing, and chipsets appeared to be on the brink of long-term challenges.

In the Fund’s Delaware component, stock selection was the primary driver of performance. From a sector perspective, strong relative performance in the Fund component’s holdings in the financial services and consumer staples sectors was partially offset by weak relative performance in holdings in the technology and producer durables sectors. During 2013, the Delaware component’s top contributor to performance was its position in Celgene, a leading player in the treatment of blood cancers that has developed a growing product pipeline in breast, lung, and pancreatic cancer treatments. In 2013, Celgene received Food and Drug Administration approval for its drug within the pancreatic cancer segment. Conversely, the Fund component’s largest detractor from performance was its investment in Teradata, a mid-sized database software company that specializes in aggregating data for business analytics and decision-making. Teradata declined as the company both warned of, and ultimately reported, third-quarter results that were lower than expected.

Subadviser outlook

In Sands Capital’s view, despite anemic global economic growth, most equity markets had an extraordinary 2013. We believe the Sands Capital component owns a select number of businesses that may be positioned to deliver strong business results and earnings growth over time. We will continue to search for the special businesses that, in our view, have the potential to succeed in a period of lower growth.

Recent equity market volatility suggests to Delaware that many investors are trying to determine the pace of economic recovery while assessing factors that threaten economic fundamentals, such as central bank actions and fiscal policy debates across the

33

MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)

globe. While some fundamentals in various geographies may be trending in a positive direction, we don’t believe we are entering into a typical post-recessionary global boom cycle. Rather, our view is that the lingering effects of the credit crisis years ago could potentially lead to moderate growth at best. In such a tenuous environment, we believe the quality of a company’s business model, competitive position, and management may prove to be of utmost importance.

MassMutual Select Growth Opportunities Fund Largest Holdings (% of Net Assets) on 12/31/13
Visa, Inc. Class A	6.5	%
Google, Inc. Class A	6.3	%
Priceline.com, Inc.	4.6	%
Amazon.com, Inc.	3.5	%
Salesforce.com, Inc.	3.1	%
Baidu, Inc. Sponsored ADR (Cayman Islands)	3.0	%
MasterCard, Inc. Class A	2.8	%
Nike, Inc. Class B	2.7	%
Facebook, Inc. Class A	2.4	%
Celgene Corp.	2.4	%
	37.3	%

MassMutual Select Growth Opportunities Fund Sector Table (% of Net Assets) on 12/31/13
Communications	30.1	%
Consumer, Non-cyclical	22.1	%
Technology	17.0	%
Consumer, Cyclical	12.5	%
Energy	9.7	%
Financial	5.1	%
Basic Materials	2.3	%
Mutual Funds	0.9	%
Utilities	0.1	%
Total Long-Term Investments	99.8	%
Short-Term Investments and Other Assets and Liabilities	0.2	%
Net Assets	100.0	%

34

MassMutual Select Growth Opportunities Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		38.28%		26.82%		9.90%
Class A		37.43%		26.15%		9.36%
Class A (sales load deducted)*		29.53%		24.66%		8.71%
Class Y		38.07%		26.67%		9.80%
Class L		37.85%		26.50%		9.63%
Class N		37.05%		25.73%		9.00%
Class N (CDSC fees deducted)*		36.05%		25.73%		9.00%
Russell 1000 Growth Index		33.48%		20.39%		7.84%

Hypothetical Investments in MassMutual Select Growth Opportunities Fund Class Z and the Russell 1000 Growth Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 12/7/11 - 12/31/13
Class Z		38.50%		27.49%
Russell 1000 Growth Index		33.48%		22.57%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

35

MassMutual Select Mid-Cap Value Fund – Portfolio Manager Report (Unaudited)

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

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of mid-capitalization companies that the subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in the stocks of mid-cap companies. The Fund’s subadvisers are Systematic Financial Management, L.P. (Systematic), which was responsible for approximately 74% of the Fund’s portfolio; and NFJ Investment Group LLC (NFJ), which managed approximately 26% of the Fund’s portfolio, as of December 31, 2013.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 33.85%, outpacing the 33.46% return of Russell Midcap^® Value Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell Midcap companies (representing mid-capitalization U.S. common stocks) with lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

For the Systematic component of the Fund, stock selection within the industrials sector contributed to relative performance in 2013, although holdings in the information technology sector erased some of those gains. Sector allocation also had a modestly positive impact on full-year results, as the Fund component’s underweight positions in the utilities and financials sectors contributed to performance on a relative basis – while no sector weightings meaningfully detracted from performance. One of the Fund’s top-performing stocks for the year was Lincoln National, a leading life insurer in the U.S., whose share price increased due to rising long- and intermediate-term interest rates. Lincoln has significant exposure to the bond markets, where it invests a substantial portion of policyholder premiums. As interest rates rise, the company can reinvest proceeds from bond maturities and income at higher interest rates, boosting profits and decreasing the likelihood the company’s claim reserves could become deficient. Conversely, one stock that detracted from relative results during the period was Peabody Energy, a leading producer of thermal and metallurgical coal. Thermal coal is used for power in the U.S and accounts for approximately 70% of Peabody’s earnings. There was an increased amount of switching from gas to coal power, and thermal coal prices benefited nicely when higher natural gas prices were abundant early in 2013. However, at more recent coal pricing levels, approximately one-quarter of the global producers did not generate profits.

The NFJ Fund component benefited from strong stock selection across the financials and energy sectors, and positions in materials and consumer staples stocks performed positively, but failed to keep pace with benchmark shares. Specifically, the strongest contributors to performance were Ameriprise Financial and Lear. Minneapolis-based Ameriprise Financial beat analysts’ operating earnings estimates for the second and third quarters of 2013, as the company benefited from revenue growth and strong client net inflows. Automotive parts manufacturer Lear also performed well in 2013, benefiting from a rebound in U.S. automotive sales. Conversely, the Fund component’s small cash position in 2013’s rising equity environment hampered relative performance along with poor stock selection. Fund component holdings that were particular detractors included Yamana Gold and CBL & Associates Properties. Yamana Gold, a holding that is not included in the benchmark, suffered as weakening gold prices continued to pressure shares of gold miners. Gold was down more than 27% for the year. Slowing retail sales and rising interest rates weighed on the share price of retail real estate investment trust (REIT) CBL & Associates Properties.

Subadviser outlook

Looking to 2014, Systematic’s view is that the economy remains on good footing. We believe the budget agreement reached late in 2013 has the potential to remove a great deal of negative sentiment. The federal debt limit has not yet been addressed, but we suspect that positive recent political trends in Washington could multiply in 2014, as it is an election year. Consumers also appear to be more optimistic, based on the Conference Board’s improved consumer confidence data for December, which has often correlated with consumer spending trends historically. Even assuming that stock valuations do not expand like they did in 2013, our view is that the expected earnings growth alone could potentially set the stage for another good year for the stock market.

36

MassMutual Select Mid-Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)

Looking ahead, NFJ notes that equities soared to exceptional highs in 2013, benefitting from extraordinary accommodative monetary policy. The Federal Reserve (the “Fed”) announced it would begin to taper its bond purchasing program in January 2014. During months when the Fed has not been pumping liquidity into the market, the NFJ process has tended to fare better and provide investors with downside protection. In an environment of financial repression and central banks around the globe mainly adopting a “looser for longer” monetary policy, we believe income-generating, more “risky” assets – like equities – may help investors face the challenges ahead.

MassMutual Select Mid-Cap Value Fund Largest Holdings (% of Net Assets) on 12/31/13
Chesapeake Energy Corp.	2.0	%
Invesco Ltd.	1.8	%
Parker Hannifin Corp.	1.7	%
Regions Financial Corp.	1.6	%
Manpower, Inc.	1.6	%
ING US, Inc.	1.6	%
CBL & Associates Properties, Inc.	1.6	%
Huntington Bancshares, Inc.	1.6	%
The AES Corp.	1.6	%
Cimarex Energy Co.	1.4	%
	16.5	%

MassMutual Select Mid-Cap Value Fund Sector Table (% of Net Assets) on 12/31/13
Financial	26.6	%
Consumer, Non-cyclical	13.4	%
Industrial	13.0	%
Consumer, Cyclical	12.7	%
Energy	8.7	%
Utilities	8.1	%
Technology	7.1	%
Basic Materials	4.7	%
Communications	3.7	%
Total Long-Term Investments	98.0	%
Short-Term Investments and Other Assets and Liabilities	2.0	%
Net Assets	100.0	%

37

MassMutual Select Mid-Cap Value Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Since Inception Average Annual 8/29/06 - 12/31/13
Class S		33.85%		19.41%		7.61%
Class A		33.18%		18.81%		7.07%
Class A (sales load deducted)*		25.52%		17.41%		6.21%
Class Y		33.73%		19.30%		7.50%
Class L		33.57%		19.07%		7.33%
Class N		32.77%		18.48%		6.77%
Class N (CDSC fees deducted)*		31.77%		18.48%		6.77%
Russell Midcap Value Index		33.46%		21.16%		7.96%

Hypothetical Investments in MassMutual Select Mid-Cap Value Fund Class Z and the Russell Midcap Value Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 12/7/11 - 12/31/13
Class Z		34.02%		23.55%
Russell Midcap Value Index		33.46%		25.08%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

38

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

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

The Fund seeks to maximize total return through investment primarily in small capitalization equity securities that the Fund’s subadvisers believe are undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in equity securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company, LLP (Wellington Management), which managed approximately 54% of the Fund’s portfolio; and Barrow, Hanley, Mewhinney & Strauss, LLC (Barrow Hanley), which was responsible for approximately 46% of the Fund’s portfolio, as of December 31, 2013.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 40.05%, outpacing the 34.52% return of the Russell 2000 Value Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell 2000 Index Companies (representing small-capitalization U.S. common stocks) with lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Wellington Management Fund component outperformed the benchmark, primarily due to positive sector allocation. An overweight position, relative to the benchmark, in the strong-performing industrials sector and an underweight stake in the lagging financials sector contributed to the Fund component’s full-year results. Favorable security selection also contributed to relative performance for the year, particularly within the energy, utilities, and financials sectors, which more than offset weaker stock selection in the consumer discretionary, industrials, and materials sectors. Top-performing Fund component holdings during the year included G&K Services (industrials), Belden (information technology), and Towers Watson (industrials). Shares of G&K Services, a leading North American uniform rental provider, gained after posting solid earnings results and improving margins. Shares of Belden, a company that designs, manufactures, and markets electronic cables and connectivity products for industrial, broadcast, and data-networking markets, climbed on strong earnings. Towers Watson, a human resources and employment services company, advanced on rising expectations for the earnings potential associated with the company’s work with health care exchanges implementing the Affordable Care Act. The Fund exited Towers Watson when it approached the price we believed represented full valuation. Conversely, the top relative detractors were ACCO Brands (industrials), ESCO Technologies (industrials), and Maxim Integrated Products (information technology). ACCO Brands, a U.S.-based supplier of leading branded office products, declined due to market concerns over the merger of two of the company’s largest customers. ESCO Technologies, which supplies advanced metering applications to water, gas, and electric utilities, lost ground in the second quarter after the company offered a less-optimistic earnings outlook. Shares of U.S.-based Maxim Integrated Products, a leading international supplier of analog and mixed signal semiconductors, lagged its peers amid investor concerns, in part, about the company’s high level of exposure to Samsung.

In the Barrow Hanley Fund component, certain economically sensitive sectors (i.e., consumer discretionary, industrials, and materials) had substantially overweight positions and were significantly better performers than their benchmark counterparts. The Fund component’s financials stocks created superior results from both a stock selection and an allocation perspective, despite their low weighting in the component. Within information technology, the Fund component’s heavy semiconductor/components exposure slightly underperformed the benchmark sector. The Fund component avoided investing in defensive sectors (i.e., consumer staples, telecommunication services, and utilities), which proved beneficial. The best of the top-contributing Fund component holdings included PolyOne (producer of specialized polymers and resins), Whirlpool (home appliance manufacturer), Brunswick (recreation and gaming manufacturer), Trex (wood-alternative manufacturer), and Mobile Mini (portable storage solution provider). Conversely, Diodes Incorporated (semiconductor products manufacturer) and Fairchild Semiconductor International (a manufacturer of semiconductor solutions) worked against the Fund component during the year.

39

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

Subadviser outlook

Based on Wellington Management’s two- to three-year time horizon, we continue to find attractively valued investment opportunities for the Fund component, which can be created by the inefficiencies frequently found among small- and mid-capitalization companies. At the end of the year, the Fund component held its largest overweight positions in the information technology, industrials, and consumer discretionary sectors, reflecting our outlook.

Barrow Hanley is optimistic and continues to see value among the Fund component’s target population of low-expectation, small-cap stocks. Our view is the economy is still functioning at well below optimal levels, and investors continue to hold underweight positions in equities and are mostly unaware of small-cap stocks, despite the performance of that market segment over the last several years. We believe the future may be bright, although as always, we believe it is likely to include volatility.

MassMutual Select Small Cap Value Equity Fund Largest Holdings (% of Net Assets) on 12/31/13
PolyOne Corp.	2.1	%
Belden, Inc.	1.9	%
Plexus Corp.	1.7	%
City National Corp.	1.7	%
Whirlpool Corp.	1.7	%
American Axle & Manufacturing Holdings, Inc.	1.6	%
HealthSouth Corp.	1.6	%
Mobile Mini, Inc.	1.6	%
The Scotts Miracle-Gro Co. Class A	1.6	%
Terex Corp.	1.6	%
	17.1	%

MassMutual Select Small Cap Value Equity Fund Sector Table (% of Net Assets) on 12/31/13
Industrial	29.3	%
Consumer, Cyclical	19.4	%
Financial	17.1	%
Consumer, Non-cyclical	11.5	%
Technology	9.1	%
Basic Materials	3.9	%
Utilities	2.9	%
Energy	2.8	%
Communications	0.9	%
Total Long-Term Investments	96.9	%
Short-Term Investments and Other Assets and Liabilities	3.1	%
Net Assets	100.0	%

40

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

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Since Inception Average Annual 3/31/06 - 12/31/13
Class S		40.05%		20.23%		6.47%
Class A		39.28%		19.61%		5.94%
Class A (sales load deducted)*		31.27%		18.20%		5.14%
Class Y		39.91%		20.10%		6.36%
Class L		39.73%		19.88%		6.19%
Russell 2000 Value Index		34.52%		17.64%		6.04%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

41

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

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

The Fund seeks to achieve long-term growth of capital by investing primarily in a diversified portfolio of equity securities of smaller companies that the Fund’s subadvisers consider to be undervalued. Under normal circumstances, the Fund invests at least 80% of its net assets in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which was responsible for approximately 53% of the Fund’s portfolio; Federated Clover Investment Advisors (Federated Clover), which managed approximately 39% of the Fund’s portfolio; and EARNEST Partners, LLC (Earnest Partners), which oversaw approximately 8% of the Fund’s portfolio, as of December 31, 2013.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 32.19%, lagging the 34.52% return of the Russell 2000 Value Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell 2000 Index companies (representing small-capitalization U.S. common stocks) with lower price-to-book ratios and lower forecasted growth rates than securities in the growth universe. The Fund also substantially underperformed the 38.82% return of the Russell 2000 Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

In the Fund’s T. Rowe Price component, an overweight position, relative to the benchmark, and stock selection in the materials sector weighed on performance. The metals and mining industry detracted as spot gold prices plummeted, affecting two Fund component holdings – Royal Gold and Franco-Nevada – both of which own gold royalties. Fund component holdings in the industrials and business services sectors underperformed, and a notable detractor here was Landstar System, a trucking service that contracts trucking capacity through agreements with independent truckers and brokerage carriers. Landstar System’s stock advanced for the year, but lagged the broader sector. Fund holding Aaron’s weighed on results in the consumer discretionary sector. Aaron’s, a specialty retailer that uses a lease ownership model to sell a broad array of consumer products, suffered disappointing same-store results. Conversely, sector allocation was beneficial to the Fund component’s relative results – especially underweight positions in the financials and utilities sectors and overweight allocations to consumer discretionary and industrials and business services stocks. Fund component holdings in commercial banks also made a contribution, particularly Home Bancshares, a bank holding company for Centennial Bank.

For the Federated Clover component of the Fund, stock selection in the energy sector detracted from relative performance, as some of the Fund component’s holdings in the oil, gas, and consumable fuels industry had a negative impact. Among these were Halcon Resources, SandRidge Energy, and Alon USA Energy. Fund component holdings electrical equipment manufacturer Graftech International and USG Corporation, a manufacturer and distributor of building materials, posted weak results that weighed on returns and contributed to the notable underperformance of the Fund component’s industrials sector investments. Conversely, stock selection in the financials sector had the greatest positive impact on the Fund component’s relative performance. Among the standout performers in this sector were insurance holdings, including CNO Financial Group, American Equity Investment Life Holdings, and National Financial Partners. The Federated Clover component of the Fund also benefited from strong returns among real estate investment trust (REIT) holdings. Strong stock selection in the health care sector also contributed to full-year returns.

Stock selection drove performance in the Earnest Partners component of the Fund in 2013. In the financials sector, Fund component holding Protective Life, which offers both insurance and investment products, reported earnings that were better than expected. The company also indicated an optimistic outlook for the next three years, which helped drive up the stock. Also in financials, the Fund component’s investment in American Equity Investment Life, a life insurance company that specializes in index annuities, paid off handsomely, as the company reported operating earnings nearly twice as high as analysts had forecasted, and the stock price rose substantially during the year.

42

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

Subadviser outlook

T. Rowe Price is cautiously optimistic about U.S. equities, due to strong corporate fundamentals and positive economic data. In our view, improving housing figures and employment trends may be signs of strength in the ongoing economic recovery. Although tapering of the Federal Reserve’s (the “Fed”) bond purchase program is set to begin in January, we expect monetary conditions may remain accommodative throughout most of 2014.

In Federated Clover’s view, stock valuations remain reasonable. The economy is still improving, and we expect that stocks may have the potential to move higher in 2014. While no one can predict how the market will perform with any certainty, we view the Fed’s tapering as potentially positive for long-term stock investors. The possibility of volatility remains, but we believe it may be a good sign for the markets and economy to function with less government influence.

Earnest Partners is a bottom-up, fundamental manager, so market and economic forecasts are not an integral part of our investment process. We are finding the most opportunities in the energy, industrials, materials, information technology, and health care sectors, where the Fund component currently has relatively overweight positions. We are finding fewer opportunities for the Fund component in areas like consumer staples, consumer discretionary, utilities, and financials.

MassMutual Select Small Company Value Fund Largest Holdings (% of Net Assets) on 12/31/13
East West Bancorp, Inc.	1.3	%
ProAssurance Corp.	1.1	%
Cleco Corp.	1.1	%
Aaron’s, Inc.	1.0	%
Home Bancshares, Inc.	1.0	%
SVB Financial Group	0.9	%
Landstar System, Inc.	0.9	%
Genesee & Wyoming, Inc. Class A	0.9	%
Beacon Roofing Supply, Inc.	0.9	%
Kirby Corp.	0.9	%
	10.0	%

MassMutual Select Small Company Value Fund Sector Table (% of Net Assets) on 12/31/13
Financial	25.1	%
Industrial	22.6	%
Consumer, Non-cyclical	12.0	%
Consumer, Cyclical	11.5	%
Basic Materials	7.9	%
Technology	5.3	%
Mutual Funds	5.4	%
Energy	5.1	%
Utilities	4.8	%
Communications	3.2	%
Total Long-Term Investments	102.9	%
Short-Term Investments and Other Assets and Liabilities	(2.9	)%
Net Assets	100.0	%

43

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

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		32.19%		18.37%		9.38%
Class A		31.69%		17.85%		8.91%
Class A (sales load deducted)*		24.12%		16.46%		8.26%
Class Y		32.18%		18.34%		9.34%
Class L		32.03%		18.14%		9.18%
Class N		31.30%		17.49%		8.57%
Class N (CDSC fees deducted)*		30.30%		17.49%		8.57%
Russell 2000 Value Index#		34.52%		17.64%		8.60%
Russell 2000 Index		38.82%		20.08%		9.07%

Hypothetical Investments in MassMutual Select Small Company Value Fund Class Z, the Russell 2000 Value Index, and the Russell 2000 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 11/15/10 - 12/31/13
Class Z		32.46%		16.58%
Russell 2000 Value Index#		34.52%		16.81%
Russell 2000 Index		38.82%		18.25%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

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

44

MM S&P^® Mid Cap Index Fund – Portfolio Manager Report (Unaudited)

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

The Fund seeks to provide investment results approximating (before fees and expenses) the aggregate price and dividend performance of the securities included in the S&P MidCap 400^® Index* (the “Index”). Under normal circumstances, the Fund invests at least 80% (and, typically, substantially all) of its net assets in the equity securities of companies included in the Index, in weightings that approximate the relative composition of the securities contained in the Index, and in Index futures contracts. The Fund’s subadviser is Northern Trust Investments, Inc. (NTI).

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 32.81%, underperforming the 33.50% return of the Index, a widely recognized, unmanaged index representative of common stocks of mid-capitalized U.S. companies.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund’s underperformance versus the Index is mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses, and it is not possible to invest directly in the Index.

U.S. mid-capitalization stocks outperformed their large-cap counterparts, as measured by the S&P 500^® Index, during 2013. Health care and industrials were the best-performing mid-cap sectors within the Index for the year, whereas the telecommunication services and materials sectors were the worst performers during the year.

Global developed markets performed positively in 2013, and stocks in the U.S. outperformed their international counterparts. The year began with a late deal that avoided the most significant portions of the so-called “fiscal cliff,” sparking an early rally in U.S. markets – as earnings, housing, and employment data continued to support growth expectations. Despite the positive economic data, central banks’ continuation of easy monetary policies helped drive the performance of global stock markets.

During his testimony before Congress on May 22, outgoing Federal Reserve (the “Fed”) Chairman Ben Bernanke mentioned the possibility of tapering bond purchases towards the end of the year. The news sparked a widespread stock selloff, but some share prices recovered after several Fed officials suggested that tapering of the asset purchase program known as QE might not come as soon as many feared. Toward the end of the summer, investor concerns surfaced over the possibility of an announcement of Fed tapering at the central bank’s September meeting. Consequently, markets reacted positively to the announcement that Fed tapering was not imminent – and the assurance from Bernanke that the Fed would not cut the asset purchasing program until the central bank had enough evidence to support the sustainability of economic growth.

U.S. equities ended the year strongly, partly due to positive market reactions to monetary and fiscal policy activity in Washington. Congress reached a long-term budget agreement in December, further reducing fiscal uncertainty. President Obama nominated Janet Yellen as the next Fed Chairperson, and her testimony before Congress assured markets that Fed policy would remain appropriately accommodative. (Ms. Yellen received Senate confirmation as we prepared this report.) As the year wound down, markets initially reacted positively to the Fed announcement that tapering would ultimately begin in January 2014, as investors viewed the move favorably – and perceived it as the Fed signaling confidence in the strength and sustainability of the economic recovery.

* The S&P MidCap 400 Index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by MassMutual. Standard & Poor’s^®, S&P^® and S&P MidCap 400^® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by MassMutual. The Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P MidCap 400 Index.

45

MM S&P^® Mid Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Although it is impossible to predict the direction equities will take throughout 2014 after their spectacular rise in 2013, numerous forces will continue to influence the direction the market takes moving forward – such as Fed policy, inflation, housing, and unemployment, to name just a few. We believe, however, the Fund continues to be well positioned to pursue returns that are consistent with those of the S&P MidCap 400 Index.

MM S&P Mid Cap Index Fund Largest Holdings (% of Net Assets) on 12/31/13
Affiliated Managers Group, Inc.	0.7	%
Tractor Supply Co.	0.7	%
Green Mountain Coffee Roasters, Inc.	0.6	%
LKQ Corp.	0.6	%
HollyFrontier Corp.	0.6	%
Henry Schein, Inc.	0.6	%
Polaris Industries, Inc.	0.6	%
Church & Dwight Co., Inc.	0.6	%
Cimarex Energy Co.	0.6	%
Trimble Navigation Ltd.	0.6	%
	6.2	%

MM S&P Mid Cap Index Fund Sector Table (% of Net Assets) on 12/31/13
Financial	20.4	%
Industrial	18.3	%
Consumer, Non-cyclical	17.2	%
Consumer, Cyclical	12.8	%
Technology	9.8	%
Energy	5.8	%
Mutual Funds	5.5	%
Basic Materials	5.0	%
Communications	4.0	%
Utilities	3.9	%
Total Long-Term Investments	102.7	%
Short-Term Investments and Other Assets and Liabilities	(2.7	)%
Net Assets	100.0	%

46

MM S&P^® Mid Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MM S&P Mid Cap Index Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class I, Class Z, and the S&P MidCap 400 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 7/26/12 - 12/31/13
Class S		32.81%		31.87%
Class A		32.40%		31.38%
Class A (sales load deducted)*		24.79%		26.07%
Class Y		32.72%		31.73%
Class L		32.62%		31.64%
Class I		33.08%		32.06%
Class Z		33.20%		32.18%
S&P MidCap 400 Index		33.50%		32.59%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

47

MM Russell 2000^® Small Cap Index Fund – Portfolio Manager Report (Unaudited)

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

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

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 38.24%, trailing the 38.82% return of the Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund’s underperformance versus the Index is mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses, and it is not possible to invest directly in the Index.

Small-capitalization stocks outperformed their large-cap competitors, as measured by the Russell 1000^® Index. Health care and consumer staples were the best-performing sectors within the Index during the year; the worst-performing sectors were utilities and materials.

Global developed markets performed positively in 2013, and stocks in the U.S. outperformed their international counterparts. The year began with a late deal that avoided the most significant portions of the so-called “fiscal cliff,” sparking an early rally in U.S. markets – as earnings, housing, and employment data continued to support growth expectations. Despite the positive economic data, central banks’ continuation of easy monetary policies helped drive the performance of global stock markets.

During his testimony before Congress on May 22, outgoing Federal Reserve (the “Fed”) Chairman Ben Bernanke mentioned the possibility of tapering bond purchases towards the end of the year. The news sparked a widespread stock selloff, but some share prices recovered after several Fed officials suggested that tapering of the asset purchase program known as QE might not come as soon as many feared. Toward the end of the summer, investor concerns surfaced over the possibility of an announcement of Fed tapering at the central bank’s September meeting. Consequently, markets reacted positively to the announcement that Fed tapering was not imminent – and the assurance from Bernanke that the Fed would not cut the asset purchasing program until the central bank had enough evidence to support the sustainability of economic growth.

U.S. equities ended the year strongly, partly due to positive market reactions to monetary and fiscal policy activity in Washington. Congress reached a long-term budget agreement in December, further reducing fiscal uncertainty. President Obama nominated Janet Yellen as the next Fed Chairperson, and her testimony before Congress assured markets that Fed policy would remain appropriately accommodative. (Ms. Yellen received Senate confirmation as we prepared this report.) As the year wound down, markets initially reacted positively to the Fed announcement that tapering would ultimately begin in January 2014, as investors viewed the move favorably – and perceived it as the Fed signaling confidence in the strength and sustainability of the economic recovery.

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

48

MM Russell 2000^® Small Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Although it is impossible to predict the direction equities will take throughout 2014 after their spectacular rise in 2013, numerous forces will continue to influence the direction the market takes moving forward – such as Fed policy, inflation, housing, and unemployment, to name just a few. We believe, however, the Fund continues to be well positioned to pursue returns that are consistent with those of the Russell 2000 Index.

MM Russell 2000 Small Cap Index Fund Largest Holdings (% of Net Assets) on 12/31/13
CoStar Group, Inc.	0.3	%
Athenahealth, Inc.	0.3	%
Acuity Brands, Inc.	0.3	%
The Middleby Corp.	0.3	%
Isis Pharmaceuticals, Inc.	0.3	%
The Ultimate Software Group, Inc.	0.2	%
PTC, Inc.	0.2	%
Align Technology, Inc.	0.2	%
Brunswick Corp.	0.2	%
CNO Financial Group, Inc.	0.2	%
	2.5	%

MM Russell 2000 Small Cap Index Fund Sector Table (% of Net Assets) on 12/31/13
Financial	22.0	%
Consumer, Non-cyclical	20.1	%
Industrial	14.2	%
Consumer, Cyclical	13.5	%
Mutual Funds	11.2	%
Technology	9.9	%
Communications	6.7	%
Energy	5.1	%
Basic Materials	3.6	%
Utilities	3.0	%
Diversified	0.2	%
Total Long-Term Investments	109.5	%
Short-Term Investments and Other Assets and Liabilities	(9.5	)%
Net Assets	100.0	%

49

MM Russell 2000^® Small Cap Index Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MM Russell 2000 Small Cap Index Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class I, Class Z, and the Russell 2000 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 7/26/12 - 12/31/13
Class S		38.24%		34.77%
Class A		37.66%		34.21%
Class A (sales load deducted)*		29.75%		28.79%
Class Y		38.13%		34.67%
Class L		37.84%		34.45%
Class I		38.38%		35.00%
Class Z		38.47%		35.10%
Russell 2000 Index		38.82%		35.36%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

50

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

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

The Fund seeks growth of capital over the long-term by investing primarily in equity securities of mid-capitalization companies that the Fund’s subadvisers believe offer the potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in a broadly diversified portfolio of common stocks of mid-cap companies whose earnings the Fund’s subadvisers expect to grow at a faster rate than the average company. The Fund’s subadvisers are T. Rowe Price Associates, Inc. (T. Rowe Price), which oversaw approximately 80% of the Fund’s portfolio; and Frontier Capital Management Company, LLC (Frontier), which was responsible for approximately 20% of the Fund’s portfolio, as of December 31, 2013.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 36.19%, exceeding the 35.74% return of the Russell Midcap^® Growth Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell Midcap companies (representing mid-capitalization U.S. common stocks) with higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

In the T. Rowe Price component of the Fund, stock selection helped drive strong relative performance, while sector allocation dragged on overall results. On the sector level, financials, information technology, and health care holdings were beneficial to relative returns, whereas materials positioning detracted. The Fund component’s financials holdings boosted returns on a relative basis, particularly TD Ameritrade and CBOE Holdings. Discount retail broker TD Ameritrade benefited from an increasing client base, lowered expenses, and rising interest rates. An options and futures exchange operator, CBOE Holdings reported solid earnings driven by cost controls and increased volume in the company’s proprietary volatility and S&P 500^® option products. Fund component holdings in information technology also outpaced their benchmark peers, most notably Cree and Gartner Group. Lighting manufacturer Cree recently released a lower-priced light bulb, and Walmart announced it would begin to sell the company’s products. Gartner Group, a leading provider of information technology research and consulting services, continued to post strong subscriber growth, boosting returns despite weakness in the firm’s consulting business (partially due to a reduction in government spending). We believe there are several positive long-term trends in this sector’s favor, including the shift to mobile computing, increased online advertising and commerce, growth in cloud computing, and opportunities to take advantage of ever-growing amounts of data. In the materials sector, Fund component holdings concentrated among gold-related firms hampered performance, most notably Franco Nevada and Agnico Eagle Mines, which both suffered amid falling gold prices.

In the Frontier Fund component, stock selection was strong in health care, producer durables, and financial services holdings, but the component’s energy, consumer discretionary, and technology stocks underperformed. Specifically, B/E Aerospace was the Fund component’s strongest performer on solid earnings growth and a series of increasingly positive revisions of the company’s outlook. In health care, the Fund component got a lift from pharmaceutical holdings Actavis and Covance. Both companies have been using innovation to gain share in growing segments of the pharmaceutical industry. Conversely, the Fund component did not own a handful of strong-performing stocks that made a substantial contribution to benchmark returns in the consumer discretionary, technology, and health care sectors, which held back relative and overall performance. The technology and energy sectors experienced the most challenges during the year, including tight capital budgets and shifting competitive dynamics. In addition, an underweight position in consumer discretionary stocks, which was the best-performing sector in 2013, also worked against the Fund component during the year.

Subadviser outlook

T. Rowe Price is cautiously optimistic about U.S. equities. We are, however, tempering our expectations after a year of nearly uninterrupted market strength. Despite this caution, our view is that the long term may be positive due to an outlook that includes strong corporate fundamentals and supportive economic data. The Fund is currently finding opportunities in specific companies rather than in larger themes, highlighting the importance of fundamental research and effective stock selection.

51

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

Frontier would not be surprised to see stocks consolidate in the shorter term, particularly after posting one of the strongest gains equities have made in over a decade. Business confidence is generating real activity, such as labor and new orders for capital spending. For these reasons, the Fund component continues to find more attractive opportunities amid capital- and business spending-related sectors, such as industrials and financials. We remain guarded about prices of low but consistent growth areas, such as utilities and consumer staples.

MassMutual Select Mid Cap Growth Equity II Fund Largest Holdings (% of Net Assets) on 12/31/13
IHS, Inc. Class A	1.5	%
Fiserv, Inc.	1.4	%
Pall Corp.	1.4	%
Textron, Inc.	1.3	%
CarMax, Inc.	1.3	%
Gartner, Inc.	1.2	%
Covance, Inc.	1.2	%
IDEX Corp.	1.2	%
Fidelity National Financial, Inc. Class A	1.1	%
Alkermes PLC	1.1	%
	12.7	%

MassMutual Select Mid Cap Growth Equity II Fund Sector Table (% of Net Assets) on 12/31/13
Consumer, Non-cyclical	26.7	%
Industrial	17.2	%
Consumer, Cyclical	16.4	%
Technology	11.2	%
Communications	8.6	%
Financial	7.1	%
Energy	6.0	%
Mutual Funds	4.2	%
Basic Materials	3.3	%
Utilities	0.5	%
Total Long-Term Investments	101.2	%
Short-Term Investments and Other Assets and Liabilities	(1.2	)%
Net Assets	100.0	%

52

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

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		36.19%		23.22%		10.84%
Class A		35.44%		22.62%		10.30%
Class A (sales load deducted)*		27.65%		21.17%		9.65%
Class Y		35.99%		23.11%		10.74%
Class L		35.80%		22.92%		10.58%
Class N		35.00%		22.24%		9.97%
Class N (CDSC fees deducted)*		34.00%		22.24%		9.97%
Russell Midcap Growth Index		35.74%		23.37%		9.77%

Hypothetical Investments in MassMutual Select Mid Cap Growth Equity II Fund Class Z and the Russell Midcap Growth Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 11/15/10 - 12/31/13
Class Z		36.31%		17.37%
Russell Midcap Growth Index		35.74%		17.65%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

53

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

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

The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadvisers believe offer potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. The Fund’s subadvisers are Wellington Management Company, LLP (Wellington Management), which managed approximately 55% of the Fund’s portfolio; Waddell & Reed Investment Management Company (Waddell & Reed), which was responsible for approximately 21% of the Fund’s portfolio; and Timberline Asset Management LLC (Timberline), which oversaw approximately 24% of the Fund’s portfolio, as of December 31, 2013.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 47.71%, outperforming the 43.30% return of the Russell 2000 Growth Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell 2000 Index companies (representing small-capitalization U.S. common stocks) with higher price-to-book ratios and higher forecasted growth rates than securities in the value universe. The Fund also exceeded, by a wide margin, the 38.82% return of the Russell 2000 Index, a widely recognized, unmanaged index representative of common stocks of smaller capitalized U.S. companies.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

How did the Fund perform during the 12 months ended December 31, 2013?

In the Fund’s Wellington Management component, strong stock selection in the health care, materials, financials, and industrials sectors drove relative performance – as did an underweight position, relative to the benchmark, in the lagging financials sector and an overweight stake in the outperforming information technology sector. Top-performing Fund component holdings included AerCap Holdings – one of the world’s largest aircraft leasing companies (industrials sector) – KapStone Paper (materials), and Spirit Airlines (industrials). Conversely, less-than-favorable stock selection in the Fund component’s information technology, consumer staples, and energy stocks detracted. An overweight allocation to the underperforming materials sector, an underweight stake in the outperforming health care sector, and a minor cash position in 2013’s strong stock market environment were other factors creating challenges for the Fund component’s performance. Holdings that were top relative detractors for the year included subscription television service provider TiVo (information technology), technology-focused seismic solutions company ION Geophysical (energy), and Angie’s List (information technology), an Internet-based membership service that compiles consumer ratings of local service companies and contractors in multiple cities across the U.S.

A variety of factors helped propel returns for the year for the Fund’s Waddell & Reed component, but stock selection was one of the most favorable. Fund component holdings in the industrials sector turned in the highest returns. Top performers here included WageWorks, which provides tax-advantaged programs for consumers; and Wabtec, which provides technology-based products and services for the freight rail and passenger transit industries. In the financials and energy sectors, Financial Engines, which provides various services to participants of employer-sponsored defined contribution plans, and HFF – which provides commercial real estate and capital market services in the commercial real estate industry – were two Fund component holdings that were strong performance drivers. Conversely, in the information technology sector, the primary detractor was Vocera Communications, a Fund component holding that provides mobile communication solutions in health care, hospitality, energy, and retail environments.

In the Fund’s Timberline component, from a sector perspective, information technology holdings contributed the most to the Fund’s overall relative performance, followed by the industrials, consumer discretionary, financials, and health care sectors. The Fund component held an overweight position in information technology stocks for most of the year, but finished 2013 with a nearly neutral allocation. The top overall contributor in information technology was Infoblox Inc., a leader in automated network control, which is gaining increasing importance given growing network traffic and the proliferation of connected devices. The Fund component also held – and maintained – a beneficial overweight stake in the industrials sector, which also contributed to overall performance due to strong stock selection. Industrials sector stock Swift Transportation was a top 10 contributor for the Timberline component for the year.

54

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

Subadviser outlook

In 2014, Wellington Management plans to continue to emphasize fundamental research and bottom-up stock selection in an effort to seek companies that are undervalued relative to their fundamental outlooks.

Waddell & Reed believes that stock valuations are high from a historical standpoint, but not extremely so, and flows into the equity market are strong. We believe a stronger economy may be possible in 2014, since recent economic statistics have improved.

Timberline believes that company management teams may have been expecting a better recovery in 2013 than they actually experienced. Europe did not emerge from its economic trough to the degree that many investors had hoped, and the U.S. economy was not as strong as investors may have expected. We believe these factors are likely to influence the outlook for corporate earnings in 2014.

MassMutual Select Small Cap Growth Equity Fund Largest Holdings (% of Net Assets) on 12/31/13
Dexcom, Inc.	1.6	%
Armstrong World Industries, Inc.	1.2	%
WageWorks, Inc.	1.1	%
Imax Corp.	1.0	%
WEX, Inc.	1.0	%
Portfolio Recovery Associates, Inc.	0.9	%
Responsys, Inc.	0.9	%
Infoblox, Inc.	0.9	%
Cyberonics, Inc.	0.8	%
DigitalGlobe, Inc.	0.8	%
	10.2	%

MassMutual Select Small Cap Growth Equity Fund Sector Table (% of Net Assets) on 12/31/13
Consumer, Non-cyclical	24.1	%
Consumer, Cyclical	16.5	%
Industrial	14.1	%
Technology	13.5	%
Financial	11.5	%
Communications	10.2	%
Mutual Funds	9.5	%
Energy	5.2	%
Basic Materials	2.5	%
Utilities	0.5	%
Diversified	0.3	%
Total Long-Term Investments	107.9	%
Short-Term Investments and Other Assets and Liabilities	(7.9	)%
Net Assets	100.0	%

55

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

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		47.71%		22.13%		9.59%
Class A		46.94%		21.46%		9.00%
Class A (sales load deducted)*		38.50%		20.03%		8.36%
Class Y		47.46%		21.95%		9.44%
Class L		47.25%		21.77%		9.27%
Class N		46.43%		21.10%		8.67%
Class N (CDSC fees deducted)*		45.43%		21.10%		8.67%
Russell 2000 Growth Index#		43.30%		22.58%		9.40%
Russell 2000 Index		38.82%		22.08%		9.06%

Hypothetical Investments in MassMutual Select Small Cap Growth Equity Fund Class Z, the Russell 2000 Growth Index, and the Russell 2000 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 11/15/10 - 12/31/13
Class Z		47.86%		18.95%
Russell 2000 Growth Index#		43.30%		19.64%
Russell 2000 Index		38.82%		18.25%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

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

56

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

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

The Fund seeks long-term capital appreciation by investing primarily in equity securities of smaller companies that the Fund’s subadviser believes offer potential for long-term growth. Under normal circumstances, the Fund invests at least 80% of its net assets in the securities of companies whose market capitalizations at the time of purchase are within the market capitalization range of companies included in the Russell 2000^® Index or the S&P SmallCap 600 Index. Effective September 17, 2013, Timberline Asset Management LLC (Timberline) replaced Eagle Asset Management, Inc. (Eagle) and The Boston Company Asset Management, LLC (The Boston Company), as subadviser to the Fund.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 33.92%, significantly trailing the 43.30% return of the Russell 2000 Growth Index (the “benchmark”), a widely recognized, unmanaged index that measures the performance of those Russell 2000 Index companies (representing small-capitalization U.S. common stocks) with higher price-to-book ratios and higher forecasted growth rates than securities in the value universe.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance (from January 1, 2013 – September 16, 2013, when Eagle and The Boston Company were co-subadvisers of the Fund)

In the Eagle component of the Fund, the relative returns of holdings in the information technology and health care sectors were the primary detractors from performance. Fund component holdings that detracted the most from returns included Vitamin Shoppe, Vocera Communications, and Francesca’s Holdings. Vitamin Shoppe, a specialty retailer of vitamins and other health products, experienced a slight earnings shortfall. Vocera Communications, a manufacturer of hands-free communication devices used by medical personnel, reported substantially weaker-than-expected performance and a revised outlook that was not as positive. Francesca’s Collections is a specialty women’s retailer that did not meet quarterly earnings estimates and also put out a revised outlook that was not as optimistic. The Eagle component sold its Francesca’s Collections stock due to its poor results. Conversely, the component’s energy holdings were a bright spot, mainly due to the acquisition of longtime holding Lufkin Industries by General Electric early in the year.

The Boston Company component of the Fund faced challenges from less-than-favorable stock selection in the information technology sector – particularly positioning in mobile ad developer Millennial Media, whose stock fell amid a series of revenue shortfalls by the company and the market’s initial skepticism about Millennial Media’s announced acquisition of competitor Jumptap. Conversely, effective stock selection in several sectors – particularly consumer discretionary, health care, and energy – benefited returns. Within the consumer discretionary sector, a position in film and television company Lions Gate Entertainment, which had been the Fund component’s top contributor to relative performance in 2012, continued to post sizable gains in 2013, helped by its expanding TV business and strong film franchises in a good year at the box office. A position in animation firm DreamWorks Animation SKG was also beneficial. The Fund component also fared well in health care, driven by stock selection in the biotechnology segment. In energy, the Fund component’s investment in Diamondback Energy, which acquires, develops, explores, and exploits onshore oil and natural-gas reserves, appreciated during the period, as the company executed well while maintaining a deep inventory of low-risk development opportunities complemented by substantial exploration upside potential.

Subadviser discussion of factors that contributed to the Fund’s performance (from September 17, 2013 – December 31, 2013, when Timberline was the sole subadviser of the Fund)

During this time period, the Fund was not able to keep pace with the performance of the benchmark. Sector returns were mixed, as four sectors in which the Fund invested outperformed and four underperformed. Positive contributors included holdings in industrials, financials, consumer discretionary, and health care. In mid-September, the Fund held an overweight position in information technology, relative to the benchmark. By the end of 2013, the Fund had transitioned to an underweight allocation – driven by Timberline’s search for secular growth opportunities for the Fund in a low-growth environment. The Fund’s top two holdings were both in the information technology sector. One was Responsys, which paid off just before the end of the year, when Oracle announced its intent to acquire the online marketing company. Despite the Fund’s information technology positions

57

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

posting a positive return, the sector detracted the most overall from the Fund’s relative performance. The worst-performing Fund holding was online advertising provider Tremor Video, which reported a weaker outlook for the fourth quarter of 2013. Though the Fund held consistently underweight positions in the health care sector, one Fund holding that stood out was biotechnology company Keryx Biopharmaceutials, which was the Fund’s third-best performer. The Fund increased its allocation to consumer discretionary stocks, ending the year with an overweight stake. Earlier, the Fund had reduced the weighting in this sector, anticipating a slowdown in fundamentals. As many consumer stocks pulled back, however, the Fund leveraged opportunities to invest in them at lower valuations. The Fund also initiated several new positions in this sector and increased allocations to some existing positions, which materially contributed to performance in the latter months of 2013.

Subadviser outlook

In any year, it has been Timberline’s experience that the first quarter can be challenging. Fourth-quarter earnings announcements begin toward the end of January and, historically, companies often set conservative outlooks for the year. We believe that company management teams may have been expecting a better recovery in 2013 than actually unfolded. Europe did not emerge from its economic trough to the degree that many investors had likely hoped, and the U.S. economy may not have been as strong as investors expected. We believe these factors will influence 2014 earnings guidance.

MassMutual Select Small Company Growth Fund Largest Holdings (% of Net Assets) on 12/31/13
Infoblox, Inc.	2.4	%
Responsys, Inc.	2.4	%
Shutterfly, Inc.	2.3	%
Brunswick Corp.	1.8	%
DigitalGlobe, Inc.	1.8	%
Keryx Biopharmaceuticals, Inc.	1.7	%
Imax Corp.	1.7	%
Aspen Technology, Inc.	1.7	%
Dealertrack Technologies, Inc.	1.6	%
Beazer Homes USA, Inc.	1.6	%
	19.0	%

MassMutual Select Small Company Growth Fund Sector Table (% of Net Assets) on 12/31/13
Consumer, Non-cyclical	24.4	%
Consumer, Cyclical	18.6	%
Technology	13.5	%
Communications	13.3	%
Industrial	11.8	%
Mutual Funds	10.2	%
Financial	8.7	%
Energy	3.5	%
Basic Materials	1.9	%
Diversified	1.3	%
Total Long-Term Investments	107.2	%
Short-Term Investments and Other Assets and Liabilities	(7.2	)%
Net Assets	100.0	%

58

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

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		33.92%		21.11%		6.17%
Class A		33.23%		20.55%		5.69%
Class A (sales load deducted)*		25.57%		19.13%		5.06%
Class Y		33.80%		21.04%		6.10%
Class L		33.66%		20.81%		5.95%
Russell 2000 Growth Index		43.30%		22.58%		9.40%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

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

59

MassMutual Select Diversified International Fund – Portfolio Manager Report (Unaudited)

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

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

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 21.84%, underperforming the 22.95% return of the MSCI EAFE Value Index (the “benchmark”) a subset of the MSCI EAFE Index and constituents of the Index include securities from Europe, Australasia, and the Far East. The Index generally represents approximately 50% of the free float-adjusted market capitalization of the MSCI EAFE Index and consists of those securities classified by MSCI as most representing the value style. Securities classified as value style generally tend to have higher book value to price ratios, higher forward earnings to price ratios, higher dividend yields, and lower forecasted earnings growth rates than securities representing the growth style.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund’s stock selection in the technology-hardware segment and the energy sector worked against performance during the year. From a regional perspective, the Fund’s exposure to emerging markets was the largest detractor from its full-year performance, and, to a lesser extent, stock selection in Canada also hurt relative returns. With respect to Fund holdings, Nitto Denko, the Japanese maker of specialty materials, was a major detractor. The company, a world leader in the manufacture of specialty films used in LCDs and touch screens, cut its profit forecast twice, citing fiercer competition from new entrants and weaker-than-expected demand for computer tablets. Shares of Fund holding Tullow Oil, the U.K.-based oil and gas exploration and production company, also hampered the Fund’s relative performance. The stock struggled throughout the year, as a number of the company’s new exploration projects yielded disappointing results.

Conversely, from a sector perspective, the main contributors to the Fund’s full-year performance included stock selection in basic industries and insurance and property, where the Fund’s underweight allocation, relative to the benchmark, also helped. The Fund’s regional stock selection, particularly in Continental Europe, and an underweight allocation to the Pacific Rim made the biggest contributions to returns. With respect to Fund holdings, Bayer, the German drug and chemical company, was a standout. The company’s health care unit led the way, with new drugs – including the blood thinner Xarelto, eye drug Eylea, and several new cancer drugs – contributing significantly to the company’s earnings growth, which was greater than expected. Another Fund holding, EDF, the French electric utility, performed well during the year. The French government granted the company an increase in household tariffs, and the company subsequently raised its annual profit forecast.

Subadviser outlook

Entering 2014, the global economic outlook appears fairly benign to us, with data suggesting, in our view, the potential for continued recovery for the majority of the developed world. The U.S. economy has continued to improve to the point that the Federal Reserve seems comfortable about gradually scaling back its bond-purchase program. In Europe, debt stability has been restored and we believe there could be modest growth in the region in 2014. The Japanese economy appears to be responding to the Abe government’s pro-growth policies. Combined with the fact that growth in China has stabilized, we believe that in 2014, we may experience a scenario that hasn’t unfolded in years – one where all the major economies of the world are growing simultaneously, albeit at a modest pace.

Our belief, however, is that a number of stumbling blocks could come into play in 2014. The U.S. is once again bumping up against its debt ceiling. A recent congressional compromise provides a basis for hope, but is no guarantee that the process of extending the debt ceiling will go smoothly. In Japan, export-oriented corporations are currently reaping the benefits of a weaker yen, and we believe signs of inflation have crept back into the economy. It remains to be seen how effective Abe’s policies may

60

MassMutual Select Diversified International Fund – Portfolio Manager Report (Unaudited) (Continued)

be in stimulating domestic demand on a sustained basis. In Europe, the European Central Bank plans to launch another round of stress tests for the banks, while China faces the challenge of rebalancing its economy. Depending on how these events play out in 2014, we believe that bouts of volatility could occur, particularly since equity prices may have partially factored in the good news.

MassMutual Select Diversified International Fund Largest Holdings (% of Net Assets) on 12/31/13
Vodafone Group PLC	3.6	%
HSBC Holdings PLC	3.3	%
Royal Dutch Shell PLC Class A	2.6	%
BNP Paribas	2.5	%
Mitsubishi UFJ Financial Group, Inc.	2.4	%
Bayer AG	2.2	%
Swiss Re AG	2.2	%
ENI SpA	2.1	%
AXA SA	2.0	%
Deutsche Telekom AG	1.8	%
	24.7	%

MassMutual Select Diversified International Fund Sector Table (% of Net Assets) on 12/31/13
Financial	31.2	%
Consumer, Cyclical	12.6	%
Industrial	11.1	%
Consumer, Non-cyclical	10.3	%
Communications	10.1	%
Energy	9.7	%
Basic Materials	5.2	%
Utilities	3.2	%
Diversified	2.2	%
Mutual Funds	2.1	%
Technology	2.1	%
Total Long-Term Investments	99.8	%
Short-Term Investments and Other Assets and Liabilities	0.2	%
Net Assets	100.0	%

MassMutual Select Diversified International Fund Country Weightings (% of Net Assets) on 12/31/13
United Kingdom	22.2	%
Japan	22.1	%
France	13.2	%
Germany	11.0	%
Switzerland	5.6	%
Italy	3.3	%
Sweden	3.0	%
Hong Kong	2.9	%
Netherlands	2.6	%
Australia	2.2	%
United States	2.2	%
China	1.6	%
Belgium	1.3	%
Spain	1.2	%
Finland	1.1	%
Denmark	1.0	%
Republic of Korea	0.9	%
Norway	0.9	%
India	0.6	%
Brazil	0.5	%
Canada	0.4	%
Total Long-Term Investments	99.8	%
Short-Term Investments and Other Assets and Liabilities	0.2	%
Net Assets	100.0	%

61

MassMutual Select Diversified International Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Since Inception Average Annual 12/14/06 - 12/31/13
Class S		21.84%		12.00%		-1.23%
Class A		21.28%		11.45%		-1.70%
Class A (sales load deducted)*		14.31%		10.13%		-2.52%
Class Y		21.66%		11.80%		-1.39%
Class L		21.50%		11.65%		-1.50%
MSCI EAFE Value Index		22.95%		11.99%		0.81%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

62

MM MSCI EAFE^® International Index Fund – Portfolio Manager Report (Unaudited)

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

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

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 21.71%, lagging the 22.78% return of the Index, a widely recognized, unmanaged index representative of equity securities in developed markets, excluding the U.S. and Canada.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund’s underperformance versus the Index is mainly attributable to the impact of fees and expenses necessary for the management and operation of the Fund. The Index is not subject to fees or expenses, and it is not possible to invest directly in the Index.

International developed equities outside of North America underperformed U.S. equities in 2013, as measured by the S&P 500^® Index. The countries with the largest contributions to the return of the Index for the year were Finland, Ireland, and Germany. Conversely, the countries that detracted the most from the performance of the Index included Singapore, Australia, and Norway. From a sector standpoint, the greatest contributions to returns were in telecommunications services and consumer discretionary; the weakest sectors were materials and energy.

Global developed markets performed positively in 2013, and stocks in the U.S. outperformed their international counterparts. The year began with a late deal that avoided the most significant portions of the so-called “fiscal cliff,” sparking an early rally in U.S. markets – as earnings, housing, and employment data continued to support growth expectations. Despite the positive economic data, central banks’ continuation of easy monetary policies helped drive the performance of global stock markets.

During his testimony before Congress on May 22, outgoing Federal Reserve (the “Fed”) Chairman Ben Bernanke mentioned the possibility of tapering bond purchases towards the end of the year. The news sparked a widespread stock selloff, but some share prices recovered after several Fed officials suggested that tapering of the asset purchase program known as QE might not come as soon as many feared. Toward the end of the summer, investor concerns surfaced over the possibility of an announcement of Fed tapering at the central bank’s September meeting. Consequently, markets reacted positively to the announcement that Fed tapering was not imminent – and the assurance from Bernanke that the Fed would not cut the asset purchasing program until the central bank had enough evidence to support the sustainability of economic growth.

U.S. equities ended the year strongly, partly due to positive market reactions to monetary and fiscal policy activity in Washington. Congress reached a long-term budget agreement in December, further reducing fiscal uncertainty. President Obama nominated Janet Yellen as the next Fed Chairperson, and her testimony before Congress assured markets that Fed policy would remain appropriately accommodative. (Ms. Yellen received Senate confirmation as we prepared this report.) As the year wound down, markets initially reacted positively to the Fed announcement that tapering would ultimately begin in January 2014, as investors viewed the move favorably – and perceived it as the Fed signaling confidence in the strength and sustainability of the economic recovery.

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

63

MM MSCI EAFE^® International Index Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Although it is impossible to predict the direction the global equity markets will take throughout 2014 after their positive performance in 2013, numerous forces will continue to influence the returns of equities worldwide moving forward – such as central bank policies, inflation, housing, unemployment, and geopolitical events, to name just a few. We believe, however, the Fund continues to be well positioned to pursue returns that are consistent with those of the MSCI EAFE Index.

MM MSCI EAFE International Index Fund Largest Holdings (% of Net Assets) on 12/31/13
Nestle SA	1.7	%
HSBC Holdings PLC	1.5	%
Roche Holding AG	1.5	%
Vodafone Group PLC	1.4	%
Novartis AG	1.4	%
Toyota Motor Corp.	1.2	%
BP PLC	1.1	%
Royal Dutch Shell PLC Class A	1.0	%
Total SA	1.0	%
GlaxoSmithKline PLC	1.0	%
	12.8	%

MM MSCI EAFE International Index Fund Sector Table (% of Net Assets) on 12/31/13
Financial	24.8	%
Consumer, Non-cyclical	21.4	%
Industrial	12.8	%
Consumer, Cyclical	11.7	%
Communications	7.9	%
Energy	6.5	%
Basic Materials	6.1	%
Mutual Funds	4.3	%
Utilities	3.5	%
Technology	2.3	%
Diversified	1.1	%
Total Long-Term Investments	102.4	%
Short-Term Investments and Other Assets and Liabilities	(2.4	)%
Net Assets	100.0	%

MM MSCI EAFE International Index Fund Country Weightings (% of Net Assets) on 12/31/13
United Kingdom	21.3	%
Japan	20.5	%
France	9.2	%
Germany	9.2	%
Switzerland	8.8	%
Australia	7.3	%
United States	4.3	%
Spain	3.3	%
Netherlands	3.2	%
Sweden	3.1	%
Hong Kong	2.4	%
Italy	2.0	%
Singapore	1.4	%
Belgium	1.2	%
Denmark	1.2	%
Finland	0.9	%
Norway	0.6	%
Israel	0.4	%
Luxembourg	0.4	%
Bermuda	0.3	%
Ireland	0.3	%
Channel Islands	0.3	%
Austria	0.3	%
Cayman Islands	0.2	%
Portugal	0.2	%
New Zealand	0.1	%
Mauritius	0.0	%
Total Long-Term Investments	102.4	%
Short-Term Investments and Other Assets and Liabilities	(2.4	)%
Net Assets	100.0	%

64

MM MSCI EAFE^® International Index Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MM MSCI EAFE International Index Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class I, Class Z, and the MSCI EAFE Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 7/25/12 - 12/31/13
Class S		21.71%		29.69%
Class A		21.32%		29.24%
Class A (sales load deducted)*		14.34%		24.03%
Class Y		21.60%		29.56%
Class L		21.44%		29.37%
Class I		21.95%		29.91%
Class Z		22.08%		30.04%
MSCI EAFE Index		22.78%		30.13%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

65

MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited)

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

The Fund seeks growth of capital over the long-term by investing in foreign equity securities. Under normal circumstances, the Fund invests at least 80% of its net assets in stocks of foreign companies, including companies located in Europe, Latin America, and Asia. The Fund may invest in equity securities of issuers in emerging markets. The Fund’s subadvisers are Massachusetts Financial Services Company (MFS), which was responsible for approximately 50% of the Fund’s portfolio; Harris Associates L.P. (Harris), which oversaw approximately 27% of the Fund’s portfolio; and J.P. Morgan Investment Management Inc. (J.P. Morgan), which managed approximately 23% of the Fund’s portfolio as of December 31, 2013.

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 22.39%, lagging the 22.78% return of the Morgan Stanley Capital International (MSCI^®) Europe, Australasia, Far East (EAFE^®) Index (the “benchmark”), a widely recognized, unmanaged index representative of equity securities in developed markets, excluding the U.S. and Canada.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

In the MFS component of the Fund, stock selection in the financial services and technology sectors detracted from relative performance, while health care holdings strengthened returns. In financial services, Fund component holdings banking group Standard Chartered (U.K.) and banking and treasury management firm ICIC Bank (India) – a stock not included in the benchmark – held back relative returns, as both stocks underperformed the benchmark in 2013. In technology, the poor performance of Fund component holding South Korean microchip and electronics manufacturer Samsung Electronics – another stock not included in the benchmark – worked against returns. In health care, investments in strong-performing German health care products maker Bayer and out-of-benchmark stock Canadian pharmaceutical company Valeant Pharmaceuticals International benefited relative results. Elsewhere, holdings of advertising and marketing firm WPP Group (U.K.), financial services firm ING Groep (Netherlands), Japanese automobile parts manufacturer Denso, Australia mining giant BHP Billiton, and U.S.-based automotive components manufacturer Delphi Automotive (not a benchmark constituent) were among the Fund component’s top relative contributors.

Despite strong performance overall in the Harris component of the Fund, holdings in the consumer staples and technology sectors detracted from relative performance, but the largest driver of negative performance, relative to the benchmark, was the Fund component’s lack of exposure to telecommunications stocks, which rose for the year. From a geographical perspective, Fund component holdings in Spain and Australia detracted significantly from relative performance, while investments in the U.K., Germany, and Italy were positive contributors, with U.K. financial firm Lloyds Banking Group, Germany-based consumer discretionary company Continental, and Italian financial firm Intesa Sanpaolo proving to be notable standouts. The best relative results came from Fund component holdings in the financials sector, where Japan-based Daiwa Securities Group, Ireland’s Bank of Ireland, and U.K.-headquartered Lloyds Banking Group advanced for the year. With regard to the Fund component’s use of derivatives, at year-end, the Fund component held hedges on the Australian dollar, Swedish krona, and Swiss franc. The Fund also held Japanese yen hedges. During 2013, derivatives were positive contributors to the Fund component’s performance. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Derivatives are generally used for hedging, speculation, or both.

In the J.P. Morgan Fund component, stock selection in technology-hardware and energy stocks worked against performance during the year. From a regional perspective, Fund component exposure to emerging markets was the largest detractor from its full-year performance, and, to a lesser extent, stock selection in Canada also hurt relative returns. With respect to notable individual holdings, Nitto Denko, the Japanese maker of specialty materials, was a major detractor. The company, a world leader in the manufacture of specialty films used in LCDs and touch screens, cut its profit forecast twice, citing fiercer competition from new entrants and weaker-than-expected demand for computer tablets. Fund component holding Tullow Oil, the U.K.-based oil and gas exploration and production company, underperformed on disappointing results from exploration projects in 2013 and held back relative returns. The main contributors to the Fund’s full-year performance included stock selection in basic industries and insurance and property, where the Fund’s underweight allocation, relative to the benchmark, also helped. The Fund’s regional

66

MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited) (Continued)

stock selection, particularly in Continental Europe, and an underweight allocation to the Pacific Rim made the biggest contributions to returns. Fund component holding Bayer, the German drug and chemical company, was a standout, with new drugs contributing significantly to the company’s earnings growth, which was greater than expected.

Subadviser outlook

After slow but improving economic growth, subdued inflation and robust equity performance in 2013, MFS believes the financial markets may have already factored in optimism about another good year in 2014. Other scenarios, however, could challenge this outlook – including weaker macro-economic conditions, deeper debt burdens, or greater inflationary pressures. We believe emerging markets should be considered not as one block, but individually, with each having its own reaction to tapering of bond purchases by the Federal Reserve and the political uncertainty likely to be created by upcoming elections in India, Thailand, and Indonesia, among other events.

Harris notes that even though global equities delivered strong performance in 2013, there may be additional value in global equity markets in 2014. Although stocks are not selling at the incredible bargains they were in early 2009 or 2012, with global economic growth appearing to be poised to accelerate and stock valuations that are still attractive, we believe there are reasons to be confident that global equities may continue to be an attractive asset class.

Entering 2014, the global economic outlook appears fairly benign to J.P. Morgan, with data suggesting the potential for continued recovery for the majority of the developed world. Our belief, however, is that a number of stumbling blocks could come into play in 2014. The U.S. is once again bumping up against its debt ceiling. In Japan, export-oriented corporations are currently reaping the benefits of a weaker yen, and we believe signs of inflation have crept back into the economy. In Europe, the European Central Bank plans to launch another round of stress tests for the banks, while China faces the challenge of rebalancing its economy. Depending on how these events play out in 2014, we believe that bouts of volatility could occur.

67

MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select Overseas Fund Largest Holdings (% of Net Assets) on 12/31/13
Bayer AG	2.8	%
HSBC Holdings PLC	2.3	%
Nestle SA	2.1	%
Honda Motor Co. Ltd.	2.0	%
Diageo PLC	1.6	%
ING Groep NV	1.5	%
Danone SA	1.5	%
BNP Paribas	1.5	%
Pernod-Ricard SA	1.5	%
LVMH Moet Hennessy Louis Vuitton SA	1.5	%
	18.3	%

MassMutual Select Overseas Fund Sector Table (% of Net Assets) on 12/31/13
Financial	24.8	%
Consumer, Non-cyclical	21.9	%
Consumer, Cyclical	14.6	%
Industrial	13.9	%
Basic Materials	6.1	%
Technology	6.0	%
Communications	4.8	%
Mutual Funds	4.6	%
Energy	3.9	%
Diversified	2.0	%
Utilities	1.2	%
Total Long-Term Investments	103.8	%
Short-Term Investments and Other Assets and Liabilities	(3.8	)%
Net Assets	100.0	%

MassMutual Select Overseas Fund Country Weightings (% of Net Assets) on 12/31/13
United Kingdom	20.1	%
Japan	14.5	%
France	13.1	%
Germany	12.1	%
Switzerland	11.4	%
Netherlands	7.0	%
United States	5.4	%
Sweden	2.4	%
Canada	2.4	%
Italy	2.0	%
Australia	1.9	%
Hong Kong	1.6	%
Spain	1.4	%
Taiwan	1.1	%
Republic of Korea	1.0	%
India	0.9	%
Singapore	0.9	%
Brazil	0.8	%
Bermuda	0.8	%
Israel	0.6	%
Ireland	0.6	%
China	0.4	%
Belgium	0.3	%
Finland	0.3	%
Denmark	0.3	%
Norway	0.2	%
Russia	0.2	%
Czech Republic	0.1	%
Total Long-Term Investments	103.8	%
Short-Term Investments and Other Assets and Liabilities	(3.8	)%
Net Assets	100.0	%

68

MassMutual Select Overseas Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

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

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		22.39%		15.47%		8.18%
Class A		21.86%		15.06%		7.78%
Class A (sales load deducted)*		14.86%		13.71%		7.14%
Class Y		22.27%		15.42%		8.11%
Class L		22.02%		15.35%		8.03%
Class N		21.53%		14.71%		7.45%
Class N (CDSC fees deducted)*		20.53%		14.71%		7.45%
MSCI EAFE Index		22.78%		12.44%		6.91%

Hypothetical Investments in MassMutual Select Overseas Fund Class Z and the MSCI EAFE Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 11/15/10 - 12/31/13
Class Z		22.65%		10.15%
MSCI EAFE Index		22.78%		8.44%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

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

69

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments

December 31, 2013

	Principal Amount		Value
BONDS & NOTES — 124.9%
CORPORATE DEBT — 28.6%
Banks — 7.8%
Abbey National Treasury Services PLC FRN 1.818% 4/25/14	$	2,100,000	$	2,109,230
Australia & New Zealand Banking Group Ltd. (a) 2.125% 1/10/14		2,400,000		2,400,689
Banco Santander Brasil SA (a) 4.250% 1/14/16		1,400,000		1,443,750
Banco Santander Brazil SA FRN (Acquired 3/17/11, Cost $1,200,000) (a) (b) 2.343% 3/18/14		1,200,000		1,200,086
Banco Santander Chile FRN (Acquired 1/11/11, Cost $1,000,000) (a) (b) 1.842% 1/19/16		1,000,000		993,000
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand (a) 4.125% 11/09/22		7,800,000		7,351,500
Bank of India (c) (m) 6.250% 2/16/21		3,700,000		3,790,114
Bank of Nova Scotia (a) 1.950% 1/30/17		1,000,000		1,025,400
BBVA Bancomer SA (a) 4.500% 3/10/16		500,000		530,000
BBVA Bancomer SA (a) 6.500% 3/10/21		2,400,000		2,532,000
BBVA US Senior SA FRN 2.364% 5/16/14		6,000,000		6,037,776
BNP Paribas SA FRN 1.144% 1/10/14		3,700,000		3,700,614
Credit Suisse New York 2.200% 1/14/14		800,000		800,502
Dexia Credit Local SA (a) 2.750% 4/29/14		42,345,000		42,663,858
HSBC Bank PLC (a) 2.000% 1/19/14		800,000		800,594
ICICI Bank Ltd. (a) 4.750% 11/25/16		6,400,000		6,671,271
ICICI Bank Ltd. (c) 5.500% 3/25/15		2,200,000		2,278,575
Intesa Sanpaolo SpA FRN (a) 2.638% 2/24/14		1,800,000		1,805,262
JP Morgan Chase Bank NA 6.000% 10/01/17		11,700,000		13,386,192
Korea Development Bank 3.500% 8/22/17		900,000		938,213

	Principal Amount		Value
Korea Development Bank 8.000% 1/23/14	$	1,000,000	$	1,004,107
LBG Capital No.2 PLC GBP (d) 9.125% 7/15/20		3,000,000		5,365,278
National Australia Bank Ltd. FRN (a) 0.966% 4/11/14		6,800,000		6,812,641
Nordea Bank AB (a) 2.125% 1/14/14		400,000		400,220
Sberbank of Russia Via SB Capital SA (a) 4.950% 2/07/17		3,300,000		3,498,000
Sumitomo Mitsui Banking Corp. (Acquired 1/14/11, Cost $998,810) (a) (b) 1.950% 1/14/14		1,000,000		1,000,400
UBS AG FRN 1.238% 1/28/14		1,569,000		1,570,368
				122,109,640
Building Materials — 0.0%
Corporacion GEO SAB de CV (a) (e) 9.250% 6/30/20		3,000,000		420,000
Chemicals — 0.5%
Braskem Finance Ltd. (a) 5.750% 4/15/21		2,000,000		1,960,000
Braskem Finance Ltd. (a) 7.000% 5/07/20		5,100,000		5,439,150
				7,399,150
Diversified Financial — 13.5%
Ally Financial, Inc. FRN 3.645% 6/20/14		21,600,000		21,867,192
Ally Financial, Inc. 4.500% 2/11/14		5,700,000		5,721,375
BM&F Bovespa SA (a) 5.500% 7/16/20		3,300,000		3,456,750
Citigroup, Inc. FRN 1.694% 1/13/14		2,200,000		2,200,807
Citigroup, Inc. 5.000% 9/15/14		11,700,000		12,033,275
Credit Agricole Home Loan FRN (a) 0.992% 7/21/14		5,400,000		5,416,292
Federal Home Loan Mortgage Corp. 0.875% 3/07/18		100,000		97,420
Federal Home Loan Mortgage Corp. 1.000% 3/08/17		800,000		801,362
Federal Home Loan Mortgage Corp. 1.000% 6/29/17		16,500,000		16,431,424
Federal Home Loan Mortgage Corp. 1.000% 7/28/17		15,600,000		15,513,370
Federal Home Loan Mortgage Corp. 1.000% 9/29/17		25,100,000		24,863,144
Federal Home Loan Mortgage Corp. 1.250% 8/01/19		13,200,000		12,579,712

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

70

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

	Principal Amount		Value
Federal Home Loan Mortgage Corp. 1.250% 10/02/19	$	20,300,000	$	19,245,025
Federal Home Loan Mortgage Corp. 2.375% 1/13/22		100,000		95,324
Federal Home Loan Mortgage Corp. 3.750% 3/27/19		4,800,000		5,233,713
Federal Home Loan Mortgage Corp. 5.500% 8/23/17		3,500,000		4,033,200
Federal National Mortgage Association 0.875% 8/28/17		10,600,000		10,471,613
Federal National Mortgage Association 0.875% 12/20/17		1,400,000		1,372,925
Federal National Mortgage Association 0.875% 2/08/18		700,000		683,679
Federal National Mortgage Association 0.875% 5/21/18		100,000		96,947
Federal National Mortgage Association 1.125% 4/27/17		1,200,000		1,203,783
Federal National Mortgage Association (f) 1.250% 1/30/17		11,200,000		11,317,852
Federal National Mortgage Association 1.875% 9/18/18		300,000		301,598
Federal National Mortgage Association 5.000% 2/13/17		4,700,000		5,288,297
Federal National Mortgage Association 5.000% 5/11/17		4,800,000		5,423,972
Federal National Mortgage Association 5.375% 6/12/17		8,100,000		9,265,814
Ford Motor Credit Co. LLC 8.700% 10/01/14		300,000		317,587
Macquarie Bank Ltd. (a) 6.625% 4/07/21		2,100,000		2,322,472
SLM Corp. 6.250% 1/25/16		100,000		108,000
SLM Corp. 8.450% 6/15/18		10,000,000		11,650,000
TNK-BP Finance SA (c) 7.250% 2/02/20		1,900,000		2,144,625
				211,558,549
Electric — 0.4%
Majapahit Holding BV (a) 7.750% 1/20/20		5,300,000		5,816,750

	Principal Amount		Value
Holding Company – Diversified — 0.1%
Noble Group Ltd. (c) 6.625% 8/05/20	$	1,000,000	$	1,026,250
Insurance — 1.7%
American International Group, Inc. 5.050% 10/01/15		12,500,000		13,388,050
Cincinnati Financial Corp. 6.920% 5/15/28		10,927,000		12,804,641
				26,192,691
Iron & Steel — 0.6%
CSN Islands XI Corp. (a) 6.875% 9/21/19		1,900,000		1,971,250
Gerdau Holdings, Inc. (c) 7.000% 1/20/20		7,000,000		7,630,000
GTL Trade Finance, Inc. (a) 7.250% 10/20/17		400,000		447,500
				10,048,750
Oil & Gas — 0.5%
Petrobras International Finance Co. 7.875% 3/15/19		2,300,000		2,605,306
Ras Laffan LNG 3 (c) 5.500% 9/30/14		1,800,000		1,858,500
Reliance Holdings USA, Inc. (a) 4.500% 10/19/20		4,300,000		4,248,783
				8,712,589
Retail — 0.0%
CVS Pass-Through Trust 6.943% 1/10/30		85,905		98,456
Savings & Loans — 2.7%
LBG Capital No.1 PLC GBP (c) (d) 7.588% 5/12/20		5,415,000		9,487,053
LBG Capital No.1 PLC GBP (d) 7.867% 12/17/19		7,567,000		13,282,608
LBG Capital No.1 PLC GBP (c) (d) 7.869% 8/25/20		2,906,000		5,108,140
SSIF Nevada LP FRN (a) 0.944% 4/14/14		12,500,000		12,521,500
Vnesheconombank Via VEB Finance PLC (a) 5.375% 2/13/17		1,600,000		1,706,080
				42,105,381
Telecommunications — 0.2%
Verizon Communications, Inc. FRN 1.993% 9/14/18		700,000		736,049
Verizon Communications, Inc. 2.500% 9/15/16		900,000		930,632
Verizon Communications, Inc. 3.650% 9/14/18		2,300,000		2,434,697
				4,101,378

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

71

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

	Principal Amount		Value
Transportation — 0.6%
Asciano Finance (a) 5.000% 4/07/18	$	1,700,000	$	1,802,384
DP World Sukuk Ltd. (a) 6.250% 7/02/17		7,000,000		7,700,000
				9,502,384
TOTAL CORPORATE DEBT (Cost $437,409,453)				449,091,968
MUNICIPAL OBLIGATIONS — 3.4%
Bay Area Toll Authority BAB 6.918% 4/01/40		6,300,000		7,539,903
Denver Public Schools BAB 6.220% 12/15/26		4,300,000		4,669,155
Irvine Ranch Water District BAB 6.622% 5/01/40		6,700,000		7,931,661
Metropolitan Government of Nashville & Davidson County Convention Center Authority BAB 6.731% 7/01/43		100,000		110,139
New York City Municipal Water Finance Authority BAB 6.124% 6/15/42		10,000,000		10,648,200
New York Liberty Development Corp. 5.000% 12/15/41		200,000		202,876
New York State Dormitory Authority 5.051% 9/15/27		600,000		613,260
New York State Thruway Authority 5.000% 3/15/30		10,100,000		10,859,419
San Diego County Regional Airport Authority BAB 6.628% 7/01/40		5,000,000		5,375,700
State of California BAB 7.950% 3/01/36		700,000		809,214
State of California BAB 5.700% 11/01/21		3,500,000		3,925,285
				52,684,812
TOTAL MUNICIPAL OBLIGATIONS (Cost $50,088,220)				52,684,812
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 10.3%
Commercial MBS — 5.3%
Banc of America Large Loan, Inc., Series 2009-UB2, Class A4AA VRN (a) 5.680% 2/24/51		6,500,000		7,304,635
BCRR Trust, Series 2009-1, Class 2A2 VRN (a) 5.858% 7/17/40		31,036,000		33,595,167

	Principal Amount		Value
Credit Suisse Commercial Mortgage Trust, Series 2008-C1, Class A3 VRN 6.032% 2/15/41	$	2,800,000	$	3,155,296
European Loan Conduit, Series 25A, Class A FRN EUR (a) (d) 0.368% 5/15/19		2,803,512		3,748,963
European Loan Conduit, Series 25X, Class A FRN EUR (c) (d) 0.368% 5/15/19		65,965		88,252
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4 5.700% 9/12/49		2,500,000		2,790,126
Morgan Stanley Reremic Trust, Series 2010-GG10, Class A4A VRN (a) 5.804% 8/15/45		25,000,000		27,314,475
Titan Europe PLC, Series 2007-3X, Class A1 FRN GBP (c) (d) 0.797% 10/23/16		2,630,759		4,240,960
				82,237,874
Home Equity ABS — 1.2%
Carrington Mortgage Loan Trust, Series 2006-RFC1, Class A3 FRN 0.315% 5/25/36		2,841,569		2,616,784
Countrywide Asset-Backed Certificates, Series 2004-5, Class M1 FRN 1.020% 8/25/34		2,800,000		2,562,662
Countrywide Asset-Backed Certificates, Series 2005-14, Class 3A3 FRN 0.515% 4/25/36		1,000,000		950,583
First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4 FRN 0.525% 10/25/35		2,700,000		2,406,632
Home Equity Asset Trust, Series 2003-4, Class M1 FRN 1.365% 10/25/33		6,716,590		6,498,489
IXIS Real Estate Capital Trust, Series 2005-HE2, Class M4 FRN 1.095% 9/25/35		2,700,000		2,391,934
Lehman XS Trust, Series 2005-4, Class 1A3 FRN 0.565% 10/25/35		1,642,630		1,599,462
				19,026,546
Other ABS — 0.6%
Hillmark Funding, Series 2006-1A, Class A1 FRN (a) 0.489% 5/21/21		3,800,000		3,704,134

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

72

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

	Principal Amount		Value
Penta CLO 1 SA, Series 2007-1X, Class A1 FRN EUR (c) (d) 0.551% 6/04/24	$	968,307	$	1,287,858
RAAC Series 2007-SP1 Trust, Series 2007-SP1, Class M1 FRN 0.735% 3/25/37		4,600,000		4,082,854
				9,074,846
Student Loans ABS — 0.7%
SLM Student Loan Trust, Series 2012-C, Class A1 FRN (a) 1.267% 8/15/23		11,307,034		11,349,015
WL Collateral CMO — 2.5%
Arran Residential Mortgages Funding PLC, Series 2010-1A, Class A2B FRN EUR (a) (d) 1.617% 5/16/47		1,429,845		1,994,280
Chase Mortgage Finance Corp., Series 2006-A1, Class 4A1 FRN 5.640% 9/25/36		256,932		237,350
Granite Master Issuer PLC, Series 2005-2, Class A6 FRN 0.427% 12/20/54		1,378,551		1,363,619
Granite Master Issuer PLC, Series 2006-4, Class A7 FRN EUR (c) (d) 0.465% 12/20/54		1,674,782		2,284,412
Granite Master Issuer PLC, Series 2006-3, Class A5 FRN EUR (d) 0.465% 12/20/54		3,279,995		4,473,933
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 FRN 2.671% 9/25/35		3,935,398		3,980,973
Holmes Master Issuer PLC, Series 2011-1A, Class A3 FRN EUR (a) (d) 1.577% 10/15/54		568,505		785,711
Indymac Index Mortgage Loan Trust, Series 2006-AR13, Class A3 FRN 4.909% 7/25/36		9,031,605		8,187,589
JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1 FRN 0.425% 1/25/36		3,544,129		3,306,883
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2 FRN 2.867% 8/25/35		3,160,747		3,115,430
Opteum Mortgage Acceptance Corp., Series 2005-5, Class 1APT FRN 0.445% 12/25/35		2,954,551		2,613,828
RALI Trust, Series 2006-QA7, Class 2A1 FRN 0.350% 8/25/36		2,008,409		1,512,323

	Principal Amount		Value
TBW Mortgage-Backed Trust, Series 2006-4, Class A3 FRN 0.365% 9/25/36	$	140,583	$	123,350
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class IIA1 FRN 2.645% 2/25/34		1,845,104		1,857,743
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 1A1 5.000% 3/25/36		3,642,025		3,671,951
				39,509,375
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $145,684,644)				161,197,656
SOVEREIGN DEBT OBLIGATIONS — 5.1%
Autonomous Community of Valencia Spain EUR (d) 4.375% 7/16/15		300,000		420,838
Banco Nacional de Desenvolvimento Economico e Social (a) 3.375% 9/26/16		500,000		505,000
Italy Buoni Poliennali del Tesoro EUR (d) 2.500% 3/01/15		3,500,000		4,898,150
Italy Buoni Poliennali del Tesoro EUR (d) 3.000% 11/01/15		3,600,000		5,110,384
Italy Buoni Poliennali del Tesoro EUR (d) 3.750% 8/01/15		200,000		285,925
Italy Buoni Poliennali Del Tesoro EUR (d) 3.750% 4/15/16		3,100,000		4,481,740
Italy Buoni Poliennali del Tesoro EUR (d) 4.500% 7/15/15		5,700,000		8,231,185
Italy Buoni Poliennali del Tesoro EUR (d) 6.000% 11/15/14		200,000		287,136
Italy Certificati di Credito del Tesoro EUR (d) 0.000% 12/31/14		700,000		954,311
Italy Certificati di Credito del Tesoro EUR (d) 0.000% 6/30/15		3,000,000		4,056,062
Korea Housing Finance Corp. (a) 4.125% 12/15/15		400,000		420,625
Province of Ontario Canada 1.000% 7/22/16		100,000		100,341

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

73

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

	Principal Amount		Value
Province of Ontario Canada 1.600% 9/21/16	$	2,100,000	$	2,140,259
Province of Ontario Canada 1.650% 9/27/19		1,800,000		1,727,640
Province of Ontario Canada 3.000% 7/16/18		400,000		419,600
Province of Ontario Canada CAD (d) 3.150% 6/02/22		1,000,000		925,987
Province of Ontario Canada CAD (d) 4.000% 6/02/21		9,800,000		9,772,876
Province of Ontario Canada CAD (d) 4.200% 6/02/20		3,100,000		3,153,114
Province of Ontario Canada CAD (d) 4.400% 6/02/19		1,300,000		1,337,547
Province of Ontario Canada 4.400% 4/14/20		1,000,000		1,097,200
Province of Ontario Canada CAD (d) 5.500% 6/02/18		300,000		320,478
Province of Quebec Canada 3.500% 7/29/20		1,400,000		1,453,340
Province of Quebec Canada CAD (d) 3.500% 12/01/22		3,800,000		3,573,163
Province of Quebec Canada CAD (d) 4.250% 12/01/21		7,600,000		7,638,134
Spain Government Bond EUR (d) 3.150% 1/31/16		1,700,000		2,411,291
Spain Government Bond EUR (d) 3.750% 10/31/15		2,500,000		3,582,356
Spain Government Bond EUR (d) 4.000% 7/30/15		200,000		285,438
Spain Government Bond EUR (d) 4.750% 7/30/14		7,900,000		11,101,796
				80,691,916
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $82,222,265)				80,691,916
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 46.2%
Pass-Through Securities — 46.2%
Federal Home Loan Mortgage Corp. Pool #C03701 4.500% 9/01/41		851,161		901,366
Federal Home Loan Mortgage Corp. TBA Pool #6222 4.500% 6/01/39 (g)		1,000,000		1,058,750
Federal National Mortgage Association Pool #AM0359 2.310% 8/01/22		2,200,000		2,014,298
Pool #470529 2.475% 4/01/19		2,800,000		2,840,078

	Principal Amount		Value
Pool #AM0414 2.870% 9/01/27	$	1,500,000	$	1,304,530
Pool #AB1826 3.000% 11/01/20		1,722,674		1,791,177
Pool #MA0605 3.000% 12/01/20		2,036,153		2,117,122
Pool #MA0658 3.000% 2/01/21		114,047		118,583
Pool #AL0579 3.000% 8/01/21		433,347		450,444
Pool #MA0865 3.000% 10/01/21		67,355		70,013
Pool #AK0282 3.000% 12/01/21		349,468		363,256
Pool #MA0921 3.000% 12/01/21		804,346		836,080
Pool #AB4551 3.000% 3/01/22		750,496		780,106
Pool #MA1014 3.000% 3/01/22		540,813		562,149
Pool #MA1030 3.000% 4/01/22		505,477		525,419
Pool #AB5079 3.000% 5/01/22		1,659,367		1,723,279
Pool #AB1768 3.000% 11/01/25		17,965		18,343
Pool #AO3400 3.000% 5/01/27		3,688,662		3,766,758
Pool #AB6842 3.000% 11/01/27		514,357		525,247
Pool #AS0501 3.000% 9/01/28		3,847,434		3,928,891
Pool #AV0081 3.000% 9/01/28		189,898		193,918
Pool #AV1084 3.000% 9/01/28		1,865,410		1,904,904
Pool #AT6170 3.000% 10/01/28		376,812		384,790
Pool #AU0819 3.000% 10/01/28		1,879,417		1,919,208
Pool #AU3500 3.000% 10/01/28		70,692		72,189
Pool #AU6182 3.000% 10/01/28		2,398,027		2,448,798
Pool #AU5689 3.000% 10/01/28		508,630		519,398
Pool #AU6961 3.000% 10/01/28		586,171		598,582
Pool #AU7545 3.000% 10/01/28		55,191		56,411
Pool #AU7896 3.000% 10/01/28		208,653		213,070

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

74

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

	Principal Amount		Value
Pool #AU7900 3.000% 10/01/28	$	237,569	$	242,599
Pool #AU8679 3.000% 10/01/28		101,294		103,439
Pool #AV0824 3.000% 10/01/28		1,318,498		1,346,413
Pool #AV1494 3.000% 10/01/28		880,694		899,340
Pool #AV1495 3.000% 10/01/28		321,129		327,928
Pool #AK8347 3.000% 11/01/28		511,292		522,117
Pool #AD5102 3.500% 12/01/25		130,895		137,112
Pool #AE2913 3.500% 12/01/25		117,686		123,276
Pool #AH0397 3.500% 12/01/25		921,623		965,400
Pool #AE7095 3.500% 12/01/25		906,123		949,164
Pool #AH1884 3.500% 1/01/26		217,235		227,554
Pool #MA0617 3.500% 1/01/26		156,230		163,651
Pool #310096 3.500% 8/01/26		109,198		114,385
Pool #MA1204 3.500% 10/01/42		2,873,668		2,860,198
Pool #AV2600 3.500% 11/01/43		416,762		414,808
Pool #930587 4.000% 2/01/24		57,059		60,454
Pool #992772 4.000% 3/01/24		70,770		74,980
Pool #AA2191 4.000% 3/01/24		4,542		4,812
Pool #AA2380 4.000% 3/01/24		26,149		27,705
Pool #AA3048 4.000% 3/01/24		52,907		56,054
Pool #AA4527 4.000% 3/01/24		59,953		63,520
Pool #AA5023 4.000% 3/01/24		69,245		73,364
Pool #994720 4.000% 4/01/24		57,065		60,460
Pool #AA3174 4.000% 4/01/24		862,926		914,263
Pool #AA4004 4.000% 4/01/24		20,467		21,685
Pool #AA4340 4.000% 4/01/24		3,449,591		3,654,815

	Principal Amount		Value
Pool #AA5292 4.000% 4/01/24	$	58,059	$	61,513
Pool #AA4617 4.000% 4/01/24		23,216		24,597
Pool #AA5022 4.000% 4/01/24		3,591		3,804
Pool #AA5105 4.000% 4/01/24		2,589		2,743
Pool #AA5196 4.000% 4/01/24		828,009		877,269
Pool #930848 4.000% 4/01/24		3,793,312		4,018,985
Pool #934835 4.000% 4/01/24		14,979		15,870
Pool #935207 4.000% 4/01/24		48,116		50,978
Pool #AA5712 4.000% 4/01/24		25,090		26,583
Pool #AA5465 4.000% 5/01/24		52,863		56,008
Pool #AA6326 4.000% 5/01/24		19,795		20,973
Pool #993382 4.000% 6/01/24		1,529,644		1,620,646
Pool #AC4097 4.000% 8/01/24		61,804		65,500
Pool #AD3975 4.000% 6/01/25		86,722		91,909
Pool #AD9130 4.000% 8/01/25		90,898		96,320
Pool #AI2022 4.000% 4/01/26		366,173		388,015
Pool #AE4338 4.000% 9/01/30		103,115		108,577
Pool #MA0534 4.000% 10/01/30		325,851		343,111
Pool #AC0903 4.000% 8/01/39		69,095		71,265
Pool #932541 4.000% 2/01/40		30,657		31,620
Pool #AE6120 4.000% 10/01/40		366,440		377,948
Pool #AH0248 4.000% 11/01/40		756,792		780,560
Pool #AE4995 4.000% 11/01/40		335,666		346,208
Pool #AE9544 4.000% 11/01/40		56,303		58,071
Pool #AH2730 4.000% 12/01/40		647,195		667,521
Pool #AB2086 4.000% 1/01/41		30,571		31,531

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

75

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

	Principal Amount		Value
Pool #AI0926 4.000% 4/01/41	$	895,699	$	923,829
Pool #AB3026 4.000% 5/01/41		352,838		363,919
Pool #AI5826 4.000% 9/01/41		16,732		17,257
Pool #AI9818 4.000% 9/01/41		35,381		36,492
Pool #AJ2665 4.000% 10/01/41		34,876		35,971
Pool #AJ4052 4.000% 10/01/41		252,333		260,258
Pool #AJ3496 4.000% 11/01/41		170,428		175,780
Pool #AJ3797 4.000% 11/01/41		10,698,724		11,034,731
Pool #AJ4679 4.000% 11/01/41		493,015		508,499
Pool #AB3940 4.000% 11/01/41		1,251,532		1,290,838
Pool #AI9441 4.000% 11/01/41		943,355		972,982
Pool #AJ5915 4.000% 11/01/41		131,223		135,344
Pool #AJ4460 4.000% 12/01/41		772,394		796,652
Pool #AJ5702 4.000% 12/01/41		237,324		244,778
Pool #AJ6511 4.000% 12/01/41		441,925		455,805
Pool #AK0425 4.000% 1/01/42		565,979		583,755
Pool #AB4528 4.000% 2/01/42		31,765		32,763
Pool #AK4443 4.000% 6/01/42		215,355		222,118
Pool #889907 4.500% 10/01/20		151,004		160,513
Pool #AA6704 4.500% 3/01/23		113,973		121,150
Pool #995282 4.500% 4/01/23		63,268		67,370
Pool #983629 4.500% 5/01/23		7,288		7,767
Pool #257277 4.500% 7/01/23		14,672		15,637
Pool #255217 4.500% 4/01/24		191,374		205,854
Pool #931412 4.500% 6/01/24		239,111		255,064

	Principal Amount		Value
Pool #AA7525 4.500% 6/01/24	$	468,293	$	499,537
Pool #932561 4.500% 2/01/25		170,883		182,444
Pool #AD3832 4.500% 4/01/25		992,203		1,059,331
Pool #AD7877 4.500% 6/01/25		379,905		405,608
Pool #AE0791 4.500% 12/01/25		220,641		235,569
Pool #930997 4.500% 4/01/29		5,606,520		6,000,947
Pool #MA0096 4.500% 6/01/29		144,988		155,188
Pool #AB1129 4.500% 6/01/30		119,538		128,171
Pool #AD6404 4.500% 6/01/30		36,855		39,517
Pool #812104 4.500% 2/01/35		62,048		65,929
Pool #815715 4.500% 4/01/35		48,729		51,762
Pool #829583 4.500% 7/01/35		2,915		3,096
Pool #832199 4.500% 7/01/35		109,008		115,791
Pool #745044 4.500% 8/01/35		48,646		51,673
Pool #835760 4.500% 9/01/35		1,376,826		1,462,070
Pool #AA1258 4.500% 10/01/35		953,947		1,013,308
Pool #745147 4.500% 12/01/35		161,523		171,523
Pool #AA4986 4.500% 3/01/39		381,849		406,445
Pool #AA7407 4.500% 6/01/39		330,206		350,650
Pool #AC0380 4.500% 7/01/39		318,981		338,332
Pool #931778 4.500% 8/01/39		21,277		22,594
Pool #AA9845 4.500% 8/01/39		13,666		14,495
Pool #AC2749 4.500% 8/01/39		19,690		20,909
Pool #AC2643 4.500% 10/01/39		24,860		26,368
Pool #AC2276 4.500% 1/01/40		29,089		30,854
Pool #AC8913 4.500% 1/01/40		32,211		34,165

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

76

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

	Principal Amount		Value
Pool #AC8568 4.500% 1/01/40	$	149,525	$	158,595
Pool #932389 4.500% 1/01/40		2,280,022		2,418,337
Pool #932391 4.500% 1/01/40		5,998,328		6,362,212
Pool #AD1593 4.500% 2/01/40		1,887,958		2,002,489
Pool #932473 4.500% 2/01/40		90,518		96,009
Pool #AD1656 4.500% 3/01/40		2,818,075		2,989,031
Pool #AD1654 4.500% 3/01/40		834,341		887,823
Pool #AD1079 4.500% 3/01/40		388,606		412,180
Pool #AD1540 4.500% 3/01/40		268,385		284,666
Pool #AD3808 4.500% 4/01/40		927,011		983,247
Pool #AD7730 4.500% 7/01/40		27,145,419		28,792,171
Pool #AD7793 4.500% 7/01/40		20,368		21,603
Pool #AB1226 4.500% 7/01/40		58,086		61,610
Pool #AD9143 4.500% 8/01/40		402,773		427,207
Pool #AE3621 4.500% 8/01/40		427,424		453,353
Pool #AE2100 4.500% 8/01/40		346,290		367,297
Pool #AB1389 4.500% 8/01/40		41,586		44,109
Pool #AD9137 4.500% 8/01/40		82,682		87,697
Pool #AE2830 4.500% 9/01/40		20,217		21,443
Pool #AE3151 4.500% 9/01/40		162,686		172,555
Pool #AB1475 4.500% 9/01/40		457,025		484,750
Pool #AE0395 4.500% 10/01/40		2,322,005		2,462,867
Pool #AE5471 4.500% 10/01/40		1,407,260		1,492,630
Pool #AE1611 4.500% 10/01/40		2,477,847		2,628,164
Pool #AE3204 4.500% 10/01/40		329,420		349,404
Pool #AE6437 4.500% 10/01/40		511,180		542,190

	Principal Amount		Value
Pool #AE8864 4.500% 11/01/40	$	515,133	$	546,383
Pool #AE6311 4.500% 11/01/40		215,389		228,455
Pool #AE7731 4.500% 11/01/40		599,746		636,129
Pool #890310 4.500% 12/01/40		14,213,354		15,075,594
Pool #AH2396 4.500% 1/01/41		65,059		69,006
Pool #AE0984 4.500% 2/01/41		27,176		28,825
Pool #AH4660 4.500% 2/01/41		21,358		22,653
Pool #AH4232 4.500% 3/01/41		561,574		595,641
Pool #AB2811 4.500% 4/01/41		390,747		414,451
Pool #AH9873 4.500% 4/01/41		856,016		907,945
Pool #AI1116 4.500% 4/01/41		517,695		549,101
Pool #AH4709 4.500% 4/01/41		110,788		117,509
Pool #AH9142 4.500% 4/01/41		116,306		123,362
Pool #AL0160 4.500% 5/01/41		1,950,543		2,068,871
Pool #AI0290 4.500% 5/01/41		150,095		159,201
Pool #AI1888 4.500% 5/01/41		15,832		16,793
Pool #AH7861 4.500% 5/01/41		197,432		209,409
Pool #AI0756 4.500% 6/01/41		590,903		626,750
Pool #AI2634 4.500% 6/01/41		21,072		22,350
Pool #MA0755 4.500% 6/01/41		1,620,255		1,718,546
Pool #AI1586 4.500% 6/01/41		450,932		478,287
Pool #AE4559 4.500% 6/01/41		43,205		45,826
Pool #AE5634 4.500% 6/01/41		14,490		15,369
Pool #AI5737 4.500% 6/01/41		60,213		63,866
Pool #AI7784 4.500% 7/01/41		19,997		21,210
Pool #AH3853 4.500% 7/01/41		439,633		466,303

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

77

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

	Principal Amount		Value
Pool #AI6553 4.500% 7/01/41	$	129,470	$	137,324
Pool #AI5094 4.500% 8/01/41		1,837,875		1,949,368
Pool #AL0658 4.500% 8/01/41		22,150		23,493
Pool #AI0814 4.500% 8/01/41		611,328		648,414
Pool #AI6643 4.500% 8/01/41		476,789		505,713
Pool #MA0843 4.500% 9/01/41		2,968,310		3,148,380
Pool #AJ1677 4.500% 9/01/41		18,464		19,584
Pool #MA0967 4.500% 12/01/41		23,726		25,172
Pool #AL2122 4.500% 1/01/42		1,876,116		1,989,929
Pool #AL4023 4.500% 1/01/42		28,134		29,841
Pool #AJ9736 4.500% 1/01/42		1,078,405		1,144,162
Pool #MA1066 4.500% 4/01/42		29,424		31,218
Pool #MA1111 4.500% 7/01/42		25,608		27,169
Pool #MA1159 4.500% 8/01/42		645,460		684,818
Pool #AV1590 4.500% 11/01/43		26,914		28,555
Pool #256713 5.000% 5/01/27		263,944		287,008
Pool #257101 5.000% 2/01/28		65,468		71,189
Pool #257163 5.000% 4/01/28		75,836		82,487
Pool #730728 5.000% 8/01/33		476,473		517,365
Pool #808338 5.000% 8/01/33		60,031		65,183
Pool #725231 5.000% 2/01/34		69,034		74,960
Pool #725205 5.000% 3/01/34		347,073		376,891
Pool #773682 5.000% 4/01/34		121,090		131,520
Pool #807167 5.000% 1/01/35		1,459,067		1,584,741
Pool #735288 5.000% 3/01/35		1,443,277		1,567,591
Pool #815971 5.000% 3/01/35		559,254		607,337

	Principal Amount		Value
Pool #828296 5.000% 4/01/35	$	166,307	$	180,606
Pool #824421 5.000% 5/01/35		76,918		83,532
Pool #833958 5.000% 7/01/35		89,929		97,661
Pool #828547 5.000% 8/01/35		40,662		44,152
Pool #826716 5.000% 8/01/35		1,541,781		1,674,338
Pool #833215 5.000% 9/01/35		2,383,150		2,587,673
Pool #888343 5.000% 11/01/35		21,730		23,598
Pool #745573 5.000% 5/01/36		751,025		815,478
Pool #889659 5.000% 12/01/36		39,475		42,869
Pool #AA0974 5.000% 2/01/37		25,550		27,742
Pool #310068 5.000% 7/01/37		648,635		704,402
Pool #889479 5.000% 7/01/37		581,761		631,778
Pool #AL0527 5.000% 2/01/38		40,705		44,205
Pool #991101 5.000% 12/01/38		40,224		43,864
Pool #AL2629 5.000% 6/01/39		38,192		41,475
Pool #995926 5.000% 6/01/39		1,257,918		1,365,873
Pool #AA9701 5.000% 7/01/39		82,566		89,652
Pool #AD7136 5.000% 7/01/40		200,834		218,070
Pool #AD9548 5.000% 7/01/40		2,687,607		2,918,258
Pool #AE5002 5.000% 11/01/40		77,385		84,401
Pool #AB2350 5.000% 2/01/41		205,850		223,516
Pool #AH8146 5.000% 4/01/41		133,576		146,042
Pool #AH8434 5.000% 4/01/41		373,734		405,808
Pool #AL0933 5.000% 10/01/41		268,070		291,076
Pool #AJ6307 5.000% 12/01/41		174,549		189,692
Pool #AQ1351 5.000% 11/01/42		296,809		324,229

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

78

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

	Principal Amount		Value
Pool #256714 5.500% 5/01/27	$	91,870	$	100,866
Pool #257204 5.500% 5/01/28		56,473		62,003
Pool #257325 5.500% 8/01/28		233,983		256,897
Pool #AD0836 5.500% 11/01/28		282,290		309,934
Pool #257499 5.500% 12/01/28		1,464,951		1,608,413
Pool #257537 5.500% 1/01/29		69,557		76,368
Pool #AD0912 5.500% 4/01/29		951,003		1,044,134
Pool #730155 5.500% 8/01/33		180,851		199,210
Pool #736576 5.500% 10/01/33		2,990		3,295
Pool #555876 5.500% 10/01/33		5,254		5,787
Pool #755913 5.500% 11/01/33		4,473		4,931
Pool #737880 5.500% 12/01/33		2,327		2,564
Pool #782202 5.500% 12/01/33		422,401		465,230
Pool #725383 5.500% 1/01/34		372,637		410,556
Pool #255028 5.500% 1/01/34		14,879		16,394
Pool #725206 5.500% 2/01/34		184,555		203,331
Pool #773025 5.500% 3/01/34		59,659		65,725
Pool #780921 5.500% 6/01/34		190,391		209,631
Pool #735141 5.500% 1/01/35		192,936		212,433
Pool #735358 5.500% 2/01/35		105,313		115,889
Pool #799075 5.500% 3/01/35		384,063		422,875
Pool #827962 5.500% 4/01/35		10,185		11,203
Pool #835319 5.500% 11/01/35		738,116		812,245
Pool #190367 5.500% 1/01/36		364,132		400,361
Pool #845341 5.500% 1/01/36		4,460		4,904
Pool #850314 5.500% 1/01/36		21,474		23,611

	Principal Amount		Value
Pool #850439 5.500% 2/01/36	$	20,595	$	22,664
Pool #745418 5.500% 4/01/36		51,580		56,712
Pool #831483 5.500% 5/01/36		77,338		85,008
Pool #891588 5.500% 5/01/36		2,883		3,169
Pool #995112 5.500% 7/01/36		27,810		30,603
Pool #887653 5.500% 7/01/36		3,344		3,675
Pool #887673 5.500% 8/01/36		1,177		1,293
Pool #903778 5.500% 11/01/36		66,815		73,421
Pool #AD2612 5.500% 11/01/36		66,874		73,527
Pool #888572 5.500% 12/01/36		362,519		398,191
Pool #258903 5.500% 12/01/36		104,145		114,393
Pool #888538 5.500% 1/01/37		118,863		130,689
Pool #889584 5.500% 1/01/37		49,310		54,239
Pool #888129 5.500% 2/01/37		2,039,891		2,240,613
Pool #928197 5.500% 3/01/37		52,201		57,337
Pool #888816 5.500% 3/01/37		2,116,114		2,325,990
Pool #918527 5.500% 4/01/37		194,971		214,156
Pool #256673 5.500% 4/01/37		3,708,288		4,073,178
Pool #918298 5.500% 5/01/37		427,834		469,732
Pool #190379 5.500% 5/01/37		13,596,018		14,933,845
Pool #937906 5.500% 7/01/37		3,875		4,255
Pool #AD0490 5.500% 8/01/37		100,000		109,949
Pool #256843 5.500% 8/01/37		87,508		96,078
Pool #AE0188 5.500% 8/01/37		197,185		216,896
Pool #256895 5.500% 9/01/37		558,270		612,941
Pool #968512 5.500% 1/01/38		34,249		37,603

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

79

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

	Principal Amount		Value
Pool #933120 5.500% 1/01/38	$	2,167	$	2,379
Pool #889517 5.500% 2/01/38		48,998		53,796
Pool #961589 5.500% 2/01/38		655,113		719,268
Pool #975186 5.500% 3/01/38		495,041		543,830
Pool #962073 5.500% 3/01/38		7,259,759		7,970,705
Pool #962371 5.500% 3/01/38		356,448		391,355
Pool #962641 5.500% 4/01/38		280,112		307,544
Pool #889468 5.500% 5/01/38		1,312,752		1,441,309
Pool #962915 5.500% 5/01/38		641,954		704,821
Pool #889533 5.500% 6/01/38		6,547,222		7,188,389
Pool #963597 5.500% 6/01/38		50,900		55,885
Pool #984277 5.500% 6/01/38		388,592		426,647
Pool #889996 5.500% 6/01/38		3,222,385		3,537,953
Pool #995018 5.500% 6/01/38		10,095,154		11,088,501
Pool #982514 5.500% 7/01/38		244,189		268,102
Pool #929737 5.500% 7/01/38		494,081		542,466
Pool #929826 5.500% 8/01/38		31,938		35,086
Pool #AD0963 5.500% 9/01/38		379,172		417,134
Pool #889982 5.500% 11/01/38		4,205,814		4,617,688
Pool #AB0535 5.500% 1/01/39		469,829		515,839
Pool #AA3642 5.500% 4/01/39		38,878		43,074
Pool #AC2754 5.500% 8/01/39		580,409		637,249
Pool #AD0242 5.500% 9/01/39		667,248		734,051
Pool #AC6150 5.500% 11/01/39		1,714,937		1,882,880
Pool #932511 5.500% 2/01/40		232,382		255,648
Pool #AD4567 5.500% 4/01/40		25,814		28,342

	Principal Amount		Value
Pool #AL0414 5.500% 9/01/40	$	716,717	$	786,905
Pool #357829 6.000% 6/01/35		700,392		775,684
Pool #896019 6.000% 8/01/36		14,742		16,327
Pool #994197 6.000% 12/01/38		24,122		26,715
Pool #AE0394 6.000% 1/01/39		19,874		22,010
Pool #AL0013 6.000% 4/01/40		1,344,191		1,488,692
Pool #AL0152 6.000% 6/01/40		632,009		699,950
Pool #AL3365 6.000% 5/01/41		4,807,554		5,324,366
Federal National Mortgage Association TBA Pool #1312 3.000% 4/01/27 (g)		104,000,000		106,096,245
Pool #1438 3.500% 4/01/26 (g)		96,000,000		100,402,502
Pool #9174 4.000% 6/01/41 (g)		41,000,000		42,249,221
Pool #3534 4.500% 10/01/39 (g)		113,100,000		119,567,906
Pool #29800 5.000% 3/01/37 (g)		57,000,000		61,942,972
Pool #26607 5.000% 3/01/37 (g)		1,000,000		1,083,203
Government National Mortgage Association Pool #670848 5.000% 1/15/38		15,702		17,063
Pool #676882 5.000% 3/15/38		666,875		724,236
Pool #782487 5.000% 12/15/38		887,461		967,125
Pool #701354 5.000% 2/15/39		457,361		496,701
Pool #716783 5.000% 4/15/39		3,104,039		3,371,035
Pool #782632 5.000% 4/15/39		75,145		81,984
Pool #721292 5.000% 6/15/40		16,089		17,550
Pool #743991 5.000% 11/15/40		88,719		97,441
Pool #760376 5.000% 9/15/41		72,232		78,852

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

80

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

	Principal Amount		Value
Pool #760389 5.000% 10/15/41	$	1,691,023	$	1,836,477
				725,827,106
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $726,951,959)				725,827,106
U.S. TREASURY OBLIGATIONS — 31.3%
U.S. Treasury Bonds & Notes — 31.3%
U.S. Treasury Inflation Index (h) 0.125% 4/15/17		616,998		634,158
U.S. Treasury Inflation Index 0.125% 1/15/22		4,127,800		3,967,204
U.S. Treasury Inflation Index 0.125% 7/15/22		3,859,546		3,697,024
U.S. Treasury Inflation Index 0.375% 7/15/23		602,184		580,778
U.S. Treasury Inflation Index 0.625% 7/15/21		103,630		105,193
U.S. Treasury Inflation Index 1.125% 1/15/21		427,088		448,876
U.S. Treasury Inflation Index 1.250% 7/15/20		1,606,470		1,718,672
U.S. Treasury Inflation Index 1.750% 1/15/28		19,733,553		21,127,235
U.S. Treasury Inflation Index 2.000% 1/15/26		9,296,641		10,291,670
U.S. Treasury Inflation Index 2.375% 1/15/25		4,584,670		5,269,863
U.S. Treasury Inflation Index 2.375% 1/15/27		69,954,676		80,579,042
U.S. Treasury Inflation Index 2.500% 1/15/29		761,509		894,892
U.S. Treasury Note 0.250% 12/31/15		2,100,000		2,094,215
U.S. Treasury Note 0.375% 1/15/16		4,700,000		4,698,042
U.S. Treasury Note 0.500% 12/15/16		62,300,000		62,046,096
U.S. Treasury Note 0.500% 7/31/17		2,400,000		2,349,563
U.S. Treasury Note 0.625% 7/15/16		2,200,000		2,202,607
U.S. Treasury Note 0.625% 10/15/16		13,700,000		13,674,491
U.S. Treasury Note 0.625% 11/15/16		11,800,000		11,764,200
U.S. Treasury Note 0.625% 5/31/17		3,600,000		3,553,031
U.S. Treasury Note 0.625% 8/31/17		2,400,000		2,355,031

	Principal Amount		Value
U.S. Treasury Note 0.750% 2/28/18	$	69,400,000	$	67,571,928
U.S. Treasury Note (f) 0.750% 3/31/18		61,100,000		59,364,057
U.S. Treasury Note 0.875% 9/15/16		9,100,000		9,154,150
U.S. Treasury Note 0.875% 12/31/16		4,900,000		4,910,782
U.S. Treasury Note 0.875% 1/31/17		7,700,000		7,707,319
U.S. Treasury Note 0.875% 2/28/17		4,100,000		4,099,466
U.S. Treasury Note 0.875% 4/30/17		5,500,000		5,483,529
U.S. Treasury Note 1.000% 8/31/16		900,000		908,449
U.S. Treasury Note 1.000% 3/31/17		1,200,000		1,202,625
U.S. Treasury Note 1.250% 10/31/18		5,700,000		5,588,375
U.S. Treasury Note (i) 1.250% 11/30/18		36,200,000		35,424,621
U.S. Treasury Note 1.500% 7/31/16		1,900,000		1,943,368
U.S. Treasury Note 1.500% 8/31/18		1,900,000		1,890,253
U.S. Treasury Note 1.500% 12/31/18		50,200,000		49,625,702
U.S. Treasury Note 1.750% 5/31/16		600,000		617,375
U.S. Treasury Note 3.000% 2/28/17		500,000		532,806
U.S. Treasury Note 3.125% 1/31/17		200,000		213,813
U.S. Treasury Note 3.250% 3/31/17		1,300,000		1,397,178
				491,687,679
TOTAL U.S. TREASURY OBLIGATIONS (Cost $507,081,912)				491,687,679
TOTAL BONDS & NOTES (Cost $1,949,577,302)				1,961,181,137
TOTAL LONG-TERM INVESTMENTS (Cost $1,949,577,302)				1,961,181,137
SHORT-TERM INVESTMENTS — 3.5%
Discount Notes — 0.1%
Federal Home Loan Bank 0.020%, due 1/03/14		800,000		799,999

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

81

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

	Principal Amount		Value
Federal Home Loan Bank, 0.130%, due 1/08/14	$	1,500,000	$	1,499,962
				2,299,961
Repurchase Agreements — 1.1%
Royal Bank of Scotland PLC, dated 12/31/13, 0.080%, due 1/10/14 (j)		11,500,000		11,500,000
Royal Bank of Scotland PLC, dated 12/31/13, 0.090%, due 1/24/14 (k)		5,600,000		5,600,000
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (l)		981,360		981,360
				18,081,360
Sovereign Debt Obligations — 2.0%
Italy Buoni Ordinari del Tesoro EUR (d) 0.010% 8/14/14		4,600,000		6,285,914
Italy Buoni Ordinari del Tesoro EUR (d) 0.010% 9/12/14		13,700,000		18,705,256
Italy Buoni Ordinari del Tesoro EUR (d) 0.010% 10/14/14		1,500,000		2,049,729
Italy Buoni Ordinari del Tesoro EUR (d) 0.010% 11/14/14		1,200,000		1,640,516
Mexico Cetes MXN (d) 0.000% 1/23/14		2,600,000		198,722
Spain Letras del Tesoro EUR (d) 0.994% 6/20/14		1,000,000		1,369,379
Spain Letras del Tesoro EUR (d) 1.039% 7/18/14		900,000		1,231,207
				31,480,723
Time Deposits — 0.1%
Euro Time Deposit, 0.010%, due 1/02/14		2,259,660		2,259,660
U.S. Treasury Bills — 0.2%
U.S. Treasury Bill (f) (n) 0.010% 11/13/14		1,262,000		1,260,687
U.S. Treasury Bill (f) (n) 0.010% 12/11/14		1,342,000		1,340,326
				2,601,013
TOTAL SHORT-TERM INVESTMENTS (Cost $56,297,647)				56,722,717

	Principal Amount			Value
TOTAL INVESTMENTS — 128.4% (Cost $2,005,874,949) (o)				$	2,017,903,854
Other Assets/(Liabilities) — (28.4)%					(446,575,690	)
NET ASSETS — 100.0%				$	1,571,328,164
FORWARD SALE COMMITMENTS — (0.9)%
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — (0.9)%
Pass-Through Securities — (0.9)%
Federal National Mortgage Association TBA Pool #9754 4.000% 7/01/41 (g)	$	(14,000,000	)		(14,381,718	)
TOTAL FORWARD SALE COMMITMENTS (Proceeds $(14,411,250))				$	(14,381,718	)

Notes to Portfolio of Investments

ABS Asset-Backed Security

BAB Build America Bonds

CAD Canadian Dollar

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

EUR Euro

FRN Floating Rate Note

GBP British Pound

MBS Mortgage-Backed Security

MXN Mexican Peso

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2013, these securities amounted to a value of $227,079,587 or 14.45% of net assets.

(b) Restricted security. Certain securities are restricted as to resale. At December 31, 2013, these securities amounted to a value of $3,193,486 or 0.20% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(c) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At December 31, 2013, these securities amounted to a value of $41,224,739 or 2.62% of net assets.

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

82

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

Notes to Portfolio of Investments (Continued)

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

(e) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At December 31, 2013, these securities amounted to a value of $420,000 or 0.03% of net assets.

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

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

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

(i) All or a portion of this security has been purchased in a Treasury roll transaction. (Note 2).

(j) Maturity value of $11,501,508. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 12/13/15, and an aggregate market value, including accrued interest, of $11,735,464.

(k) Maturity value of $5,600,840. Collateralized by U.S. Government Agency obligations with a rate of 4.250%, maturity date of 11/15/14, and an aggregate market value, including accrued interest, of $5,713,106.

(l) Maturity value of $981,360. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 03/20/28, and an aggregate market value, including accrued interest, of $1,005,644.

(m) All or a portion of this security is held as collateral for open reverse repurchase agreements. (Note 2).

(n) All or a portion of this security is held as collateral for when-issued securities. (Note 2).

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

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

83

MassMutual Select Strategic Bond Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 0.1%
PREFERRED STOCK — 0.1%
Financial — 0.1%
Diversified Financial — 0.1%
Citigroup Capital XIII 7.875%		6,050	$	164,863
TOTAL PREFERRED STOCK (Cost $162,660)				164,863
TOTAL EQUITIES (Cost $162,660)				164,863
	Principal Amount
BONDS & NOTES — 99.9%
BANK LOANS — 3.5%
Airlines — 0.3%
American Airlines, Inc., Exit Term Loan 3.750% 6/27/19	$	497,500		499,987
Apparel — 0.2%
Gymboree Corporation, Initial Term Loan 5.000% 2/23/18		400,000		373,168
Coal — 0.2%
Peabody Energy, Corporation, Term Loan B 4.250% 9/24/20		279,300		280,920
Foods — 0.6%
Supervalu, Inc., Refi Term Loan B 5.000% 3/21/19		396,967		400,377
Wendy’s International, Inc., New Term Loan B 3.250% 5/15/19		497,500		497,679
				898,056
Iron & Steel — 0.1%
Fortescue Metals Group Ltd., New Term Loan 1.000% 6/30/19		148,997		150,813
Machinery – Diversified — 0.1%
Gardner Denver, Inc., USD Term Loan 4.250% 7/30/20		139,650		139,633
Media — 0.6%
Charter Communications Operating LLC, Term Loan E 3.000% 7/01/20		995,000		987,229
Retail — 0.3%
Michaels Stores, Inc., New Term Loan 3.750% 1/28/20		129,350		129,754

	Principal Amount		Value
Party City Holdings, Inc., Refi Term Loan B 4.250% 7/29/19	$	397,990	$	399,359
				529,113
Software — 0.4%
First Data Corporation, New 2017 Term Loan 4.164% 3/24/17		100,000		100,075
Kronos, Incorporated, Refi Term Loan 4.500% 10/30/19		497,325		501,368
SunGard Data Systems, Inc., Term Loan E 4.000% 3/08/20		99,499		100,121
				701,564
Telecommunications — 0.7%
Telesat LLC, USD Term Loan B2 3.500% 3/28/19		746,241		747,793
Virgin Media Investment Holdings Limited, USD Term Loan B 3.500% 6/07/20		400,000		400,600
				1,148,393
TOTAL BANK LOANS (Cost $5,713,242)				5,708,876
CORPORATE DEBT — 38.1%
Advertising — 0.0%
WPP Finance 2010 5.625% 11/15/43		30,000		29,698
Aerospace & Defense — 0.3%
The Boeing Co. 4.875% 2/15/20		10,000		11,149
The Boeing Co. 6.000% 3/15/19		130,000		153,120
The Goldman Sachs Group, Inc. 2.375% 1/22/18		100,000		100,380
Raytheon Co. 3.125% 10/15/20		120,000		120,137
United Technologies Corp. 4.500% 6/01/42		100,000		97,109
				481,895
Agriculture — 1.0%
Altria Group, Inc. 2.850% 8/09/22		210,000		193,351
Altria Group, Inc. 4.750% 5/05/21		290,000		311,217
Altria Group, Inc. 5.375% 1/31/44		110,000		110,456
Altria Group, Inc. 9.250% 8/06/19		180,000		237,116

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

84

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

	Principal Amount		Value
Altria Group, Inc. 9.950% 11/10/38	$	30,000	$	45,762
Lorillard Tobacco Co. 8.125% 6/23/19		10,000		12,181
Philip Morris International, Inc. 2.500% 8/22/22		110,000		100,271
Philip Morris International, Inc. 2.900% 11/15/21		280,000		267,303
Philip Morris International, Inc. 4.500% 3/20/42		120,000		112,090
Reynolds American, Inc. 3.250% 11/01/22		90,000		82,954
Reynolds American, Inc. 6.750% 6/15/17		175,000		200,316
				1,673,017
Airlines — 0.3%
Continental Airlines, Inc. (a) 6.750% 9/15/15		20,000		20,625
Delta Air Lines, Inc. Series 2007-1 Class A 6.821% 2/10/24		235,462		265,484
United Air Lines, Inc. 9.750% 7/15/18		138,364		159,118
				445,227
Auto Manufacturers — 0.3%
Daimler Finance NA LLC (a) 2.625% 9/15/16		260,000		268,866
Ford Motor Co. 4.750% 1/15/43		240,000		216,450
				485,316
Banks — 6.0%
Bank of America Corp. 2.600% 1/15/19		260,000		261,148
Bank of America Corp. 3.875% 3/22/17		70,000		74,712
Bank of America Corp. 4.500% 4/01/15		20,000		20,924
Bank of America Corp. 5.000% 5/13/21		220,000		240,410
Bank of America Corp. 5.625% 7/01/20		190,000		217,115
Bank of America Corp. 5.650% 5/01/18		270,000		307,333
Bank of America Corp. 5.750% 12/01/17		30,000		34,143
Bank of America Corp. 7.625% 6/01/19		170,000		210,856
The Bank of Tokyo-Mitsubishi UFJ Ltd (a) 3.850% 1/22/15		110,000		113,473

	Principal Amount		Value
Barclays Bank PLC (a) 6.050% 12/04/17	$	130,000	$	145,338
BBVA US Senior SAU 3.250% 5/16/14		400,000		403,213
BBVA US Senior SAU 4.664% 10/09/15		260,000		273,332
BNP Paribas SA 2.375% 9/14/17		130,000		132,726
CIT Group, Inc. 5.000% 8/01/23		150,000		144,375
Commonwealth Bank of Australia 1.250% 9/18/15		300,000		303,293
Commonwealth Bank of Australia (a) 3.750% 10/15/14		200,000		205,099
Commonwealth Bank of Australia (a) 5.000% 10/15/19		70,000		78,024
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 4.625% 12/01/23		250,000		251,754
Credit Agricole SA VRN (a) 8.375% 12/31/49		480,000		544,800
ING Bank NV (a) 5.800% 9/25/23		210,000		219,575
Intesa Sanpaolo SPA (a) 3.625% 8/12/15		140,000		144,052
JP Morgan Chase & Co. 3.375% 5/01/23		270,000		251,640
M&T Bank Corp. (a) 6.875% 12/31/49		440,000		422,624
Nordea Bank AB (a) 3.700% 11/13/14		140,000		143,891
Nordea Bank AB (a) 4.875% 5/13/21		390,000		403,113
Rabobank Nederland VRN (a) 11.000% 12/29/49		210,000		277,987
Royal Bank of Scotland Group PLC 2.550% 9/18/15		50,000		51,138
Royal Bank of Scotland Group PLC 4.700% 7/03/18		30,000		30,479
Royal Bank of Scotland Group PLC 5.000% 10/01/14		120,000		122,634
Royal Bank of Scotland Group PLC 6.000% 12/19/23		150,000		151,068
Royal Bank of Scotland Group PLC 6.100% 6/10/23		210,000		211,700
Royal Bank of Scotland Group PLC VRN 7.640% 12/31/49		110,000		107,250
Royal Bank of Scotland Group PLC VRN 7.648% 12/31/49		30,000		31,350
Santander US Debt SA Unipersonal (a) 3.724% 1/20/15		100,000		101,993
State Street Corp. 4.956% 3/15/18		310,000		336,319

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

85

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

	Principal Amount		Value
Sumitomo Mitsui Banking Corp. (a) 3.100% 1/14/16	$	200,000	$	207,540
UBS AG 3.875% 1/15/15		310,000		320,495
Wachovia Bank NA 6.000% 11/15/17		250,000		288,475
Wachovia Capital Trust III VRN 5.570% 12/31/49		310,000		283,650
Wells Fargo & Co. 1.500% 1/16/18		110,000		109,289
Wells Fargo & Co. 3.450% 2/13/23		170,000		160,724
Wells Fargo & Co. STEP 3.676% 6/15/16		170,000		181,006
Wells Fargo & Co. (a) 4.480% 1/16/24		1,191,000		1,185,571
Wells Fargo & Co. 4.600% 4/01/21		40,000		43,849
Wells Fargo & Co. 5.375% 11/02/43		110,000		112,641
				9,862,121
Beverages — 1.2%
Anheuser-Busch InBev Worldwide, Inc. 2.500% 7/15/22		240,000		221,992
Anheuser-Busch InBev Worldwide, Inc. 5.000% 4/15/20		100,000		113,171
Anheuser-Busch InBev Worldwide, Inc. 5.375% 1/15/20		260,000		298,391
Diageo Capital PLC 4.828% 7/15/20		300,000		332,206
Diageo Investment Corp. 2.875% 5/11/22		150,000		142,985
Heineken NV (a) 1.400% 10/01/17		80,000		78,486
Molson Coors Brewing Co. 3.500% 5/01/22		30,000		29,455
PepsiCo, Inc. 0.700% 8/13/15		280,000		280,296
PepsiCo, Inc. 4.000% 3/05/42		50,000		43,541
Pernod Ricard SA (a) 2.950% 1/15/17		180,000		185,889
Pernod Ricard SA (a) 4.450% 1/15/22		250,000		252,888
				1,979,300
Chemicals — 0.1%
Eagle Spinco, Inc. (a) 4.625% 2/15/21		40,000		39,200
Ecolab, Inc. 4.350% 12/08/21		70,000		72,585

	Principal Amount		Value
Potash Corp. of Saskatchewan, Inc. 4.875% 3/30/20	$	50,000	$	54,097
				165,882
Coal — 0.3%
Arch Coal, Inc. 7.000% 6/15/19		250,000		198,750
CONSOL Energy, Inc. 6.375% 3/01/21		110,000		113,575
Peabody Energy Corp. 6.500% 9/15/20		170,000		178,925
				491,250
Commercial Services — 0.1%
Catholic Health Initiatives 4.350% 11/01/42		20,000		17,350
Service Corp. International 7.500% 4/01/27		135,000		142,425
Service Corp. International 7.625% 10/01/18		10,000		11,500
				171,275
Computers — 0.0%
Apple, Inc. 2.400% 5/03/23		20,000		17,984
Diversified Financial — 7.3%
Ally Financial, Inc. 7.500% 9/15/20		370,000		431,050
American Express Co. VRN 6.800% 9/01/66		180,000		191,790
American Honda Finance Corp. (a) 1.000% 8/11/15		260,000		261,019
Boeing Capital Corp. 4.700% 10/27/19		150,000		168,308
Citigroup, Inc. 3.500% 5/15/23		230,000		214,312
Citigroup, Inc. 3.953% 6/15/16		240,000		255,336
Citigroup, Inc. VRN 5.350% 12/31/49		100,000		87,800
Citigroup, Inc. 5.375% 8/09/20		150,000		170,646
Citigroup, Inc. 5.500% 10/15/14		36,000		37,337
Citigroup, Inc. 5.500% 9/13/25		170,000		179,051
Citigroup, Inc. VRN 5.900% 12/31/49		60,000		56,100
Citigroup, Inc. VRN 5.950% 12/31/49		100,000		92,535
Citigroup, Inc. 6.000% 8/15/17		30,000		34,193
Citigroup, Inc. 6.010% 1/15/15		196,000		206,396

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

86

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

	Principal Amount		Value
Citigroup, Inc. 6.375% 8/12/14	$	11,000	$	11,370
Citigroup, Inc. 6.675% 9/13/43		20,000		23,013
Countrywide Financial Corp. 6.250% 5/15/16		360,000		397,259
Federal National Mortgage Association 0.010% 10/09/19		1,460,000		1,241,425
Ford Motor Credit Co. LLC 8.125% 1/15/20		520,000		650,234
General Electric Capital Corp. 1.625% 7/02/15		100,000		101,625
General Electric Capital Corp. 5.875% 1/14/38		300,000		341,734
General Electric Capital Corp. VRN 6.375% 11/15/17		990,000		1,074,150
General Electric Capital Corp. 6.875% 1/10/39		300,000		385,679
General Motors Financial Co., Inc. (a) 2.750% 5/15/16		50,000		50,625
General Motors Financial Co., Inc. (a) 3.250% 5/15/18		40,000		40,000
General Motors Financial Co., Inc. (a) 4.250% 5/15/23		40,000		38,050
The Goldman Sachs Group, Inc. 5.250% 7/27/21		70,000		76,639
The Goldman Sachs Group, Inc. 5.375% 3/15/20		90,000		100,092
The Goldman Sachs Group, Inc. 6.000% 5/01/14		50,000		50,893
The Goldman Sachs Group, Inc. 6.000% 6/15/20		240,000		275,179
The Goldman Sachs Group, Inc. 6.250% 2/01/41		470,000		541,628
The Goldman Sachs Group, Inc. 6.750% 10/01/37		60,000		66,753
HSBC Finance Corp. 6.676% 1/15/21		260,000		298,750
Hyundai Capital America (a) 2.125% 10/02/17		70,000		69,521
International Lease Finance Corp. (a) 6.750% 9/01/16		680,000		758,200
John Deere Capital Corp. 1.700% 1/15/20		40,000		37,667
John Deere Capital Corp. 2.250% 4/17/19		100,000		99,787
JP Morgan Chase & Co. 1.100% 10/15/15		430,000		431,640
JP Morgan Chase & Co. 4.350% 8/15/21		40,000		42,157
JP Morgan Chase & Co. 5.125% 9/15/14		820,000		844,824

	Principal Amount		Value
JP Morgan Chase & Co. 5.150% 10/01/15	$	600,000	$	641,279
Merrill Lynch & Co., Inc. 6.875% 4/25/18		110,000		130,060
Morgan Stanley 4.750% 3/22/17		40,000		43,653
Nationstar Mortgage LLC/Nationstar Capital Corp. 6.500% 7/01/21		40,000		38,100
SLM Corp. 3.875% 9/10/15		260,000		268,775
SLM Corp. 5.000% 4/15/15		20,000		20,925
Toyota Motor Credit Corp. 1.250% 10/05/17		290,000		284,686
				11,862,245
Electric — 1.6%
AES Corp/VA 4.875% 5/15/23		230,000		215,050
AES Corp/VA 7.375% 7/01/21		20,000		22,550
Calpine Corp. (a) 5.875% 1/15/24		10,000		9,775
Calpine Corp. (a) 7.500% 2/15/21		184,000		200,790
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. 10.000% 12/01/20		495,000		525,937
Exelon Corp. 5.625% 6/15/35		290,000		287,498
FirstEnergy Corp. 2.750% 3/15/18		70,000		68,780
FirstEnergy Corp. 4.250% 3/15/23		310,000		288,967
FirstEnergy Corp. Series C 7.375% 11/15/31		630,000		684,548
Midamerican Energy Holdings Co, Series A 6.500% 9/15/37		40,000		46,462
Pacific Gas & Electric Co. 5.800% 3/01/37		110,000		121,263
Pacific Gas & Electric Co. 6.050% 3/01/34		50,000		57,275
Pacific Gas & Electric Co. 8.250% 10/15/18		50,000		62,534
				2,591,429
Electronics — 0.1%
Thermo Fisher Scientific, Inc. 3.600% 8/15/21		90,000		89,194
Thermo Fisher Scientific, Inc. 5.300% 2/01/44		20,000		20,223
				109,417

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

87

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

	Principal Amount		Value
Engineering & Construction — 0.0%
ABB Finance USA, Inc. 4.375% 5/08/42	$	10,000	$	9,164
Environmental Controls — 0.1%
Waste Management, Inc. 4.600% 3/01/21		30,000		31,964
Waste Management, Inc. 7.375% 5/15/29		50,000		60,839
				92,803
Foods — 0.6%
Hawk Acquisition Sub, Inc. (a) 4.250% 10/15/20		110,000		106,425
Kraft Foods Group, Inc. 3.500% 6/06/22		170,000		165,681
Kraft Foods Group, Inc. 5.375% 2/10/20		136,000		153,436
Kraft Foods, Inc. 5.375% 2/10/20		234,000		264,277
The Kroger Co. 6.400% 8/15/17		30,000		34,372
WM Wrigley Jr. Co. (a) 2.400% 10/21/18		40,000		39,755
WM Wrigley Jr. Co. (a) 2.900% 10/21/19		130,000		128,925
WM Wrigley Jr. Co. (a) 3.375% 10/21/20		40,000		39,541
				932,412
Forest Products & Paper — 0.1%
Celulosa Arauco y Constitucion SA 4.750% 1/11/22		130,000		126,651
Health Care – Products — 0.2%
Mallinckrodt International Finance SA (a) 3.500% 4/15/18		30,000		29,429
Mallinckrodt International Finance SA (a) 4.750% 4/15/23		80,000		73,835
Medtronic, Inc. 3.125% 3/15/22		180,000		174,896
				278,160
Health Care – Services — 1.0%
Fresenius Medical Care US Finance II, Inc. (a) 5.875% 1/31/22		50,000		52,750
Fresenius Medical Care US Finance, Inc. (a) 5.750% 2/15/21		100,000		106,000
HCA, Inc. 5.875% 3/15/22		190,000		196,175
Humana, Inc. 3.150% 12/01/22		50,000		46,285
Roche Holdings, Inc. (a) 6.000% 3/01/19		164,000		191,919

	Principal Amount		Value
Tenet Healthcare Corp. 4.500% 4/01/21	$	230,000	$	217,925
Tenet Healthcare Corp. (a) 6.000% 10/01/20		30,000		31,312
UnitedHealth Group, Inc. 5.700% 10/15/40		120,000		131,469
UnitedHealth Group, Inc. 5.800% 3/15/36		70,000		77,005
UnitedHealth Group, Inc. 6.000% 2/15/18		110,000		127,085
WellPoint, Inc. 1.250% 9/10/15		60,000		60,417
WellPoint, Inc. 3.125% 5/15/22		50,000		46,894
WellPoint, Inc. 3.700% 8/15/21		170,000		169,372
WellPoint, Inc. 5.875% 6/15/17		20,000		22,558
WellPoint, Inc. 7.000% 2/15/19		150,000		177,975
				1,655,141
Home Builders — 0.1%
NVR, Inc. 3.950% 9/15/22		100,000		94,513
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a) 5.250% 4/15/21		110,000		106,975
Taylor Morrison Communities, Inc./Monarch Communities, Inc. (a) 7.750% 4/15/20		40,000		44,000
				245,488
Household Products — 0.1%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC 6.875% 2/15/21		150,000		161,625
Insurance — 0.7%
American International Group, Inc. 6.250% 3/15/37		320,000		320,000
ING US, Inc. 2.900% 2/15/18		40,000		40,912
MetLife Capital Trust IV (a) 7.875% 12/15/37		200,000		229,500
MetLife, Inc. 6.400% 12/15/31		200,000		205,500
Teachers Insurance & Annuity Association of America (a) 6.850% 12/16/39		260,000		320,941
				1,116,853
Investment Companies — 0.3%
Temasek Financial I Ltd. (a) 2.375% 1/23/23		250,000		224,961

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

88

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

	Principal Amount		Value
Xstrata Finance Canada Ltd. (a) 2.050% 10/23/15	$	240,000	$	243,055
Xstrata Finance Canada Ltd. (a) 5.800% 11/15/16		60,000		66,106
				534,122
Iron & Steel — 0.3%
ArcelorMittal 5.000% 2/25/17		70,000		75,075
Cliffs Natural Resources, Inc. 3.950% 1/15/18		230,000		232,253
Cliffs Natural Resources, Inc. 4.800% 10/01/20		90,000		89,452
Cliffs Natural Resources, Inc. 4.875% 4/01/21		30,000		29,176
Steel Dynamics, Inc. 7.625% 3/15/20		40,000		43,400
				469,356
Lodging — 0.2%
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. (a) 5.625% 10/15/21		250,000		259,375
Manufacturing — 0.4%
Eaton Corp. 1.500% 11/02/17		110,000		107,837
Eaton Corp. 2.750% 11/02/22		470,000		438,443
General Electric Co. 0.850% 10/09/15		120,000		120,560
				666,840
Media — 2.0%
21st Century Fox America, Inc. 6.200% 12/15/34		20,000		22,139
21st Century Fox America, Inc. 6.650% 11/15/37		30,000		35,018
CCO Holdings LLC/CCO Holdings Capital Corp. 6.500% 4/30/21		270,000		277,425
CCO Holdings LLC/CCO Holdings Capital Corp. 7.000% 1/15/19		220,000		231,825
Comcast Corp. 6.500% 1/15/15		735,000		779,336
Comcast Corp. 6.950% 8/15/37		160,000		196,688
COX Communications, Inc. (a) 6.950% 6/01/38		10,000		10,490
CSC Holdings LLC 6.750% 11/15/21		70,000		75,425
DISH DBS Corp. 7.875% 9/01/19		170,000		194,650

	Principal Amount		Value
Time Warner Cable, Inc. 4.125% 2/15/21	$	40,000	$	37,911
Time Warner Cable, Inc. 5.500% 9/01/41		20,000		16,572
Time Warner Cable, Inc. 5.875% 11/15/40		50,000		43,252
Time Warner Cable, Inc. 6.750% 6/15/39		120,000		113,004
Time Warner Cable, Inc. 8.250% 4/01/19		230,000		269,446
Time Warner Entertainment Co. LP 8.375% 7/15/33		20,000		21,790
Time Warner, Inc. 4.750% 3/29/21		200,000		213,274
Time Warner, Inc. 6.250% 3/29/41		20,000		22,210
Time Warner, Inc. 7.700% 5/01/32		60,000		77,038
United Business Media Ltd. (a) 5.750% 11/03/20		110,000		114,358
Univision Communications, Inc. (a) 5.125% 5/15/23		80,000		79,900
Univision Communications, Inc. (a) 6.750% 9/15/22		200,000		219,000
Viacom, Inc. 4.250% 9/01/23		190,000		189,605
				3,240,356
Mining — 2.5%
Barrick Gold Corp. 3.850% 4/01/22		50,000		45,031
Barrick Gold Corp. 4.100% 5/01/23		250,000		225,973
Barrick Gold Corp. 6.950% 4/01/19		140,000		161,599
Barrick NA Finance LLC 4.400% 5/30/21		210,000		202,198
BHP Billiton Finance USA Ltd. 3.250% 11/21/21		40,000		39,763
BHP Billiton Finance USA Ltd. 5.000% 9/30/43		130,000		132,176
BHP Billiton Finance USA Ltd. 6.500% 4/01/19		410,000		491,546
FMG Resources August 2006 Pty Ltd. (a) 6.375% 2/01/16		30,000		31,050
FMG Resources Property Ltd. (a) 6.000% 4/01/17		80,000		85,000
FMG Resources Property Ltd. (a) 6.875% 4/01/22		80,000		87,200
Freeport-McMoRan Copper & Gold, Inc. 2.375% 3/15/18		40,000		39,902
Freeport-McMoRan Copper & Gold, Inc. 3.100% 3/15/20		150,000		145,730

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

89

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

	Principal Amount		Value
Freeport-McMoRan Copper & Gold, Inc. 3.550% 3/01/22	$	220,000	$	209,088
Rio Tinto Finance USA Ltd. 1.875% 11/02/15		20,000		20,396
Rio Tinto Finance USA Ltd. 2.500% 5/20/16		100,000		103,126
Rio Tinto Finance USA Ltd. 3.500% 11/02/20		260,000		265,453
Rio Tinto Finance USA Ltd. 3.750% 9/20/21		80,000		80,768
Rio Tinto Finance USA Ltd. 4.125% 5/20/21		60,000		62,237
Rio Tinto Finance USA Ltd. 9.000% 5/01/19		120,000		156,674
Rio Tinto Finance USA PLC 2.250% 12/14/18		10,000		9,951
Southern Copper Corp. 5.250% 11/08/42		400,000		324,391
Vale Overseas Ltd. 4.375% 1/11/22		502,000		487,740
Vale Overseas Ltd. 6.875% 11/21/36		361,000		372,824
Vedanta Resources PLC (a) 8.750% 1/15/14		190,000		190,000
Xstrata Finance Canada Ltd. (a) 2.700% 10/25/17		180,000		182,043
				4,151,859
Oil & Gas — 4.0%
Apache Corp. 4.750% 4/15/43		40,000		38,798
Apache Corp. 5.100% 9/01/40		330,000		335,058
Atwood Oceanics, Inc. 6.500% 2/01/20		60,000		64,050
BP Capital Markets PLC 3.125% 10/01/15		480,000		501,480
BP Capital Markets PLC 3.245% 5/06/22		50,000		48,463
BP Capital Markets PLC 3.561% 11/01/21		20,000		20,156
Chesapeake Energy Corp. 6.875% 11/15/20		210,000		237,300
Concho Resources, Inc. 5.500% 10/01/22		40,000		41,300
Concho Resources, Inc. 5.500% 4/01/23		20,000		20,600
Concho Resources, Inc. 6.500% 1/15/22		98,000		106,085
Conoco, Inc. 6.950% 4/15/29		125,000		158,172
Continental Resources Inc. 4.500% 4/15/23		60,000		60,825

	Principal Amount		Value
Continental Resources Inc./OK, Series A 5.000% 9/15/22	$	20,000	$	20,775
Denbury Resources, Inc. 4.625% 7/15/23		70,000		63,175
Devon Energy Corp. 5.600% 7/15/41		250,000		260,525
Devon Financing Corp. LLC 7.875% 9/30/31		60,000		77,172
Hess Corp. 7.300% 8/15/31		5,000		6,106
Hess Corp. 7.875% 10/01/29		90,000		114,695
Hess Corp. 8.125% 2/15/19		180,000		223,581
Kerr-McGee Corp. 6.950% 7/01/24		300,000		348,499
Kerr-McGee Corp. 7.875% 9/15/31		260,000		325,349
Noble Energy, Inc. 5.250% 11/15/43		30,000		29,975
Noble Energy, Inc. 8.250% 3/01/19		300,000		372,884
Occidental Petroleum Corp. 2.700% 2/15/23		110,000		100,702
Occidental Petroleum Corp. 3.125% 2/15/22		170,000		165,575
Pemex Project Funding Master Trust 6.625% 6/15/35		623,000		655,708
Petrobras International Finance Co. 3.875% 1/27/16		150,000		154,419
Petrobras International Finance Co. 5.375% 1/27/21		540,000		535,890
Petrobras International Finance Co. 5.750% 1/20/20		142,000		146,109
Petrobras International Finance Co. 6.125% 10/06/16		166,000		179,788
Plains Exploration & Production Co. 6.500% 11/15/20		40,000		44,175
Plains Exploration & Production Co. 6.875% 2/15/23		10,000		11,150
QEP Resources, Inc. 5.250% 5/01/23		70,000		65,625
QEP Resources, Inc. 6.875% 3/01/21		190,000		203,775
Range Resources Corp. 5.000% 8/15/22		110,000		108,075
Range Resources Corp. 5.000% 3/15/23		80,000		78,200
Shell International Finance BV 4.375% 3/25/20		230,000		252,137
Sinopec Group Overseas Development 2012 Ltd. (a) 2.750% 5/17/17		200,000		204,496

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

90

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

	Principal Amount		Value
Transocean, Inc. 5.050% 12/15/16	$	70,000	$	77,327
Transocean, Inc. 6.375% 12/15/21		70,000		78,660
				6,536,834
Oil & Gas Services — 0.4%
Baker Hughes, Inc. 3.200% 8/15/21		190,000		188,652
Cie Generale de Geophysique-Veritas 6.500% 6/01/21		230,000		235,750
Key Energy Services, Inc. 6.750% 3/01/21		190,000		194,750
Schlumberger Norge AS (a) 4.200% 1/15/21		50,000		52,850
Superior Energy Services, Inc. 7.125% 12/15/21		50,000		55,750
				727,752
Packaging & Containers — 0.3%
Ball Corp. 4.000% 11/15/23		50,000		44,750
Ball Corp. 5.000% 3/15/22		340,000		336,600
Rock Tenn Co. 3.500% 3/01/20		80,000		78,687
Rock Tenn Co. 4.000% 3/01/23		50,000		47,754
				507,791
Pharmaceuticals — 1.1%
AbbVie, Inc. 1.750% 11/06/17		310,000		309,469
AbbVie, Inc. 2.900% 11/06/22		190,000		177,585
Express Scripts Holding Co. 3.500% 11/15/16		620,000		655,474
GlaxoSmithKline Capital PLC 2.850% 5/08/22		180,000		169,766
Pfizer, Inc. 6.200% 3/15/19		240,000		284,503
Teva Pharmaceutical Finance Co. BV 3.650% 11/10/21		10,000		9,808
Teva Pharmaceutical Finance IV BV 3.650% 11/10/21		70,000		68,657
Wyeth 5.950% 4/01/37		20,000		23,184
Zoetis, Inc. 3.250% 2/01/23		40,000		37,427
				1,735,873
Pipelines — 1.2%
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23		130,000		125,450

	Principal Amount		Value
Access Midstream Partners LP/ACMP Finance Corp. 5.875% 4/15/21	$	30,000	$	31,950
El Paso Natural Gas Co. 8.375% 6/15/32		289,000		370,870
Energy Transfer Equity LP 7.500% 10/15/20		60,000		67,350
Enterprise Products Operating LLC 5.700% 2/15/42		150,000		158,146
Kinder Morgan Finance Co. LLC (a) 6.000% 1/15/18		430,000		471,187
MarkWest Energy Partners LP/ MarkWest Energy Finance Corp. 4.500% 7/15/23		20,000		18,750
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. 5.500% 2/15/23		80,000		80,600
MarkWest Energy Partners LP/MarkWest Energy Finance Corp. 6.250% 6/15/22		32,000		33,840
Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II 8.375% 6/01/20		134,000		147,735
Regency Energy Partners LP/Regency Energy Finance Corp. 4.500% 11/01/23		30,000		27,300
Regency Energy Partners LP/Regency Energy Finance Corp. 6.500% 7/15/21		128,000		135,680
Southern Natural Gas Co. LLC 8.000% 3/01/32		5,000		6,393
Williams Cos., Inc. 7.750% 6/15/31		78,000		83,633
Williams Cos., Inc. Series A 7.500% 1/15/31		240,000		253,672
				2,012,556
Retail — 0.4%
CVS Caremark Corp. 2.750% 12/01/22		120,000		110,757
CVS Pass-Through Trust (a) 5.298% 1/11/27		11,810		12,811
CVS Pass-Through Trust 5.880% 1/10/28		124,211		134,755
CVS Pass-Through Trust 6.036% 12/10/28		105,122		115,646
CVS Pass-Through Trust 6.943% 1/10/30		85,905		98,456
Michaels Stores, Inc. 7.750% 11/01/18		50,000		54,250
QVC, Inc. 5.950% 3/15/43		10,000		9,072

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

91

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

	Principal Amount		Value
Wal-Mart Stores, Inc. 6.200% 4/15/38	$	50,000	$	60,092
				595,839
Savings & Loans — 0.2%
The Goldman Sachs Capital II FRN 4.000% 12/31/49		390,000		274,170
ILFC E-Capital Trust II VRN (a) 6.250% 12/21/15		10,000		9,450
Vesey Street Investment Trust I STEP 4.404% 9/01/16		90,000		96,634
				380,254
Semiconductors — 0.0%
National Semiconductor Corp. 6.600% 6/15/17		30,000		35,060
Software — 0.3%
Activision Blizzard, Inc. (a) 5.625% 9/15/21		80,000		82,800
First Data Corp. (a) 6.750% 11/01/20		20,000		20,800
First Data Corp. (a) 7.375% 6/15/19		200,000		213,500
Oracle Corp. 1.200% 10/15/17		260,000		255,855
				572,955
Telecommunications — 3.0%
America Movil SAB de CV 5.000% 3/30/20		100,000		108,306
America Movil SAB de CV 5.625% 11/15/17		160,000		180,227
AT&T Inc 2.500% 8/15/15		180,000		184,805
AT&T, Inc. 5.500% 2/01/18		30,000		33,770
AT&T, Inc. 5.800% 2/15/19		200,000		229,272
Cellco Partnership/Verizon Wireless Capital LLC 8.500% 11/15/18		50,000		63,307
Deutsche Telekom International Finance BV 5.750% 3/23/16		315,000		345,858
Intelsat Jackson Holdings SA (a) 5.500% 8/01/23		50,000		47,563
Intelsat Jackson Holdings SA 7.250% 10/15/20		180,000		196,875
Intelsat Jackson Holdings SA 7.500% 4/01/21		65,000		71,663
Qwest Corp. 6.875% 9/15/33		100,000		96,000
Qwest Corp. 7.500% 10/01/14		55,000		57,730

	Principal Amount		Value
Rogers Communications, Inc. 6.800% 8/15/18	$	120,000	$	143,020
Sprint Capital Corp. 6.875% 11/15/28		50,000		47,125
Sprint Capital Corp. 8.750% 3/15/32		240,000		257,400
Sprint Corp. (a) 7.875% 9/15/23		90,000		96,750
Telecom Italia Capital SA 7.175% 6/18/19		10,000		11,225
Telefonica Emisiones SAU 5.462% 2/16/21		10,000		10,552
Telefonica Emisiones SAU 5.877% 7/15/19		100,000		111,510
Telefonica Emisiones SAU 6.221% 7/03/17		60,000		67,639
TW Telecom Holdings, Inc. 5.375% 10/01/22		60,000		58,950
Verizon Communications, Inc. 4.500% 9/15/20		360,000		385,404
Verizon Communications, Inc. 5.150% 9/15/23		870,000		934,112
Verizon Communications, Inc. 6.000% 4/01/41		130,000		142,731
Verizon Communications, Inc. 6.350% 4/01/19		100,000		117,539
Verizon Communications, Inc. 6.400% 9/15/33		620,000		713,075
Verizon Communications, Inc. 6.550% 9/15/43		120,000		140,395
				4,852,803
TOTAL CORPORATE DEBT (Cost $60,139,828)				62,263,978
MUNICIPAL OBLIGATIONS — 1.0%
Arizona State University 5.000% 7/01/43		20,000		20,557
City of New York NY 5.000% 8/01/25		30,000		33,531
City of Richmond VA 5.000% 3/01/27		20,000		22,517
City of Richmond VA 5.000% 3/01/28		30,000		33,475
City of Richmond VA 5.000% 3/01/29		30,000		33,202
City Public Service Board of San Antonio TX 5.000% 2/01/43		90,000		91,573
New Jersey Economic Development Authority 5.000% 6/15/46		30,000		30,840

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

92

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

	Principal Amount		Value
New Jersey State Turnpike Authority 5.000% 1/01/43	$	40,000	$	40,608
New Jersey Transportation Trust Fund Authority 5.000% 6/15/38		80,000		81,043
New Jersey Transportation Trust Fund Authority 5.000% 6/15/42		50,000		50,347
New York City Transitional Finance Authority Future Tax Secured Revenue 5.000% 11/01/42		50,000		51,804
New York City Water & Sewer System 5.000% 6/15/47		30,000		30,563
New York City Water & Sewer System 5.000% 6/15/47		30,000		30,588
New York Liberty Development Corp. 5.000% 12/15/41		40,000		40,575
New York State Dormitory Authority 5.000% 12/15/27		60,000		65,939
New York State Urban Development Corp. 5.000% 3/15/27		110,000		121,141
Northeast Ohio Regional Sewer District 5.000% 11/15/43		50,000		51,696
Ohio State Turnpike Commission 5.000% 2/15/48		40,000		40,436
Ohio State Turnpike Commission 5.000% 2/15/48		100,000		98,386
Pennsylvania Turnpike Commission 5.000% 12/01/43		40,000		39,691
Private Colleges & Universities Authority 5.000% 10/01/43		50,000		52,190
State of California 5.000% 9/01/23		90,000		103,288
State of California 5.000% 9/01/25		70,000		77,752
State of California 5.000% 4/01/42		70,000		70,749
State of California 5.000% 11/01/43		60,000		60,693
State of Connecticut 5.000% 7/15/24		30,000		34,195
Tennessee Valley Authority 5.250% 9/15/39		210,000		225,762
Utah Transit Authority 5.000% 6/15/42		90,000		90,058
				1,723,199
TOTAL MUNICIPAL OBLIGATIONS (Cost $1,694,545)				1,723,199

	Principal Amount		Value
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 12.6%
Agency Collateral CMO — 0.1%
Federal Home Loan Mortgage Corp., Series 4206, Class CZ 3.000% 5/15/43	$	101,763	$	73,358
Federal Home Loan Mortgage Corp., Series 4226, Class GZ 3.000% 7/15/43		101,256		72,281
				145,639
Automobile ABS — 0.5%
Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class A (a) 1.920% 9/20/19		100,000		97,973
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A (a) 2.100% 3/20/19		100,000		100,276
Avis Budget Rental Car Funding AESOP LLC, Series 2012-2A, Class A (a) 2.802% 5/20/18		125,000		129,290
Avis Budget Rental Car Funding AESOP LLC, Series 2013-2A, Class A (a) 2.970% 2/20/20		150,000		152,709
Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class A (a) 3.150% 3/20/17		60,000		62,627
Hertz Vehicle Financing LLC, Series 2013-1A, Class A2 (a) 1.830% 8/25/19		120,000		117,795
Hertz Vehicle Financing LLC, Series 2009-2A, Class A2 (a) 5.290% 3/25/16		150,000		156,742
				817,412
Commercial MBS — 2.0%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-1, Class AM VRN 5.421% 9/10/45		66,000		71,105
CD Mortgage Trust, Series 2006-CD2, Class AM VRN 5.351% 1/15/46		60,000		64,390
DBUBS Mortgage Trust, Series 2011-LC3A, Class XA VRN (a) 1.435% 8/10/44		761,859		25,917
Government National Mortgage Association, Series 2012-100, Class IO VRN 0.891% 8/16/52		519,422		36,350
Government National Mortgage Association, Series 2013-178, Class IO VRN 0.950% 6/16/55		533,437		35,276

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

93

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

	Principal Amount		Value
Government National Mortgage Association, Series 2013-178, Class A 2.250% 3/16/35	$	219,415	$	220,126
Government National Mortgage Association, Series 2013-154, Class AB VRN 2.900% 2/16/44		637,568		654,201
Government National Mortgage Association, Series 2013-153, Class AB VRN 2.900% 6/16/44		209,079		214,432
GS Mortgage Securities Corp II, Series 2011-GC5, Class XA VRN (a) 1.724% 8/10/44		814,970		57,895
GS Mortgage Securities Corp. II, Series 2012-ALOH, Class A (a) 3.551% 4/10/34		74,000		72,585
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB16, Class AM 5.593% 5/12/45		130,000		141,539
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIB20, Series 2007-CB20, Class AM VRN 5.874% 2/12/51		10,000		11,278
JPMBB Commercial Mortgage Securities Trust, Series 2013-C17, Class B VRN 4.887% 1/15/47		30,000		30,345
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-8, Class A3 VRN 5.894% 8/12/49		10,000		11,176
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA VRN (a) 1.887% 8/15/45		540,334		51,736
Morgan Stanley Capital I, Series 2007-IQ14, Class A4 VRN 5.692% 4/15/49		650,000		718,715
RBSCF Trust, Series 2013-GSP, Class A VRN (a) 3.834% 1/13/32		470,000		462,733
Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3 5.678% 5/15/46		330,000		367,912
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class XA VRN (a) 1.120% 2/15/44		939,728		36,679
				3,284,390
Home Equity ABS — 1.9%
ACE Securities Corp., Series 2006-SD2, Class A FRN 0.465% 12/25/45		217,202		212,889

	Principal Amount		Value
Bear Stearns Asset Back Securities Trust, Series 2005-SD4, Class 2A1 FRN 0.565% 12/25/42	$	52,002	$	51,145
CWHEQ Revolving Home Equity Loan Trust, Series 2005-G, Class 2A FRN 0.397% 12/15/35		97,963		73,292
Delta Funding Home Equity Loan Trust, Series 1999-1, Class A6F VRN 6.340% 12/15/28		34		34
Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1A FRN 0.605% 7/25/30		69,232		68,679
GSAA Home Equity Trust, Series 2006-19, Class A3A FRN 0.405% 12/25/36		1,144,097		678,880
GSAA Trust, Series 2006-5, Class 2A3 FRN 0.435% 3/25/36		936,891		620,560
HSI Asset Securitization Corp. Series 2005-II, Class 2A4 FRN 0.555% 11/25/35		2,400,000		1,259,987
Structured Asset Securities Corp., Series 2002-AL1, Class A3 3.450% 2/25/32		75,655		72,914
				3,038,380
Manufactured Housing ABS — 0.6%
Greenpoint Manufactured Housing, Series 1999-2, Class A2 FRN 2.929% 3/18/29		200,000		174,201
Greenpoint Manufactured Housing, Series 1999-3, Class 2A2 FRN 3.556% 6/19/29		75,000		63,551
Greenpoint Manufactured Housing, Series 1999-4, Class A2 FRN 3.667% 2/20/30		75,000		63,401
Greenpoint Manufactured Housing, Series 2001-2, Class IA2 FRN 3.669% 2/20/32		150,000		134,905
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2 FRN 3.669% 3/13/32		200,000		178,574
Origen Manufactured Housing, Series 2005-B, Class A3 5.605% 5/15/22		427,094		439,257
				1,053,889
Other ABS — 0.1%
Amortizing Residential Collateral Trust, Series 2004-1, Class A5 FRN 1.165% 10/25/34		216,762		217,340

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

94

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

	Principal Amount		Value
Student Loans ABS — 2.1%
Education Funding Capital Trust I, Series 2004-1, Class B1 FRN 1.910% 6/15/43	$	400,000	$	339,549
Pennsylvania Higher Education Assistance Agency, Series 2003-1, Class A3 FRN 1.669% 7/25/42		500,000		496,112
SLM Student Loan EDC Repackaging Trust, Series 2013-M1, Class M1 (a) 3.500% 10/28/29		257,423		251,611
SLM Student Loan Trust, Series 2004-3, Class A5 FRN 0.408% 7/25/23		461,322		456,441
SLM Student Loan Trust, Series 2001-4, Class B FRN 0.738% 1/25/21		590,222		588,031
SLM Student Loan Trust, Series 2003-11, Class A6 FRN (a) 0.993% 12/15/25		300,000		297,054
SLM Student Loan Trust, Series 2012-1, Class A3 FRN 1.115% 9/25/28		700,000		703,527
SunTrust Student Loan Trust, Series 2006-1A, Class A3 FRN (a) 0.358% 1/30/23		238,572		237,057
				3,369,382
WL Collateral CMO — 5.3%
Bear Stearns ALT-A Trust, Series 2004-7, Class 2A1 FRN 2.586% 8/25/34		303,036		304,319
Bear Stearns Asset Backed Securities I Trust, Series 2005-AC8, Class A3 FRN 7.485% 11/25/35		1,949,405		511,107
Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1 FRN 0.495% 10/25/35		172,611		131,993
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R3, Class AF FRN (a) 0.565% 9/25/35		236,111		206,957
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-9, Class 4A1 FRN 19.072% 10/25/35		204,053		256,265
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF FRN (a) 0.515% 9/25/35		265,985		231,146

	Principal Amount		Value
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3 FRN 2.717% 10/25/35	$	288,099	$	254,285
Harborview Mortgage Loan Trust, Series 2006-2, Class 1A FRN 2.699% 2/25/36		144,490		115,965
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 FRN 0.945% 12/25/34		27,741		22,471
MASTR Adjustable Rate Mortgages Trust, Series 2003-3, Class 3A4 FRN 2.109% 9/25/33		818,966		802,449
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1 FRN 2.652% 1/25/36		231,276		218,993
Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3 FRN 2.834% 3/25/36		211,060		163,873
Prime Mortgage Trust, Series 2006-DR1, Class 1A1 (a) 5.500% 5/25/35		245,147		246,099
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (a) 6.000% 5/25/35		93,717		94,974
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 (a) 6.000% 5/25/35		1,205,706		1,219,047
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Class 2A FRN 2.394% 8/25/34		323,076		312,825
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1 FRN 2.294% 3/25/46		841,353		674,468
WaMu Mortgage Pass Through Certificates, Series 2005-AR15, Class A1A1 FRN 0.425% 11/25/45		230,914		209,488
WaMu Mortgage Pass Through Certificates, Series 2005-AR13, Class A1A1 FRN 0.455% 10/25/45		174,982		161,154
WaMu Mortgage Pass Through Certificates, Series 2006-AR13, Class 1A FRN 1.019% 10/25/46		1,200,423		972,920
WaMu Mortgage Pass Through Certificates, Series 2006-AR6, Class 2A FRN 1.099% 8/25/46		612,602		409,633

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

95

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

	Principal Amount		Value
WaMu Mortgage Pass Through Certificates, Series 2006-AR14, Class 2A3 FRN 2.094% 11/25/36	$	1,257,359	$	1,088,002
				8,608,433
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $20,321,451)				20,534,865
SOVEREIGN DEBT OBLIGATIONS — 8.1%
Brazil Notas do Tesouro Nacional Serie F BRL (b) 10.000% 1/01/21		1,970,000		725,807
Hungary Government International Bond 5.750% 11/22/23		386,000		387,930
Indonesia Government International Bond (a) 3.750% 4/25/22		430,000		385,925
Italy Buoni Poliennali Del Tesoro EUR (b) 3.500% 12/01/18		2,940,000		4,194,205
Mexican Bonos MXN (b) 6.500% 6/09/22		27,945,000		2,163,675
Mexican Bonos MXN (b) 8.000% 6/11/20		10,428,000		892,355
Mexico Government International Bond 4.750% 3/08/44		194,000		174,842
Province of Ontario Canada 2.700% 6/16/15		660,000		681,707
Republic of Brazil BRL (b) 10.000% 1/01/17		1,085,000		434,745
Republic of Turkey 7.000% 3/11/19		380,000		416,100
Residual Funding Corp. Principal Strip 0.010% 10/15/19		1,280,000		1,110,120
Russian Federal Bond RUB (b) 7.000% 1/25/23		27,160,000		796,443
Russian Foreign Bond-Eurobond STEP (c) 7.500% 3/31/30		350,350		408,228
South Africa Government International Bond 5.875% 9/16/25		380,000		393,775
				13,165,857
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $13,300,415)				13,165,857

	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 26.9%
Collateralized Mortgage Obligations — 5.1%
Federal Home Loan Mortgage Corp. Series 4092, Class AI 3.000% 9/15/31	$	1,680,637	$	241,046
Series 4063, Class S 5.783% 6/15/42 FRN		87,359		17,268
Series 4097, Class ST 5.883% 8/15/42 FRN		90,506		20,814
Series 4147, Class CS 5.933% 12/15/42 FRN		95,489		22,258
Series 4120, Class SV 5.983% 10/15/42 FRN		187,084		43,388
Series 4136, Class SQ 5.983% 11/15/42 FRN		93,982		21,539
Series R007, Class ZA 6.000% 5/15/36		490,009		533,455
Series 4199, Class SB 6.033% 5/15/40 FRN		192,905		40,062
Series 3621, Class SB 6.063% 1/15/40 FRN		155,654		22,351
Series 4203, Class PS 6.083% 9/15/42		577,340		115,044
Series 3349, Class AS 6.333% 7/15/37 FRN		1,496,407		214,857
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates Series K024, Class X1 0.903% 9/25/22 VRN		338,233		20,218
Series K006, Class AX1 1.039% 1/25/20 VRN		612,400		30,882
Series K007, Class X1 1.217% 4/25/20 VRN		1,297,269		71,836
Series K009, Class X1 1.490% 8/25/20 VRN		728,656		53,166
Series K008, Class X1 1.665% 6/25/20 VRN		1,039,432		83,303
Series K015, Class X1 1.666% 7/25/21 VRN		873,804		85,625
Series K703, Class X1 2.083% 5/25/18 VRN		1,445,737		113,176
Federal National Mortgage Association Series 409, Class C2 3.000% 4/25/27		431,637		48,151
Series 409, Class C13 3.500% 11/25/41		257,011		55,194
Series 409, Class C18 4.000% 4/25/42		460,276		110,934
Series 409, Class C22 4.500% 11/25/39		363,790		66,363
Series 2011-59, Class NZ 5.500% 7/25/41		573,521		627,106

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

96

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

	Principal Amount		Value
Series 2013-9, Class CB 5.500% 4/25/42	$	1,678,230	$	1,818,360
Series 2011-87, Class SJ 5.785% 9/25/41 FRN		500,961		76,101
Series 2012-111, Class JS 5.935% 7/25/40 FRN		371,485		71,743
Series 2012-93, Class SG 5.935% 9/25/42 FRN		181,816		38,681
Series 2012-124, Class SE 5.985% 11/25/42 FRN		736,484		163,512
Series 2012-128, Class SQ 5.985% 11/25/42 FRN		94,139		22,157
Series 2012-128, Class SL 5.985% 11/25/42 FRN		94,906		21,364
Series 2012-133, Class CS 5.985% 12/25/42 FRN		184,852		40,447
Series 2012-134, Class SK 5.985% 12/25/42 FRN		93,347		21,503
Series 2013-19, Class SK 5.985% 3/25/43 FRN		95,696		22,186
Series 2012-46, Class BA 6.000% 5/25/42		574,528		631,384
Series 2010-142, Class SM 6.365% 12/25/40 FRN		266,130		32,023
Series 2010-150, Class SN 6.365% 1/25/41 FRN		250,471		36,763
Series 2011-87, Class SG 6.385% 4/25/40 FRN		718,807		132,042
Series 2011-96, Class SA 6.385% 10/25/41 FRN		859,600		144,969
Series 2012-74, Class SA 6.485% 3/25/42 FRN		242,002		41,967
Series 2012-28, Class B 6.500% 6/25/39		204,532		225,579
Series 2013-9, Class BC 6.500% 7/25/42		600,912		663,237
Series 2011-63, Class SW 6.515% 7/25/41 FRN		265,900		35,164
Series 2012-51, Class B 7.000% 5/25/42		487,371		540,716
Government National Mortgage Association Series 2010-H28, Class FE 0.569% 12/20/60 FRN		318,850		315,584
Series 2011-H08, Class FG 0.649% 3/20/61 FRN		265,363		263,979
Series 2011-H09, Class AF 0.669% 3/20/61 FRN		174,830		174,061
Series 2012-66, Class CI 3.500% 2/20/38		262,373		41,597
Series 2011-40, Class SA 5.963% 2/16/36 FRN		460,061		62,576

	Principal Amount		Value
Series 2010-31, Class GS 6.333% 3/20/39 FRN	$	96,062	$	14,161
Series 2010-85, Class HS 6.483% 1/20/40 FRN		234,347		39,067
				8,348,959
Pass-Through Securities — 21.8%
Federal Home Loan Mortgage Corp. Pool #1N1640 1.902% 1/01/37 FRN		172,650		179,831
Pool #1N1637 2.147% 1/01/37 FRN		519,722		550,271
Pool #1J1368 2.748% 10/01/36 FRN		111,243		118,231
Pool #G14492 4.000% 10/01/25		1,172,310		1,237,977
Pool #U90316 4.000% 10/01/42		95,177		96,857
Pool #U91254 4.000% 4/01/43		196,735		200,209
Pool #Q19135 4.000% 6/01/43		99,074		102,124
Pool #Q19236 4.000% 6/01/43		99,112		102,070
Pool #Q19615 4.000% 7/01/43		97,667		100,673
Pool #U95137 4.000% 8/01/43		99,249		101,001
Pool #G06875 5.500% 12/01/38		39,571		43,341
Pool #G07509 6.500% 9/01/39		96,418		106,680
Pool #G06669 6.500% 9/01/39		78,075		87,006
Pool #G07335 7.000% 3/01/39		203,169		223,620
Federal National Mortgage Association Pool #950385 1.327% 8/01/37 FRN		32,175		32,722
Pool #AP9633 2.500% 10/01/42		188,793		171,167
Pool #AQ7306 3.000% 1/01/43		96,326		90,200
Pool #AR1202 3.000% 1/01/43		96,312		90,187
Pool #MA1543 3.500% 8/01/33		97,743		99,790
Pool #MA1608 3.500% 10/01/33		99,003		100,983
Pool #MA1652 3.500% 11/01/33		99,267		101,252
Pool #AS1348 3.500% 12/01/33		99,787		101,782

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

97

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

	Principal Amount		Value
Pool #MA1763 3.500% 1/01/34	$	100,000	$	102,000
Pool #MA1213 3.500% 10/01/42		957,322		939,671
Pool #MA1372 3.500% 3/01/43		291,503		287,131
Pool #MA1403 3.500% 4/01/43		780,257		768,553
Pool #AK8441 4.000% 4/01/42		92,592		95,529
Pool #AO2711 4.000% 5/01/42		87,086		89,849
Pool #AO6086 4.000% 6/01/42		97,282		100,368
Pool #AP0692 4.000% 7/01/42		91,593		94,498
Pool #AP5333 4.000% 7/01/42		390,977		403,378
Pool #AP2530 4.000% 8/01/42		93,922		96,901
Pool #AP2958 4.000% 8/01/42		91,687		94,595
Pool #AP4903 4.000% 9/01/42		97,792		100,894
Pool #AP7399 4.000% 9/01/42		189,610		195,624
Pool #AP9229 4.000% 10/01/42		95,248		98,269
Pool #AP9766 4.000% 10/01/42		382,381		389,968
Pool #AQ3599 4.000% 11/01/42		94,373		97,366
Pool #AQ7003 4.000% 12/01/42		178,778		184,449
Pool #AQ4555 4.000% 12/01/42		183,839		189,641
Pool #AQ7082 4.000% 1/01/43		195,968		202,245
Pool #AL3508 4.000% 4/01/43		96,937		100,164
Pool #AB9383 4.000% 5/01/43		291,508		301,027
Pool #AQ4078 4.000% 6/01/43		96,381		99,589
Pool #AQ4080 4.000% 6/01/43		97,474		100,657
Pool #AT8394 4.000% 6/01/43		98,087		101,351
Pool #AB9683 4.000% 6/01/43		192,210		198,367
Pool #AT9637 4.000% 7/01/43		292,690		302,248

	Principal Amount		Value
Pool #AT9653 4.000% 7/01/43	$	197,536	$	204,110
Pool #AT9657 4.000% 7/01/43		192,093		198,246
Pool #AS0070 4.000% 8/01/43		99,283		101,253
Pool #MA1547 4.000% 8/01/43		99,236		101,206
Pool #MA0706 4.500% 4/01/31		106,611		114,445
Pool #MA0734 4.500% 5/01/31		324,209		348,031
Pool #MA0776 4.500% 6/01/31		108,172		116,120
Pool #MA0913 4.500% 11/01/31		75,102		80,573
Pool #MA0939 4.500% 12/01/31		82,056		88,034
Pool #993117 4.500% 1/01/39		27,699		29,380
Pool #AA0856 4.500% 1/01/39		36,793		39,025
Pool #AA2450 4.500% 2/01/39		9,024		9,572
Pool #AA3495 4.500% 2/01/39		66,709		70,755
Pool #935520 4.500% 8/01/39		130,046		137,935
Pool #AD5481 4.500% 5/01/40		1,945,387		2,063,402
Pool #AD6914 4.500% 6/01/40		213,636		226,596
Pool #AD8685 4.500% 8/01/40		375,577		398,361
Pool #974965 5.000% 4/01/38		824,719		895,497
Pool #AE2266 5.000% 3/01/40		238,168		258,607
Pool #937948 5.500% 6/01/37		40,915		45,005
Pool #995072 5.500% 8/01/38		117,680		129,554
Pool #481473 6.000% 2/01/29		187		206
Pool #867557 6.000% 2/01/36		3,124		3,460
Pool #AE0469 6.000% 12/01/39		835,993		925,862
Pool #AL4324 6.500% 5/01/40		574,106		637,712
Pool #AE0758 7.000% 2/01/39		318,637		357,083

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

98

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

	Principal Amount		Value
Federal National Mortgage Association TBA Pool #1312 3.000% 4/01/27 (d)	$	2,300,000	$	2,346,359
Pool #1438 3.500% 4/01/26 (d)		400,000		418,344
Pool #1963 3.500% 4/01/42 (d)		900,000		894,797
Pool #9174 4.000% 6/01/41 (d)		3,000,000		3,091,406
Pool #29800 5.000% 3/01/37 (d)		3,900,000		4,238,203
Government National Mortgage Association Pool #G24746 4.500% 7/20/40		581,683		622,968
Pool #783298 4.500% 4/20/41		883,594		945,756
Pool #783368 4.500% 7/20/41		111,340		119,086
Pool #4747 5.000% 7/20/40		518,200		565,101
Pool #487588 6.000% 4/15/29		5,398		6,082
Pool #595077 6.000% 10/15/32		830		939
Pool #596620 6.000% 10/15/32		1,412		1,598
Pool #598000 6.000% 12/15/32		73		83
Pool #604706 6.000% 10/15/33		136,270		154,116
Pool #636251 6.000% 3/15/35		13,682		15,405
Pool #782034 6.000% 1/15/36		159,877		180,015
Pool #658029 6.000% 7/15/36		81,526		91,141
Government National Mortgage Association TBA Pool #5610 3.500% 1/01/42 (d)		900,000		907,313
Pool #207 3.500% 6/01/42 (d)		2,300,000		2,321,383
Pool #232 4.000% 12/01/41 (d)		1,200,000		1,248,750
				35,521,181
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $44,736,506)				43,870,140

	Principal Amount		Value
U.S. TREASURY OBLIGATIONS — 9.7%
U.S. Treasury Bonds & Notes — 9.7%
U.S. Treasury Bond 2.750% 8/15/42	$	3,111,000	$	2,464,982
U.S. Treasury Bond 2.875% 5/15/43		2,445,000		1,981,532
U.S. Treasury Bond 3.625% 8/15/43		50,000		47,217
U.S. Treasury Bond 3.750% 11/15/43		710,000		686,259
U.S. Treasury Inflation Index 0.375% 7/15/23		1,605,824		1,548,742
U.S. Treasury Inflation Index 0.625% 2/15/43		1,239,398		952,981
U.S. Treasury Inflation Index 0.750% 2/15/42		103,366		83,096
U.S. Treasury Inflation Index 2.125% 2/15/40		367,411		412,821
U.S. Treasury Note 0.250% 10/31/15		10,000		9,986
U.S. Treasury Note 1.250% 11/30/18		230,000		225,074
U.S. Treasury Note 2.000% 9/30/20		7,160,000		6,998,993
U.S. Treasury Note 2.500% 8/15/23		390,000		374,522
				15,786,205
TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,814,518)				15,786,205
TOTAL BONDS & NOTES (Cost $162,720,505)				163,053,120
	Units
PURCHASED OPTIONS — 0.0%
Currency Options — 0.0%
USD Call/EUR Put, Expires 1/06/14, Strike 1.35		20,200		444
USD Call/EUR Put, Expires 2/18/14, Strike 1.36		24,700		16,319
				16,763
TOTAL PURCHASED OPTIONS (Cost $45,101)				16,763
TOTAL LONG-TERM INVESTMENTS (Cost $162,928,266)				163,234,746

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

99

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 9.5%
Discount Notes — 7.0%
Federal Home Loan Mortgage Corp. 0.010% 2/03/14	$	10,000,000	$	9,999,267
Federal Home Loan Mortgage Corp. 0.010% 2/04/14		890,000		889,907
Federal National Mortgage Association 0.010% 2/24/14		470,000		469,911
				11,359,085
Repurchase Agreement — 2.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (e)		4,099,494		4,099,494
Time Deposits — 0.0%
Euro Time Deposit 0.010% 1/02/14		20,207		20,207
TOTAL SHORT-TERM INVESTMENTS (Cost $15,478,786)				15,478,786
TOTAL INVESTMENTS — 109.5% (Cost $178,407,052) (f)				178,713,532
Other Assets/(Liabilities) — (9.5)%				(15,552,360	)
NET ASSETS — 100.0%			$	163,161,172

Notes to Portfolio of Investments

ABS Asset-Backed Security

BRL Brazilian Real

CMO Collateralized Mortgage Obligation

EUR Euro

FRN Floating Rate Note

MBS Mortgage-Backed Security

MXN Mexican Peso

RUB Russian Ruble

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2013, these securities amounted to a value of $15,667,893 or 9.60% of net assets.

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

(c) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except

pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At December 31, 2013, these securities amounted to a value of $408,228 or 0.25% of net assets.

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

(e) Maturity value of $4,099,494. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/15/40, and an aggregate market value, including accrued interest, of $4,182,927.

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

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

100

MassMutual Select Diversified Value Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 97.5%
COMMON STOCK — 97.5%
Basic Materials — 2.4%
Chemicals — 1.7%
Albemarle Corp.		2,000	$	126,780
Ashland, Inc.		1,900		184,376
Celanese Corp. Series A		3,900		215,709
CF Industries Holdings, Inc.		600		139,824
E.I. du Pont de Nemours & Co.		62,780		4,078,816
Eastman Chemical Co.		1,700		137,190
Huntsman Corp.		5,900		145,140
LyondellBasell Industries NV Class A		13,800		1,107,864
NewMarket Corp.		300		100,245
Westlake Chemical Corp.		1,600		195,312
				6,431,256
Iron & Steel — 0.1%
Nucor Corp.		3,200		170,816
Steel Dynamics, Inc.		4,600		89,884
				260,700
Mining — 0.6%
Vulcan Materials Co.		39,385		2,340,257
Alcoa, Inc.		11,800		125,434
				2,465,691
				9,157,647
Communications — 10.8%
Advertising — 0.9%
Omnicom Group, Inc.		45,283		3,367,697
Internet — 1.3%
AOL, Inc. (a)		41,079		1,915,103
Liberty Interactive Corp. Class A (a)		105,419		3,094,047
				5,009,150
Media — 3.9%
Comcast Corp. Class A		60,835		3,161,291
DIRECTV (a)		39,292		2,714,684
Gannett Co., Inc.		5,700		168,606
Liberty Global PLC Series A (a)		21,070		1,875,019
Time Warner, Inc.		35,300		2,461,116
Viacom, Inc. Class B		55,019		4,805,360
				15,186,076
Telecommunications — 4.7%
AT&T, Inc.		59,600		2,095,536
Cisco Systems, Inc.		216,711		4,865,162
Corning, Inc.		35,700		636,174
Harris Corp.		2,600		181,506
Juniper Networks, Inc. (a)		5,600		126,392
Motorola Solutions, Inc.		46,984		3,171,420
QUALCOMM, Inc.		18,700		1,388,475

	Number of Shares		Value
Verizon Communications, Inc.		50,814	$	2,497,000
Vodafone Group PLC Sponsored ADR (United Kingdom)		76,538		3,008,709
				17,970,374
				41,533,297
Consumer, Cyclical — 7.7%
Airlines — 0.2%
Alaska Air Group, Inc.		1,700		124,729
Delta Air Lines, Inc.		14,600		401,062
Southwest Airlines Co.		17,300		325,932
				851,723
Auto Manufacturers — 1.1%
General Motors Co. (a)		102,200		4,176,914
Oshkosh Corp.		2,100		105,798
				4,282,712
Automotive & Parts — 0.5%
Delphi Automotive PLC		6,300		378,819
The Goodyear Tire & Rubber Co.		5,400		128,790
Johnson Controls, Inc.		16,800		861,840
Lear Corp.		2,100		170,037
TRW Automotive Holdings Corp. (a)		2,900		215,731
WABCO Holdings, Inc. (a)		1,400		130,774
				1,885,991
Entertainment — 0.0%
International Game Technology		6,400		116,224
Housewares — 0.1%
Newell Rubbermaid, Inc.		7,100		230,111
Leisure Time — 0.1%
Royal Caribbean Cruises Ltd.		4,200		199,164
Lodging — 0.0%
Hyatt Hotels Corp. Class A (a)		900		44,514
Wyndham Worldwide Corp.		1,200		88,428
				132,942
Retail — 5.6%
Advance Auto Parts, Inc.		1,800		199,224
AutoNation, Inc. (a)		27,496		1,366,276
AutoZone, Inc. (a)		900		430,146
Bed Bath & Beyond, Inc. (a)		5,400		433,620
Coach, Inc.		3,100		174,003
CVS Caremark Corp.		68,371		4,893,312
Dillard’s, Inc. Class A		500		48,605
Family Dollar Stores, Inc.		39,878		2,590,874
Foot Locker, Inc.		1,600		66,304
GameStop Corp. Class A		2,800		137,928
The Gap, Inc.		11,500		449,420
Kohl’s Corp.		5,400		306,450
Lowe’s Cos., Inc.		59,840		2,965,072
Macy’s, Inc.		19,400		1,035,960

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

101

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

	Number of Shares		Value
Nordstrom, Inc.		4,200	$	259,560
Penske Auto Group, Inc.		2,200		103,752
PetSmart, Inc.		1,100		80,025
Signet Jewelers Ltd.		2,000		157,400
Staples, Inc.		16,200		257,418
Wal-Mart Stores, Inc.		69,700		5,484,693
				21,440,042
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		3,200		176,032
Mattel, Inc.		7,000		333,060
				509,092
				29,648,001
Consumer, Non-cyclical — 17.4%
Agriculture — 1.7%
Altria Group, Inc.		40,500		1,554,795
Archer-Daniels-Midland Co.		16,200		703,080
Bunge Ltd.		3,200		262,752
Lorillard, Inc.		9,200		466,256
Philip Morris International, Inc.		31,356		2,732,048
Reynolds American, Inc.		13,300		664,867
				6,383,798
Beverages — 0.7%
Coca-Cola Enterprises, Inc.		6,500		286,845
Dr. Pepper Snapple Group, Inc.		2,200		107,184
PepsiCo, Inc.		28,278		2,345,378
				2,739,407
Biotechnology — 0.5%
Amgen, Inc.		18,500		2,111,960
Commercial Services — 0.2%
Global Payments, Inc.		1,700		110,483
Manpower, Inc.		1,700		145,962
Quanta Services, Inc. (a)		4,200		132,552
Western Union Co.		13,500		232,875
				621,872
Cosmetics & Personal Care — 0.3%
The Procter & Gamble Co.		16,205		1,319,249
Foods — 1.3%
General Mills, Inc.		15,500		773,605
The J.M. Smucker Co.		3,100		321,222
The Kroger Co.		12,700		502,031
Mondelez International, Inc. Class A		72,650		2,564,545
Sysco Corp.		12,300		444,030
Tyson Foods, Inc. Class A		6,900		230,874
				4,836,307
Health Care – Products — 2.1%
Becton, Dickinson & Co.		4,800		530,352
Boston Scientific Corp. (a)		29,900		359,398
CareFusion Corp. (a)		4,200		167,244
Covidien PLC		51,629		3,515,935

	Number of Shares		Value
Medtronic, Inc.		24,400	$	1,400,316
St. Jude Medical, Inc.		7,000		433,650
Stryker Corp.		9,300		698,802
Varian Medical Systems, Inc. (a)		2,300		178,687
Zimmer Holdings, Inc.		8,000		745,520
				8,029,904
Health Care – Services — 2.3%
Cigna Corp.		6,900		603,612
HCA Holdings, Inc. (a)		41,709		1,989,936
Humana, Inc.		3,800		392,236
Laboratory Corporation of America Holdings (a)		2,200		201,014
UnitedHealth Group, Inc.		66,625		5,016,863
Universal Health Services, Inc. Class B		1,700		138,142
WellPoint, Inc.		7,300		674,447
				9,016,250
Household Products — 0.3%
Kimberly-Clark Corp.		9,400		981,924
Tupperware Brands Corp.		1,200		113,436
				1,095,360
Pharmaceuticals — 8.0%
Bristol-Myers Squibb Co.		45,106		2,397,384
Cardinal Health, Inc.		8,300		554,523
Eli Lilly & Co.		57,715		2,943,465
Forest Laboratories, Inc. (a)		66,192		3,973,506
Merck & Co., Inc.		157,084		7,862,054
Mylan, Inc. (a)		9,400		407,960
Pfizer, Inc.		300,933		9,217,578
Sanofi ADR (France)		60,469		3,242,952
United Therapeutics Corp. (a)		1,200		135,696
				30,735,118
				66,889,225
Energy — 11.9%
Coal — 0.4%
CONSOL Energy, Inc.		41,083		1,562,797
Oil & Gas — 10.4%
Atwood Oceanics, Inc. (a)		1,300		69,407
Chesapeake Energy Corp.		7,300		198,122
Chevron Corp.		85,590		10,691,047
ConocoPhillips		38,000		2,684,700
Devon Energy Corp.		10,000		618,700
Exxon Mobil Corp.		87,344		8,839,213
Helmerich & Payne, Inc.		2,400		201,792
Hess Corp.		42,534		3,530,322
Marathon Oil Corp.		99,544		3,513,903
Murphy Oil Corp.		4,100		266,008
Noble Energy, Inc.		42,128		2,869,338
Occidental Petroleum Corp.		19,700		1,873,470
Patterson-UTI Energy, Inc.		2,900		73,428

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

102

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

	Number of Shares		Value
Phillips 66		14,900	$	1,149,237
Rowan Cos. PLC Class A (a)		3,100		109,616
Tesoro Corp.		3,000		175,500
Valero Energy Corp.		57,036		2,874,615
				39,738,418
Oil & Gas Services — 1.1%
Halliburton Co.		9,400		477,050
National Oilwell Varco, Inc.		10,400		827,112
Oil States International, Inc. (a)		600		61,032
Schlumberger Ltd.		31,930		2,877,212
				4,242,406
				45,543,621
Financial — 26.1% Banks — 9.8%
Bank of America Corp.		460,320		7,167,182
Bank of New York Mellon Corp.		28,200		985,308
BB&T Corp.		14,800		552,336
Capital One Financial Corp.		12,300		942,303
Comerica, Inc.		4,500		213,930
Commerce Bancshares, Inc.		2,400		107,784
Cullen/Frost Bankers, Inc.		1,300		96,759
East West Bancorp, Inc.		3,400		118,898
Fifth Third Bancorp		131,976		2,775,455
Huntington Bancshares, Inc.		20,300		195,895
KeyCorp		22,300		299,266
Northern Trust Corp.		5,000		309,450
PNC Financial Services Group, Inc.		51,887		4,025,394
Regions Financial Corp.		34,200		338,238
State Street Corp.		63,513		4,661,219
SunTrust Banks, Inc.		13,100		482,211
U.S. Bancorp		88,592		3,579,117
Wells Fargo & Co.		233,227		10,588,506
Zions Bancorp		4,500		134,820
				37,574,071
Diversified Financial — 8.8%
American Express Co.		26,400		2,395,272
Ameriprise Financial, Inc.		38,075		4,380,529
BlackRock, Inc.		4,100		1,297,527
CIT Group, Inc.		4,900		255,437
Citigroup, Inc.		61,427		3,200,961
Discover Financial Services		64,907		3,631,547
Franklin Resources, Inc.		15,500		894,815
The Goldman Sachs Group, Inc.		11,000		1,949,860
Invesco Ltd.		10,800		393,120
JP Morgan Chase & Co.		194,628		11,381,845
Legg Mason, Inc.		51,496		2,239,046
Morgan Stanley		48,000		1,505,280
The NASDAQ OMX Group, Inc.		4,100		163,180
SLM Corp.		9,700		254,916
				33,943,335

	Number of Shares		Value
Insurance — 6.7%
ACE Ltd.		8,300	$	859,299
Aflac, Inc.		11,400		761,520
Alleghany Corp. (a)		400		159,984
The Allstate Corp.		11,400		621,756
American Financial Group, Inc.		5,200		300,144
American International Group, Inc.		92,976		4,746,424
Arch Capital Group Ltd. (a)		3,300		196,977
Assurant, Inc.		1,800		119,466
Assured Guaranty Ltd.		2,000		47,180
Axis Capital Holdings Ltd.		2,800		133,196
The Chubb Corp.		15,600		1,507,428
Cincinnati Financial Corp.		3,400		178,058
Everest Re Group Ltd.		1,200		187,044
Genworth Financial, Inc. Class A (a)		5,500		85,415
HCC Insurance Holdings, Inc.		3,500		161,490
Lincoln National Corp.		6,500		335,530
Loews Corp.		22,500		1,085,400
MetLife, Inc.		59,674		3,217,622
Old Republic International Corp.		6,300		108,801
PartnerRe Ltd.		1,300		137,059
Principal Financial Group, Inc.		7,200		355,032
The Progressive Corp.		6,600		179,982
Prudential Financial, Inc.		11,300		1,042,086
Reinsurance Group of America, Inc. Class A		2,100		162,561
RenaissanceRe Holdings Ltd.		3,100		301,754
Torchmark Corp.		5,900		461,085
The Travelers Cos., Inc.		48,583		4,398,705
Unum Group		98,710		3,462,747
W.R. Berkley Corp.		4,400		190,916
XL Group PLC		7,000		222,880
				25,727,541
Real Estate Investment Trusts (REITS) — 0.7%
Weyerhaeuser Co.		87,380		2,758,587
Savings & Loans — 0.1%
First Niagara Financial Group, Inc.		7,800		82,836
New York Community Bancorp, Inc.		10,800		181,980
People’s United Financial, Inc.		7,900		119,448
				384,264
				100,387,798
Industrial — 12.4%
Aerospace & Defense — 1.9%
General Dynamics Corp.		9,500		907,725
L-3 Communications Holdings, Inc.		2,200		235,092
Lockheed Martin Corp.		7,900		1,174,414
Northrop Grumman Corp.		34,712		3,978,342
Raytheon Co.		7,900		716,530
Rockwell Collins, Inc.		3,400		251,328
				7,263,431

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

103

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

	Number of Shares		Value
Electrical Components & Equipment — 0.3%
Emerson Electric Co.		15,700	$	1,101,826
Energizer Holdings, Inc.		1,400		151,536
				1,253,362
Electronics — 0.1%
Arrow Electronics, Inc. (a)		2,500		135,625
Avnet, Inc.		5,100		224,961
				360,586
Engineering & Construction — 0.1%
Fluor Corp.		4,000		321,160
KBR, Inc.		3,200		102,048
URS Corp.		1,800		95,382
				518,590
Environmental Controls — 0.1%
Republic Services, Inc.		7,700		255,640
Hand & Machine Tools — 0.1%
Snap-on, Inc.		1,400		153,328
Stanley Black & Decker, Inc.		3,900		314,691
				468,019
Machinery – Construction & Mining — 0.5%
Ingersoll-Rand PLC		3,200		197,120
Terex Corp.		42,704		1,793,141
				1,990,261
Machinery – Diversified — 0.7%
AGCO Corp.		2,400		142,056
Cummins, Inc.		4,100		577,977
Deere & Co.		20,045		1,830,710
				2,550,743
Manufacturing — 6.1%
Dover Corp.		19,909		1,922,015
Eaton Corp. PLC		38,312		2,916,310
General Electric Co.		393,940		11,042,138
Honeywell International, Inc.		41,018		3,747,815
Illinois Tool Works, Inc.		38,554		3,241,620
Parker Hannifin Corp.		3,600		463,104
Trinity Industries, Inc.		900		49,068
				23,382,070
Packaging & Containers — 0.9%
Ball Corp.		1,600		82,656
Bemis Co., Inc.		2,500		102,400
Crown Holdings, Inc. (a)		3,500		155,995
Owens-Illinois, Inc. (a)		4,000		143,120
Sealed Air Corp.		88,187		3,002,767
Sonoco Products Co.		2,600		108,472
				3,595,410
Transportation — 1.6%
CSX Corp.		25,000		719,250
FedEx Corp.		6,600		948,882

	Number of Shares		Value
Norfolk Southern Corp.		39,053	$	3,625,290
Union Pacific Corp.		5,100		856,800
				6,150,222
Trucking & Leasing — 0.0%
AMERCO (a)		200		47,568
				47,835,902
Technology — 6.8%
Computers — 3.3%
Apple, Inc.		14,312		8,030,606
Computer Sciences Corp.		3,600		201,168
EMC Corp.		97,393		2,449,434
Hewlett-Packard Co.		47,100		1,317,858
SanDisk Corp.		5,000		352,700
Western Digital Corp.		5,800		486,620
				12,838,386
Office Equipment/Supplies — 0.1%
Xerox Corp.		30,200		367,534
Semiconductors — 1.2%
Intel Corp.		54,900		1,425,204
Marvell Technology Group Ltd.		12,100		173,998
NVIDIA Corp.		14,200		227,484
Skyworks Solutions, Inc. (a)		2,100		59,976
Texas Instruments, Inc.		63,551		2,790,525
				4,677,187
Software — 2.2%
Activision Blizzard, Inc.		22,300		397,609
CA, Inc.		11,200		376,880
The Dun & Bradstreet Corp.		1,100		135,025
Microsoft Corp.		167,515		6,270,086
Oracle Corp.		29,503		1,128,785
				8,308,385
				26,191,492
Utilities — 2.0%
Electric — 1.9%
The AES Corp.		18,200		264,082
Alliant Energy Corp.		2,700		139,320
Ameren Corp.		5,900		213,344
Calpine Corp. (a)		95,810		1,869,253
FirstEnergy Corp.		44,384		1,463,784
MDU Resources Group, Inc.		4,000		122,200
NextEra Energy, Inc.		29,011		2,483,922
Northeast Utilities		6,600		279,774
Public Service Enterprise Group, Inc.		9,700		310,788
				7,146,467
Gas — 0.1%
Atmos Energy Corp.		2,500		113,550
Sempra Energy		4,400		394,944
				508,494

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

104

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

	Number of Shares		Value
Water — 0.0%
American Water Works Co., Inc.		3,500	$	147,910
				7,802,871
TOTAL COMMON STOCK (Cost $267,774,436)				374,989,854
TOTAL EQUITIES (Cost $267,774,436)				374,989,854
MUTUAL FUNDS — 0.7%
Diversified Financial — 0.7%
iShares Russell 1000 Value Index Fund		26,800		2,523,488
TOTAL MUTUAL FUNDS (Cost $2,361,633)				2,523,488
TOTAL LONG-TERM INVESTMENTS (Cost $270,136,069)				377,513,342
	Principal Amount
SHORT-TERM INVESTMENTS — 2.3%
Repurchase Agreement — 2.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (b)	$	8,988,794		8,988,794
TOTAL SHORT-TERM INVESTMENTS (Cost $8,988,794)				8,988,794
TOTAL INVESTMENTS — 100.5% (Cost $279,124,863) (c)				386,502,136
Other Assets/(Liabilities) — (0.5)%				(2,053,684	)
NET ASSETS — 100.0%			$	384,448,452

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $8,988,799. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 5/15/40, and an aggregate market value, including accrued interest, of $9,174,523.

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

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

105

MassMutual Select Fundamental Value Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 99.6%
COMMON STOCK — 99.6%
Basic Materials — 4.1%
Chemicals — 1.8%
The Dow Chemical Co.		379,910	$	16,868,004
E.I. du Pont de Nemours & Co.		142,080		9,230,937
				26,098,941
Forest Products & Paper — 0.9%
International Paper Co.		272,700		13,370,481
Iron & Steel — 1.4%
Nucor Corp.		158,810		8,477,278
Steel Dynamics, Inc.		574,720		11,230,029
				19,707,307
				59,176,729
Communications — 9.7%
Advertising — 0.7%
The Interpublic Group of Companies, Inc.		597,730		10,579,821
Internet — 1.4%
Symantec Corp.		851,840		20,086,387
Media — 3.2%
CBS Corp. Class B		188,150		11,992,681
Comcast Corp. Class A		380,740		19,785,154
Thomson Reuters Corp.		363,530		13,748,705
				45,526,540
Telecommunications — 4.4%
Cisco Systems, Inc.		1,696,110		38,077,670
Verizon Communications, Inc.		495,260		24,337,076
				62,414,746
				138,607,494
Consumer, Cyclical — 10.7%
Auto Manufacturers — 1.2%
General Motors Co. (a)		159,500		6,518,765
Paccar, Inc.		172,830		10,226,351
				16,745,116
Home Builders — 0.9%
PulteGroup, Inc.		625,800		12,747,546
Housewares — 1.0%
Newell Rubbermaid, Inc.		450,240		14,592,278
Retail — 7.6%
AutoZone, Inc. (a)		38,030		18,176,058
CVS Caremark Corp.		276,950		19,821,311
The Home Depot, Inc.		175,490		14,449,847
Kohl’s Corp.		152,550		8,657,213
Lowe’s Cos., Inc.		361,770		17,925,704
Nordstrom, Inc.		184,610		11,408,898

	Number of Shares		Value
PVH Corp.		139,410	$	18,962,548
				109,401,579
				153,486,519
Consumer, Non-cyclical — 15.9%
Agriculture — 0.9%
Philip Morris International, Inc.		139,680		12,170,319
Beverages — 2.3%
Anheuser-Busch InBev NV Sponsored ADR (Belgium)		161,820		17,227,357
Diageo PLC Sponsored ADR (United Kingdom)		119,200		15,784,464
				33,011,821
Biotechnology — 1.1%
Amgen, Inc.		143,120		16,338,579
Foods — 0.7%
Kraft Foods Group, Inc.		179,546		9,681,120
Health Care – Products — 3.6%
Baxter International, Inc.		239,730		16,673,222
Covidien PLC		288,210		19,627,101
Johnson & Johnson		160,470		14,697,447
				50,997,770
Health Care – Services — 1.9%
UnitedHealth Group, Inc.		366,960		27,632,088
Pharmaceuticals — 5.4%
AstraZeneca PLC Sponsored ADR (United Kingdom)		120,000		7,124,400
Merck & Co., Inc.		717,350		35,903,368
Pfizer, Inc.		249,635		7,646,320
Roche Holding AG		72,857		20,423,053
Zoetis, Inc.		184,548		6,032,874
				77,130,015
				226,961,712
Energy — 11.8%
Oil & Gas — 10.4%
Anadarko Petroleum Corp.		156,550		12,417,546
Chevron Corp.		368,690		46,053,068
EOG Resources, Inc.		80,240		13,467,482
Exxon Mobil Corp.		283,680		28,708,416
Marathon Oil Corp.		453,090		15,994,077
Occidental Petroleum Corp.		192,560		18,312,456
Southwestern Energy Co. (a)		348,740		13,715,944
				148,668,989
Oil & Gas Services — 1.4%
Halliburton Co.		409,530		20,783,647
				169,452,636

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

106

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

	Number of Shares		Value
Financial — 27.2%
Banks — 7.2%
BB&T Corp.		454,170	$	16,949,624
PNC Financial Services Group, Inc.		397,560		30,842,705
Wells Fargo & Co.		1,199,560		54,460,024
				102,252,353
Diversified Financial — 11.7%
Ameriprise Financial, Inc.		153,620		17,673,981
BlackRock, Inc.		71,170		22,523,170
Citigroup, Inc.		487,220		25,389,034
Credit Suisse Group Sponsored ADR (Switzerland)		236,955		7,355,083
The Goldman Sachs Group, Inc.		119,970		21,265,882
IntercontinentalExchange, Inc.		89,770		20,191,069
JP Morgan Chase & Co.		903,516		52,837,616
				167,235,835
Insurance — 7.5%
ACE Ltd.		277,600		28,739,928
American International Group, Inc.		333,900		17,045,595
The Chubb Corp.		128,900		12,455,607
Marsh & McLennan Cos., Inc.		530,380		25,649,177
Principal Financial Group, Inc.		239,898		11,829,370
Unum Group		339,340		11,904,047
				107,623,724
Real Estate Investment Trusts (REITS) — 0.8%
Host Hotels & Resorts, Inc.		596,300		11,592,072
				388,703,984
Industrial — 9.6%
Aerospace & Defense — 3.1%
The Boeing Co.		74,700		10,195,803
Spirit AeroSystems Holdings, Inc. Class A (a)		438,470		14,943,057
United Technologies Corp.		168,320		19,154,816
				44,293,676
Machinery – Construction & Mining — 1.0%
Ingersoll-Rand PLC		225,510		13,891,416
Manufacturing — 5.5%
3M Co.		107,520		15,079,680
Eaton Corp. PLC		282,890		21,533,587
General Electric Co.		1,046,640		29,337,319
Illinois Tool Works, Inc.		153,450		12,902,076
				78,852,662
				137,037,754
Technology — 8.0%
Computers — 1.7%
EMC Corp.		988,180		24,852,727
Semiconductors — 4.9%
Analog Devices, Inc.		286,130		14,572,601
Intel Corp.		975,260		25,317,750

	Number of Shares		Value
Maxim Integrated Products, Inc.		460,040	$	12,839,716
Xilinx, Inc.		391,230		17,965,282
				70,695,349
Software — 1.4%
Microsoft Corp.		518,470		19,406,332
				114,954,408
Utilities — 2.6%
Electric — 2.6%
Edison International		216,780		10,036,914
Entergy Corp.		131,940		8,347,844
NextEra Energy, Inc.		84,950		7,273,419
Northeast Utilities		262,300		11,118,897
				36,777,074
TOTAL COMMON STOCK (Cost $970,365,520)				1,425,158,310
TOTAL EQUITIES (Cost $970,365,520)				1,425,158,310
TOTAL LONG-TERM INVESTMENTS (Cost $970,365,520)				1,425,158,310
	Principal Amount
SHORT-TERM INVESTMENTS — 0.9%
Repurchase Agreement — 0.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (b)	$	13,467,620		13,467,620
TOTAL SHORT-TERM INVESTMENTS (Cost $13,467,620)				13,467,620
TOTAL INVESTMENTS — 100.5% (Cost $983,833,140) (c)				1,438,625,930
Other Assets/(Liabilities) — (0.5)%				(7,375,246	)
NET ASSETS — 100.0%			$	1,431,250,684

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $13,467,628. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/15/40, and an aggregate market value, including accrued interest, of $13,739,337.

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

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

107

MassMutual Select Large Cap Value Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 95.4%
COMMON STOCK — 95.3%
Basic Materials — 3.4%
Chemicals — 1.2%
BASF SE Sponsored ADR (Germany)		27,300	$	2,942,667
The Dow Chemical Co.		36,113		1,603,417
LyondellBasell Industries NV Class A		16,687		1,339,632
				5,885,716
Forest Products & Paper — 0.6%
International Paper Co.		45,574		2,234,493
MeadWestvaco Corp.		16,633		614,257
				2,848,750
Iron & Steel — 1.1%
Carpenter Technology Corp.		81,400		5,063,080
Mining — 0.5%
Alcoa, Inc.		220,400		2,342,852
				16,140,398
Communications — 6.7%
Advertising — 1.0%
Aimia, Inc.		266,500		4,889,955
Media — 0.9%
Gannett Co., Inc.		51,522		1,524,020
Reed Elsevier NV		41,040		871,996
Time Warner, Inc.		13,172		918,352
Vivendi SA		32,743		866,187
				4,180,555
Telecommunications — 4.8%
AT&T, Inc.		123,849		4,354,531
BCE, Inc.		29,012		1,255,930
BT Group PLC		119,628		753,222
CenturyLink, Inc.		69,626		2,217,588
Cisco Systems, Inc.		119,264		2,677,477
Deutsche Telekom AG Sponsored ADR (Germany) (a)		90,998		1,570,626
Telstra Corp. Ltd.		248,517		1,165,223
Verizon Communications, Inc.		26,817		1,317,787
Vodafone Group PLC Sponsored ADR (United Kingdom)		163,195		6,415,195
West Corp.		24,848		638,842
				22,366,421
				31,436,931
Consumer, Cyclical — 4.5%
Auto Manufacturers — 0.4%
Daimler AG		17,523		1,516,805
General Motors Co. (b)		10,848		443,358
				1,960,163

	Number of Shares		Value
Entertainment — 0.5%
National CineMedia, Inc.		50,537	$	1,008,719
Regal Entertainment Group Class A (a)		58,118		1,130,395
				2,139,114
Home Builders — 0.7%
Lennar Corp.		103,450		3,488,334
Retail — 2.9%
Cash America International, Inc.		133,009		5,094,245
The Home Depot, Inc.		15,400		1,268,036
McDonald’s Corp.		24,251		2,353,074
Wal-Mart Stores, Inc.		61,600		4,847,304
				13,562,659
				21,150,270
Consumer, Non-cyclical — 25.5%
Agriculture — 3.9%
Altria Group, Inc.		37,736		1,448,685
Lorillard, Inc.		67,128		3,402,047
Philip Morris International, Inc.		150,628		13,124,218
				17,974,950
Beverages — 0.6%
The Coca-Cola Co.		71,167		2,939,909
Commercial Services — 1.9%
Donnelley (R.R.) & Sons Co. (a)		69,530		1,410,068
MasterCard, Inc. Class A		1,800		1,503,828
Paychex, Inc.		17,240		784,937
Western Union Co.		298,700		5,152,575
				8,851,408
Cosmetics & Personal Care — 0.7%
The Procter & Gamble Co.		42,074		3,425,244
Foods — 2.1%
ConAgra Foods, Inc.		99,085		3,339,164
Kraft Foods Group, Inc.		30,543		1,646,878
Mondelez International, Inc. Class A		21,459		757,503
Sysco Corp.		29,337		1,059,066
Tyson Foods, Inc. Class A		91,300		3,054,898
				9,857,509
Health Care – Products — 1.5%
Johnson & Johnson		74,335		6,808,343
Household Products — 1.7%
Reckitt Benckiser Group PLC		10,496		835,657
Tupperware Brands Corp.		74,700		7,061,391
				7,897,048
Pharmaceuticals — 13.1%
AbbVie, Inc.		72,920		3,850,905
Actavis PLC (b)		9,900		1,663,200
Bristol-Myers Squibb Co.		25,094		1,333,746

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

108

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

	Number of Shares		Value
Cardinal Health, Inc.		8,212	$	548,644
Eli Lilly & Co.		233,233		11,894,883
GlaxoSmithKline PLC ADR (United Kingdom)		9,226		492,576
Herbalife Ltd. (a)		119,100		9,373,170
Merck & Co., Inc.		285,268		14,277,664
Novartis AG ADR (Switzerland)		9,908		796,405
Pfizer, Inc.		531,356		16,275,434
Sanofi ADR (France)		16,510		885,431
				61,392,058
				119,146,469
Energy — 11.4%
Oil & Gas — 11.1%
BP PLC Sponsored ADR (United Kingdom)		111,000		5,395,710
Chesapeake Energy Corp.		98,100		2,662,434
Chevron Corp.		49,675		6,204,904
ConocoPhillips		75,010		5,299,456
Ensco PLC Class A		258,000		14,752,440
Exxon Mobil Corp.		75,364		7,626,837
Occidental Petroleum Corp.		29,055		2,763,131
Phillips 66		17,900		1,380,627
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom)		81,900		5,837,013
				51,922,552
Pipelines — 0.3%
Spectra Energy Corp.		34,324		1,222,621
				53,145,173
Financial — 19.4%
Banks — 5.8%
Bank of America Corp.		641,836		9,993,387
Bank of Montreal		24,768		1,651,035
Fifth Third Bancorp		43,133		907,087
M&T Bank Corp. (a)		18,061		2,102,662
National Australia Bank Ltd.		14,718		459,464
SunTrust Banks, Inc.		78,972		2,906,959
The Toronto-Dominion Bank		10,576		996,682
U.S. Bancorp		63,975		2,584,590
Wells Fargo & Co.		116,504		5,289,282
				26,891,148
Diversified Financial — 5.4%
BlackRock, Inc.		7,047		2,230,164
Citigroup, Inc.		154,500		8,050,995
JP Morgan Chase & Co.		254,507		14,883,569
				25,164,728
Insurance — 8.0%
American International Group, Inc.		139,800		7,136,790
CNO Financial Group, Inc.		1,168,000		20,661,920
ING US, Inc.		163,247		5,738,132

	Number of Shares		Value
MetLife, Inc.		12,196	$	384,662
PartnerRe Ltd.		6,392		673,909
XL Group PLC		84,566		2,692,581
				37,287,994
Investment Companies — 0.1%
New Mountain Finance Corp.		43,277		650,886
Real Estate Investment Trusts (REITS) — 0.1%
OMEGA Healthcare Investors, Inc.		17,242		513,812
				90,508,568
Industrial — 8.4%
Aerospace & Defense — 1.9%
Lockheed Martin Corp.		14,579		2,167,314
Northrop Grumman Corp.		59,200		6,784,912
				8,952,226
Electronics — 0.6%
TE Connectivity Ltd.		53,200		2,931,852
Engineering & Construction — 1.3%
Fluor Corp.		39,600		3,179,484
KBR, Inc.		84,800		2,704,272
				5,883,756
Environmental Controls — 0.2%
Waste Management, Inc.		20,861		936,033
Machinery – Diversified — 0.3%
Flowserve Corp.		20,400		1,608,132
Manufacturing — 2.8%
Eaton Corp. PLC		22,976		1,748,933
General Electric Co.		231,904		6,500,269
Honeywell International, Inc.		19,134		1,748,274
Illinois Tool Works, Inc.		14,763		1,241,273
Leggett & Platt, Inc.		46,610		1,442,114
Siemens AG Sponsored ADR (Germany) (a)		4,518		625,788
				13,306,651
Packaging & Containers — 0.7%
Packaging Corporation of America		48,425		3,064,334
Transportation — 0.5%
FedEx Corp.		15,400		2,214,058
Trucking & Leasing — 0.1%
Fly Leasing Ltd. ADR (Bermuda)		35,272		566,821
				39,463,863
Technology — 9.7%
Computers — 2.5%
Apple, Inc.		5,274		2,959,294
Hewlett-Packard Co.		311,800		8,724,164
				11,683,458
Semiconductors — 1.3%
Analog Devices, Inc.		23,191		1,181,118
Intel Corp.		87,849		2,280,560

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

109

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

	Number of Shares		Value
Maxim Integrated Products, Inc.		8,785	$	245,189
Microchip Technology, Inc.		49,601		2,219,645
				5,926,512
Software — 5.9%
CA, Inc.		428,519		14,419,664
Microsoft Corp.		311,179		11,647,430
Oracle Corp.		39,800		1,522,748
				27,589,842
				45,199,812
Utilities — 6.3%
Electric — 6.0%
Ameren Corp.		24,000		867,840
American Electric Power Co., Inc.		38,508		1,799,864
Dominion Resources, Inc.		16,256		1,051,601
Duke Energy Corp.		21,575		1,488,891
Entergy Corp.		89,600		5,668,992
Exelon Corp.		300,300		8,225,217
National Grid PLC		47,930		626,273
NextEra Energy, Inc.		44,300		3,792,966
PG&E Corp.		21,238		855,467
PPL Corp.		36,403		1,095,366
Public Service Enterprise Group, Inc.		16,910		541,796
SCANA Corp.		6,608		310,113
TECO Energy, Inc. (a)		44,604		768,973
Terna Rete Elettrica Nazionale SpA		197,866		994,441
				28,087,800
Gas — 0.3%
Sempra Energy		13,071		1,173,253
				29,261,053
TOTAL COMMON STOCK (Cost $359,671,319)				445,452,537
PREFERRED STOCK — 0.1%
Basic Materials — 0.1%
Iron & Steel — 0.1%
ArcelorMittal 6.000% (a)		25,898		673,348
TOTAL PREFERRED STOCK (Cost $647,450)				673,348
TOTAL EQUITIES (Cost $360,318,769)				446,125,885
	Principal Amount
BONDS & NOTES — 1.2%
CORPORATE DEBT — 1.2%
Diversified Financial — 1.2%
The Goldman Sachs Group, Inc. (c) 1.000% 5/20/14	$	164,500		2,483,292

	Principal Amount		Value
The Goldman Sachs Group, Inc. (c) 1.000% 3/03/14	$	22,630	$	1,295,137
The Goldman Sachs Group, Inc. (c) 1.000% 3/11/14		140,600		1,670,750
				5,449,179
TOTAL CORPORATE DEBT (Cost $5,328,019)				5,449,179
TOTAL BONDS & NOTES (Cost $5,328,019)				5,449,179
	Number of Shares
MUTUAL FUNDS — 3.6%
Diversified Financial — 3.6%
State Street Navigator Securities Lending Prime Portfolio (d)		16,890,854		16,890,854
TOTAL MUTUAL FUNDS (Cost $16,890,854)				16,890,854
TOTAL LONG-TERM INVESTMENTS (Cost $382,537,642)				468,465,918
	Principal Amount
SHORT-TERM INVESTMENTS — 3.2%
Repurchase Agreement — 3.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (e)		14,942,443		14,942,443
Time Deposits — 0.0%
Euro Time Deposit 0.010% 1/02/14		58,349		58,349
TOTAL SHORT-TERM INVESTMENTS (Cost $15,000,792)				15,000,792
TOTAL INVESTMENTS — 103.4% (Cost $397,538,434) (f)				483,466,710
Other Assets/(Liabilities) — (3.4)%				(15,828,138	)
NET ASSETS — 100.0%			$	467,638,572

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $16,497,837. Total securities on loan may not correspond with the amounts

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

110

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

Notes to Portfolio Investments (Continued)

identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

(c) 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 December 31, 2013, these securities amounted to a value of $5,449,179 or 1.17% of net assets.

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

(e) Maturity value of $14,942,452. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 1/25/39, and an aggregate market value, including accrued interest, of $15,248,549.

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

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

111

MM S&P 500 Index Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 98.5%
COMMON STOCK — 98.5%
Basic Materials — 3.3%
Chemicals — 2.5%
Air Products & Chemicals, Inc.		39,254	$	4,387,812
Airgas, Inc.		12,730		1,423,851
CF Industries Holdings, Inc.		10,595		2,469,059
The Dow Chemical Co.		224,180		9,953,592
E.I. du Pont de Nemours & Co.		170,997		11,109,675
Eastman Chemical Co.		28,005		2,260,004
Ecolab, Inc.		49,831		5,195,878
FMC Corp.		24,629		1,858,504
International Flavors & Fragrances, Inc.		14,627		1,257,630
LyondellBasell Industries NV Class A		80,672		6,476,348
Monsanto Co.		97,342		11,345,210
The Mosaic Co.		63,864		3,018,851
PPG Industries, Inc.		26,161		4,961,695
Praxair, Inc.		54,814		7,127,464
The Sherwin-Williams Co.		15,851		2,908,659
Sigma-Aldrich Corp.		21,873		2,056,281
				77,810,513
Forest Products & Paper — 0.2%
International Paper Co.		82,007		4,020,803
MeadWestvaco Corp.		33,447		1,235,198
				5,256,001
Iron & Steel — 0.2%
Allegheny Technologies, Inc.		18,561		661,328
Cliffs Natural Resources, Inc.		29,004		760,195
Nucor Corp.		59,319		3,166,448
United States Steel Corp.		27,752		818,684
				5,406,655
Mining — 0.4%
Alcoa, Inc.		197,979		2,104,517
Freeport-McMoRan Copper & Gold, Inc.		192,688		7,272,045
Newmont Mining Corp.		94,013		2,165,119
Vulcan Materials Co.		24,235		1,440,044
				12,981,725
				101,454,894
Communications — 12.7%
Advertising — 0.2%
The Interpublic Group of Companies, Inc.		78,734		1,393,592
Omnicom Group, Inc.		48,110		3,577,940
				4,971,532

	Number of Shares		Value
Internet — 4.7%
Akamai Technologies, Inc. (a)		34,279	$	1,617,283
Amazon.com, Inc. (a)		68,579		27,348,619
eBay, Inc. (a)		215,411		11,823,910
Expedia, Inc.		19,443		1,354,399
F5 Networks, Inc. (a)		14,151		1,285,760
Facebook, Inc. Class A (a)		304,175		16,626,205
Google, Inc. Class A (a)		51,901		58,165,970
Netflix, Inc. (a)		10,835		3,989,122
Priceline.com, Inc. (a)		9,513		11,057,911
Symantec Corp.		129,086		3,043,848
TripAdvisor, Inc. (a)		20,837		1,725,929
VeriSign, Inc. (a)		24,450		1,461,621
Yahoo!, Inc. (a)		174,272		7,047,560
				146,548,137
Media — 3.7%
Cablevision Systems Corp. Class A		38,007		681,465
CBS Corp. Class B		103,027		6,566,941
Comcast Corp. Class A		481,900		25,041,933
DIRECTV (a)		90,334		6,241,176
Discovery Communications, Inc. Series A (a)		41,487		3,751,255
Gannett Co., Inc.		41,332		1,222,601
Graham Holdings Co. Class B		806		534,636
The McGraw Hill Financial, Inc.		50,583		3,955,591
News Corp. Class A (a)		94,804		1,708,368
Nielsen Holdings NV		46,127		2,116,768
Scripps Networks Interactive Class A		19,819		1,712,560
Time Warner Cable, Inc.		52,318		7,089,089
Time Warner, Inc.		167,758		11,696,088
Twenty-First Century Fox Class A		362,475		12,751,870
Viacom, Inc. Class B		75,308		6,577,401
The Walt Disney Co.		301,793		23,056,985
				114,704,727
Telecommunications — 4.1%
AT&T, Inc.		972,685		34,199,605
CenturyLink, Inc.		109,942		3,501,653
Cisco Systems, Inc.		988,887		22,200,513
Corning, Inc.		265,936		4,738,979
Crown Castle International Corp. (a)		61,950		4,548,988
Frontier Communications Corp.		187,404		871,429
Harris Corp.		19,785		1,381,191
Juniper Networks, Inc. (a)		96,107		2,169,135
Motorola Solutions, Inc.		42,800		2,889,000
QUALCOMM, Inc.		313,216		23,256,288
Verizon Communications, Inc.		529,062		25,998,107
Windstream Corp.		116,049		926,071
				126,680,959
				392,905,355

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

112

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

	Number of Shares		Value
Consumer, Cyclical — 9.5%
Airlines — 0.2%
Delta Air Lines, Inc.		159,720	$	4,387,509
Southwest Airlines Co.		129,680		2,443,171
				6,830,680
Apparel — 0.5%
Nike, Inc. Class B		138,202		10,868,205
Ralph Lauren Corp.		10,964		1,935,914
VF Corp.		64,356		4,011,953
				16,816,072
Auto Manufacturers — 0.8%
Ford Motor Co.		730,380		11,269,764
General Motors Co. (a)		210,805		8,615,600
Paccar, Inc.		65,220		3,859,067
				23,744,431
Automotive & Parts — 0.4%
BorgWarner, Inc.		41,828		2,338,604
Delphi Automotive PLC		51,017		3,067,652
The Goodyear Tire & Rubber Co.		46,505		1,109,144
Johnson Controls, Inc.		127,234		6,527,104
				13,042,504
Distribution & Wholesale — 0.3%
Fastenal Co.		50,296		2,389,563
Fossil Group, Inc. (a)		9,074		1,088,335
Genuine Parts Co.		27,980		2,327,656
W.W. Grainger, Inc.		11,616		2,966,959
				8,772,513
Entertainment — 0.0%
International Game Technology		47,070		854,791
Home Builders — 0.1%
D.R. Horton, Inc.		49,996		1,115,911
Lennar Corp. Class A		30,738		1,215,995
PulteGroup, Inc.		63,703		1,297,630
				3,629,536
Home Furnishing — 0.1%
Harman International Industries, Inc.		12,569		1,028,773
Whirlpool Corp.		14,304		2,243,725
				3,272,498
Housewares — 0.1%
Newell Rubbermaid, Inc.		54,448		1,764,660
Leisure Time — 0.2%
Carnival Corp.		80,105		3,217,818
Harley-Davidson, Inc.		40,459		2,801,381
				6,019,199
Lodging — 0.3%
Marriott International, Inc. Class A		40,876		2,017,640
Starwood Hotels & Resorts Worldwide, Inc.		36,125		2,870,131

	Number of Shares		Value
Wyndham Worldwide Corp.		24,558	$	1,809,679
Wynn Resorts Ltd.		14,849		2,883,824
				9,581,274
Retail — 6.3%
AutoNation, Inc. (a)		11,613		577,050
AutoZone, Inc. (a)		6,301		3,011,500
Bed Bath & Beyond, Inc. (a)		39,476		3,169,923
Best Buy Co., Inc.		50,881		2,029,134
CarMax, Inc. (a)		42,445		1,995,764
Chipotle Mexican Grill, Inc. (a)		5,775		3,076,805
Coach, Inc.		52,161		2,927,797
Costco Wholesale Corp.		80,849		9,621,839
CVS Caremark Corp.		220,108		15,753,130
Darden Restaurants, Inc.		23,421		1,273,400
Dollar General Corp. (a)		54,355		3,278,694
Dollar Tree, Inc. (a)		37,982		2,142,944
Family Dollar Stores, Inc.		17,222		1,118,913
GameStop Corp. Class A		20,885		1,028,795
The Gap, Inc.		49,765		1,944,816
The Home Depot, Inc.		260,375		21,439,277
Kohl’s Corp.		37,939		2,153,038
L Brands, Inc.		44,566		2,756,407
Lowe’s Cos., Inc.		194,190		9,622,114
Macy’s, Inc.		69,215		3,696,081
McDonald’s Corp.		183,748		17,829,068
Michael Kors Holdings Ltd. (a)		33,809		2,744,953
Nordstrom, Inc.		26,825		1,657,785
O’Reilly Automotive, Inc. (a)		19,952		2,568,022
PetSmart, Inc.		18,595		1,352,786
PVH Corp.		15,213		2,069,272
Ross Stores, Inc.		39,676		2,972,923
Staples, Inc.		119,809		1,903,765
Starbucks Corp.		139,367		10,924,979
Target Corp.		116,950		7,399,427
Tiffany & Co.		20,964		1,945,040
The TJX Cos., Inc.		131,134		8,357,170
Urban Outfitters, Inc. (a)		20,537		761,923
Wal-Mart Stores, Inc.		299,091		23,535,471
Walgreen Co.		161,156		9,256,801
Yum! Brands, Inc.		82,975		6,273,740
				194,170,546
Textiles — 0.1%
Cintas Corp.		18,849		1,123,212
Mohawk Industries, Inc. (a)		11,403		1,697,907
				2,821,119
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		21,165		1,164,286
Mattel, Inc.		62,191		2,959,048
				4,123,334
				295,443,157

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

113

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

	Number of Shares		Value
Consumer, Non-cyclical — 22.2%
Agriculture — 1.7%
Altria Group, Inc.		369,460	$	14,183,570
Archer-Daniels-Midland Co.		123,141		5,344,319
Lorillard, Inc.		68,202		3,456,477
Philip Morris International, Inc.		296,550		25,838,402
Reynolds American, Inc.		57,560		2,877,424
				51,700,192
Beverages — 2.1%
Brown-Forman Corp. Class B		29,511		2,230,146
The Coca-Cola Co.		702,001		28,999,661
Coca-Cola Enterprises, Inc.		43,868		1,935,895
Constellation Brands, Inc. Class A (a)		31,441		2,212,818
Dr. Pepper Snapple Group, Inc.		36,824		1,794,065
Molson Coors Brewing Co. Class B		29,583		1,661,085
Monster Beverage Corp. (a)		24,457		1,657,451
PepsiCo, Inc.		283,690		23,529,249
				64,020,370
Biotechnology — 1.8%
Alexion Pharmaceuticals, Inc. (a)		36,629		4,873,855
Amgen, Inc.		139,502		15,925,548
Biogen Idec, Inc. (a)		43,705		12,226,474
Celgene Corp. (a)		76,234		12,880,497
Life Technologies Corp. (a)		32,124		2,434,999
Regeneron Pharmaceuticals, Inc. (a)		14,385		3,959,327
Vertex Pharmaceuticals, Inc. (a)		43,625		3,241,338
				55,542,038
Commercial Services — 2.2%
The ADT Corp.		36,138		1,462,505
Alliance Data Systems Corp. (a)		9,037		2,376,098
Automatic Data Processing, Inc.		88,572		7,157,503
Equifax, Inc.		23,290		1,609,106
H&R Block, Inc.		49,074		1,425,109
Iron Mountain, Inc.		31,455		954,659
MasterCard, Inc. Class A		19,143		15,993,211
McKesson Corp.		42,475		6,855,465
Moody’s Corp.		35,008		2,747,078
Paychex, Inc.		60,327		2,746,688
Quanta Services, Inc. (a)		40,357		1,273,667
Robert Half International, Inc.		26,108		1,096,275
Total System Services, Inc.		31,281		1,041,032
Visa, Inc. Class A		94,164		20,968,440
Western Union Co.		99,817		1,721,843
				69,428,679
Cosmetics & Personal Care — 1.8%
Avon Products, Inc.		78,130		1,345,399
Colgate-Palmolive Co.		162,857		10,619,905
The Estee Lauder Cos., Inc. Class A		47,645		3,588,621
The Procter & Gamble Co.		502,667		40,922,121
				56,476,046

	Number of Shares		Value
Foods — 1.7%
Campbell Soup Co.		32,253	$	1,395,910
ConAgra Foods, Inc.		77,638		2,616,401
General Mills, Inc.		117,903		5,884,539
The Hershey Co.		28,144		2,736,441
Hormel Foods Corp.		24,731		1,117,099
The J.M. Smucker Co.		19,394		2,009,606
Kellogg Co.		47,016		2,871,267
Kraft Foods Group, Inc.		110,686		5,968,189
The Kroger Co.		96,499		3,814,606
McCormick & Co., Inc.		23,836		1,642,777
Mondelez International, Inc. Class A		325,122		11,476,807
Safeway, Inc.		44,371		1,445,163
Sysco Corp.		107,170		3,868,837
Tyson Foods, Inc. Class A		51,278		1,715,762
Whole Foods Market, Inc.		68,529		3,963,032
				52,526,436
Health Care – Products — 3.1%
Baxter International, Inc.		100,592		6,996,174
Becton, Dickinson & Co.		35,834		3,959,299
Boston Scientific Corp. (a)		243,622		2,928,336
C.R. Bard, Inc.		14,390		1,927,397
CareFusion Corp. (a)		38,930		1,550,193
Covidien PLC		84,363		5,745,120
Edwards Lifesciences Corp. (a)		20,401		1,341,570
Intuitive Surgical, Inc. (a)		6,968		2,676,269
Johnson & Johnson		521,704		47,782,869
Medtronic, Inc.		184,644		10,596,719
St. Jude Medical, Inc.		54,201		3,357,752
Stryker Corp.		54,975		4,130,821
Varian Medical Systems, Inc. (a)		20,137		1,564,444
Zimmer Holdings, Inc.		31,368		2,923,184
				97,480,147
Health Care – Services — 1.4%
Aetna, Inc.		68,386		4,690,596
Cigna Corp.		51,554		4,509,944
DaVita HealthCare Partners, Inc. (a)		33,517		2,123,972
Humana, Inc.		28,436		2,935,164
Laboratory Corporation of America Holdings (a)		15,690		1,433,595
Quest Diagnostics, Inc.		27,332		1,463,355
Tenet Healthcare Corp. (a)		18,773		790,719
Thermo Fisher Scientific, Inc.		66,610		7,417,023
UnitedHealth Group, Inc.		185,613		13,976,659
WellPoint, Inc.		55,135		5,093,923
				44,434,950
Household Products — 0.4%
Avery Dennison Corp.		17,430		874,812
Beam, Inc.		30,147		2,051,805
The Clorox Co.		23,811		2,208,708
Kimberly-Clark Corp.		70,116		7,324,317
				12,459,642

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

114

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

	Number of Shares		Value
Pharmaceuticals — 6.0%
Abbott Laboratories		286,330	$	10,975,029
AbbVie, Inc.		294,251		15,539,395
Actavis PLC (a)		32,459		5,453,112
Allergan, Inc.		55,302		6,142,946
AmerisourceBergen Corp.		43,190		3,036,689
Bristol-Myers Squibb Co.		304,576		16,188,214
Cardinal Health, Inc.		63,248		4,225,599
DENTSPLY International, Inc.		25,795		1,250,542
Eli Lilly & Co.		183,365		9,351,615
Express Scripts Holding Co. (a)		148,755		10,448,551
Forest Laboratories, Inc. (a)		43,961		2,638,979
Gilead Sciences, Inc. (a)		283,672		21,317,951
Hospira, Inc. (a)		29,865		1,232,827
Mead Johnson Nutrition Co.		37,740		3,161,102
Merck & Co., Inc.		539,874		27,020,694
Mylan, Inc. (a)		70,852		3,074,977
Patterson Cos., Inc.		14,396		593,115
Perrigo Co. PLC		24,302		3,729,385
Pfizer, Inc.		1,198,499		36,710,024
Zoetis, Inc.		92,646		3,028,598
				185,119,344
				689,187,844
Diversified — 0.1%
Holding Company – Diversified — 0.1%
Leucadia National Corp.		56,759		1,608,550
Energy — 10.2%
Coal — 0.1%
CONSOL Energy, Inc.		41,278		1,570,215
Peabody Energy Corp.		50,659		989,370
				2,559,585
Energy – Alternate Sources — 0.0%
First Solar, Inc. (a)		12,584		687,590
Oil & Gas — 8.0%
Anadarko Petroleum Corp.		93,367		7,405,870
Apache Corp.		73,818		6,343,919
Cabot Oil & Gas Corp.		78,898		3,058,086
Chesapeake Energy Corp.		93,692		2,542,801
Chevron Corp.		355,479		44,402,882
ConocoPhillips		226,229		15,983,079
Denbury Resources, Inc. (a)		67,344		1,106,462
Devon Energy Corp.		71,115		4,399,885
Diamond Offshore Drilling, Inc.		12,391		705,296
Ensco PLC Class A		43,395		2,481,326
EOG Resources, Inc.		50,451		8,467,696
EQT Corp.		28,327		2,543,198
Exxon Mobil Corp.		807,685		81,737,722
Helmerich & Payne, Inc.		19,583		1,646,539
Hess Corp.		53,208		4,416,264
Marathon Oil Corp.		130,013		4,589,459
Marathon Petroleum Corp.		55,656		5,105,325

	Number of Shares		Value
Murphy Oil Corp.		33,162	$	2,151,551
Nabors Industries Ltd.		47,243		802,659
Newfield Exploration Co. (a)		25,440		626,587
Noble Corp. PLC		48,284		1,809,201
Noble Energy, Inc.		65,836		4,484,090
Occidental Petroleum Corp.		148,857		14,156,301
Phillips 66		110,280		8,505,896
Pioneer Natural Resources Co.		26,379		4,855,582
QEP Resources, Inc.		32,009		981,076
Range Resources Corp.		30,699		2,588,233
Rowan Cos. PLC Class A (a)		21,635		765,014
Southwestern Energy Co. (a)		66,058		2,598,061
Tesoro Corp.		24,189		1,415,056
Valero Energy Corp.		100,555		5,067,972
WPX Energy, Inc. (a)		35,759		728,768
				248,471,856
Oil & Gas Services — 1.6%
Baker Hughes, Inc.		82,993		4,586,193
Cameron International Corp. (a)		44,781		2,665,813
FMC Technologies, Inc. (a)		44,746		2,336,189
Halliburton Co.		156,498		7,942,273
National Oilwell Varco, Inc.		79,515		6,323,828
Schlumberger Ltd.		243,088		21,904,660
Transocean Ltd.		63,400		3,133,228
				48,892,184
Pipelines — 0.5%
Kinder Morgan, Inc.		123,939		4,461,804
ONEOK, Inc.		37,990		2,362,218
Spectra Energy Corp.		122,916		4,378,268
The Williams Cos., Inc.		125,361		4,835,174
				16,037,464
				316,648,679
Financial — 15.7%
Banks — 4.5%
Bank of America Corp.		1,972,179		30,706,827
Bank of New York Mellon Corp.		212,450		7,423,003
BB&T Corp.		128,946		4,812,265
Capital One Financial Corp.		106,734		8,176,892
Comerica, Inc.		33,393		1,587,503
Fifth Third Bancorp		161,709		3,400,740
Huntington Bancshares, Inc.		158,945		1,533,819
KeyCorp		165,197		2,216,944
M&T Bank Corp.		24,420		2,842,977
Northern Trust Corp.		40,406		2,500,727
PNC Financial Services Group, Inc.		98,592		7,648,767
Regions Financial Corp.		254,947		2,521,426
State Street Corp.		81,911		6,011,448
SunTrust Banks, Inc.		99,500		3,662,595
U.S. Bancorp		338,679		13,682,632
Wells Fargo & Co.		885,932		40,221,313
Zions Bancorp		34,468		1,032,661
				139,982,539

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

115

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

	Number of Shares		Value
Diversified Financial — 5.0%
American Express Co.		170,388	$	15,459,303
Ameriprise Financial, Inc.		36,281		4,174,129
BlackRock, Inc.		23,514		7,441,476
The Charles Schwab Corp.		216,429		5,627,154
Citigroup, Inc.		560,906		29,228,812
CME Group, Inc.		57,826		4,537,028
Discover Financial Services		88,530		4,953,254
E*TRADE Financial Corp. (a)		52,041		1,022,085
Franklin Resources, Inc.		74,734		4,314,394
The Goldman Sachs Group, Inc.		77,891		13,806,959
IntercontinentalExchange, Inc.		21,035		4,731,192
Invesco Ltd.		83,076		3,023,966
JP Morgan Chase & Co.		695,196		40,655,062
Legg Mason, Inc.		19,116		831,164
Morgan Stanley		257,381		8,071,468
The NASDAQ OMX Group, Inc.		21,833		868,953
SLM Corp.		80,240		2,108,707
T. Rowe Price Group, Inc.		47,770		4,001,693
				154,856,799
Insurance — 4.3%
ACE Ltd.		62,471		6,467,623
Aflac, Inc.		86,866		5,802,649
The Allstate Corp.		84,923		4,631,700
American International Group, Inc.		272,205		13,896,065
Aon PLC		55,807		4,681,649
Assurant, Inc.		13,750		912,588
Berkshire Hathaway, Inc. Class B (a)		332,798		39,456,531
The Chubb Corp.		47,161		4,557,167
Cincinnati Financial Corp.		26,563		1,391,104
Genworth Financial, Inc. Class A (a)		88,947		1,381,347
The Hartford Financial Services Group, Inc.		82,292		2,981,439
Lincoln National Corp.		48,286		2,492,523
Loews Corp.		57,681		2,782,532
Marsh & McLennan Cos., Inc.		101,022		4,885,424
MetLife, Inc.		207,209		11,172,709
Principal Financial Group, Inc.		51,461		2,537,542
The Progressive Corp.		103,999		2,836,053
Prudential Financial, Inc.		85,014		7,839,991
Torchmark Corp.		16,847		1,316,593
The Travelers Cos., Inc.		67,898		6,147,485
Unum Group		47,513		1,666,756
XL Group PLC		51,088		1,626,642
				131,464,112
Real Estate — 0.0%
CBRE Group, Inc. (a)		50,342		1,323,994
Real Estate Investment Trusts (REITS) — 1.8%
American Tower Corp.		73,589		5,873,874
Apartment Investment & Management Co. Class A		25,400		658,114

	Number of Shares		Value
AvalonBay Communities, Inc.		22,828	$	2,698,955
Boston Properties, Inc.		28,112		2,821,602
Equity Residential		62,444		3,238,970
General Growth Properties, Inc.		101,129		2,029,659
HCP, Inc.		83,845		3,045,250
Health Care REIT, Inc.		54,342		2,911,101
Host Hotels & Resorts, Inc.		138,657		2,695,492
Kimco Realty Corp.		78,532		1,551,007
The Macerich Co.		26,244		1,545,509
Plum Creek Timber Co., Inc.		31,987		1,487,715
Prologis, Inc.		91,875		3,394,781
Public Storage		26,500		3,988,780
Simon Property Group, Inc.		57,290		8,717,247
Ventas, Inc.		54,683		3,132,242
Vornado Realty Trust		32,794		2,911,779
Weyerhaeuser Co.		106,768		3,370,666
				56,072,743
Savings & Loans — 0.1%
Hudson City Bancorp, Inc.		85,530		806,548
People’s United Financial, Inc.		57,890		875,297
				1,681,845
				485,382,032
Industrial — 10.6%
Aerospace & Defense — 2.0%
The Boeing Co.		127,886		17,455,160
General Dynamics Corp.		61,987		5,922,858
L-3 Communications Holdings, Inc.		16,207		1,731,880
Lockheed Martin Corp.		49,912		7,419,918
Northrop Grumman Corp.		41,132		4,714,139
Raytheon Co.		58,592		5,314,294
Rockwell Collins, Inc.		24,521		1,812,592
United Technologies Corp.		156,137		17,768,391
				62,139,232
Building Materials — 0.1%
Masco Corp.		66,653		1,517,689
Electrical Components & Equipment — 0.4%
AMETEK, Inc.		46,395		2,443,625
Emerson Electric Co.		130,666		9,170,140
				11,613,765
Electronics — 0.5%
Agilent Technologies, Inc.		61,777		3,533,027
Allegion PLC (a)		16,346		722,330
Amphenol Corp. Class A		28,820		2,570,167
FLIR Systems, Inc.		26,708		803,911
Garmin Ltd.		22,313		1,031,307
Jabil Circuit, Inc.		32,571		568,038
PerkinElmer, Inc.		20,397		840,968
TE Connectivity Ltd.		76,846		4,234,983
Waters Corp. (a)		15,385		1,538,500
				15,843,231

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

116

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

	Number of Shares		Value
Engineering & Construction — 0.1%
Fluor Corp.		30,832	$	2,475,501
Jacobs Engineering Group, Inc. (a)		23,690		1,492,233
				3,967,734
Environmental Controls — 0.2%
Republic Services, Inc.		49,107		1,630,352
Stericycle, Inc. (a)		15,620		1,814,576
Waste Management, Inc.		81,713		3,666,462
				7,111,390
Hand & Machine Tools — 0.1%
Snap-on, Inc.		10,399		1,138,899
Stanley Black & Decker, Inc.		29,274		2,362,119
				3,501,018
Machinery – Construction & Mining — 0.5%
Caterpillar, Inc.		117,494		10,669,630
Ingersoll-Rand PLC		49,038		3,020,741
Joy Global, Inc.		18,848		1,102,419
				14,792,790
Machinery – Diversified — 0.7%
Cummins, Inc.		32,619		4,598,301
Deere & Co.		71,180		6,500,869
Flowserve Corp.		25,967		2,046,979
Rockwell Automation, Inc.		25,226		2,980,704
Roper Industries, Inc.		18,656		2,587,214
Xylem, Inc.		34,800		1,204,080
				19,918,147
Manufacturing — 3.9%
3M Co.		118,568		16,629,162
Danaher Corp.		110,665		8,543,338
Dover Corp.		32,041		3,093,238
Eaton Corp. PLC		87,951		6,694,830
General Electric Co.		1,870,741		52,436,870
Honeywell International, Inc.		145,174		13,264,549
Illinois Tool Works, Inc.		75,366		6,336,773
Leggett & Platt, Inc.		25,868		800,356
Pall Corp.		20,689		1,765,806
Parker Hannifin Corp.		27,849		3,582,495
Pentair Ltd.		36,815		2,859,421
Textron, Inc.		51,290		1,885,421
Tyco International Ltd.		86,398		3,545,774
				121,438,033
Metal Fabricate & Hardware — 0.2%
Precision Castparts Corp.		27,082		7,293,183
Packaging & Containers — 0.2%
Ball Corp.		25,981		1,342,178
Bemis Co., Inc.		18,763		768,533
Owens-Illinois, Inc. (a)		29,408		1,052,218
Sealed Air Corp.		35,316		1,202,510
				4,365,439

	Number of Shares		Value
Transportation — 1.7%
C.H. Robinson Worldwide, Inc.		27,969	$	1,631,711
CSX Corp.		187,549		5,395,785
Expeditors International of Washington, Inc.		37,103		1,641,808
FedEx Corp.		55,148		7,928,628
Kansas City Southern		20,765		2,571,330
Norfolk Southern Corp.		56,929		5,284,719
Ryder System, Inc.		9,098		671,250
Union Pacific Corp.		85,314		14,332,752
United Parcel Service, Inc. Class B		132,738		13,948,109
				53,406,092
				326,907,743
Technology — 11.4%
Computers — 5.7%
Accenture PLC Class A		117,720		9,678,938
Apple, Inc.		166,418		93,378,804
Cognizant Technology Solutions Corp. Class A (a)		56,387		5,693,959
Computer Sciences Corp.		27,112		1,515,019
EMC Corp.		380,362		9,566,104
Hewlett-Packard Co.		355,440		9,945,211
International Business Machines Corp.		188,769		35,407,401
NetApp, Inc.		63,895		2,628,640
SanDisk Corp.		41,240		2,909,070
Seagate Technology PLC		60,478		3,396,445
Teradata Corp. (a)		29,485		1,341,273
Western Digital Corp.		38,391		3,221,005
				178,681,869
Office Equipment/Supplies — 0.1%
Pitney Bowes, Inc.		36,006		838,940
Xerox Corp.		218,004		2,653,108
				3,492,048
Semiconductors — 2.0%
Altera Corp.		57,871		1,882,544
Analog Devices, Inc.		57,228		2,914,622
Applied Materials, Inc.		221,133		3,911,843
Broadcom Corp. Class A		99,494		2,949,997
Intel Corp.		919,766		23,877,125
KLA-Tencor Corp.		30,894		1,991,427
Lam Research Corp. (a)		30,256		1,647,439
Linear Technology Corp.		43,955		2,002,150
LSI Corp.		98,954		1,090,473
Microchip Technology, Inc.		36,864		1,649,664
Micron Technology, Inc. (a)		194,592		4,234,322
NVIDIA Corp.		104,417		1,672,760
Texas Instruments, Inc.		203,050		8,915,926
Xilinx, Inc.		49,380		2,267,530
				61,007,822

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

117

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

	Number of Shares		Value
Software — 3.6%
Adobe Systems, Inc. (a)		85,895	$	5,143,393
Autodesk, Inc. (a)		41,627		2,095,087
CA, Inc.		59,759		2,010,890
Cerner Corp. (a)		54,008		3,010,406
Citrix Systems, Inc. (a)		33,781		2,136,648
The Dun & Bradstreet Corp.		6,948		852,867
Electronic Arts, Inc. (a)		57,527		1,319,669
Fidelity National Information Services, Inc.		54,860		2,944,885
Fiserv, Inc. (a)		48,116		2,841,250
Intuit, Inc.		52,436		4,001,915
Microsoft Corp.		1,405,162		52,595,214
Oracle Corp.		650,729		24,896,892
Red Hat, Inc. (a)		34,226		1,918,025
Salesforce.com, Inc. (a)		102,690		5,667,461
				111,434,602
				354,616,341
Utilities — 2.8%
Electric — 2.6%
The AES Corp.		122,190		1,772,977
Ameren Corp.		43,610		1,576,938
American Electric Power Co., Inc.		89,560		4,186,034
CenterPoint Energy, Inc.		77,465		1,795,639
CMS Energy Corp.		47,325		1,266,890
Consolidated Edison, Inc.		54,764		3,027,354
Dominion Resources, Inc.		107,373		6,945,959
DTE Energy Co.		33,049		2,194,123
Duke Energy Corp.		130,873		9,031,546
Edison International		60,311		2,792,399
Entergy Corp.		33,763		2,136,185
Exelon Corp.		157,018		4,300,723
FirstEnergy Corp.		77,458		2,554,565
Integrys Energy Group, Inc.		14,054		764,678
NextEra Energy, Inc.		79,663		6,820,746
Northeast Utilities		59,076		2,504,232
NRG Energy, Inc.		58,353		1,675,898
Pepco Holdings, Inc.		45,347		867,488
PG&E Corp.		84,057		3,385,816
Pinnacle West Capital Corp.		19,769		1,046,175
PPL Corp.		117,772		3,543,759
Public Service Enterprise Group, Inc.		94,590		3,030,664
SCANA Corp.		25,542		1,198,686
The Southern Co.		162,683		6,687,898
TECO Energy, Inc.		38,330		660,809
Wisconsin Energy Corp.		41,708		1,724,209
Xcel Energy, Inc.		93,606		2,615,352
				80,107,742
Gas — 0.2%
AGL Resources, Inc.		22,309		1,053,654

	Number of Shares		Value
NiSource, Inc.		56,505	$	1,857,885
Sempra Energy		42,686		3,831,495
				6,743,034
				86,850,776
TOTAL COMMON STOCK (Cost $1,901,200,742)				3,051,005,371
TOTAL EQUITIES (Cost $1,901,200,742)				3,051,005,371
TOTAL LONG-TERM INVESTMENTS (Cost $1,901,200,742)				3,051,005,371
	Principal Amount
SHORT-TERM INVESTMENTS — 1.7%
Repurchase Agreement — 1.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (b)	$	47,183,665		47,183,665
Time Deposits — 0.0%
Euro Time Deposit 0.010% 1/02/14		10,041		10,041
U.S. Treasury Bills — 0.2%
U.S. Treasury Bill (c) 0.000% 4/10/14		5,125,000		5,124,287
U.S. Treasury Bill (c) 0.000% 4/10/14		35,000		34,994
				5,159,281
TOTAL SHORT-TERM INVESTMENTS (Cost $52,352,987)				52,352,987
TOTAL INVESTMENTS — 100.2% (Cost $1,953,553,729) (d)				3,103,358,358
Other Assets/(Liabilities) — (0.2)%				(6,580,122	)
NET ASSETS — 100.0%			$	3,096,778,236

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $47,183,691. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 4.000%, maturity date of 5/15/40, and an aggregate market value, including accrued interest, of $48,130,721.

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

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

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

118

MassMutual Select Focused Value Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 92.5%
COMMON STOCK — 92.5%
Consumer, Cyclical — 31.9%
Auto Manufacturers — 6.2%
General Motors Co. (a)		1,378,000	$	56,318,860
Automotive & Parts — 4.2%
Delphi Automotive PLC		642,998		38,663,470
Entertainment — 5.3%
Gaming and Leisure Properties, Inc. (a)		742,000		37,701,020
Penn National Gaming, Inc. (a)		742,000		10,632,860
				48,333,880
Lodging — 4.0%
Starwood Hotels & Resorts Worldwide, Inc.		457,000		36,308,650
Retail — 10.1%
CarMax, Inc. (a)		325,000		15,281,500
Family Dollar Stores, Inc.		670,000		43,529,900
Tiffany & Co.		350,000		32,473,000
				91,284,400
Textiles — 2.1%
Fifth & Pacific Cos., Inc. (a)		585,000		18,760,950
				289,670,210
Consumer, Non-cyclical — 5.2%
Commercial Services — 5.2%
Visa, Inc. Class A		213,000		47,430,840
Energy — 8.2%
Oil & Gas Services — 8.2%
Dresser-Rand Group, Inc. (a)		500,500		29,844,815
National Oilwell Varco, Inc.		560,000		44,536,800
				74,381,615
Financial — 25.0%
Banks — 6.0%
Wells Fargo & Co.		1,194,800		54,243,920
Diversified Financial — 10.4%
Franklin Resources, Inc.		846,000		48,839,580
JP Morgan Chase & Co.		779,000		45,555,920
				94,395,500
Insurance — 8.6%
American International Group, Inc.		964,000		49,212,200
Aon PLC		340,500		28,564,545
				77,776,745
				226,416,165
Industrial — 6.8%
Aerospace & Defense — 3.8%
Triumph Group, Inc.		444,000		33,775,080

	Number of Shares		Value
Manufacturing — 3.0%
Illinois Tool Works, Inc.		326,000	$	27,410,080
				61,185,160
Technology — 15.4%
Semiconductors — 10.9%
Applied Materials, Inc.		2,773,000		49,054,370
Intel Corp.		1,918,000		49,791,280
				98,845,650
Software — 4.5%
Oracle Corp.		1,055,000		40,364,300
				139,209,950
TOTAL COMMON STOCK (Cost $538,543,460)				838,293,940
TOTAL EQUITIES (Cost $538,543,460)				838,293,940
TOTAL LONG-TERM INVESTMENTS (Cost $538,543,460)				838,293,940
	Principal Amount
SHORT-TERM INVESTMENTS — 8.3%
Repurchase Agreement — 8.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (b)	$	75,525,101		75,525,101
TOTAL SHORT-TERM INVESTMENTS (Cost $75,525,101)				75,525,101
TOTAL INVESTMENTS — 100.8% (Cost $614,068,561) (c)				913,819,041
Other Assets/(Liabilities) — (0.8)%				(6,885,308	)
NET ASSETS — 100.0%			$	906,933,733

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $75,525,143. Collateralized by U.S. Government Agency obligations with rates ranging from 2.500% – 4.000%, maturity dates ranging from 5/15/40 – 9/15/40, and an aggregate market value, including accrued interest, of $77,036,499.

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

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

119

MassMutual Select Fundamental Growth Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 99.7%
COMMON STOCK — 99.7%
Basic Materials — 0.6%
Chemicals — 0.6%
Monsanto Co.		1,667	$	194,289
The Sherwin-Williams Co.		2,945		540,407
				734,696
Communications — 19.3%
Advertising — 1.0%
Omnicom Group, Inc.		17,611		1,309,730
Internet — 11.0%
Amazon.com, Inc. (a)		2,422		965,869
eBay, Inc. (a)		9,481		520,412
Facebook, Inc. Class A (a)		35,485		1,939,610
Google, Inc. Class A (a)		4,533		5,080,179
HomeAway, Inc. (a)		13,862		566,679
IAC/InterActiveCorp		25,448		1,748,023
LinkedIn Corp. (a)		3,111		674,558
Priceline.com, Inc. (a)		1,151		1,337,922
Yahoo!, Inc. (a)		30,216		1,221,935
				14,055,187
Media — 4.3%
Comcast Corp. Class A		43,410		2,255,801
Discovery Communications, Inc. Series A (a)		8,943		808,626
Scripps Networks Interactive Class A		10,197		881,123
Twenty-First Century Fox Class A		42,939		1,510,594
				5,456,144
Telecommunications — 3.0%
Cisco Systems, Inc.		70,725		1,587,776
QUALCOMM, Inc.		29,358		2,179,832
				3,767,608
				24,588,669
Consumer, Cyclical — 15.6%
Apparel — 0.7%
Nike, Inc. Class B		11,454		900,743
Auto Manufacturers — 0.9%
Ford Motor Co.		69,224		1,068,126
Home Builders — 0.7%
PulteGroup, Inc.		45,347		923,718
Lodging — 3.2%
Starwood Hotels & Resorts Worldwide, Inc.		19,274		1,531,319
Wyndham Worldwide Corp.		21,624		1,593,473
Wynn Resorts Ltd.		5,099		990,277
				4,115,069
Retail — 10.1%
The Buckle, Inc. (b)		8,378		440,348

	Number of Shares		Value
Chipotle Mexican Grill, Inc. (a)		1,820	$	969,660
Costco Wholesale Corp.		9,659		1,149,518
CVS Caremark Corp.		15,964		1,142,543
Dollar Tree, Inc. (a)		14,122		796,763
The Home Depot, Inc.		29,523		2,430,924
Lowe’s Cos., Inc.		51,846		2,568,969
Lululemon Athletica, Inc. (a)		5,780		341,193
O’Reilly Automotive, Inc. (a)		7,489		963,909
PetSmart, Inc.		10,171		739,940
The TJX Cos., Inc.		20,245		1,290,214
				12,833,981
				19,841,637
Consumer, Non-cyclical — 21.3%
Beverages — 1.3%
Anheuser-Busch InBev NV Sponsored ADR (Belgium)		7,340		781,416
Green Mountain Coffee Roasters, Inc. (a) (b)		11,263		851,258
				1,632,674
Biotechnology — 5.5%
Amgen, Inc.		24,268		2,770,435
Biogen Idec, Inc. (a)		6,145		1,719,063
Celgene Corp. (a)		14,479		2,446,372
				6,935,870
Commercial Services — 4.7%
The ADT Corp.		10,678		432,139
Alliance Data Systems Corp. (a)		4,292		1,128,495
McKesson Corp.		9,018		1,455,505
Paychex, Inc.		16,556		753,795
Visa, Inc. Class A		9,959		2,217,670
				5,987,604
Health Care – Products — 5.0%
Becton, Dickinson & Co.		10,105		1,116,502
C.R. Bard, Inc.		8,894		1,191,262
Johnson & Johnson		13,531		1,239,304
Medtronic, Inc.		26,724		1,533,690
Zimmer Holdings, Inc.		13,960		1,300,933
				6,381,691
Health Care – Services — 0.7%
Aetna, Inc.		13,418		920,341
Pharmaceuticals — 4.1%
Eli Lilly & Co.		17,459		890,409
Express Scripts Holding Co. (a)		17,428		1,224,143
Gilead Sciences, Inc. (a)		28,205		2,119,606
Merck & Co., Inc.		20,063		1,004,153
				5,238,311
				27,096,491

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

120

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

	Number of Shares		Value
Energy — 2.9%
Oil & Gas — 1.5%
Apache Corp.		7,720	$	663,457
Valero Energy Corp.		23,985		1,208,844
				1,872,301
Oil & Gas Services — 1.4%
National Oilwell Varco, Inc.		13,299		1,057,669
Oceaneering International, Inc.		10,224		806,469
				1,864,138
				3,736,439
Financial — 4.1%
Banks — 1.0%
Bank of America Corp.		83,377		1,298,180
Diversified Financial — 3.1%
American Express Co.		22,385		2,030,991
IntercontinentalExchange, Inc.		5,934		1,334,675
JP Morgan Chase & Co.		9,755		570,473
				3,936,139
				5,234,319
Industrial — 14.3%
Aerospace & Defense — 4.1%
The Boeing Co.		20,936		2,857,555
United Technologies Corp.		20,694		2,354,977
				5,212,532
Machinery – Diversified — 0.9%
Rockwell Automation, Inc.		9,433		1,114,603
Manufacturing — 8.1%
3M Co.		14,985		2,101,646
Danaher Corp.		24,522		1,893,098
Dover Corp.		12,763		1,232,140
Honeywell International, Inc.		17,961		1,641,097
Illinois Tool Works, Inc.		13,215		1,111,117
Parker Hannifin Corp.		12,612		1,622,408
Tyco International Ltd.		18,467		757,886
				10,359,392
Transportation — 1.2%
United Parcel Service, Inc. Class B		14,531		1,526,917
				18,213,444
Technology — 21.6%
Computers — 6.8%
Apple, Inc.		6,804		3,817,792
NetApp, Inc.		54,734		2,251,757
SanDisk Corp.		20,027		1,412,705
Western Digital Corp.		14,428		1,210,509
				8,692,763
Internet — 1.4%
Check Point Software Technologies Ltd. (a)		26,933		1,737,717

	Number of Shares		Value
Semiconductors — 3.5%
Altera Corp.		61,504	$	2,000,725
Microchip Technology, Inc.		20,345		910,439
Skyworks Solutions, Inc. (a)		13,701		391,300
Xilinx, Inc.		25,515		1,171,649
				4,474,113
Software — 9.9%
Informatica Corp. (a)		12,230		507,545
Intuit, Inc.		12,102		923,625
Microsoft Corp.		159,724		5,978,469
NetSuite, Inc. (a)		5,137		529,214
Oracle Corp.		91,799		3,512,230
Salesforce.com, Inc. (a)		17,066		941,873
Splunk, Inc. (a)		2,596		178,267
				12,571,223
				27,475,816
TOTAL COMMON STOCK (Cost $97,356,401)				126,921,511
TOTAL EQUITIES (Cost $97,356,401)				126,921,511
MUTUAL FUNDS — 1.0%
Diversified Financial — 1.0%
State Street Navigator Securities Lending Prime Portfolio (c)		1,307,140		1,307,140
TOTAL MUTUAL FUNDS (Cost $1,307,140)				1,307,140
TOTAL LONG-TERM INVESTMENTS (Cost $98,663,541)				128,228,651
	Principal Amount
SHORT-TERM INVESTMENTS — 0.7%
Repurchase Agreement — 0.7%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (d)	$	875,243		875,243
Time Deposits — 0.0%
Euro Time Deposit 0.010% 1/02/14		748		748
TOTAL SHORT-TERM INVESTMENTS (Cost $875,991)				875,991
TOTAL INVESTMENTS — 101.4% (Cost $99,539,532) (e)				129,104,642
Other Assets/(Liabilities) — (1.4)%				(1,842,017	)
NET ASSETS — 100.0%			$	127,262,625

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

121

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

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $1,278,204. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $875,243. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/15/40, and an aggregate market value, including accrued interest, of $894,915.

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

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

122

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 100.0%
COMMON STOCK — 100.0%
Basic Materials — 4.3%
Chemicals — 4.3%
Airgas, Inc.		2,100	$	234,885
Ecolab, Inc.		132,700		13,836,629
FMC Corp.		38,300		2,890,118
Monsanto Co.		53,000		6,177,150
Praxair, Inc.		94,300		12,261,829
The Sherwin-Williams Co.		71,400		13,101,900
				48,502,511
Communications — 25.8%
Internet — 22.1%
Akamai Technologies, Inc. (a)		97,000		4,576,460
Amazon.com, Inc. (a)		152,000		60,616,080
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		96,300		17,129,844
Ctrip.com International Ltd. ADR (Cayman Islands) (a)		79,800		3,959,676
eBay, Inc. (a)		222,500		12,213,025
Facebook, Inc. Class A (a)		336,021		18,366,908
Google, Inc. Class A (a)		60,100		67,354,671
LinkedIn Corp. (a)		35,800		7,762,514
NAVER Corp.		3,936		2,712,526
Netflix, Inc. (a)		21,000		7,731,570
Priceline.com, Inc. (a)		32,700		38,010,480
Tencent Holdings Ltd.		146,200		9,381,913
TripAdvisor, Inc. (a)		19,300		1,598,619
Twitter, Inc. (a)		23,200		1,476,680
				252,890,966
Media — 2.2%
Discovery Communications, Inc. Series C (a)		178,800		14,994,168
Liberty Global PLC Series A (a)		10,100		898,799
Twenty-First Century Fox Class A		143,100		5,034,258
The Walt Disney Co.		49,700		3,797,080
				24,724,305
Telecommunications — 1.5%
Juniper Networks, Inc. (a)		4,700		106,079
QUALCOMM, Inc.		185,400		13,765,950
Softbank Corp.		34,000		2,980,529
				16,852,558
				294,467,829
Consumer, Cyclical — 17.1%
Airlines — 0.4%
Delta Air Lines, Inc.		165,900		4,557,273
Apparel — 1.0%
Nike, Inc. Class B		73,700		5,795,768
Ralph Lauren Corp.		24,600		4,343,622

	Number of Shares		Value
VF Corp.		24,000	$	1,496,160
				11,635,550
Auto Manufacturers — 0.2%
Tesla Motors, Inc. (a)		16,300		2,451,194
Automotive & Parts — 0.1%
Johnson Controls, Inc.		21,900		1,123,470
Distribution & Wholesale — 1.1%
Fastenal Co.		88,000		4,180,880
Fossil Group, Inc. (a)		48,500		5,817,090
W.W. Grainger, Inc.		8,000		2,043,360
				12,041,330
Home Builders — 0.1%
Lennar Corp. Class A		10,500		415,380
Leisure Time — 0.7%
Carnival Corp.		11,500		461,955
Harley-Davidson, Inc.		111,600		7,727,184
				8,189,139
Lodging — 4.1%
Hilton Worldwide Holdings, Inc. (a)		53,300		1,185,925
Las Vegas Sands Corp.		248,000		19,559,760
Marriott International, Inc. Class A		64,290		3,173,354
Starwood Hotels & Resorts Worldwide, Inc.		141,400		11,234,230
Wynn Macau Ltd.		836,800		3,831,256
Wynn Resorts Ltd.		42,300		8,215,083
				47,199,608
Retail — 9.4%
Chipotle Mexican Grill, Inc. (a)		24,300		12,946,554
Costco Wholesale Corp.		27,300		3,248,973
CVS Caremark Corp.		81,100		5,804,327
Dollar Tree, Inc. (a)		49,500		2,792,790
The Home Depot, Inc.		145,100		11,947,534
L Brands, Inc.		98,500		6,092,225
Lowe’s Cos., Inc.		220,100		10,905,955
Lululemon Athletica, Inc. (a)		27,000		1,593,810
Michael Kors Holdings Ltd. (a)		11,200		909,328
O’Reilly Automotive, Inc. (a)		75,300		9,691,863
PVH Corp.		46,900		6,379,338
Ross Stores, Inc.		70,700		5,297,551
Starbucks Corp.		267,300		20,953,647
Tiffany & Co.		21,100		1,957,658
Tractor Supply Co.		84,100		6,524,478
				107,046,031
				194,658,975
Consumer, Non-cyclical — 22.3%
Beverages — 0.8%
Constellation Brands, Inc. Class A (a)		16,400		1,154,232

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

123

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

	Number of Shares		Value
Green Mountain Coffee Roasters, Inc. (a)		44,700	$	3,378,426
Monster Beverage Corp. (a)		26,600		1,802,682
PepsiCo, Inc.		29,800		2,471,612
				8,806,952
Biotechnology — 5.7%
Alexion Pharmaceuticals, Inc. (a)		83,500		11,110,510
Biogen Idec, Inc. (a)		85,000		23,778,750
Celgene Corp. (a)		127,500		21,542,400
Regeneron Pharmaceuticals, Inc. (a)		30,500		8,394,820
Vertex Pharmaceuticals, Inc. (a)		1,400		104,020
				64,930,500
Commercial Services — 8.2%
Alliance Data Systems Corp. (a)		18,200		4,785,326
MasterCard, Inc. Class A		47,100		39,350,166
McKesson Corp.		154,800		24,984,720
Visa, Inc. Class A		110,800		24,672,944
				93,793,156
Cosmetics & Personal Care — 0.3%
The Procter & Gamble Co.		42,500		3,459,925
Foods — 0.7%
Whole Foods Market, Inc.		138,600		8,015,238
Health Care – Products — 0.7%
Becton, Dickinson & Co.		9,400		1,038,606
Covidien PLC		41,500		2,826,150
Henry Schein, Inc. (a)		2,600		297,076
Stryker Corp.		42,800		3,215,992
				7,377,824
Health Care – Services — 1.4%
Aetna, Inc.		1,500		102,885
Thermo Fisher Scientific, Inc.		116,500		12,972,275
UnitedHealth Group, Inc.		45,600		3,433,680
				16,508,840
Pharmaceuticals — 4.5%
Allergan, Inc.		18,280		2,030,542
AmerisourceBergen Corp.		7,700		541,387
Cardinal Health, Inc.		20,400		1,362,924
Express Scripts Holding Co. (a)		28,400		1,994,816
Gilead Sciences, Inc. (a)		490,800		36,883,620
Perrigo Co. PLC		19,800		3,038,508
Pharmacyclics, Inc. (a)		6,500		687,570
Valeant Pharmaceuticals International, Inc. (a)		41,200		4,836,880
				51,376,247
				254,268,682
Energy — 3.9%
Oil & Gas — 3.2%
Cabot Oil & Gas Corp.		23,600		914,736
Concho Resources, Inc. (a)		42,400		4,579,200

	Number of Shares		Value
EOG Resources, Inc.		8,100	$	1,359,504
EQT Corp.		77,400		6,948,972
Pioneer Natural Resources Co.		76,600		14,099,762
Range Resources Corp.		104,353		8,798,002
				36,700,176
Oil & Gas Services — 0.7%
Cameron International Corp. (a)		2,900		172,637
FMC Technologies, Inc. (a)		3,700		193,177
Schlumberger Ltd.		85,700		7,722,427
				8,088,241
				44,788,417
Financial — 9.2%
Banks — 1.3%
Northern Trust Corp.		38,700		2,395,143
State Street Corp.		128,600		9,437,954
U.S. Bancorp		75,400		3,046,160
				14,879,257
Diversified Financial — 5.9%
American Express Co.		152,000		13,790,960
Ameriprise Financial, Inc.		55,600		6,396,780
Citigroup, Inc.		42,400		2,209,464
Franklin Resources, Inc.		193,800		11,188,074
The Goldman Sachs Group, Inc.		1,600		283,616
IntercontinentalExchange, Inc.		32,100		7,219,932
Invesco Ltd.		316,200		11,509,680
JP Morgan Chase & Co.		1,900		111,112
Morgan Stanley		250,700		7,861,952
TD Ameritrade Holding Corp.		198,800		6,091,232
				66,662,802
Insurance — 0.2%
Marsh & McLennan Cos., Inc.		55,900		2,703,324
Real Estate Investment Trusts (REITS) — 1.8%
American Tower Corp.		262,000		20,912,840
				105,158,223
Industrial — 12.4%
Aerospace & Defense — 2.1%
The Boeing Co.		142,600		19,463,474
United Technologies Corp.		45,000		5,121,000
				24,584,474
Electronics — 0.1%
Trimble Navigation Ltd. (a)		32,800		1,138,160
Machinery – Diversified — 1.1%
Flowserve Corp.		55,000		4,335,650
Roper Industries, Inc.		42,300		5,866,164
Wabtec Corp.		30,300		2,250,381
				12,452,195
Manufacturing — 3.5%
3M Co.		8,900		1,248,225

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

124

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

	Number of Shares		Value
Danaher Corp.		413,600	$	31,929,920
Honeywell International, Inc.		73,800		6,743,106
				39,921,251
Metal Fabricate & Hardware — 2.2%
Precision Castparts Corp.		92,900		25,017,970
Transportation — 3.4%
Canadian Pacific Railway Ltd.		12,500		1,891,500
FedEx Corp.		61,300		8,813,101
J.B. Hunt Transport Services, Inc.		20,400		1,576,920
Kansas City Southern		75,600		9,361,548
Union Pacific Corp.		63,300		10,634,400
United Continental Holdings, Inc. (a)		176,700		6,684,561
				38,962,030
				142,076,080
Technology — 5.0%
Computers — 2.9%
Accenture PLC Class A		2,600		213,772
Apple, Inc.		34,700		19,470,517
Cognizant Technology Solutions Corp. Class A (a)		109,700		11,077,506
IHS, Inc. Class A (a)		17,300		2,070,810
				32,832,605
Software — 2.1%
Autodesk, Inc. (a)		5,400		271,782
Citrix Systems, Inc. (a)		3,700		234,025
Fiserv, Inc. (a)		109,200		6,448,260
Intuit, Inc.		1,200		91,584
Red Hat, Inc. (a)		76,300		4,275,852
Salesforce.com, Inc. (a)		235,500		12,997,245
				24,318,748
				57,151,353
TOTAL COMMON STOCK (Cost $722,527,273)				1,141,072,070
TOTAL EQUITIES (Cost $722,527,273)				1,141,072,070
MUTUAL FUNDS — 0.0%
Diversified Financial — 0.0%
T. Rowe Price Reserve Investment Fund		1,604		1,604
TOTAL MUTUAL FUNDS (Cost $1,604)				1,604
TOTAL LONG-TERM INVESTMENTS (Cost $722,528,877)				1,141,073,674

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.9%
Repurchase Agreement — 0.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (b)	$	10,777,265	$	10,777,265
TOTAL SHORT-TERM INVESTMENTS (Cost $10,777,265)				10,777,265
TOTAL INVESTMENTS — 100.9% (Cost $733,306,142) (c)				1,151,850,939
Other Assets/(Liabilities) — (0.9)%				(10,270,489	)
NET ASSETS — 100.0%			$	1,141,580,450

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $10,777,271. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 5/15/40, and an aggregate market value, including accrued interest, of $10,994,580.

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

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

125

MassMutual Select Growth Opportunities Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.8%
Basic Materials — 2.3%
Chemicals — 2.3%
Monsanto Co.		99,900	$	11,643,345
Syngenta AG Sponsored ADR (Switzerland)		94,250		7,534,345
				19,177,690
Communications — 30.1%
Internet — 25.8%
Amazon.com, Inc. (a)		74,300		29,630,097
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		144,900		25,774,812
eBay, Inc. (a)		217,950		11,963,276
Facebook, Inc. Class A (a)		376,800		20,595,888
Google, Inc. Class A (a)		47,250		52,953,547
Liberty Interactive Corp. Class A (a)		668,550		19,621,942
LinkedIn Corp. (a)		43,100		9,345,373
Priceline.com, Inc. (a)		33,750		39,231,000
VeriSign, Inc. (a)		156,125		9,333,153
				218,449,088
Telecommunications — 4.3%
Crown Castle International Corp. (a)		248,950		18,280,398
QUALCOMM, Inc.		246,500		18,302,625
				36,583,023
				255,032,111
Consumer, Cyclical — 12.5%
Apparel — 2.7%
Nike, Inc. Class B		294,575		23,165,378
Lodging — 1.6%
Las Vegas Sands Corp.		165,700		13,068,759
Retail — 8.2%
Chipotle Mexican Grill, Inc. (a)		32,000		17,048,960
L Brands, Inc.		219,625		13,583,806
Sally Beauty Holdings, Inc. (a)		173,350		5,240,371
Starbucks Corp.		98,600		7,729,254
Ulta Salon Cosmetics & Fragrance, Inc. (a)		100,800		9,729,216
Walgreen Co.		284,300		16,330,192
				69,661,799
				105,895,936
Consumer, Non-cyclical — 22.1%
Biotechnology — 7.0%
Alexion Pharmaceuticals, Inc. (a)		101,500		13,505,590
Biogen Idec, Inc. (a)		51,400		14,379,150
Celgene Corp. (a)		118,500		20,021,760

	Number of Shares		Value
Regeneron Pharmaceuticals, Inc. (a)		42,600	$	11,725,224
				59,631,724
Commercial Services — 9.3%
MasterCard, Inc. Class A		28,475		23,789,724
Visa, Inc. Class A		247,050		55,013,094
				78,802,818
Health Care – Products — 1.1%
Intuitive Surgical, Inc. (a)		23,900		9,179,512
Pharmaceuticals — 4.7%
Allergan, Inc.		140,075		15,559,531
BioMarin Pharmaceutical, Inc. (a)		91,600		6,436,732
Novo Nordisk A/S Sponsored ADR (Denmark)		52,325		9,667,567
Perrigo Co. PLC (b)		53,550		8,217,783
				39,881,613
				187,495,667
Energy — 9.7%
Oil & Gas — 3.6%
EOG Resources, Inc.		111,975		18,793,884
Southwestern Energy Co. (a)		298,400		11,736,072
				30,529,956
Oil & Gas Services — 4.3%
FMC Technologies, Inc. (a)		191,500		9,998,215
National Oilwell Varco, Inc.		147,700		11,746,581
Schlumberger Ltd.		164,900		14,859,139
				36,603,935
Pipelines — 1.8%
Kinder Morgan, Inc.		424,382		15,277,752
				82,411,643
Financial — 5.1%
Diversified Financial — 3.8%
The Charles Schwab Corp.		408,000		10,608,000
CME Group, Inc.		110,300		8,654,138
IntercontinentalExchange, Inc.		58,450		13,146,574
				32,408,712
Insurance — 1.3%
The Progressive Corp.		403,275		10,997,309
				43,406,021
Technology — 17.0%
Computers — 1.8%
Apple, Inc.		14,350		8,051,929
Teradata Corp. (a)		153,400		6,978,166
				15,030,095
Semiconductors — 3.5%
ARM Holdings PLC Sponsored ADR (United Kingdom)		262,800		14,385,672

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

126

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

	Number of Shares		Value
ASML Holding NV		165,099	$	15,469,778
				29,855,450
Software — 11.7%
Adobe Systems, Inc. (a)		259,550		15,541,854
Athenahealth, Inc. (a) (b)		43,600		5,864,200
Cerner Corp. (a)		191,800		10,690,932
Intuit, Inc.		161,975		12,361,932
Microsoft Corp.		397,700		14,885,911
Salesforce.com, Inc. (a)		482,500		26,629,175
Splunk, Inc. (a)		139,900		9,606,933
VeriFone Systems, Inc. (a)		121,425		3,256,618
				98,837,555
				143,723,100
TOTAL COMMON STOCK (Cost $534,247,831)				837,142,168
TOTAL EQUITIES (Cost $534,247,831)				837,142,168
WARRANTS — 0.1%
Utilities — 0.1%
Pipelines — 0.1%
Kinder Morgan, Inc., Expires 5/25/17, Strike 40.00 (a)		122,318		496,611
TOTAL WARRANTS (Cost $258,020)				496,611
MUTUAL FUNDS — 0.9%
Diversified Financial — 0.9%
State Street Naviagtor Securities Lending Prime Portfolio (c)		7,193,709		7,193,709
TOTAL MUTUAL FUNDS (Cost $7,193,709)				7,193,709
TOTAL LONG-TERM INVESTMENTS (Cost $541,699,560)				844,832,488
	Principal Amount
SHORT-TERM INVESTMENTS — 1.4%
Repurchase Agreement — 1.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (d)	$	11,971,234		11,971,234
Time Deposits — 0.0%
Euro Time Deposit 0.010% 1/02/14		82		82

	Value
TOTAL SHORT-TERM INVESTMENTS (Cost $11,971,316)	$	11,971,316
TOTAL INVESTMENTS — 101.2% (Cost $553,670,876) (e)		856,803,804
Other Assets/(Liabilities) — (1.2)%		(9,769,110	)
NET ASSETS — 100.0%	$	847,034,694

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $7,047,586. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $11,971,241. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 1/25/39 – 9/15/40, and an aggregate market value, including accrued interest, of $12,215,724.

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

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

127

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 98.0%
COMMON STOCK — 98.0%
Basic Materials — 4.7%
Chemicals — 1.4%
Eastman Chemical Co.		6,300	$	508,410
Huntsman Corp.		52,200		1,284,120
Methanex Corp.		8,800		521,312
				2,313,842
Forest Products & Paper — 0.7%
International Paper Co.		21,000		1,029,630
Iron & Steel — 1.7%
Gerdau SA Sponsored ADR (Brazil)		275,925		2,163,252
Reliance Steel & Aluminum Co.		7,000		530,880
				2,694,132
Mining — 0.9%
Yamana Gold, Inc.		57,400		494,788
Barrick Gold Corp.		57,875		1,020,336
				1,515,124
				7,552,728
Communications — 3.7%
Internet — 1.1%
Web.com Group, Inc. (a)		55,975		1,779,445
Media — 0.8%
Gannett Co., Inc.		42,250		1,249,755
Telecommunications — 1.8%
Amdocs Ltd.		26,300		1,084,612
Finisar Corp. (a)		80,450		1,924,364
				3,008,976
				6,038,176
Consumer, Cyclical — 12.7%
Airlines — 1.8%
American Airlines Group, Inc. (a)		49,600		1,252,400
Delta Air Lines, Inc.		58,950		1,619,356
				2,871,756
Automotive & Parts — 2.1%
Lear Corp.		23,525		1,904,819
Magna International, Inc. Class A		18,295		1,501,288
				3,406,107
Distribution & Wholesale — 1.1%
MRC Global, Inc. (a)		54,275		1,750,912
Entertainment — 0.3%
International Game Technology		24,300		441,288
Home Furnishing — 0.6%
Whirlpool Corp.		6,775		1,062,727
Housewares — 0.3%
Newell Rubbermaid, Inc.		17,600		570,416

	Number of Shares		Value
Lodging — 1.1%
MGM Resorts International (a)		48,625	$	1,143,660
Starwood Hotels & Resorts Worldwide, Inc.		7,650		607,792
				1,751,452
Retail — 4.5%
Best Buy Co., Inc.		50,600		2,017,928
Dillard’s, Inc. Class A		8,700		845,727
The Gap, Inc.		22,600		883,208
Guess?, Inc.		13,950		433,427
Hanesbrands, Inc.		17,475		1,227,968
Rite Aid Corp. (a)		150,325		760,644
Staples, Inc.		30,000		476,700
The Wendy’s Co.		68,875		600,590
				7,246,192
Textiles — 0.6%
Mohawk Industries, Inc. (a)		6,305		938,815
Toys, Games & Hobbies — 0.3%
Mattel, Inc.		11,700		556,686
				20,596,351
Consumer, Non-cyclical — 13.4%
Agriculture — 1.1%
Lorillard, Inc.		33,475		1,696,513
Commercial Services — 2.8%
Donnelley (R.R.) & Sons Co.		36,025		730,587
Manpower, Inc.		30,400		2,610,144
McKesson Corp.		7,300		1,178,220
				4,518,951
Foods — 2.4%
ConAgra Foods, Inc.		27,600		930,120
Ingredion, Inc.		14,900		1,020,054
The Kroger Co.		12,200		482,266
SUPERVALU, Inc. (a)		129,450		943,690
Tyson Foods, Inc. Class A		17,300		578,858
				3,954,988
Health Care – Products — 2.1%
Boston Scientific Corp. (a)		82,800		995,256
C.R. Bard, Inc.		3,700		495,578
St. Jude Medical, Inc.		12,850		796,058
Zimmer Holdings, Inc.		11,300		1,053,047
				3,339,939
Health Care – Services — 2.3%
Aetna, Inc.		28,125		1,929,094
Cigna Corp.		6,500		568,620
Universal Health Services, Inc. Class B		15,725		1,277,813
				3,775,527

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

128

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

	Number of Shares		Value
Household Products — 0.7%
Avery Dennison Corp.		22,800	$	1,144,332
Pharmaceuticals — 2.0%
Cardinal Health, Inc.		33,650		2,248,157
Omnicare, Inc.		17,650		1,065,354
				3,313,511
				21,743,761
Energy — 8.7%
Coal — 1.0%
Peabody Energy Corp.		81,150		1,584,860
Energy – Alternate Sources — 0.6%
First Solar, Inc. (a)		19,875		1,085,970
Oil & Gas — 7.0%
Chesapeake Energy Corp.		121,450		3,296,153
Cimarex Energy Co.		22,010		2,309,069
Ensco PLC Class A		8,800		503,184
Helmerich & Payne, Inc.		6,900		580,152
Marathon Petroleum Corp.		6,500		596,245
Murphy Oil Corp.		14,600		947,248
Murphy USA, Inc. (a)		3,650		151,694
Western Refining, Inc.		29,675		1,258,517
Whiting Petroleum Corp. (a)		27,100		1,676,677
				11,318,939
Oil & Gas Services — 0.1%
Tidewater, Inc.		2,175		128,912
				14,118,681
Financial — 26.6%
Banks — 6.4%
BB&T Corp.		28,500		1,063,620
Fifth Third Bancorp		84,125		1,769,149
Huntington Bancshares, Inc.		263,800		2,545,670
PNC Financial Services Group, Inc.		13,500		1,047,330
Regions Financial Corp.		268,875		2,659,173
Webster Financial Corp.		39,050		1,217,579
				10,302,521
Diversified Financial — 5.0%
Ameriprise Financial, Inc.		11,000		1,265,550
CIT Group, Inc.		11,275		587,766
Discover Financial Services		25,875		1,447,706
Invesco Ltd.		78,100		2,842,840
Nationstar Mortgage Holdings, Inc. (a)		23,625		873,180
SLM Corp.		39,400		1,035,432
				8,052,474
Insurance — 7.1%
The Allstate Corp.		31,125		1,697,557
Everest Re Group Ltd.		3,750		584,513
HCC Insurance Holdings, Inc.		29,975		1,383,047
ING US, Inc.		74,225		2,609,009

	Number of Shares		Value
Lincoln National Corp.		32,625	$	1,684,102
Reinsurance Group of America, Inc. Class A		6,900		534,129
Unum Group		33,425		1,172,549
Validus Holdings Ltd.		45,525		1,834,202
				11,499,108
Real Estate — 0.4%
CBRE Group, Inc. (a)		26,275		691,033
Real Estate Investment Trusts (REITS) — 7.7%
BioMed Realty Trust, Inc.		95,100		1,723,212
Brandywine Realty Trust		101,825		1,434,714
CBL & Associates Properties, Inc.		143,725		2,581,301
DuPont Fabros Technology, Inc.		42,550		1,051,410
Hospitality Properties Trust		33,800		913,614
Kimco Realty Corp.		23,100		456,225
Liberty Property Trust		67,425		2,283,685
Weyerhaeuser Co.		66,575		2,101,773
				12,545,934
				43,091,070
Industrial — 13.0%
Aerospace & Defense — 1.5%
Alliant Techsystems, Inc.		11,495		1,398,712
L-3 Communications Holdings, Inc.		10,400		1,111,344
				2,510,056
Electrical Components & Equipment — 2.0%
Energizer Holdings, Inc.		15,880		1,718,851
Generac Holdings, Inc.		28,250		1,600,080
				3,318,931
Electronics — 1.7%
Agilent Technologies, Inc.		38,675		2,211,823
Avnet, Inc.		11,200		494,032
				2,705,855
Environmental Controls — 0.6%
Republic Services, Inc.		29,500		979,400
Machinery – Construction & Mining — 0.5%
Terex Corp.		17,975		754,770
Manufacturing — 3.0%
Dover Corp.		5,095		491,871
ITT Corp.		24,075		1,045,337
Parker Hannifin Corp.		21,095		2,713,661
Trinity Industries, Inc.		11,000		599,720
				4,850,589
Packaging & Containers — 1.9%
Graphic Packaging Holding Co. (a)		125,400		1,203,840
Owens-Illinois, Inc. (a)		53,400		1,910,652
				3,114,492
Shipbuilding — 0.4%
Huntington Ingalls Industries, Inc.		6,920		622,869

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

129

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

	Number of Shares		Value
Transportation — 1.4%
CSX Corp.		38,700	$	1,113,399
Swift Transportation Co. (a)		52,800		1,172,688
				2,286,087
				21,143,049
Technology — 7.1%
Computers — 0.4%
SanDisk Corp.		8,750		617,225
Office Equipment/Supplies — 1.2%
Xerox Corp.		163,600		1,991,012
Semiconductors — 3.6%
KLA-Tencor Corp.		8,300		535,018
Lam Research Corp. (a)		30,500		1,660,725
Marvell Technology Group Ltd.		41,825		601,444
Micron Technology, Inc. (a)		55,700		1,212,032
NXP Semiconductor NV (a)		26,950		1,237,813
Skyworks Solutions, Inc. (a)		21,175		604,758
				5,851,790
Software — 1.9%
CA, Inc.		33,100		1,113,815
Electronic Arts, Inc. (a)		32,475		744,977
TiVo, Inc. (a)		85,850		1,126,352
				2,985,144
				11,445,171
Utilities — 8.1%
Electric — 6.2%
The AES Corp.		174,100		2,526,191
Ameren Corp.		52,550		1,900,208
Cleco Corp.		31,800		1,482,516
CMS Energy Corp.		83,700		2,240,649
PPL Corp.		32,000		962,880
SCANA Corp.		19,800		929,214
				10,041,658
Gas — 1.9%
AGL Resources, Inc.		21,300		1,005,999
Atmos Energy Corp.		45,375		2,060,932
				3,066,931
				13,108,589
TOTAL COMMON STOCK (Cost $131,878,932)				158,837,576
TOTAL EQUITIES (Cost $131,878,932)				158,837,576
TOTAL LONG-TERM INVESTMENTS (Cost $131,878,932)				158,837,576

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.8%
Repurchase Agreement — 1.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (b)	$	2,956,295	$	2,956,295
TOTAL SHORT-TERM INVESTMENTS (Cost $2,956,295)				2,956,295
TOTAL INVESTMENTS — 99.8% (Cost $134,835,227) (c)				161,793,871
Other Assets/(Liabilities) — 0.2%				245,451
NET ASSETS — 100.0%			$	162,039,322

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $2,956,297. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 1/25/39 – 9/25/39, and an aggregate market value, including accrued interest, of $3,018,799.

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

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

130

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 96.9%
COMMON STOCK — 96.9%
Basic Materials — 3.9%
Chemicals — 3.2%
Innospec, Inc.		18,880	$	872,634
PolyOne Corp.		93,400		3,301,690
Sensient Technologies Corp.		15,970		774,864
				4,949,188
Forest Products & Paper — 0.7%
Deltic Timber Corp.		16,080		1,092,475
				6,041,663
Communications — 0.9%
Media — 0.9%
John Wiley & Sons, Inc. Class A		26,300		1,451,760
Consumer, Cyclical — 19.4%
Apparel — 0.9%
Ascena Retail Group, Inc. (a)		65,600		1,388,096
Auto Manufacturers — 1.3%
Oshkosh Corp.		39,300		1,979,934
Automotive & Parts — 1.6%
American Axle & Manufacturing Holdings, Inc. (a)		123,900		2,533,755
Distribution & Wholesale — 1.9%
ScanSource, Inc. (a)		24,040		1,020,017
United Stationers, Inc.		40,580		1,862,216
				2,882,233
Home Furnishing — 1.7%
Whirlpool Corp.		16,800		2,635,248
Leisure Time — 1.5%
Brunswick Corp.		50,900		2,344,454
Office Furnishings — 0.9%
Herman Miller, Inc.		45,800		1,352,016
Retail — 6.9%
Advance Auto Parts, Inc.		18,090		2,002,202
Casey’s General Stores, Inc.		13,280		932,920
The Cato Corp. Class A		49,990		1,589,682
CEC Entertainment, Inc.		32,961		1,459,513
Fred’s, Inc. Class A		69,050		1,278,806
The Men’s Wearhouse, Inc.		44,900		2,293,492
Stage Stores, Inc.		46,560		1,034,563
				10,591,178
Storage & Warehousing — 1.6%
Mobile Mini, Inc. (a)		60,900		2,507,862
Textiles — 1.1%
G&K Services, Inc. Class A		26,570		1,653,451
				29,868,227

	Number of Shares		Value
Consumer, Non-cyclical — 11.5%
Biotechnology — 1.2%
Charles River Laboratories International, Inc. (a)		35,320	$	1,873,373
Commercial Services — 1.8%
Corrections Corporation of America		26,678		855,563
Forrester Research, Inc.		29,370		1,123,696
MAXIMUS, Inc.		17,250		758,828
				2,738,087
Foods — 0.4%
Post Holdings, Inc. (a)		12,910		636,076
Health Care – Products — 1.2%
Haemonetics Corp. (a)		23,700		998,481
Steris Corp.		18,100		869,705
				1,868,186
Health Care – Services — 4.1%
AmSurg Corp. (a)		25,180		1,156,265
Covance, Inc. (a)		18,300		1,611,498
HealthSouth Corp.		75,300		2,508,996
ICON PLC (a)		26,410		1,067,228
				6,343,987
Household Products — 2.8%
Acco Brands Corp. (a)		131,100		880,992
Helen of Troy Ltd. (a)		18,220		902,072
The Scotts Miracle-Gro Co. Class A		40,200		2,501,244
				4,284,308
				17,744,017
Energy — 2.8%
Oil & Gas — 2.1%
Diamondback Energy, Inc. (a)		16,720		883,819
Linn Co. LLC		59,304		1,827,157
Whiting Petroleum Corp. (a)		8,660		535,794
				3,246,770
Oil & Gas Services — 0.7%
SEACOR Holdings, Inc. (a)		11,190		1,020,528
				4,267,298
Financial — 17.1%
Banks — 8.2%
City National Corp.		33,700		2,669,714
First Midwest Bancorp, Inc.		68,330		1,197,825
Hancock Holding Co.		20,240		742,403
Hanmi Financial Corp.		38,400		840,576
International Bancshares Corp.		47,730		1,259,595
MB Financial, Inc.		25,440		816,370
Northwest Bancshares, Inc.		76,900		1,136,582
Prosperity Bancshares, Inc.		35,200		2,231,328
Webster Financial Corp.		45,720		1,425,550

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

131

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

	Number of Shares		Value
Westamerica Bancorp.		5,070	$	286,252
				12,606,195
Diversified Financial — 0.9%
Janus Capital Group, Inc.		114,200		1,412,654
Insurance — 4.4%
Alleghany Corp. (a)		3,198		1,279,072
Assured Guaranty Ltd.		34,600		816,214
Platinum Underwriters Holdings Ltd.		11,780		721,878
Primerica, Inc.		29,020		1,245,248
ProAssurance Corp.		12,860		623,453
Reinsurance Group of America, Inc. Class A		17,250		1,335,323
White Mountains Insurance Group Ltd.		1,290		777,973
				6,799,161
Investment Companies — 0.8%
Ares Capital Corp.		48,940		869,664
Solar Capital Ltd.		19,368		436,748
				1,306,412
Real Estate Investment Trusts (REITS) — 2.3%
Campus Crest Communities, Inc.		83,730		787,899
DiamondRock Hospitality Co.		53,344		616,123
Education Realty Trust, Inc.		78,700		694,134
Mid-America Apartment Communities, Inc.		12,660		768,969
Summit Hotel Properties, Inc.		72,800		655,200
				3,522,325
Savings & Loans — 0.5%
First Niagara Financial Group, Inc.		71,860		763,153
				26,409,900
Industrial — 29.3%
Aerospace & Defense — 0.7%
Cubic Corp.		20,730		1,091,642
Building Materials — 4.0%
Comfort Systems USA, Inc.		63,400		1,229,326
Gibraltar Industries, Inc. (a)		58,806		1,093,204
Simpson Manufacturing Co., Inc.		37,300		1,370,029
Trex Co., Inc. (a)		30,600		2,433,618
				6,126,177
Electrical Components & Equipment — 3.0%
Belden, Inc.		40,650		2,863,792
Littelfuse, Inc.		19,900		1,849,307
				4,713,099
Electronics — 6.2%
Coherent, Inc. (a)		11,340		843,583
Faro Technologies, Inc. (a)		22,400		1,305,920
II-VI, Inc. (a)		121,400		2,136,640
Park Electrochemical Corp.		32,400		930,528
Plexus Corp. (a)		62,200		2,692,638

	Number of Shares		Value
Vishay Intertechnology, Inc. (a)		125,600	$	1,665,456
				9,574,765
Engineering & Construction — 0.8%
Aegion Corp. (a)		57,200		1,252,108
Hand & Machine Tools — 1.1%
Regal-Beloit Corp.		23,400		1,725,048
Machinery – Construction & Mining — 1.6%
Terex Corp.		58,100		2,439,619
Machinery – Diversified — 1.9%
Albany International Corp. Class A		40,230		1,445,464
Flowserve Corp.		7,640		602,261
Zebra Technologies Corp. Class A (a)		16,080		869,606
				2,917,331
Manufacturing — 3.8%
Acuity Brands, Inc.		5,630		615,472
AptarGroup, Inc.		11,880		805,583
Carlisle Cos., Inc.		20,330		1,614,202
ESCO Technologies, Inc.		25,000		856,500
Koppers Holdings, Inc.		14,950		683,962
Matthews International Corp. Class A		29,530		1,258,273
				5,833,992
Metal Fabricate & Hardware — 1.0%
Mueller Industries, Inc.		25,700		1,619,357
Packaging & Containers — 0.4%
Greif, Inc. Class A		11,970		627,228
Transportation — 4.0%
Atlas Air Worldwide Holdings, Inc. (a)		25,770		1,060,436
Era Group, Inc. (a)		24,360		751,750
Forward Air Corp.		40,400		1,773,964
Scorpio Tankers, Inc.		150,480		1,774,159
UTI Worldwide, Inc.		44,790		786,512
				6,146,821
Trucking & Leasing — 0.8%
GATX Corp.		23,600		1,231,212
				45,298,399
Technology — 9.1%
Computers — 3.6%
Diebold, Inc.		36,130		1,192,651
Mentor Graphics Corp.		62,800		1,511,596
Mercury Computer Systems, Inc. (a)		71,200		779,640
MICROS Systems, Inc. (a)		24,850		1,425,645
MTS Systems Corp.		9,890		704,663
				5,614,195
Semiconductors — 4.4%
Brooks Automation, Inc.		121,200		1,271,388
Diodes, Inc. (a)		66,500		1,566,740
Fairchild Semiconductor International, Inc. (a)		123,700		1,651,395

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

132

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

	Number of Shares		Value
Maxim Integrated Products, Inc.		39,290	$	1,096,584
Micrel, Inc.		37,474		369,868
Photronics, Inc. (a)		85,700		773,871
				6,729,846
Software — 1.1%
Allscripts Healthcare Solutions, Inc. (a)		56,870		879,210
Verint Systems, Inc. (a)		19,100		820,154
				1,699,364
				14,043,405
Utilities — 2.9%
Electric — 0.8%
UNS Energy Corp.		13,550		810,967
Westar Energy, Inc.		15,750		506,678
				1,317,645
Gas — 2.1%
Atmos Energy Corp.		15,340		696,743
The Laclede Group, Inc.		12,650		576,081
New Jersey Resources Corp.		7,260		335,702
UGI Corp.		23,000		953,580
WGL Holdings, Inc.		15,980		640,159
				3,202,265
				4,519,910
TOTAL COMMON STOCK (Cost $101,723,454)				149,644,579
TOTAL EQUITIES (Cost $101,723,454)				149,644,579
TOTAL LONG-TERM INVESTMENTS (Cost $101,723,454)				149,644,579
	Principal Amount
SHORT-TERM INVESTMENTS — 3.3%
Repurchase Agreement — 3.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (b)	$	4,984,533		4,984,533
Time Deposits — 0.1%
Euro Time Deposit 0.010% 1/02/14		83,099		83,099
TOTAL SHORT-TERM INVESTMENTS (Cost $5,067,632)				5,067,632

	Value
TOTAL INVESTMENTS — 100.2% (Cost $106,791,086) (c)	$	154,712,211
Other Assets/(Liabilities) — (0.2)%		(290,955	)
NET ASSETS — 100.0%	$	154,421,256

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $ 4,984,536. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 5/15/40, and an aggregate market value, including accrued interest, of $ 5,089,629.

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

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

133

MassMutual Select Small Company Value Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 97.5%
COMMON STOCK — 97.5%
Basic Materials — 7.9%
Chemicals — 3.2%
American Vanguard Corp.		59,500	$	1,445,255
Axiall Corp.		52,785		2,504,121
Cabot Corp.		27,740		1,425,836
Huntsman Corp.		105,410		2,593,086
Innospec, Inc.		79,600		3,679,112
Minerals Technologies, Inc.		35,700		2,144,499
OM Group, Inc. (a)		42,820		1,559,076
The Valspar Corp.		13,425		957,068
				16,308,053
Forest Products & Paper — 1.9%
Clearwater Paper Corp. (a)		41,500		2,178,750
Deltic Timber Corp.		28,500		1,936,290
KapStone Paper and Packaging Corp. (a)		43,430		2,426,000
Potlatch Corp.		53,400		2,228,916
Wausau Paper Corp.		90,000		1,141,200
				9,911,156
Iron & Steel — 1.3%
Allegheny Technologies, Inc.		54,025		1,924,911
Carpenter Technology Corp.		39,700		2,469,340
Schnitzer Steel Industries, Inc. Class A		28,100		918,027
United States Steel Corp. (b)		50,025		1,475,737
				6,788,015
Mining — 1.5%
AMCOL International Corp.		59,315		2,015,524
AuRico Gold, Inc.		178,600		653,676
Coeur d’Alene Mines Corp. (a)		47,545		515,863
Franco-Nevada Corp.		25,900		1,055,506
Royal Gold, Inc.		23,800		1,096,466
Stillwater Mining Co. (a)		211,900		2,614,846
				7,951,881
				40,959,105
Communications — 3.2%
Internet — 0.9%
Digital River, Inc. (a)		19,740		365,190
HomeAway, Inc. (a)		24,310		993,793
Safeguard Scientifics, Inc. (a)		131,200		2,635,808
Sapient Corp. (a)		38,001		659,697
				4,654,488
Media — 0.4%
The Dolan Co. (a)		70,300		49,210
Saga Communications, Inc. Class A		32,699		1,644,760

	Number of Shares		Value
World Wrestling Entertainment, Inc. Class A		16,300	$	270,254
				1,964,224
Telecommunications — 1.9%
Anixter International, Inc.		18,175		1,632,842
Black Box Corp.		29,160		868,968
Finisar Corp. (a)		80,129		1,916,686
Iridium Communications, Inc. (a) (b)		122,975		769,824
Ixia (a)		100,600		1,338,986
Premiere Global Services, Inc. (a)		103,000		1,193,770
SBA Communications Corp. Class A (a)		9,080		815,747
Sonus Networks, Inc. (a)		241,800		761,670
ViaSat, Inc. (a)		12,670		793,775
				10,092,268
				16,710,980
Consumer, Cyclical — 11.5%
Airlines — 0.8%
Alaska Air Group, Inc.		56,400		4,138,068
Apparel — 0.9%
Crocs, Inc. (a)		59,055		940,156
Deckers Outdoor Corp. (a)		28,735		2,426,958
Skechers U.S.A., Inc. Class A (a)		42,840		1,419,289
				4,786,403
Auto Manufacturers — 0.3%
Wabash National Corp. (a)		118,310		1,461,128
Automotive & Parts — 0.6%
Modine Manufacturing Co. (a)		97,000		1,243,540
Spartan Motors, Inc.		79,390		531,913
Tenneco, Inc. (a)		28,525		1,613,659
				3,389,112
Distribution & Wholesale — 1.5%
Beacon Roofing Supply, Inc. (a)		114,000		4,591,920
Pool Corp.		52,200		3,034,908
				7,626,828
Entertainment — 1.3%
Ascent Media Corp. Series A (a)		22,300		1,907,988
Cinemark Holdings, Inc.		44,400		1,479,852
International Speedway Corp. Class A		15,795		560,565
Lions Gate Entertainment Corp. (b)		39,210		1,241,389
National CineMedia, Inc.		32,040		639,518
Vail Resorts, Inc.		16,310		1,227,001
				7,056,313
Home Builders — 1.6%
KB Home (b)		85,900		1,570,252
M/I Homes, Inc. (a)		37,300		949,285
Meritage Home Corp. (a)		73,505		3,527,505

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

134

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

	Number of Shares		Value
Winnebago Industries, Inc. (a)		80,500	$	2,209,725
				8,256,767
Home Furnishing — 0.2%
Ethan Allen Interiors, Inc.		36,200		1,101,204
Stanley Furniture Co., Inc. (a)		11,600		44,544
				1,145,748
Leisure Time — 0.4%
Brunswick Corp.		28,100		1,294,286
Life Time Fitness, Inc. (a)		15,280		718,160
				2,012,446
Lodging — 0.6%
Orient-Express Hotels Ltd. Class A (a)		208,080		3,144,089
Retail — 2.0%
Cash America International, Inc.		13,051		499,853
Fred’s, Inc. Class A		49,000		907,480
Group 1 Automotive, Inc.		16,475		1,170,055
Haverty Furniture Cos., Inc.		72,200		2,259,860
Insight Enterprises, Inc. (a)		30,500		692,655
MarineMax, Inc. (a)		67,300		1,082,184
Red Robin Gourmet Burgers, Inc. (a)		12,300		904,542
Select Comfort Corp. (a)		56,280		1,186,945
Stein Mart, Inc.		116,700		1,569,615
				10,273,189
Textiles — 1.3%
Culp, Inc.		49,600		1,014,320
Fifth & Pacific Cos., Inc. (a)		46,000		1,475,220
G&K Services, Inc. Class A		42,800		2,663,444
UniFirst Corp.		13,475		1,441,825
				6,594,809
				59,884,900
Consumer, Non-cyclical — 12.0%
Agriculture — 0.1%
Alliance One International, Inc. (a)		144,400		440,420
Biotechnology — 0.5%
Alkermes PLC (a)		29,590		1,203,129
InterMune, Inc. (a)		36,690		540,444
Momenta Pharmaceuticals, Inc. (a)		59,100		1,044,888
				2,788,461
Commercial Services — 4.5%
Aaron’s, Inc.		176,190		5,179,986
American Public Education, Inc. (a)		23,900		1,038,933
Electro Rent Corp.		100,700		1,864,964
FTI Consulting, Inc. (a)		18,600		765,204
Global Payments, Inc.		11,470		745,435
Landauer, Inc.		16,100		847,021
McGrath RentCorp		86,500		3,442,700
Navigant Consulting, Inc. (a)		86,800		1,666,560
On Assignment, Inc. (a)		70,200		2,451,384

	Number of Shares		Value
PHH Corp. (a)		37,675	$	917,386
Rent-A-Center, Inc.		29,005		967,027
TrueBlue, Inc. (a)		58,655		1,512,126
United Rentals, Inc. (a)		26,110		2,035,275
				23,434,001
Foods — 1.7%
Cal-Maine Foods, Inc.		15,500		933,565
Hillshire Brands Co.		47,500		1,588,400
Pinnacle Foods, Inc.		49,975		1,372,314
Spartan Stores, Inc.		58,300		1,415,524
United Natural Foods, Inc. (a)		12,140		915,235
WhiteWave Foods Co. Class A (a)		105,125		2,411,567
				8,636,605
Health Care – Products — 2.6%
Alere, Inc. (a)		29,595		1,071,339
Bruker Corp. (a)		45,225		894,098
Cantel Medical Corp.		24,577		833,406
Cynosure Inc. Class A (a)		40,850		1,089,878
Merit Medical Systems, Inc. (a)		71,401		1,123,852
Quidel Corp. (a) (b)		50,100		1,547,589
Tornier BV (a)		49,375		927,756
West Pharmaceutical Services, Inc.		75,900		3,723,654
Wright Medical Group, Inc. (a)		70,505		2,165,209
				13,376,781
Health Care – Services — 1.5%
Centene Corp. (a)		10,345		609,838
Covance, Inc. (a)		8,855		779,771
Healthways, Inc. (a)		27,300		419,055
Magellan Health Services, Inc. (a)		19,645		1,176,932
MEDNAX, Inc. (a)		14,714		785,434
National Healthcare Corp.		30,500		1,644,255
Triple-S Management Corp. Class B (a)		43,239		840,566
Universal Health Services, Inc. Class B		17,505		1,422,456
				7,678,307
Household Products — 0.6%
Acco Brands Corp. (a)		156,270		1,050,134
CSS Industries, Inc.		41,500		1,190,220
Helen of Troy Ltd. (a)		2,529		125,211
The Scotts Miracle-Gro Co. Class A		9,870		614,111
				2,979,676
Pharmaceuticals — 0.5%
Cubist Pharmaceuticals, Inc. (a)		15,795		1,087,802
Impax Laboratories, Inc. (a)		21,130		531,208
The Medicines Co. (a)		28,900		1,116,118
				2,735,128
				62,069,379

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

135

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

	Number of Shares		Value
Energy — 5.1%
Coal — 0.2%
Cloud Peak Energy, Inc. (a)		51,800	$	932,400
Oil & Gas — 2.7%
Atwood Oceanics, Inc. (a)		22,000		1,174,580
Bill Barrett Corp. (a) (b)		94,750		2,537,405
EPL Oil & Gas, Inc. (a)		29,500		840,750
Hercules Offshore, Inc. (a)		74,400		485,832
Northern Oil and Gas, Inc. (a) (b)		91,200		1,374,384
Oasis Petroleum, Inc. (a)		59,700		2,804,109
PDC Energy, Inc. (a)		52,035		2,769,303
SM Energy Co.		19,395		1,611,918
Swift Energy Co. (a) (b)		30,693		414,356
				14,012,637
Oil & Gas Services — 2.2%
C&J Energy Services, Inc. (a) (b)		33,000		762,300
CARBO Ceramics, Inc. (b)		14,400		1,678,032
Core Laboratories NV		7,255		1,385,342
Dril-Quip, Inc. (a)		18,315		2,013,368
Exterran Holdings, Inc. (a)		50,675		1,733,085
Newpark Resources, Inc. (a)		63,379		778,928
TETRA Technologies, Inc. (a)		100,500		1,242,180
Willbros Group, Inc. (a)		183,605		1,729,559
				11,322,794
				26,267,831
Financial — 25.1%
Banks — 9.3%
Capital Bank Financial Corp. Class A (a)		75,075		1,707,956
City Holding Co. (b)		24,085		1,115,858
Columbia Banking System, Inc.		35,600		979,356
East West Bancorp, Inc.		191,685		6,703,225
F.N.B. Corp.		189,125		2,386,758
FirstMerit Corp.		69,997		1,556,033
Glacier Bancorp, Inc.		93,700		2,791,323
Home Bancshares, Inc.		136,200		5,087,070
Independent Bank Corp.		26,250		1,028,738
PacWest Bancorp (b)		51,060		2,155,753
Popular, Inc. (a)		41,975		1,205,942
Sandy Spring Bancorp, Inc.		62,700		1,767,513
Signature Bank (a)		22,200		2,384,724
Susquehanna Bancshares, Inc.		183,795		2,359,928
SVB Financial Group (a)		46,100		4,834,046
Synovus Financial Corp.		257,900		928,440
Trustmark Corp.		25,674		689,090
United Bankshares, Inc. (b)		23,841		749,799
Webster Financial Corp.		117,190		3,653,984
Wintrust Financial Corp.		87,920		4,054,870
				48,140,406
Diversified Financial — 0.7%
Eaton Vance Corp.		15,682		671,033

	Number of Shares		Value
JMP Group, Inc.		49,100	$	363,340
Piper Jaffray Cos., Inc. (a)		23,600		933,380
Raymond James Financial, Inc.		17,968		937,750
Stifel Financial Corp. (a)		15,679		751,337
				3,656,840
Insurance — 6.2%
American Equity Investment Life Holding Co.		111,505		2,941,502
Argo Group International Holdings Ltd.		53,160		2,471,408
Assured Guaranty Ltd.		44,500		1,049,755
CNO Financial Group, Inc.		151,320		2,676,851
Employers Holdings, Inc.		36,730		1,162,504
Fidelity & Guaranty Life (a) (b)		90,400		1,712,176
The Hanover Insurance Group, Inc.		43,835		2,617,388
Horace Mann Educators Corp.		18,318		577,750
Maiden Holdings Ltd.		142,030		1,552,388
Markel Corp. (a)		3,100		1,799,085
Meadowbrook Insurance Group, Inc.		147,300		1,025,208
National Interstate Corp.		67,300		1,547,900
ProAssurance Corp.		119,215		5,779,543
Protective Life Corp.		19,840		1,005,094
Radian Group, Inc. (b)		182,125		2,571,605
Reinsurance Group of America, Inc. Class A		10,855		840,286
State Auto Financial Corp. Class A		10,855		230,560
United Fire Group, Inc.		20,774		595,383
				32,156,386
Investment Companies — 0.4%
American Capital Ltd. (a)		80,765		1,263,165
Ares Capital Corp.		43,000		764,110
				2,027,275
Real Estate — 0.2%
Terreno Realty Corp.		56,000		991,200
Real Estate Investment Trusts (REITS) — 7.3%
Acadia Realty Trust		58,900		1,462,487
Associated Estates Realty Corp. (b)		69,385		1,113,629
CBL & Associates Properties, Inc.		97,900		1,758,284
Cedar Realty Trust, Inc.		109,400		684,844
FelCor Lodging Trust, Inc. (a)		284,090		2,318,174
First Potomac Realty Trust		267,719		3,113,572
Kilroy Realty Corp.		45,900		2,303,262
LaSalle Hotel Properties		134,670		4,155,916
Lexington Realty Trust (b)		211,125		2,155,586
LTC Properties, Inc.		28,950		1,024,541
Medical Properties Trust, Inc.		51,938		634,682
MFA Financial, Inc.		209,125		1,476,423
New Residential Investment Corp.		279,985		1,870,300
NorthStar Realty Finance Corp.		216,670		2,914,212
Pebblebrook Hotel Trust		69,400		2,134,744
PS Business Parks, Inc.		8,400		641,928

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

136

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

	Number of Shares		Value
Saul Centers, Inc.		28,100	$	1,341,213
Starwood Property Trust, Inc.		134,765		3,732,990
Sun Communities, Inc.		47,405		2,021,349
Washington Real Estate Investment Trust		44,100		1,030,176
				37,888,312
Savings & Loans — 1.0%
Astoria Financial Corp.		28,280		391,112
Flushing Financial Corp.		90,480		1,872,936
Investors Bancorp, Inc.		68,375		1,749,033
WSFS Financial Corp.		19,675		1,525,403
				5,538,484
				130,398,903
Industrial — 22.6%
Aerospace & Defense — 1.9%
Curtiss-Wright Corp.		33,950		2,112,709
Esterline Technologies Corp. (a)		23,325		2,378,217
Kaman Corp.		38,200		1,517,686
Kratos Defense & Security Solutions, Inc. (a)		111,000		852,480
Moog, Inc. Class A (a)		11,398		774,380
Teledyne Technologies, Inc. (a)		8,484		779,340
Triumph Group, Inc.		16,125		1,226,629
				9,641,441
Building Materials — 2.3%
Comfort Systems USA, Inc.		63,500		1,231,265
Drew Industries, Inc.		63,300		3,240,960
Gibraltar Industries, Inc. (a)		85,100		1,582,009
Louisiana-Pacific Corp. (a)		68,650		1,270,711
Quanex Building Products Corp.		48,800		972,096
Texas Industries, Inc. (a)		13,800		949,164
Universal Forest Products, Inc.		35,500		1,850,970
USG Corp. (a)		35,715		1,013,592
				12,110,767
Electrical Components & Equipment — 2.5%
Advanced Energy Industries, Inc. (a)		132,475		3,028,378
Belden, Inc.		47,300		3,332,285
EnerSys		18,470		1,294,562
General Cable Corp.		43,450		1,277,865
Littelfuse, Inc.		42,660		3,964,394
				12,897,484
Electronics — 2.6%
Analogic Corp.		16,800		1,487,808
Checkpoint Systems, Inc. (a)		38,508		607,271
Coherent, Inc. (a)		10,036		746,578
CTS Corp.		39,000		776,490
Electro Scientific Industries, Inc.		90,200		943,492
Fabrinet (a)		70,500		1,449,480
Imax Corp. (a) (b)		28,775		848,287
Itron, Inc. (a)		12,190		505,032

	Number of Shares		Value
Methode Electronics, Inc.		38,200	$	1,306,058
Newport Corp. (a)		46,900		847,483
Sanmina Corp. (a)		82,932		1,384,964
Woodward, Inc.		53,500		2,440,135
				13,343,078
Engineering & Construction — 0.7%
Aegion Corp. (a)		71,400		1,562,946
Foster Wheeler AG (a)		52,510		1,733,880
URS Corp.		10,315		546,592
				3,843,418
Environmental Controls — 0.7%
Mine Safety Appliances Co.		42,500		2,176,425
Waste Connections, Inc.		39,350		1,716,841
				3,893,266
Hand & Machine Tools — 0.8%
Franklin Electric Co., Inc.		68,138		3,041,681
Snap-on, Inc.		10,560		1,156,531
				4,198,212
Machinery – Construction & Mining — 0.5%
Astec Industries, Inc.		26,500		1,023,695
Terex Corp.		41,270		1,732,927
				2,756,622
Machinery – Diversified — 1.8%
Cognex Corp.		35,600		1,359,208
IDEX Corp.		35,800		2,643,830
The Manitowoc Co., Inc.		53,820		1,255,082
Nordson Corp.		42,400		3,150,320
Proto Labs, Inc. (a) (b)		9,700		690,446
				9,098,886
Manufacturing — 2.6%
AptarGroup, Inc.		55,100		3,736,331
Barnes Group, Inc.		47,335		1,813,404
ESCO Technologies, Inc.		1,400		47,964
Hexcel Corp. (a)		31,719		1,417,522
Matthews International Corp. Class A		51,900		2,211,459
Myers Industries, Inc.		91,700		1,936,704
Trinity Industries, Inc.		38,420		2,094,658
				13,258,042
Metal Fabricate & Hardware — 1.0%
Circor International, Inc.		30,100		2,431,478
RBC Bearings, Inc. (a)		12,400		877,300
Sun Hydraulics Corp.		27,600		1,126,908
The Timken Co.		12,813		705,612
				5,141,298
Transportation — 4.9%
Bristow Group, Inc.		17,612		1,321,957
CAI International, Inc. (a)		23,367		550,760
Con-way, Inc.		43,090		1,711,104
GasLog Ltd.		99,900		1,707,291

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

137

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

	Number of Shares		Value
Genesee & Wyoming, Inc. Class A (a)		49,800	$	4,783,290
Hub Group, Inc. Class A (a)		39,500		1,575,260
Kirby Corp. (a)		45,400		4,505,950
Landstar System, Inc.		83,600		4,802,820
Teekay Corp.		57,155		2,744,011
Teekay Tankers Ltd. Class A (b)		168,900		663,777
Universal Truckload Services, Inc.		32,600		994,626
				25,360,846
Trucking & Leasing — 0.3%
GATX Corp.		17,030		888,455
TAL International Group, Inc. (b)		9,101		521,943
				1,410,398
				116,953,758
Technology — 5.3%
Computers — 0.6%
j2 Global, Inc. (b)		14,440		722,144
Quantum Corp. (a)		754,545		905,454
Unisys Corp. (a)		39,300		1,319,301
Xyratex Ltd.		23,200		308,328
				3,255,227
Semiconductors — 3.0%
ATMI, Inc. (a)		36,600		1,105,686
Brooks Automation, Inc.		184,710		1,937,608
Cabot Microelectronics Corp. (a)		66,930		3,058,701
Cypress Semiconductor Corp. (b)		113,805		1,194,952
Entegris, Inc. (a)		165,490		1,919,684
Fairchild Semiconductor International, Inc. (a)		104,280		1,392,138
Lattice Semiconductor Corp. (a)		163,365		900,141
MKS Instruments, Inc.		36,900		1,104,786
Monolithic Power Systems, Inc. (a)		18,060		625,960
Teradyne, Inc. (a)		88,500		1,559,370
Tessera Technologies, Inc.		35,980		709,166
				15,508,192
Software — 1.7%
Accelrys, Inc. (a)		52,400		499,896
CSG Systems International, Inc.		25,620		753,228
EPIQ Systems, Inc.		21,250		344,463
Progress Software Corp. (a)		79,750		2,059,942
Seachange International, Inc. (a)		96,130		1,168,941
SYNNEX Corp. (a)		44,700		3,012,780
Verint Systems, Inc. (a)		21,565		926,001
				8,765,251
				27,528,670
Utilities — 4.8%
Electric — 3.4%
Black Hills Corp.		25,700		1,349,507
Cleco Corp.		118,035		5,502,791

	Number of Shares		Value
El Paso Electric Co.		50,200	$	1,762,522
IDACORP, Inc.		65,245		3,382,301
NorthWestern Corp.		33,200		1,438,224
Pike Corp. (a)		66,000		697,620
Portland General Electric Co.		112,165		3,387,383
UNS Energy Corp.		2,060		123,291
				17,643,639
Gas — 1.4%
Atmos Energy Corp.		57,670		2,619,371
PNM Resources, Inc.		45,300		1,092,636
South Jersey Industries, Inc.		12,187		681,985
Southwest Gas Corp.		38,000		2,124,580
WGL Holdings, Inc.		16,416		657,625
				7,176,197
				24,819,836
TOTAL COMMON STOCK (Cost $349,402,927)				505,593,362
TOTAL EQUITIES (Cost $349,402,927)				505,593,362
MUTUAL FUNDS — 5.4%
Diversified Financial — 5.4%
iShares Russell 2000 Value Index Fund (b)		12,000		1,194,000
State Street Navigator Securities Lending Prime Portfolio (c)		26,839,989		26,839,989
T. Rowe Price Reserve Investment Fund		179,901		179,901
				28,213,890
TOTAL MUTUAL FUNDS (Cost $27,782,411)				28,213,890
TOTAL LONG-TERM INVESTMENTS (Cost $377,185,338)				533,807,252
	Principal Amount
SHORT-TERM INVESTMENTS — 2.2%
Repurchase Agreement — 2.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (d)	$	11,215,009		11,215,009
TOTAL SHORT-TERM INVESTMENTS (Cost $11,215,009)				11,215,009

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

138

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

	Value
TOTAL INVESTMENTS — 105.1% (Cost $388,400,347) (e)	$	545,022,261
Other Assets/(Liabilities) — (5.1)%		(26,622,673	)
NET ASSETS — 100.0%	$	518,399,588

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $26,127,927. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $11,215,015. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 1/25/39 – 9/15/40, and an aggregate market value, including accrued interest, of $11,450,051.

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

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

139

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

December 31, 2013

	Number of Shares		Value
EQUITIES — 97.2%
COMMON STOCK — 97.2%
Basic Materials — 5.0%
Chemicals — 2.6%
Albemarle Corp.		6,886	$	436,503
Ashland, Inc.		6,098		591,750
Cabot Corp.		5,042		259,159
Cytec Industries, Inc.		3,001		279,573
Intrepid Potash, Inc. (a) (b)		4,643		73,545
Minerals Technologies, Inc.		2,911		174,864
NewMarket Corp. (b)		965		322,455
Olin Corp. (b)		6,728		194,103
RPM International, Inc.		11,246		466,821
Sensient Technologies Corp.		4,233		205,385
The Valspar Corp.		6,820		486,198
				3,490,356
Forest Products & Paper — 1.1%
Domtar Corp.		2,740		258,492
Potlatch Corp.		3,427		143,043
Rayonier, Inc.		10,680		449,628
Rock-Tenn Co. Class A		6,094		639,931
				1,491,094
Iron & Steel — 0.9%
Carpenter Technology Corp.		4,481		278,718
Reliance Steel & Aluminum Co.		6,543		496,221
Steel Dynamics, Inc.		18,777		366,903
				1,141,842
Mining — 0.4%
Compass Minerals International, Inc.		2,832		226,702
Royal Gold, Inc.		5,508		253,753
				480,455
				6,603,747
Communications — 4.0%
Advertising — 0.2%
Lamar Advertising Co. Class A (a)		5,523		288,576
Internet — 1.4%
AOL, Inc. (a)		6,637		309,417
Equinix, Inc. (a)		4,210		747,064
Rackspace Hosting, Inc. (a)		9,697		379,444
TIBCO Software, Inc. (a)		12,960		291,341
ValueClick, Inc. (a)		5,330		124,562
				1,851,828
Media — 0.9%
AMC Networks, Inc. (a)		5,013		341,435
FactSet Research Systems, Inc. (b)		3,390		368,086
John Wiley & Sons, Inc. Class A		3,918		216,274
Meredith Corp.		3,137		162,497

	Number of Shares		Value
The New York Times Co. Class A		10,638	$	168,825
				1,257,117
Telecommunications — 1.5%
ADTRAN, Inc.		4,930		133,159
Ciena Corp. (a)		8,721		208,694
InterDigital, Inc. (b)		3,509		103,480
JDS Uniphase Corp. (a)		19,687		255,537
NeuStar, Inc. Class A (a)		5,293		263,909
Plantronics, Inc.		3,699		171,819
Polycom, Inc. (a)		12,080		135,658
RF Micro Devices, Inc. (a)		23,874		123,190
Telephone & Data Systems, Inc.		8,350		215,263
tw telecom, Inc. (a)		12,182		371,186
				1,981,895
				5,379,416
Consumer, Cyclical — 12.8%
Airlines — 0.4%
Alaska Air Group, Inc.		5,881		431,489
JetBlue Airways Corp. (a)		18,390		157,235
				588,724
Apparel — 1.0%
Ascena Retail Group, Inc. (a)		10,889		230,411
Carter’s, Inc.		4,612		331,096
Deckers Outdoor Corp. (a)		2,921		246,708
Under Armour, Inc. Class A (a)		6,791		592,854
				1,401,069
Auto Manufacturers — 0.3%
Oshkosh Corp.		7,308		368,177
Distribution & Wholesale — 1.3%
Ingram Micro, Inc. Class A (a)		13,037		305,848
LKQ Corp. (a)		25,430		836,647
Owens & Minor, Inc.		5,338		195,157
Tech Data Corp. (a)		3,192		164,707
Watsco, Inc.		2,291		220,074
				1,722,433
Entertainment — 0.7%
Bally Technologies, Inc. (a)		3,297		258,650
Cinemark Holdings, Inc.		8,780		292,637
DreamWorks Animation SKG, Inc. Class A (a)		6,024		213,852
International Speedway Corp. Class A		2,328		82,621
Scientific Games Corp. Class A (a)		4,077		69,023
				916,783
Home Builders — 1.0%
KB Home (b)		7,042		128,728
M.D.C. Holdings, Inc.		3,237		104,361
NVR, Inc. (a)		355		364,233
Thor Industries, Inc.		3,787		209,156

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

140

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

	Number of Shares		Value
Toll Brothers, Inc. (a)		13,446	$	497,502
				1,303,980
Home Furnishing — 0.2%
Tempur Sealy International, Inc. (a)		5,116		276,059
Leisure Time — 1.0%
Brunswick Corp.		7,693		354,340
Life Time Fitness, Inc. (a)		3,318		155,946
Polaris Industries, Inc.		5,449		793,592
				1,303,878
Office Furnishings — 0.2%
Herman Miller, Inc.		4,988		147,246
HNI Corp.		3,827		148,602
				295,848
Retail — 6.7%
Abercrombie & Fitch Co. Class A (b)		6,461		212,632
Advance Auto Parts, Inc.		6,161		681,900
American Eagle Outfitters, Inc.		14,348		206,611
ANN, Inc. (a)		3,882		141,926
Big Lots, Inc. (a)		4,953		159,932
Bob Evans Farms, Inc.		2,312		116,964
Brinker International, Inc.		5,669		262,701
Cabela’s, Inc. (a)		3,941		262,707
The Cheesecake Factory, Inc.		4,099		197,859
Chico’s FAS, Inc.		13,435		253,115
Copart, Inc. (a)		9,451		346,379
CST Brands, Inc. (b)		6,393		234,751
Dick’s Sporting Goods, Inc.		8,619		500,764
Domino’s Pizza, Inc.		4,712		328,191
Foot Locker, Inc.		12,560		520,486
Guess?, Inc.		5,025		156,127
Hanesbrands, Inc.		8,384		589,144
HSN, Inc.		2,817		175,499
J.C. Penney Co., Inc. (a) (b)		25,764		235,741
MSC Industrial Direct Co., Inc. Class A		4,077		329,707
Office Depot, Inc. (a)		40,368		213,547
Panera Bread Co. Class A (a)		2,263		399,849
Signet Jewelers Ltd.		6,786		534,058
Tractor Supply Co.		11,808		916,065
The Wendy’s Co.		23,853		207,998
Williams-Sonoma, Inc.		7,529		438,790
World Fuel Services Corp.		6,111		263,751
				8,887,194
				17,064,145
Consumer, Non-cyclical — 17.2%
Agriculture — 0.1%
Universal Corp. (b)		1,990		108,654
Beverages — 0.6%
Green Mountain Coffee Roasters, Inc. (a) (b)		11,093		838,409

	Number of Shares		Value
Biotechnology — 0.3%
Bio-Rad Laboratories, Inc. Class A (a)		1,700	$	210,137
Charles River Laboratories International, Inc. (a)		4,046		214,600
				424,737
Commercial Services — 5.2%
Aaron’s, Inc.		6,451		189,659
Apollo Education Group, Inc. (a)		8,444		230,690
Convergys Corp.		8,620		181,451
CoreLogic, Inc. (a)		7,973		283,281
The Corporate Executive Board Co.		2,841		219,979
Corrections Corporation of America		9,800		314,286
Deluxe Corp.		4,271		222,903
DeVry, Inc.		4,817		171,003
Donnelley (R.R.) & Sons Co. (b)		15,368		311,663
FTI Consulting, Inc. (a)		3,418		140,616
Gartner, Inc. (a)		7,797		553,977
Global Payments, Inc.		6,157		400,143
HMS Holdings Corp. (a)		7,466		169,702
Lender Processing Services, Inc.		7,223		269,996
Manpower, Inc.		6,682		573,716
Rent-A-Center, Inc.		4,526		150,897
Rollins, Inc.		5,431		164,505
Service Corp. International		17,934		325,143
Sotheby’s		5,813		309,252
Towers Watson & Co. Class A		5,460		696,751
United Rentals, Inc. (a)		7,887		614,792
Valassis Communications, Inc. (b)		3,267		111,895
WEX, Inc. (a)		3,288		325,611
				6,931,911
Foods — 2.2%
Dean Foods Co. (a)		7,983		137,228
Flowers Foods, Inc.		14,815		318,078
Harris Teeter Supermarkets, Inc.		4,182		206,382
Hillshire Brands Co.		10,402		347,843
Ingredion, Inc.		6,486		444,031
Lancaster Colony Corp.		1,637		144,301
Post Holdings, Inc. (a)		2,764		136,182
SUPERVALU, Inc. (a)		16,785		122,363
The Hain Celestial Group, Inc. (a)		4,042		366,933
Tootsie Roll Industries, Inc. (b)		1,729		56,262
United Natural Foods, Inc. (a)		4,184		315,432
WhiteWave Foods Co. Class A (a)		14,667		336,461
				2,931,496
Health Care – Products — 2.9%
The Cooper Cos., Inc.		4,140		512,698
Henry Schein, Inc. (a)		7,261		829,642
Hill-Rom Holdings, Inc.		4,960		205,046
Hologic, Inc. (a)		23,102		516,330
IDEXX Laboratories, Inc. (a)		4,388		466,751
Masimo Corp. (a)		4,357		127,355

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

141

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

	Number of Shares		Value
ResMed, Inc. (b)		12,018	$	565,807
Steris Corp.		4,974		239,001
Techne Corp.		2,807		265,739
Thoratec Corp. (a)		4,855		177,693
				3,906,062
Health Care – Services — 2.1%
Community Health Systems, Inc. (a)		8,032		315,417
Covance, Inc. (a)		4,753		418,549
Health Management Associates, Inc. Class A (a)		22,370		293,047
Health Net, Inc. (a)		6,723		199,471
LifePoint Hospitals, Inc. (a)		4,001		211,413
MEDNAX, Inc. (a)		8,324		444,335
Universal Health Services, Inc. Class B		7,564		614,651
WellCare Health Plans, Inc. (a)		3,696		260,272
				2,757,155
Household Products — 1.5%
Church & Dwight Co., Inc.		11,744		778,392
Jarden Corp. (a)		10,119		620,801
The Scotts Miracle-Gro Co. Class A		3,717		231,272
Tupperware Brands Corp.		4,293		405,817
				2,036,282
Pharmaceuticals — 2.3%
Cubist Pharmaceuticals, Inc. (a)		6,264		431,402
Endo Health Solutions, Inc. (a)		9,714		655,306
Mallinckrodt PLC (a)		4,879		254,977
Omnicare, Inc.		8,709		525,675
Salix Pharmaceuticals Ltd. (a)		5,320		478,481
United Therapeutics Corp. (a)		3,909		442,030
VCA Antech, Inc. (a)		7,504		235,325
				3,023,196
				22,957,902
Energy — 5.8%
Coal — 0.1%
Alpha Natural Resources, Inc. (a)		18,687		133,425
Oil & Gas — 2.5%
Atwood Oceanics, Inc. (a)		4,874		260,223
Bill Barrett Corp. (a) (b)		4,159		111,378
Cimarex Energy Co.		7,346		770,669
Gulfport Energy Corp. (a)		7,112		449,123
Murphy USA, Inc. (a)		3,756		156,099
Patterson-UTI Energy, Inc.		12,266		310,575
Questar Corp.		14,808		340,436
Rosetta Resources, Inc. (a)		5,181		248,895
SM Energy Co.		5,666		470,901
Unit Corp. (a)		3,701		191,046
				3,309,345
Oil & Gas Services — 2.8%
CARBO Ceramics, Inc. (b)		1,679		195,654

	Number of Shares		Value
Dresser-Rand Group, Inc. (a)		6,451	$	384,673
Dril-Quip, Inc. (a)		3,441		378,269
Helix Energy Solutions Group, Inc. (a)		8,318		192,811
HollyFrontier Corp.		16,809		835,239
Oceaneering International, Inc.		9,151		721,831
Oil States International, Inc. (a)		4,664		474,422
Superior Energy Services, Inc. (a)		13,484		358,810
Tidewater, Inc.		4,192		248,460
				3,790,169
Pipelines — 0.4%
National Fuel Gas Co.		7,079		505,441
				7,738,380
Financial — 20.4%
Banks — 4.2%
Associated Banc-Corp.		13,674		237,928
BancorpSouth, Inc.		7,081		179,999
Bank of Hawaii Corp.		3,763		222,544
Cathay General Bancorp		6,215		166,127
City National Corp.		4,003		317,118
Commerce Bancshares, Inc.		6,889		309,385
Cullen/Frost Bankers, Inc. (b)		4,451		331,288
East West Bancorp, Inc.		11,650		407,400
First Horizon National Corp.		20,135		234,573
FirstMerit Corp.		13,957		310,264
Fulton Financial Corp.		16,313		213,374
Hancock Holding Co.		6,938		254,486
International Bancshares Corp.		4,853		128,071
Prosperity Bancshares, Inc.		4,796		304,018
Signature Bank (a)		4,000		429,680
SVB Financial Group (a)		3,862		404,969
Synovus Financial Corp.		82,236		296,050
TCF Financial Corp.		13,940		226,525
Trustmark Corp.		5,674		152,290
Valley National Bancorp (b)		16,869		170,714
Webster Financial Corp.		7,634		238,028
Westamerica Bancorp. (b)		2,267		127,995
				5,662,826
Diversified Financial — 2.5%
Affiliated Managers Group, Inc. (a)		4,482		972,056
CBOE Holdings, Inc.		7,374		383,153
Eaton Vance Corp.		10,263		439,154
Federated Investors, Inc. Class B (b)		7,965		229,392
Greenhill & Co., Inc.		2,211		128,105
Janus Capital Group, Inc.		12,629		156,221
Raymond James Financial, Inc.		10,424		544,029
Waddell & Reed Financial, Inc. Class A		7,225		470,492
				3,322,602
Insurance — 4.9%
Alleghany Corp. (a)		1,418		567,143
American Financial Group, Inc.		6,045		348,917

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

142

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

	Number of Shares		Value
Arthur J. Gallagher & Co.		11,127	$	522,190
Aspen Insurance Holdings Ltd.		5,558		229,601
Brown & Brown, Inc.		10,086		316,600
Everest Re Group Ltd.		4,052		631,585
Fidelity National Financial, Inc. Class A		21,122		685,409
First American Financial Corp.		8,938		252,052
The Hanover Insurance Group, Inc.		3,708		221,405
HCC Insurance Holdings, Inc.		8,471		390,852
Kemper Corp.		4,356		178,073
Mercury General Corp.		3,066		152,411
Old Republic International Corp.		20,450		353,171
Primerica, Inc.		4,636		198,931
Protective Life Corp.		6,644		336,585
Reinsurance Group of America, Inc. Class A		5,969		462,060
StanCorp Financial Group, Inc.		3,719		246,384
W.R. Berkley Corp.		9,252		401,444
				6,494,813
Investment Companies — 0.1%
Apollo Investment Corp.		18,997		161,094
Real Estate — 0.4%
Alexander & Baldwin, Inc.		3,610		150,645
Jones Lang LaSalle, Inc.		3,759		384,884
				535,529
Real Estate Investment Trusts (REITS) — 7.4%
Alexandria Real Estate Equities, Inc.		6,059		385,474
American Campus Communities, Inc.		8,862		285,445
BioMed Realty Trust, Inc.		16,245		294,359
BRE Properties, Inc.		6,529		357,202
Camden Property Trust		7,216		410,446
Corporate Office Properties Trust		7,432		176,064
Duke Realty Corp.		27,559		414,487
Equity One, Inc.		5,365		120,391
Essex Property Trust, Inc.		3,217		461,672
Extra Space Storage, Inc.		9,302		391,893
Federal Realty Investment Trust		5,502		557,958
Highwoods Properties, Inc.		7,606		275,109
Home Properties, Inc.		4,811		257,966
Hospitality Properties Trust		12,550		339,227
Kilroy Realty Corp.		6,941		348,299
Liberty Property Trust		12,399		419,954
Mack-Cali Realty Corp.		7,441		159,833
Mid-America Apartment Communities, Inc.		6,325		384,180
National Retail Properties, Inc. (b)		10,307		312,611
OMEGA Healthcare Investors, Inc.		10,365		308,877
Realty Income Corp. (b)		17,435		650,849
Regency Centers Corp.		7,809		361,557
Senior Housing Properties Trust		15,916		353,813
SL Green Realty Corp.		8,025		741,349
Taubman Centers, Inc.		5,375		343,570

	Number of Shares		Value
UDR, Inc.		21,209	$	495,230
Weingarten Realty Investors		9,489		260,188
				9,868,003
Savings & Loans — 0.9%
Astoria Financial Corp.		7,210		99,715
First Niagara Financial Group, Inc.		29,934		317,899
New York Community Bancorp, Inc. (b)		37,286		628,269
Washington Federal, Inc.		8,559		199,339
				1,245,222
				27,290,089
Industrial — 18.3%
Aerospace & Defense — 1.5%
Alliant Techsystems, Inc.		2,694		327,806
BE Aerospace, Inc. (a)		8,331		725,047
Esterline Technologies Corp. (a)		2,653		270,500
Exelis, Inc.		15,928		303,588
Triumph Group, Inc.		4,403		334,936
				1,961,877
Building Materials — 1.4%
Eagle Materials, Inc.		4,224		327,064
Fortune Brands Home & Security, Inc.		14,061		642,588
Lennox International, Inc.		3,854		327,821
Louisiana-Pacific Corp. (a)		11,935		220,917
Martin Marietta Materials, Inc.		3,912		390,965
				1,909,355
Electrical Components & Equipment — 0.9%
Energizer Holdings, Inc.		5,267		570,100
General Cable Corp.		4,221		124,140
Hubbell, Inc. Class B		4,550		495,495
				1,189,735
Electronics — 2.6%
Arrow Electronics, Inc. (a)		8,520		462,210
Avnet, Inc.		11,635		513,220
Gentex Corp.		12,243		403,897
Itron, Inc. (a)		3,310		137,133
Mettler-Toledo International, Inc. (a)		2,512		609,386
National Instruments Corp.		8,256		264,357
Trimble Navigation Ltd. (a)		21,810		756,807
Vishay Intertechnology, Inc. (a)		11,455		151,893
Woodward, Inc.		5,125		233,751
				3,532,654
Engineering & Construction — 0.8%
AECOM Technology Corp. (a)		8,288		243,916
Granite Construction, Inc.		3,107		108,683
KBR, Inc.		12,526		399,454
URS Corp.		6,332		335,532
				1,087,585

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

143

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

	Number of Shares		Value
Environmental Controls — 0.7%
Clean Harbors, Inc. (a)		4,669	$	279,953
Mine Safety Appliances Co.		2,676		137,038
Waste Connections, Inc.		10,452		456,021
				873,012
Hand & Machine Tools — 0.8%
Kennametal, Inc.		6,632		345,328
Lincoln Electric Holdings, Inc.		6,904		492,531
Regal-Beloit Corp.		3,811		280,947
				1,118,806
Machinery – Construction & Mining — 0.3%
Terex Corp.		9,422		395,630
Machinery – Diversified — 1.9%
AGCO Corp.		7,659		453,336
Graco, Inc.		5,181		404,740
IDEX Corp.		6,863		506,833
Nordson Corp.		5,108		379,524
Wabtec Corp.		8,147		605,078
Zebra Technologies Corp. Class A (a)		4,255		230,110
				2,579,621
Manufacturing — 3.3%
A.O. Smith Corp.		6,482		349,639
Acuity Brands, Inc.		3,631		396,941
AptarGroup, Inc.		5,571		377,769
The Brink’s Co.		4,080		139,291
Carlisle Cos., Inc.		5,380		427,172
CLARCOR, Inc.		4,236		272,587
Crane Co.		4,133		277,944
Donaldson Co., Inc.		11,381		494,618
Harsco Corp.		6,832		191,501
ITT Corp.		7,673		333,162
Matthews International Corp. Class A		2,272		96,810
SPX Corp.		3,836		382,104
Teleflex, Inc.		3,480		326,633
Trinity Industries, Inc.		6,605		360,105
				4,426,276
Metal Fabricate & Hardware — 0.8%
Commercial Metals Co.		9,898		201,226
The Timken Co.		6,725		370,346
Valmont Industries, Inc.		2,266		337,906
Worthington Industries, Inc.		4,480		188,518
				1,097,996
Packaging & Containers — 0.9%
Greif, Inc. Class A		2,575		134,930
Packaging Corporation of America		8,296		524,971
Silgan Holdings, Inc.		3,718		178,538
Sonoco Products Co.		8,623		359,752
				1,198,191
Shipbuilding — 0.3%
Huntington Ingalls Industries, Inc.		4,177		375,972

	Number of Shares		Value
Transportation — 1.9%
Con-way, Inc.		4,814	$	191,164
Genesee & Wyoming, Inc. Class A (a)		4,300		413,015
J.B. Hunt Transport Services, Inc.		7,780		601,394
Kirby Corp. (a)		4,807		477,095
Landstar System, Inc.		3,868		222,217
Matson, Inc.		3,550		92,690
Old Dominion Freight Line, Inc. (a)		5,907		313,189
UTI Worldwide, Inc.		7,723		135,616
Werner Enterprises, Inc.		3,801		93,999
				2,540,379
Trucking & Leasing — 0.2%
GATX Corp.		3,909		203,933
				24,491,022
Technology — 9.8%
Computers — 3.0%
3D Systems Corp. (a) (b)		8,085		751,339
Cadence Design Systems, Inc. (a)		24,336		341,191
Diebold, Inc. (b)		5,392		177,990
DST Systems, Inc.		2,481		225,126
Jack Henry & Associates, Inc.		7,238		428,562
Lexmark International, Inc. Class A		5,294		188,043
Mentor Graphics Corp.		8,235		198,216
MICROS Systems, Inc. (a)		6,370		365,447
NCR Corp. (a)		14,072		479,292
Riverbed Technology, Inc. (a)		13,731		248,257
Synopsys, Inc. (a)		13,058		529,763
				3,933,226
Semiconductors — 2.4%
Advanced Micro Devices, Inc. (a) (b)		52,029		201,352
Atmel Corp. (a)		36,009		281,950
Cree, Inc. (a)		10,210		638,840
Cypress Semiconductor Corp.		11,749		123,364
Fairchild Semiconductor International, Inc. (a)		10,739		143,366
Integrated Device Technology, Inc. (a)		11,655		118,764
International Rectifier Corp. (a)		6,010		156,681
Intersil Corp. Class A		10,825		124,163
Rovi Corp. (a)		8,642		170,161
Semtech Corp. (a)		5,803		146,700
Silicon Laboratories, Inc. (a)		3,353		145,218
Skyworks Solutions, Inc. (a)		15,876		453,419
SunEdison, Inc. (a)		20,747		270,748
Teradyne, Inc. (a)		16,198		285,409
				3,260,135
Software — 4.4%
ACI Worldwide, Inc. (a)		3,263		212,095
Acxiom Corp. (a)		6,353		234,934
Advent Software, Inc.		3,393		118,721

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

144

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

	Number of Shares		Value
Allscripts Healthcare Solutions, Inc. (a)		13,430	$	207,628
ANSYS, Inc. (a)		7,838		683,474
Broadridge Financial Solutions, Inc.		10,080		398,362
CommVault Systems, Inc. (a)		3,759		281,474
Compuware Corp.		18,309		205,244
Concur Technologies, Inc. (a)		3,982		410,863
Fair Isaac Corp.		2,929		184,058
Informatica Corp. (a)		9,176		380,804
Leidos Holdings, Inc. (b)		6,160		286,378
ManTech International Corp. Class A		2,025		60,608
MSCI, Inc. (a)		10,040		438,949
PTC, Inc. (a)		10,106		357,651
Science Applications International Corp.		3,524		116,539
SEI Investments Co.		12,125		421,101
Solarwinds, Inc. (a)		5,552		210,032
Solera Holdings, Inc.		5,824		412,106
VeriFone Systems, Inc. (a)		9,239		247,790
				5,868,811
				13,062,172
Utilities — 3.9%
Electric — 2.3%
Alliant Energy Corp.		9,389		484,472
Black Hills Corp.		3,763		197,595
Cleco Corp.		5,110		238,228
Great Plains Energy, Inc.		12,982		314,684
Hawaiian Electric Industries, Inc.		8,419		219,399
IDACORP, Inc.		4,247		220,165
MDU Resources Group, Inc.		15,975		488,036
OGE Energy Corp.		16,788		569,113
Westar Energy, Inc.		10,751		345,860
				3,077,552
Gas — 1.3%
Atmos Energy Corp.		7,690		349,280
Energen Corp.		6,148		434,971
PNM Resources, Inc.		6,733		162,400
UGI Corp.		9,651		400,130
Vectren Corp.		6,968		247,364
WGL Holdings, Inc.		4,396		176,104
				1,770,249
Water — 0.3%
Aqua America, Inc.		14,948		352,623
				5,200,424
TOTAL COMMON STOCK (Cost $106,872,188)				129,787,297
TOTAL EQUITIES (Cost $106,872,188)				129,787,297

	Number of Shares		Value
MUTUAL FUNDS — 5.5%
Diversified Financial — 5.5%
State Street Navigator Securities Lending Prime Portfolio (c)		7,398,860	$	7,398,860
TOTAL MUTUAL FUNDS (Cost $7,398,860)				7,398,860
TOTAL LONG-TERM INVESTMENTS (Cost $114,271,048)				137,186,157
	Principal Amount
SHORT-TERM INVESTMENTS — 2.7%
Repurchase Agreement — 2.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/2013, 0.010%, due 1/02/14 (d)	$	3,351,263		3,351,263
U.S. Treasury Bills — 0.2%
U.S. Treasury Bill (e) 0.100% 4/10/14		290,000		289,960
TOTAL SHORT-TERM INVESTMENTS (Cost $3,641,223)				3,641,223
TOTAL INVESTMENTS — 105.4% (Cost $117,912,271) (f)				140,827,380
Other Assets/(Liabilities) — (5.4)%				(7,257,111	)
NET ASSETS — 100.0%			$	133,570,269

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $7,223,852. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $3,351,264. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/25/39, and an aggregate market value, including accrued interest, of $3,419,452.

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

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

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

145

MM Russell 2000 Small Cap Index Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 98.3%
COMMON STOCK — 98.3%
Basic Materials — 3.6%
Chemicals — 2.0%
A. Schulman, Inc.		2,163	$	76,268
Aceto Corp.		2,012		50,320
American Pacific Corp. (a)		412		15,351
American Vanguard Corp.		2,107		51,179
Axiall Corp.		5,121		242,940
Balchem Corp.		2,180		127,966
Chemtura Corp. (a)		7,209		201,275
Ferro Corp. (a)		5,317		68,217
H.B. Fuller Co.		3,691		192,080
Hawkins, Inc.		681		25,326
Innophos Holdings, Inc.		1,614		78,440
Innospec, Inc.		1,731		80,007
Intrepid Potash, Inc. (a) (b)		4,018		63,645
KMG Chemicals, Inc.		622		10,506
Kraton Performance Polymers, Inc. (a)		2,395		55,205
Landec Corp. (a)		1,856		22,495
Minerals Technologies, Inc.		2,557		153,599
Oil-Dri Corp. of America		344		13,017
Olin Corp. (b)		5,887		169,840
OM Group, Inc. (a)		2,346		85,418
OMNOVA Solutions, Inc. (a)		3,442		31,357
Penford Corp. (a)		682		8,764
PolyOne Corp.		7,286		257,560
Quaker Chemical Corp.		968		74,604
Sensient Technologies Corp.		3,673		178,214
Stepan Co.		1,385		90,897
Taminco Corp. (a)		1,127		22,777
Zep, Inc.		1,651		29,982
Zoltek Cos., Inc. (a)		2,012		33,701
				2,510,950
Forest Products & Paper — 0.7%
Clearwater Paper Corp. (a)		1,546		81,165
Deltic Timber Corp.		821		55,779
KapStone Paper and Packaging Corp. (a)		2,997		167,412
Neenah Paper, Inc.		1,177		50,340
Orchids Paper Products Co.		460		15,106
P.H. Glatfelter Co.		3,157		87,259
Potlatch Corp.		2,969		123,926
Resolute Forest Products (a)		5,130		82,183
Schweitzer-Mauduit International, Inc.		2,304		118,587
Wausau Paper Corp.		3,642		46,181
Xerium Technologies, Inc. (a)		778		12,829
				840,767

	Number of Shares		Value
Iron & Steel — 0.1%
AK Steel Holding Corp. (a) (b)		10,001	$	82,008
Olympic Steel, Inc.		667		19,330
Schnitzer Steel Industries, Inc. Class A		1,896		61,942
Shiloh Industries, Inc. (a)		486		9,477
Universal Stainless & Alloy (a)		509		18,355
				191,112
Mining — 0.8%
Allied Nevada Gold Corp. (a) (b)		7,488		26,582
AMCOL International Corp.		2,041		69,353
Century Aluminum Co. (a)		3,780		39,539
Coeur d’Alene Mines Corp. (a)		7,458		80,919
General Moly, Inc. (a)		3,978		5,331
Globe Specialty Metals, Inc.		4,740		85,367
Gold Resource Corp. (b)		2,458		11,135
Hecla Mining Co. (b)		24,487		75,420
Horsehead Holding Corp. (a)		3,705		60,058
Kaiser Aluminum Corp.		1,387		97,423
Materion Corp.		1,511		46,614
Midway Gold Corp. (a) (b)		7,713		6,248
Molycorp, Inc. (a) (b)		10,925		61,399
Noranda Aluminum Holding Corp.		2,558		8,416
Paramount Gold and Silver Corp. (a) (b)		10,274		9,573
RTI International Metals, Inc. (a)		2,302		78,751
Stillwater Mining Co. (a)		8,681		107,124
United States Lime & Minerals, Inc. (a)		136		8,319
Ur-Energy, Inc. (a)		9,352		12,906
Uranium Energy Corp. (a) (b)		6,650		13,300
US Silica Holdings, Inc.		1,575		53,723
				957,500
				4,500,329
Communications — 6.7%
Advertising — 0.1%
Harte-Hanks, Inc.		3,091		24,172
Marchex, Inc. Class B		1,606		13,892
Marin Software, Inc. (a)		644		6,595
MDC Partners, Inc. Class A		2,780		70,918
Millennial Media, Inc. (a) (b)		2,516		18,291
Valuevision Media, Inc. Class A (a)		2,871		20,068
				153,936
Internet — 2.6%
1-800-Flowers.com, Inc. Class A (a)		1,833		9,917
Angie’s List, Inc. (a) (b)		3,105		47,041
Bankrate, Inc. (a)		3,400		60,996
Barracuda Networks, Inc. (a) (b)		329		13,055
Bazaarvoice, Inc. (a) (b)		3,475		27,522
Blucora, Inc. (a)		3,009		87,742
Blue Nile, Inc. (a) (b)		917		43,182

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

146

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

	Number of Shares		Value
Boingo Wireless, Inc. (a)		1,354	$	8,679
Brightcove, Inc. (a)		2,038		28,817
ChannelAdvisor Corp. (a)		454		18,936
Chegg, Inc. (a) (b)		1,200		10,212
Cogent Communications Group, Inc.		3,467		140,101
Comscore, Inc. (a)		2,629		75,216
Constant Contact, Inc. (a)		2,258		70,156
Covisint Corp. (a)		599		7,517
CyrusOne, Inc.		1,397		31,195
Dealertrack Technologies, Inc. (a)		3,194		153,567
Dice Holdings, Inc. (a)		2,868		20,793
Digital River, Inc. (a)		2,471		45,713
EarthLink, Inc.		7,607		38,567
eGain Corp. (a)		940		9,626
Endurance International Group Holdings, Inc. (a) (b)		1,577		22,362
ePlus, Inc. (a)		279		15,858
FTD Cos., Inc. (a) (b)		1,361		44,341
Global Eagle Entertainment, Inc. (a)		1,625		24,164
Global Sources Ltd. (a)		1,396		11,349
HealthStream, Inc. (a)		1,482		48,565
ICG Group, Inc. (a)		2,793		52,034
Internap Network Services Corp. (a)		3,903		29,351
IntraLinks Holdings, Inc. (a)		2,820		34,150
Limelight Networks, Inc. (a)		4,061		8,041
Lionbridge Technologies, Inc. (a)		4,218		25,139
Liquidity Services, Inc. (a) (b)		1,828		41,422
magicJack VocalTec Ltd. (a) (b)		1,329		15,842
Marketo, Inc. (a)		504		18,683
Mavenir Systems, Inc. (a) (b)		441		4,922
ModusLink Global Solutions, Inc. (a)		2,698		15,460
Move, Inc. (a)		2,944		47,075
Net Element International, Inc. (a) (b)		176		769
NIC, Inc.		4,765		118,506
Nutrisystem, Inc.		2,106		34,623
OpenTable, Inc. (a) (b)		1,673		132,786
Orbitz Worldwide, Inc. (a)		1,741		12,500
Overstock.com, Inc. (a) (b)		803		24,724
PC-Tel, Inc.		1,394		13,341
Perficient, Inc. (a)		2,461		57,637
QuinStreet, Inc. (a)		2,232		19,396
ReachLocal, Inc. (a)		741		9,418
RealNetworks, Inc. (a)		1,624		12,261
Reis, Inc. (a)		593		11,403
Responsys, Inc. (a)		2,701		74,034
RetailMeNot, Inc. (a) (b)		673		19,376
RingCentral, Inc. Class A (a) (b)		688		12,639
Safeguard Scientifics, Inc. (a)		1,524		30,617
Sapient Corp. (a)		8,096		140,547
Shutterfly, Inc. (a) (b)		2,788		141,993
Shutterstock, Inc. (a) (b)		544		45,495
Spark Networks, Inc. (a) (b)		1,254		7,725
SPS Commerce, Inc. (a)		1,177		76,858

	Number of Shares		Value
Stamps.com, Inc. (a)		961	$	40,458
support.com, Inc. (a)		4,001		15,164
TechTarget, Inc. (a)		756		5,186
TeleCommunication Systems, Inc. Class A (a)		3,336		7,740
Textura Corp. (a) (b)		395		11,826
Towerstream Corp. (a) (b)		4,823		14,276
Travelzoo, Inc. (a)		577		12,302
Tremor Video, Inc. (a)		512		2,970
Trulia, Inc. (a) (b)		2,034		71,739
United Online, Inc.		1,027		14,131
Unwired Planet, Inc. (a)		7,607		10,498
ValueClick, Inc. (a)		4,900		114,513
VASCO Data Security International, Inc. (a)		2,121		16,395
VirnetX Holding Corp. (a) (b)		3,103		60,229
Vitacost.com, Inc. (a)		1,656		9,588
Vocus, Inc. (a)		1,462		16,652
Web.com Group, Inc. (a)		3,082		97,977
WebMD Health Corp. (a) (b)		2,088		82,476
Wix.com Ltd. (a)		580		15,573
XO Group, Inc. (a)		1,950		28,977
Yelp, Inc. (a)		2,382		164,239
YuMe, Inc. (a) (b)		399		2,973
Zix Corp. (a)		4,375		19,950
				3,239,788
Media — 1.0%
Acacia Research (b)		3,614		52,548
AH Belo Corp. Class A		1,346		10,055
Beasley Broadcasting Group, Inc. Class A		293		2,558
Central European Media Enterprises Ltd. Class A (a) (b)		5,634		21,635
Courier Corp.		848		15,340
Crown Media Holdings, Inc. Class A (a)		2,430		8,578
Cumulus Media, Inc. Class A (a)		6,356		49,132
Daily Journal Corp. (a)		66		12,209
Demand Media, Inc. (a)		2,627		15,158
Dex Media, Inc. (a) (b)		1,174		7,960
Digital Generation, Inc. (a)		1,720		21,930
The E.W. Scripps Co. Class A (a)		2,296		49,869
Entercom Communications Corp. Class A (a)		1,771		18,613
Entravision Communications Corp. Class A		3,943		24,013
Gray Television, Inc. (a)		3,691		54,922
Hemisphere Media Group, Inc. (a) (b)		698		8,285
Houghton Mifflin Harcourt Co. (a)		1,533		26,000
Journal Communications, Inc. Class A (a)		3,217		29,950
Martha Stewart Living Omnimedia, Inc. (a)		1,652		6,938

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

147

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

	Number of Shares		Value
The McClatchy Co. Class A (a) (b)		4,452	$	15,137
Media General, Inc. Class A (a) (b)		1,438		32,499
Meredith Corp.		2,619		135,664
The New York Times Co. Class A		9,465		150,209
Nexstar Broadcasting Group, Inc. Class A		2,154		120,042
Saga Communications, Inc. Class A		360		18,108
Salem Communications Corp. Class A		828		7,204
Scholastic Corp.		1,940		65,979
Sinclair Broadcast Group, Inc. Class A		5,019		179,329
World Wrestling Entertainment, Inc. Class A		2,104		34,884
				1,194,748
Telecommunications — 3.0%
8x8, Inc. (a)		6,435		65,380
ADTRAN, Inc.		4,353		117,575
Alliance Fiber Optic Products, Inc. (b)		830		12,491
Anaren, Inc. (a)		826		23,120
Anixter International, Inc.		1,983		178,153
ARRIS Group, Inc. (a)		8,547		208,248
Aruba Networks, Inc. (a)		8,365		149,733
Atlantic Tele-Network, Inc.		678		38,354
Aviat Networks, Inc. (a)		4,874		11,015
Black Box Corp.		1,188		35,402
CalAmp Corp. (a)		2,573		71,967
Calix, Inc. (a)		2,893		27,889
Cbeyond, Inc. (a)		2,015		13,903
Ciena Corp. (a)		7,448		178,231
Cincinnati Bell, Inc. (a)		15,297		54,457
Comtech Telecommunications Corp.		1,240		39,085
Comverse, Inc. (a)		1,629		63,205
Consolidated Communications Holdings, Inc. (b)		2,967		58,242
Cyan, Inc. (a) (b)		621		3,285
DigitalGlobe, Inc. (a)		5,464		224,844
Extreme Networks, Inc. (a)		6,831		47,817
Fairpoint Communications, Inc. (a) (b)		1,535		17,361
Finisar Corp. (a)		6,855		163,972
General Communication, Inc. Class A (a)		2,262		25,221
Gigamon, Inc. (a)		564		15,837
Gogo, Inc. (a) (b)		828		20,543
Harmonic, Inc. (a)		7,467		55,106
Hawaiian Telcom Holdco, Inc. (a)		740		21,734
HickoryTech Corp.		1,070		13,728
IDT Corp. Class B		1,077		19,246
Infinera Corp. (a) (b)		8,510		83,228
Inteliquent, Inc.		2,356		26,906
InterDigital, Inc. (b)		3,021		89,089
Iridium Communications, Inc. (a) (b)		4,674		29,259
Ixia (a)		4,154		55,290
KVH Industries, Inc. (a)		1,143		14,893

	Number of Shares		Value
Leap Wireless International, Inc. (a)		3,960	$	68,904
Loral Space & Communications, Inc. (a)		956		77,417
Lumos Networks Corp.		1,104		23,184
Mastec, Inc. (a)		4,358		142,594
Neonode, Inc. (a) (b)		1,846		11,667
NeoPhotonics Corp. (a)		1,430		10,096
NETGEAR, Inc. (a)		2,828		93,154
NII Holdings, Inc. (a) (b)		12,570		34,567
NTELOS Holdings Corp.		1,085		21,950
Numerex Corp. Class A (a)		996		12,898
Oplink Communications, Inc. (a)		1,372		25,519
ORBCOMM, Inc. (a)		2,645		16,769
Parkervision, Inc. (a) (b)		6,505		29,598
Plantronics, Inc.		3,176		147,525
Preformed Line Products Co.		189		13,827
Premiere Global Services, Inc. (a)		3,541		41,040
Procera Networks, Inc. (a)		1,458		21,899
RF Micro Devices, Inc. (a)		20,657		106,590
RigNet, Inc. (a)		870		41,699
Ruckus Wireless, Inc. (a)		3,396		48,223
Shenandoah Telecom Co.		1,767		45,359
ShoreTel, Inc. (a)		4,327		40,155
Sonus Networks, Inc. (a)		15,867		49,981
Straight Path Communications, Inc. (a)		652		5,340
TeleNav, Inc. (a)		1,276		8,409
Tessco Technologies, Inc.		406		16,370
Ubiquiti Networks, Inc. (a) (b)		925		42,513
USA Mobility, Inc.		1,541		22,005
ViaSat, Inc. (a)		2,903		181,873
Vonage Holdings Corp. (a)		11,434		38,075
Vringo, Inc. (a) (b)		4,975		14,726
West Corp.		1,566		40,262
Westell Technologies, Inc. (a)		3,455		13,993
				3,781,990
				8,370,462
Consumer, Cyclical — 13.5%
Airlines — 0.5%
Allegiant Travel Co.		1,100		115,984
Hawaiian Holdings, Inc. (a) (b)		3,813		36,719
JetBlue Airways Corp. (a) (b)		17,058		145,846
Republic Airways Holdings, Inc. (a)		3,615		38,644
SkyWest, Inc.		3,812		56,532
Spirit Airlines, Inc. (a)		4,422		200,803
				594,528
Apparel — 1.0%
American Apparel, Inc. (a) (b)		4,512		5,550
Crocs, Inc. (a)		6,468		102,970
G-III Apparel Group Ltd. (a)		1,232		90,909
Iconix Brand Group, Inc. (a)		3,782		150,145
The Jones Group, Inc.		5,875		87,890
Oxford Industries, Inc.		989		79,783

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

148

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

	Number of Shares		Value
Perry Ellis International, Inc. (a)		868	$	13,706
Quiksilver, Inc. (a)		9,735		85,376
RG Barry Corp.		739		14,263
Skechers U.S.A., Inc. Class A (a)		2,843		94,189
Steven Madden Ltd. (a)		4,413		161,472
Unifi, Inc. (a)		1,090		29,692
Vince Holding Corp. (a) (b)		833		25,548
Weyco Group, Inc.		484		14,244
Wolverine World Wide, Inc.		7,362		250,013
				1,205,750
Auto Manufacturers — 0.1%
Wabash National Corp. (a)		5,027		62,084
Automotive & Parts — 1.0%
Accuride Corp. (a)		3,176		11,847
American Axle & Manufacturing Holdings, Inc. (a)		4,933		100,880
Commercial Vehicle Group, Inc. (a)		1,783		12,962
Cooper Tire & Rubber Co.		4,650		111,786
Dana Holding Corp.		10,769		211,288
Dorman Products, Inc. (a)		1,849		103,673
Douglas Dynamics, Inc.		1,628		27,383
Federal-Mogul Corp. (a)		1,428		28,103
Fuel Systems Solutions, Inc. (a)		978		13,565
Gentherm, Inc. (a)		2,454		65,792
Meritor, Inc. (a)		7,153		74,606
Miller Industries, Inc.		831		15,482
Modine Manufacturing Co. (a)		3,472		44,511
Remy International, Inc.		1,004		23,413
Spartan Motors, Inc.		2,503		16,770
Standard Motor Products, Inc.		1,455		53,544
Superior Industries International, Inc.		1,710		35,277
Tenneco, Inc. (a)		4,456		252,076
Titan International, Inc. (b)		3,930		70,661
Tower International, Inc. (a)		443		9,480
				1,283,099
Distribution & Wholesale — 1.0%
Beacon Roofing Supply, Inc. (a)		3,572		143,880
BlueLinx Holdings, Inc. (a)		2,899		5,653
Chindex International, Inc. (a)		883		15,391
Core-Mark Holding Co., Inc.		845		64,161
Houston Wire & Cable Co.		1,281		17,140
MWI Veterinary Supply, Inc. (a)		939		160,184
Owens & Minor, Inc.		4,642		169,711
Pool Corp.		3,415		198,548
Rentrak Corp. (a)		758		28,720
ScanSource, Inc. (a)		2,048		86,897
Speed Commerce, Inc. (a)		3,494		16,317
United Stationers, Inc.		2,975		136,523
Watsco, Inc.		1,881		180,689
				1,223,814

	Number of Shares		Value
Entertainment — 0.7%
AMC Entertainment Holdings, Inc. Class A (a)		145	$	2,980
Ascent Media Corp. Series A (a)		1,041		89,068
Carmike Cinemas, Inc. (a)		1,692		47,105
Churchill Downs, Inc.		1,012		90,726
International Speedway Corp. Class A		2,047		72,648
Isle of Capri Casinos, Inc. (a)		1,573		14,157
Marriott Vacations Worldwide Corp. (a)		2,140		112,906
National CineMedia, Inc.		4,434		88,503
Pinnacle Entertainment, Inc. (a)		4,287		111,419
Reading International, Inc. Series A (a)		1,304		9,767
Scientific Games Corp. Class A (a)		3,510		59,424
Speedway Motorsports, Inc.		861		17,091
Vail Resorts, Inc.		2,636		198,306
				914,100
Home Builders — 0.7%
Beazer Homes USA, Inc. (a) (b)		1,844		45,030
Cavco Industries, Inc. (a)		511		35,106
Hovnanian Enterprises, Inc. Class A (a) (b)		8,300		54,946
KB Home (b)		6,133		112,111
LGI Homes, Inc. (a)		711		12,649
M.D.C. Holdings, Inc.		2,865		92,368
M/I Homes, Inc. (a)		1,778		45,250
Meritage Home Corp. (a)		2,652		127,269
The Ryland Group, Inc.		3,384		146,899
Standard Pacific Corp. (a)		10,855		98,238
TRI Pointe Homes, Inc. (a)		1,087		21,664
UCP, Inc. Class A (a)		523		7,657
WCI Communities, Inc. (a)		470		8,972
William Lyon Homes Class A (a)		972		21,520
Winnebago Industries, Inc. (a)		2,062		56,602
				886,281
Home Furnishing — 0.3%
American Woodmark Corp. (a)		716		28,303
Bassett Furniture Industries, Inc.		852		13,019
DTS, Inc. (a)		1,336		32,037
Ethan Allen Interiors, Inc.		1,825		55,516
Flexsteel Industries, Inc.		350		10,756
Hooker Furniture Corp.		814		13,578
Kimball International, Inc. Class B		2,386		35,862
La-Z-Boy, Inc.		3,840		119,040
Norcraft Cos., Inc. (a)		588		11,537
Universal Electronics, Inc. (a)		1,103		42,035
VOXX International Corp. (a)		1,342		22,411
				384,094
Housewares — 0.1%
EveryWare Global, Inc. (a)		674		5,581
Libbey, Inc. (a)		1,533		32,193
Lifetime Brands, Inc.		794		12,489

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

149

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

	Number of Shares		Value
National Presto Industries, Inc. (b)		348	$	28,014
				78,277
Leisure Time — 0.7%
Arctic Cat, Inc.		968		55,157
Black Diamond, Inc. (a) (b)		1,606		21,408
Brunswick Corp.		6,632		305,470
Callaway Golf Co.		5,223		44,030
ClubCorp Holdings, Inc.		1,493		26,486
Diamond Resorts International, Inc. (a)		1,273		23,500
Fox Factory Holding Corp. (a)		768		13,532
Interval Leisure Group, Inc.		2,890		89,301
Johnson Outdoors, Inc.		350		9,432
Life Time Fitness, Inc. (a)		3,160		148,520
Marine Products Corp.		816		8,201
Multimedia Games Holding Co. (a)		2,120		66,483
Nautilus, Inc. (a)		2,279		19,212
Town Sports International Holdings, Inc.		1,729		25,520
				856,252
Lodging — 0.2%
Boyd Gaming Corp. (a)		5,101		57,437
Caesars Entertainment Corp. (a) (b)		2,962		63,801
Marcus Corp.		1,304		17,526
Monarch Casino & Resort, Inc. (a)		626		12,570
Morgans Hotel Group Co. (a)		1,967		15,992
Orient-Express Hotels Ltd. Class A (a)		7,035		106,299
				273,625
Office Furnishings — 0.4%
Herman Miller, Inc.		4,303		127,025
HNI Corp.		3,340		129,692
Interface, Inc.		4,359		95,724
Knoll, Inc.		3,549		64,982
Steelcase, Inc. Class A		6,192		98,205
				515,628
Retail — 6.2%
Aeropostale, Inc. (a) (b)		5,765		52,404
AFC Enterprises, Inc. (a)		1,756		67,606
America’s Car-Mart, Inc. (a)		580		24,493
ANN, Inc. (a)		3,462		126,571
Asbury Automotive Group, Inc. (a)		2,288		122,957
Barnes & Noble, Inc. (a)		2,971		44,416
bebe stores, Inc.		2,560		13,619
Big 5 Sporting Goods Corp.		1,199		23,764
Biglari Holdings, Inc. (a)		106		53,704
BJ’s Restaurants, Inc. (a)		1,814		56,343
Bloomin’ Brands, Inc. (a)		4,060		97,481
Bob Evans Farms, Inc.		2,046		103,507
Body Central Corp. (a) (b)		1,179		4,645
The Bon-Ton Stores, Inc. (b)		990		16,117
Bravo Brio Restaurant Group, Inc. (a)		1,402		22,811
Brown Shoe Co., Inc.		3,176		89,373
The Buckle, Inc. (b)		2,053		107,906

	Number of Shares		Value
Buffalo Wild Wings, Inc. (a)		1,376	$	202,547
Burlington Stores, Inc. (a) (b)		1,127		36,064
Carrols Restaurant Group, Inc. (a)		1,702		11,250
Casey’s General Stores, Inc.		2,814		197,683
Cash America International, Inc.		2,096		80,277
The Cato Corp. Class A		2,030		64,554
CEC Entertainment, Inc.		1,311		58,051
The Cheesecake Factory, Inc.		3,912		188,832
The Children’s Place Retail Store, Inc. (a)		1,697		96,678
Christopher & Banks Corp. (a)		2,669		22,793
Chuy’s Holdings, Inc. (a)		1,194		43,008
Citi Trends, Inc. (a)		1,115		18,955
Columbia Sportswear Co.		948		74,655
Conn’s, Inc. (a)		1,646		129,688
The Container Store Group, Inc. (a) (b)		1,056		49,220
Cracker Barrel Old Country Store, Inc.		1,442		158,721
Del Frisco’s Restaurant Group, Inc. (a)		789		18,597
Denny’s Corp. (a)		6,764		48,633
Destination Maternity Corp.		986		29,462
Destination XL Group, Inc. (a)		2,981		19,585
DineEquity, Inc.		1,213		101,346
Diversified Restaurant Holdings, Inc. (a)		837		3,992
Einstein Noah Restaurant Group, Inc.		486		7,047
Express, Inc. (a)		6,262		116,912
EZCORP, Inc. Class A (a)		3,752		43,861
Fiesta Restaurant Group, Inc. (a)		1,644		85,883
The Finish Line, Inc. Class A		3,612		101,750
First Cash Financial Services, Inc. (a)		2,142		132,461
Five Below, Inc. (a)		2,407		103,982
Francesca’s Holdings Corp. (a) (b)		3,237		59,593
Fred’s, Inc. Class A		2,712		50,226
Genesco, Inc. (a)		1,763		128,805
Gordmans Stores, Inc.		694		5,323
Group 1 Automotive, Inc.		1,596		113,348
Haverty Furniture Cos., Inc.		1,453		45,479
hhgregg, Inc. (a) (b)		937		13,090
Hibbett Sports, Inc. (a) (b)		1,907		128,169
HSN, Inc.		2,484		154,753
Ignite Restaurant Group, Inc. (a) (b)		498		6,225
Insight Enterprises, Inc. (a)		3,199		72,649
Jack in the Box, Inc. (a)		3,263		163,215
Jamba, Inc. (a)		1,213		15,078
Jos. A. Bank Clothiers, Inc. (a)		2,051		112,251
Kirkland’s, Inc. (a)		1,025		24,262
Krispy Kreme Doughnuts, Inc. (a)		4,807		92,727
Lithia Motors, Inc. Class A		1,630		113,155
Luby’s, Inc. (a)		1,542		11,904
Lumber Liquidators Holdings, Inc. (a) (b)		2,015		207,323
MarineMax, Inc. (a)		1,688		27,143
Mattress Firm Holding Corp. (a) (b)		987		42,480
The Men’s Wearhouse, Inc.		3,482		177,861

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

150

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

	Number of Shares		Value
Movado Group, Inc.		1,299	$	57,169
Nathan’s Famous, Inc. (a)		211		10,637
New York & Co., Inc. (a)		2,097		9,164
Noodles & Co. (a) (b)		437		15,697
Office Depot, Inc. (a)		35,229		186,361
Pacific Sunwear of California, Inc. (a)		3,345		11,172
The Pantry, Inc. (a)		1,717		28,811
Papa John’s International, Inc.		2,350		106,690
PC Connection, Inc.		694		17,246
Penske Auto Group, Inc.		3,101		146,243
The PEP Boys-Manny, Moe & Jack (a)		3,916		47,540
Pier 1 Imports, Inc.		6,954		160,498
Potbelly Corp. (a) (b)		609		14,787
PriceSmart, Inc.		1,385		160,023
RadioShack Corp. (a) (b)		6,983		18,156
Red Robin Gourmet Burgers, Inc. (a)		1,041		76,555
Regis Corp.		3,519		51,061
Restoration Hardware Holdings, Inc. (a)		1,299		87,423
Rite Aid Corp. (a)		53,581		271,120
Roundy’s, Inc. (b)		1,861		18,349
Ruby Tuesday, Inc. (a)		4,450		30,839
Rush Enterprises, Inc. Class A (a)		2,554		75,726
Ruth’s Hospitality Group, Inc.		2,636		37,458
Sears Hometown & Outlet Stores, Inc. (a)		606		15,453
Select Comfort Corp. (a)		4,085		86,153
Shoe Carnival, Inc.		1,102		31,969
Sonic Automotive, Inc. Class A		2,862		70,062
Sonic Corp. (a)		4,123		83,243
Stage Stores, Inc.		2,407		53,484
Stein Mart, Inc.		2,006		26,981
Susser Holdings Corp. (a)		1,327		86,905
Systemax, Inc. (a)		833		9,371
Texas Roadhouse, Inc.		4,584		127,435
Tile Shop Holdings, Inc. (a) (b)		1,317		23,798
Tilly’s, Inc. (a)		648		7,420
Titan Machinery, Inc. (a) (b)		1,218		21,705
Trans World Entertainment Corp. (a)		826		3,651
Tuesday Morning Corp. (a)		3,149		50,258
Vera Bradley, Inc. (a)		1,592		38,272
Vitamin Shoppe, Inc. (a)		2,228		115,878
West Marine, Inc. (a)		1,185		16,863
The Wet Seal, Inc. Class A (a)		6,905		18,851
Winmark Corp.		175		16,209
Zale Corp. (a)		2,386		37,627
Zumiez, Inc. (a)		1,554		40,404
				7,659,980
Storage & Warehousing — 0.1%
Mobile Mini, Inc. (a)		2,817		116,004
Wesco Aircraft Holdings, Inc. (a)		3,017		66,133
				182,137

	Number of Shares		Value
Textiles — 0.5%
Culp, Inc.		583	$	11,922
Fifth & Pacific Cos., Inc. (a)		8,800		282,216
G&K Services, Inc. Class A		1,438		89,487
Tumi Holdings, Inc. (a)		3,515		79,263
UniFirst Corp.		1,074		114,918
				577,806
Toys, Games & Hobbies — 0.0%
JAKKS Pacific, Inc. (b)		1,487		10,007
LeapFrog Enterprises, Inc. (a) (b)		4,686		37,207
				47,214
				16,744,669
Consumer, Non-cyclical — 20.1%
Agriculture — 0.3%
Alico, Inc.		204		7,930
Alliance One International, Inc. (a)		6,242		19,038
Griffin Land & Nurseries, Inc.		206		6,876
Limoneira Co.		726		19,304
Star Scientific, Inc. (a) (b)		12,907		14,972
Tejon Ranch Co. (a)		1,015		37,311
The Andersons, Inc.		1,374		122,520
Universal Corp. (b)		1,713		93,530
Vector Group Ltd. (b)		4,634		75,859
				397,340
Beverages — 0.2%
The Boston Beer Co., Inc. Class A (a)		605		146,283
Coca-Cola Bottling Co. Consolidated		334		24,446
Craft Brew Alliance, Inc. (a)		760		12,479
Farmer Bros Co. (a)		421		9,792
National Beverage Corp. (a)		837		16,874
				209,874
Biotechnology — 2.4%
Acceleron Pharma, Inc. (a) (b)		447		17,701
Acorda Therapeutics, Inc. (a)		2,993		87,396
Aegerion Pharmaceuticals, Inc. (a)		2,116		150,151
Affymetrix, Inc. (a)		5,220		44,735
AMAG Pharmaceuticals, Inc. (a)		1,588		38,541
Arena Pharmaceuticals, Inc. (a) (b)		16,002		93,612
Arqule, Inc. (a)		4,253		9,144
AVEO Pharmaceuticals, Inc. (a)		3,559		6,549
BIND Therapeutics, Inc. (a) (b)		424		6,398
Biotime, Inc. (a) (b)		2,636		9,490
Bluebird Bio, Inc. (a) (b)		460		9,651
Cambrex Corp. (a)		2,209		39,386
Cell Therapeutics, Inc. (a) (b)		9,280		17,818
Celldex Therapeutics, Inc. (a)		6,546		158,479
Cellular Dynamics International, Inc. (a) (b)		260		4,293
Chelsea Therapeutics International Ltd. (a) (b)		5,748		25,464
Coronado Biosciences, Inc. (a) (b)		1,719		4,521

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

151

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

	Number of Shares		Value
CryoLife, Inc.		1,973	$	21,881
Curis, Inc. (a) (b)		6,314		17,805
Cytokinetics, Inc. (a)		1,981		12,876
Dendreon Corp. (a) (b)		11,606		34,702
Dynavax Technologies Corp. (a) (b)		19,347		37,920
Enzon Pharmaceuticals, Inc.		2,846		3,301
Epizyme, Inc. (a) (b)		388		8,070
Exact Sciences Corp. (a)		5,195		60,730
Exelixis, Inc. (a) (b)		13,568		83,172
Fibrocell Science, Inc. (a)		1,861		7,556
Five Prime Therapeutics, Inc. (a) (b)		445		7,472
Foundation Medicine, Inc. (a) (b)		467		11,124
Galena Biopharma, Inc. (a) (b)		7,410		36,754
Geron Corp. (a)		9,581		45,414
GTx, Inc. (a) (b)		1,457		2,404
Halozyme Therapeutics, Inc. (a) (b)		6,526		97,825
Harvard Bioscience, Inc. (a)		1,839		8,643
Immunogen, Inc. (a) (b)		6,222		91,277
Immunomedics, Inc. (a) (b)		5,213		23,980
Insmed, Inc. (a)		2,546		43,307
Integra LifeSciences Holdings (a)		1,681		80,200
Intercept Pharmaceuticals, Inc. (a)		528		36,052
InterMune, Inc. (a)		6,574		96,835
Intrexon Corp. (a) (b)		862		20,516
Ironwood Pharmaceuticals, Inc. (a) (b)		6,846		79,482
Karyopharm Therapeutics, Inc. (a)		616		14,119
KYTHERA Biopharmaceuticals, Inc. (a) (b)		861		32,072
Lexicon Pharmaceuticals, Inc. (a)		16,567		29,821
Ligand Pharmaceuticals, Inc. Class B (a) (b)		1,311		68,959
MacroGenics, Inc. (a) (b)		460		12,618
Marrone Bio Innovations, Inc. (a) (b)		373		6,632
MEI Pharma, Inc. (a) (b)		815		6,528
Merrimack Pharmaceuticals, Inc. (a) (b)		7,103		37,930
Momenta Pharmaceuticals, Inc. (a)		3,480		61,526
Nanosphere, Inc. (a)		4,321		9,895
NeoGenomics, Inc. (a)		2,589		9,372
NewLink Genetics Corp. (a) (b)		1,223		26,918
Novavax, Inc. (a)		13,671		69,995
NPS Pharmaceuticals, Inc. (a)		7,364		223,571
Omeros Corp. (a) (b)		2,130		24,048
OncoGenex Pharmaceutical, Inc. (a)		1,093		9,116
OncoMed Pharmaceuticals, Inc. (a) (b)		325		9,594
Onconova Therapeutics, Inc. (a)		399		4,580
OvaScience, Inc. (a)		703		6,425
Pacific Biosciences of California, Inc. (a)		3,473		18,164
PDL BioPharma, Inc. (b)		10,316		87,067
Peregrine Pharmaceuticals, Inc. (a) (b)		12,329		17,137
Prothena Corp. PLC (a)		1,029		27,289
PTC Therapeutics, Inc. (a)		755		12,812
Puma Biotechnology, Inc. (a)		1,625		168,236

	Number of Shares		Value
Repligen Corp. (a)		2,269	$	30,949
RTI Biologics, Inc. (a)		4,169		14,758
Sangamo Biosciences, Inc. (a) (b)		4,488		62,338
Sequenom, Inc. (a) (b)		8,349		19,537
Spectrum Pharmaceuticals, Inc. (a) (b)		4,665		41,285
Stemline Therapeutics, Inc. (a)		709		13,896
Sunesis Pharmaceuticals, Inc. (a) (b)		2,263		10,727
Veracyte, Inc. (a)		405		5,872
Verastem, Inc. (a) (b)		1,222		13,931
Vical, Inc. (a)		5,760		6,797
XOMA Corp. (a) (b)		5,675		38,193
ZIOPHARM Oncology, Inc. (a) (b)		5,862		25,441
				2,970,775
Commercial Services — 6.0%
ABM Industries, Inc.		4,012		114,703
Accretive Health, Inc. (a)		4,323		39,599
The Advisory Board Co. (a)		2,605		165,860
Albany Molecular Research, Inc. (a)		1,800		18,144
American Public Education, Inc. (a)		1,299		56,468
AMN Healthcare Services, Inc. (a)		3,387		49,789
Barrett Business Services, Inc.		518		48,039
Bridgepoint Education, Inc. (a)		1,138		20,154
Bright Horizons Family Solutions, Inc. (a)		866		31,817
Capella Education Co.		816		54,215
Cardtronics, Inc. (a)		3,290		142,951
Career Education Corp. (a)		4,064		23,165
Carriage Services, Inc.		1,107		21,620
CBIZ, Inc. (a)		2,729		24,889
CDI Corp.		1,044		19,345
Cenveo, Inc. (a) (b)		3,901		13,419
Chemed Corp. (b)		1,295		99,223
Consolidated Graphics, Inc. (a)		530		35,743
Convergys Corp.		7,702		162,127
Corinthian Colleges, Inc. (a) (b)		6,002		10,684
The Corporate Executive Board Co.		2,464		190,788
Corvel Corp. (a)		840		39,228
CoStar Group, Inc. (a)		2,094		386,511
CRA International, Inc. (a)		753		14,909
Cross Country Healthcare, Inc. (a)		1,999		19,950
Deluxe Corp.		3,732		194,773
Education Management Corp. (a) (b)		1,722		17,375
Electro Rent Corp.		1,360		25,187
Euronet Worldwide, Inc. (a)		3,658		175,035
EVERTEC, Inc.		2,167		53,438
ExamWorks Group, Inc. (a)		2,225		66,461
Exlservice Holdings, Inc. (a)		2,398		66,233
Exponent, Inc.		970		75,117
Forrester Research, Inc.		924		35,352
Franklin Covey Co. (a)		659		13,101
FTI Consulting, Inc. (a)		2,957		121,651
The Geo Group, Inc.		5,251		169,187
Global Cash Access Holdings, Inc. (a)		4,879		48,741

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

152

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

	Number of Shares		Value
Grand Canyon Education, Inc. (a)		3,336	$	145,450
Great Lakes Dredge & Dock Co. (a)		4,381		40,305
Green Dot Corp. Class A (a)		1,895		47,659
H&E Equipment Services, Inc. (a)		2,180		64,593
The Hackett Group, Inc.		1,857		11,532
Healthcare Services Group, Inc.		5,036		142,871
Heartland Payment Systems, Inc.		2,666		132,873
Heidrick & Struggles International, Inc.		1,304		26,263
Hillenbrand, Inc.		4,048		119,092
HMS Holdings Corp. (a)		6,437		146,313
Huron Consulting Group, Inc. (a)		1,708		107,126
ICF International, Inc. (a)		1,452		50,399
Insperity, Inc.		1,653		59,723
Intersections, Inc.		690		5,375
ITT Educational Services, Inc. (a) (b)		1,719		57,724
JTH Holding, Inc. Class A (a)		348		8,456
K12, Inc. (a)		2,001		43,522
Kelly Services, Inc. Class A		1,980		49,381
Kforce, Inc.		1,989		40,695
Korn/Ferry International (a)		3,567		93,170
Landauer, Inc.		702		36,932
LifeLock, Inc. (a)		4,461		73,205
Lincoln Educational Services Corp.		1,687		8,401
Live Nation Entertainment, Inc. (a)		10,322		203,963
Mac-Gray Corp.		860		18,258
MAXIMUS, Inc.		5,012		220,478
McGrath RentCorp		1,857		73,909
Medifast, Inc. (a)		988		25,816
MoneyGram International, Inc. (a)		1,567		32,562
Monro Muffler Brake, Inc. (b)		2,296		129,403
Monster Worldwide, Inc. (a)		7,702		54,915
Multi-Color Corp.		899		33,928
National Research Corp. Class A (a)		711		13,381
Navigant Consulting, Inc. (a)		3,713		71,290
Odyssey Marine Exploration, Inc. (a) (b)		5,917		11,952
On Assignment, Inc. (a)		3,356		117,192
PAREXEL International Corp. (a)		4,169		188,355
Pendrell Corp. (a)		11,503		23,121
Performant Financial Corp. (a)		1,639		16,882
PHH Corp. (a)		4,190		102,027
PRG-Schultz International, Inc. (a)		2,070		13,910
Providence Service Corp. (a)		746		19,187
Quad/Graphics, Inc. (b)		1,835		49,967
Rent-A-Center, Inc.		3,917		130,593
Resources Connection, Inc.		3,006		43,076
RPX Corp. (a)		2,385		40,307
ServiceSource International, Inc. (a)		4,488		37,609
SFX Entertainment, Inc. (a) (b)		1,395		16,740
Sotheby’s		5,016		266,851
SP Plus Corp. (a)		1,127		29,347
Steiner Leisure Ltd. (a)		1,081		53,174
Strayer Education, Inc.		785		27,059
Swisher Hygiene, Inc. (a) (b)		8,938		4,595

	Number of Shares		Value
Team Health Holdings, Inc. (a)		5,039	$	229,526
Team, Inc. (a)		1,515		64,145
TeleTech Holdings, Inc. (a)		1,469		35,168
Tree.com, Inc. (a)		477		15,665
TrueBlue, Inc. (a)		2,991		77,108
Universal Technical Institute, Inc.		1,525		21,213
Valassis Communications, Inc. (b)		2,848		97,544
Viad Corp.		1,497		41,587
VistaPrint NV (a)		2,399		136,383
WEX, Inc. (a)		2,845		281,740
Xoom Corp. (a)		602		16,477
				7,462,454
Cosmetics & Personal Care — 0.1%
Elizabeth Arden, Inc. (a)		1,884		66,788
Inter Parfums, Inc.		1,207		43,222
Revlon, Inc. Class A (a)		799		19,943
				129,953
Foods — 2.0%
Annie’s, Inc. (a) (b)		1,008		43,384
Arden Group, Inc. Class A		86		10,880
B&G Foods, Inc.		3,880		131,571
Boulder Brands, Inc. (a)		4,369		69,292
Cal-Maine Foods, Inc.		1,090		65,651
Calavo Growers, Inc.		884		26,750
The Chefs’ Warehouse, Inc. (a)		1,211		35,313
Chiquita Brands International, Inc. (a)		3,420		40,014
Diamond Foods, Inc. (a) (b)		1,636		42,274
Fairway Group Holdings Corp. (a) (b)		1,099		19,914
Fresh Del Monte Produce, Inc.		2,779		78,646
Harris Teeter Supermarkets, Inc.		3,591		177,216
Ingles Markets, Inc. Class A		847		22,954
Inventure Foods, Inc. (a)		1,076		14,268
J&J Snack Foods Corp.		1,096		97,095
John B Sanfilippo & Son, Inc.		596		14,709
Lancaster Colony Corp.		1,360		119,884
Lifeway Foods, Inc. (b)		371		5,929
Pilgrim’s Pride Corp. (a)		4,448		72,280
Post Holdings, Inc. (a)		2,396		118,051
Sanderson Farms, Inc.		1,689		122,165
Seaboard Corp.		22		61,489
Seneca Foods Corp. Class A (a)		592		18,879
Snyders-Lance, Inc.		3,493		100,319
Spartan Stores, Inc.		2,696		65,459
SUPERVALU, Inc. (a)		14,910		108,694
The Hain Celestial Group, Inc. (a)		2,816		255,636
Tootsie Roll Industries, Inc. (b)		1,444		46,988
TreeHouse Foods, Inc. (a)		2,657		183,120
United Natural Foods, Inc. (a)		3,619		272,836
Village Super Market Class A		453		14,047
Weis Markets, Inc.		819		43,047
				2,498,754

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

153

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

	Number of Shares		Value
Health Care – Products — 3.2%
Abaxis, Inc. (a)		1,623	$	64,952
ABIOMED, Inc. (a)		2,844		76,049
Accelerate Diagnostics, Inc. (a) (b)		746		9,101
Accuray, Inc. (a) (b)		5,449		47,461
Alphatec Holdings, Inc. (a)		4,392		8,828
AngioDynamics, Inc. (a)		1,791		30,787
ArthroCare Corp. (a)		2,067		83,176
AtriCure, Inc. (a)		1,531		28,599
Atrion Corp.		116		34,365
Biolase Technology, Inc. (a) (b)		2,494		7,059
Cantel Medical Corp.		2,411		81,757
Cardiovascular Systems, Inc. (a)		1,803		61,825
Cepheid, Inc. (a) (b)		4,932		230,423
Cerus Corp. (a)		5,093		32,850
CONMED Corp.		2,037		86,572
Cutera, Inc. (a)		1,050		10,689
Cyberonics, Inc. (a)		2,029		132,920
Cynosure Inc. Class A (a)		1,407		37,539
Dexcom, Inc. (a)		5,187		183,672
Endologix, Inc. (a)		4,616		80,503
Exactech, Inc. (a)		685		16,276
The Female Health Co.		1,588		13,498
GenMark Diagnostics, Inc. (a)		2,626		34,952
Genomic Health, Inc. (a)		1,229		35,973
Globus Medical, Inc. Class A (a)		4,006		80,841
Haemonetics Corp. (a)		3,744		157,735
Hanger, Inc. (a)		2,545		100,120
Harvard Apparatus Regenerative Technology, Inc. (a)		459		2,180
HeartWare International, Inc. (a)		1,199		112,658
ICU Medical, Inc. (a)		953		60,716
Insulet Corp. (a)		3,921		145,469
Invacare Corp.		2,354		54,636
LDR Holding Corp. (a)		452		10,667
Luminex Corp. (a)		2,750		53,350
Masimo Corp. (a)		3,576		104,526
Medical Action Industries, Inc. (a)		1,134		9,707
Merge Healthcare, Inc. (a)		4,971		11,533
Meridian Bioscience, Inc.		3,044		80,757
Merit Medical Systems, Inc. (a)		3,130		49,266
MiMedx Group, Inc. (a) (b)		6,677		58,357
Natus Medical, Inc. (a)		2,232		50,220
Navidea Biopharmaceuticals, Inc. (a) (b)		8,823		18,264
NuVasive, Inc. (a)		3,246		104,943
NxStage Medical, Inc. (a)		4,392		43,920
OraSure Technologies, Inc. (a)		3,973		24,990
Orthofix International NV (a)		1,417		32,336
Oxford Immunotec Global PLC (a)		488		9,457
PhotoMedex, Inc. (a) (b)		1,032		13,364
Quidel Corp. (a) (b)		2,066		63,819
Rockwell Medical Technologies, Inc. (a) (b)		2,864		29,900

	Number of Shares		Value
Solta Medical, Inc. (a)		5,014	$	14,791
Spectranetics Corp. (a)		2,962		74,050
Staar Surgical Co. (a)		2,701		43,729
Steris Corp.		4,313		207,240
SurModics, Inc. (a)		1,042		25,414
Symmetry Medical, Inc. (a)		2,698		27,196
Tandem Diabetes Care, Inc. (a)		641		16,519
TearLab Corp. (a) (b)		2,032		18,979
Thoratec Corp. (a)		4,208		154,013
Tornier BV (a)		1,906		35,814
Unilife Corp. (a) (b)		7,152		31,469
Utah Medical Products, Inc.		246		14,061
Vascular Solutions, Inc. (a)		1,190		27,549
Volcano Corp. (a) (b)		4,005		87,509
West Pharmaceutical Services, Inc.		5,076		249,029
Wright Medical Group, Inc. (a)		2,966		91,086
Zeltiq Aesthetics, Inc. (a)		1,294		24,470
				4,056,475
Health Care – Services — 1.6%
Acadia Healthcare Co., Inc. (a)		2,599		123,011
Addus HomeCare Corp. (a)		391		8,778
Air Methods Corp. (a)		2,852		166,357
Alliance HealthCare Services, Inc. (a)		347		8,585
Almost Family, Inc. (a)		608		19,657
Amedisys, Inc. (a)		2,306		33,737
AmSurg Corp. (a)		2,351		107,958
Bio-Reference Laboratories, Inc. (a) (b)		1,798		45,921
Capital Senior Living Corp. (a)		2,105		50,499
Centene Corp. (a)		3,994		235,446
Emeritus Corp. (a)		2,963		64,090
The Ensign Group, Inc.		1,432		63,395
Five Star Quality Care, Inc. (a)		3,170		17,403
Gentiva Health Services, Inc. (a)		2,271		28,183
HealthSouth Corp.		6,396		213,115
Healthways, Inc. (a)		2,514		38,590
The IPC Hospitalist Co. (a)		1,233		73,228
Kindred Healthcare, Inc.		3,967		78,308
LHC Group, Inc. (a)		870		20,915
Magellan Health Services, Inc. (a)		1,988		119,101
Molina Healthcare, Inc. (a)		2,082		72,349
National Healthcare Corp.		795		42,858
Select Medical Holdings Corp.		3,572		41,471
Skilled Healthcare Group, Inc. Class A (a)		1,553		7,470
Surgical Care Affiliates, Inc. (a)		817		28,464
Triple-S Management Corp. Class B (a)		1,743		33,884
U.S. Physical Therapy, Inc.		880		31,029
Universal American Corp.		2,720		19,856
USMD Holdings, Inc. (a) (b)		84		1,689
Vocera Communications, Inc. (a)		1,512		23,602
WellCare Health Plans, Inc. (a)		3,190		224,640
				2,043,589

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

154

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

	Number of Shares		Value
Household Products — 0.5%
Acco Brands Corp. (a)		8,348	$	56,099
Blyth, Inc. (b)		611		6,648
Central Garden & Pet Co. Class A (a)		2,967		20,027
Costa, Inc. (a)		693		15,059
CSS Industries, Inc.		622		17,839
Ennis, Inc.		1,930		34,161
Helen of Troy Ltd. (a)		2,339		115,804
Prestige Brands Holdings, Inc. (a)		3,753		134,357
Skullcandy, Inc. (a)		1,304		9,402
Spectrum Brands Holdings, Inc.		1,579		111,398
WD-40 Co.		1,139		85,060
				605,854
Pharmaceuticals — 3.8%
Acadia Pharmaceuticals, Inc. (a)		5,147		128,624
AcelRx Pharmaceuticals, Inc. (a) (b)		1,688		19,091
Achillion Pharmaceuticals, Inc. (a) (b)		7,049		23,403
Aerie Pharmaceuticals, Inc. (a)		609		10,938
Agios Pharmaceuticals, Inc. (a) (b)		471		11,280
Akorn, Inc. (a)		4,277		105,343
Align Technology, Inc. (a)		5,365		306,610
Alimera Sciences, Inc. (a) (b)		1,319		6,213
Alnylam Pharmaceuticals, Inc. (a)		4,265		274,367
Amicus Therapeutics, Inc. (a) (b)		2,150		5,053
Ampio Pharmaceuticals, Inc. (a) (b)		2,177		15,522
Anacor Pharmaceuticals, Inc. (a) (b)		1,849		31,026
Anika Therapeutics, Inc. (a)		878		33,504
Antares Pharma, Inc. (a) (b)		8,265		37,027
Aratana Therapeutics, Inc. (a) (b)		435		8,309
Array Biopharma, Inc. (a)		9,106		45,621
Auxilium Pharmaceuticals, Inc. (a)		3,622		75,120
AVANIR Pharmaceuticals, Inc. (a)		10,651		35,787
BioDelivery Sciences International, Inc. (a) (b)		2,151		12,669
BioScrip, Inc. (a)		4,285		31,709
Cadence Pharmaceuticals, Inc. (a)		4,535		41,042
Cempra, Inc. (a)		1,396		17,296
ChemoCentryx, Inc. (a) (b)		1,963		11,366
Chimerix, Inc. (a)		691		10,441
Clovis Oncology, Inc. (a)		1,318		79,436
Conatus Pharmaceuticals, Inc. (a) (b)		463		2,986
Corcept Therapeutics, Inc. (a) (b)		3,979		12,812
Cornerstone Therapeutics, Inc. (a)		685		6,501
Cytori Therapeutics, Inc. (a) (b)		4,785		12,297
DepoMed, Inc. (a)		4,158		43,992
Derma Sciences, Inc. (a) (b)		1,046		11,318
Durata Therapeutics, Inc. (a) (b)		889		11,370
Dyax Corp. (a)		8,899		67,009
Emergent Biosolutions, Inc. (a)		2,030		46,670
Enanta Pharmaceuticals, Inc. (a)		285		7,775
Endocyte, Inc. (a) (b)		2,172		23,219
Esperion Therapeutics, Inc. (a)		332		4,562
Furiex Pharmaceuticals, Inc. (a)		476		19,997

	Number of Shares		Value
Hi-Tech Pharmacal Co., Inc. (a)		815	$	35,363
Hyperion Therapeutics, Inc. (a) (b)		610		12,334
Idenix Pharmaceuticals, Inc. (a) (b)		7,337		43,875
Impax Laboratories, Inc. (a)		5,034		126,555
Infinity Pharmaceuticals, Inc. (a)		3,524		48,666
Insys Therapeutics, Inc. (a)		362		14,013
Isis Pharmaceuticals, Inc. (a)		8,243		328,401
KaloBios Pharmaceuticals, Inc. (a)		693		3,063
Keryx Biopharmaceuticals, Inc. (a) (b)		6,002		77,726
Lannett Co., Inc. (a)		1,372		45,413
Lifevantage Corp. (a) (b)		7,777		12,832
MannKind Corp. (a) (b)		10,935		56,971
The Medicines Co. (a)		4,644		179,351
Natural Grocers by Vitamin Cottage, Inc. (a) (b)		639		27,126
Nature’s Sunshine Products, Inc.		791		13,700
Nektar Therapeutics (a)		8,481		96,259
Neogen Corp. (a)		2,636		120,465
Neurocrine Biosciences, Inc. (a)		4,936		46,102
Nutraceutical International Corp. (a)		629		16,845
Omega Protein Corp. (a)		1,469		18,054
Omthera Pharmaceuticals, Inc. (c)		428		-
Ophthotech Corp. (a) (b)		636		20,575
Opko Health, Inc. (a) (b)		13,866		117,029
Orexigen Therapeutics, Inc. (a)		7,485		42,141
Osiris Therapeutics, Inc. (a) (b)		1,179		18,958
Pacira Pharmaceuticals, Inc. (a)		2,024		116,360
Pernix Therapeutics Holdings (a) (b)		1,365		3,440
PetMed Express, Inc. (b)		1,446		24,047
PharMerica Corp. (a)		2,185		46,978
Portola Pharmaceuticals, Inc. (a)		774		19,931
Pozen, Inc.		1,948		15,662
Progenics Pharmaceuticals, Inc. (a)		4,396		23,431
Questcor Pharmaceuticals, Inc. (b)		3,807		207,291
Raptor Pharmaceutical Corp. (a) (b)		4,396		57,236
Receptos, Inc. (a)		413		11,973
Regulus Therapeutics, Inc. (a)		698		5,158
Relypsa, Inc. (a) (b)		476		11,900
Repros Therapeutics, Inc. (a) (b)		1,675		30,653
Rigel Pharmaceuticals, Inc. (a)		6,039		17,211
Sagent Pharmaceuticals, Inc. (a)		1,380		35,024
Santarus, Inc. (a)		4,064		129,885
Sarepta Therapeutics, Inc. (a) (b)		2,761		56,242
SciClone Pharmaceuticals, Inc. (a)		3,911		19,711
SIGA Technologies, Inc. (a) (b)		2,602		8,509
Sucampo Pharmaceuticals, Inc. Class A (a)		1,105		10,387
Supernus Pharmaceuticals, Inc. (a) (b)		1,315		9,915
Synageva BioPharma Corp. (a) (b)		1,413		91,449
Synergy Pharmaceuticals, Inc. (a) (b)		5,826		32,800
Synta Pharmaceuticals Corp. (a) (b)		3,555		18,628
Synutra International, Inc. (a) (b)		1,352		12,006
Targacept, Inc. (a)		2,201		9,134

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

155

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

	Number of Shares		Value
TESARO, Inc. (a)		966	$	27,280
Tetraphase Pharmaceuticals, Inc. (a)		958		12,952
TG Therapeutics, Inc. (a) (b)		995		3,881
TherapeuticsMD, Inc. (a)		6,311		32,880
Threshold Pharmaceuticals, Inc. (a) (b)		3,421		15,976
USANA Health Sciences, Inc. (a) (b)		438		33,104
Vanda Pharmaceuticals, Inc. (a)		2,442		30,305
ViroPharma Inc (a)		4,791		238,831
VIVUS, Inc. (a) (b)		7,398		67,174
Xenoport, Inc. (a)		3,179		18,279
Zogenix, Inc. (a) (b)		7,142		24,568
				4,699,313
				25,074,381
Diversified — 0.2%
Holding Company – Diversified — 0.2%
Harbinger Group, Inc. (a)		2,397		28,404
Horizon Pharma, Inc. (a) (b)		3,790		28,880
National Bank Holdings Corp. Class A		3,344		71,562
Primoris Services Corp.		2,592		80,689
Resource America, Inc. Class A		992		9,285
				218,820
Energy — 5.1%
Coal — 0.4%
Alpha Natural Resources, Inc. (a)		16,207		115,718
Arch Coal, Inc. (b)		15,588		69,366
Cloud Peak Energy, Inc. (a)		4,471		80,478
Hallador Energy Co.		680		5,481
L&L Energy, Inc. (a) (b) (c)		2,341		3,933
SunCoke Energy, Inc. (a)		5,133		117,084
Walter Energy, Inc. (b)		4,592		76,365
Westmoreland Coal Co. (a)		860		16,589
				485,014
Energy – Alternate Sources — 0.3%
Amyris, Inc. (a) (b)		2,154		11,395
Clean Energy Fuels Corp. (a) (b)		5,004		64,452
Enphase Energy, Inc. (a) (b)		1,118		7,088
FuelCell Energy, Inc. (a) (b)		11,582		16,331
FutureFuel Corp.		1,558		24,616
Green Plains Renewable Energy, Inc.		1,859		36,046
Headwaters, Inc. (a)		5,385		52,719
Pattern Energy Group, Inc.		1,352		40,979
Renewable Energy Group, Inc. (a)		1,469		16,835
REX American Resources Corp. (a)		392		17,526
Solazyme, Inc. (a) (b)		3,508		38,202
				326,189
Oil & Gas — 2.8%
Abraxas Petroleum Corp. (a)		5,981		19,618
Adams Resources & Energy, Inc.		149		10,207
Alon USA Energy, Inc.		1,710		28,283

	Number of Shares		Value
Apco Oil and Gas International, Inc. (a)		624	$	9,728
Approach Resources Inc. (a) (b)		2,566		49,498
Arabian American Development Co. (a)		1,476		18,524
Athlon Energy, Inc. (a)		1,336		40,414
Bill Barrett Corp. (a) (b)		3,582		95,926
Bonanza Creek Energy, Inc. (a)		2,162		93,982
BPZ Resources, Inc. (a) (b)		8,451		15,381
Callon Petroleum Co. (a)		2,879		18,800
Carrizo Oil & Gas, Inc. (a)		3,335		149,308
Clayton Williams Energy, Inc. (a)		432		35,402
Comstock Resources, Inc.		3,552		64,966
Contango Oil & Gas Co. (a)		1,093		51,655
Delek US Holdings, Inc.		2,724		93,733
Diamondback Energy, Inc. (a)		1,433		75,748
Emerald Oil, Inc. (a)		4,120		31,559
Endeavour International Corp. (a) (b)		3,354		17,609
Energy XXI (Bermuda) Ltd.		5,827		157,679
EPL Oil & Gas, Inc. (a)		2,198		62,643
Equal Energy Ltd.		2,562		13,681
Evolution Petroleum Corp.		1,240		15,302
EXCO Resources, Inc. (b)		9,830		52,197
Forest Oil Corp. (a)		8,734		31,530
FX Energy, Inc. (a) (b)		3,947		14,446
Gastar Exploration Ltd. (a)		4,078		28,220
Goodrich Petroleum Corp. (a) (b)		2,305		39,231
Halcon Resources Corp. (a) (b)		17,013		65,670
Hercules Offshore, Inc. (a)		11,705		76,434
Isramco, Inc. (a) (b)		61		7,750
Jones Energy, Inc. (a)		794		11,497
KiOR, Inc. Class A (a) (b)		3,816		6,411
Kodiak Oil & Gas Corp. (a)		19,485		218,427
Magnum Hunter Resources Corp. (a) (b)		12,624		92,281
Matador Resources Co. (a)		4,274		79,667
Midstates Petroleum Co., Inc. (a) (b)		2,449		16,212
Miller Energy Resources, Inc. (a) (b)		2,175		15,312
Northern Oil and Gas, Inc. (a)		4,693		70,724
Panhandle Oil and Gas, Inc.		502		16,772
Parker Drilling Co. (a)		8,751		71,146
PDC Energy, Inc. (a)		2,615		139,170
Penn Virginia Corp. (a)		4,056		38,248
PetroQuest Energy, Inc. (a)		4,091		17,673
Quicksilver Resources, Inc. (a) (b)		9,007		27,651
Resolute Energy Corp. (a)		4,989		45,051
Rex Energy Corp. (a)		3,323		65,496
Rosetta Resources, Inc. (a)		4,486		215,507
Sanchez Energy Corp. (a) (b)		2,803		68,702
SemGroup Corp. Class A		3,085		201,235
Stone Energy Corp. (a)		3,670		126,945
Swift Energy Co. (a) (b)		3,193		43,105
Synergy Resources Corp. (a)		3,715		34,401
Triangle Petroleum Corp. (a) (b)		4,998		41,583
VAALCO Energy, Inc. (a)		4,221		29,083
Vantage Drilling Co. (a) (b)		14,534		26,743

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

156

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

	Number of Shares		Value
W&T Offshore, Inc.		2,559	$	40,944
Warren Resources, Inc. (a)		5,337		16,758
Western Refining, Inc. (b)		3,973		168,495
ZaZa Energy Corp. (a) (b)		2,890		2,762
				3,433,125
Oil & Gas Services — 1.5%
Basic Energy Services, Inc. (a)		2,186		34,495
Bolt Technology Corp.		659		14,505
C&J Energy Services, Inc. (a) (b)		3,306		76,369
Cal Dive International, Inc. (a) (b)		7,189		14,450
CARBO Ceramics, Inc. (b)		1,452		169,201
Dawson Geophysical Co. (a)		584		19,751
Exterran Holdings, Inc. (a)		4,218		144,256
Flotek Industries, Inc. (a)		3,508		70,405
Forum Energy Technologies, Inc. (a)		2,885		81,530
Geospace Technologies Corp. (a)		947		89,804
Global Geophysical Services, Inc. (a)		1,778		2,863
Gulf Island Fabrication, Inc.		1,045		24,265
Helix Energy Solutions Group, Inc. (a)		7,769		180,085
Hornbeck Offshore Services, Inc. (a)		2,623		129,130
ION Geophysical Corp. (a)		9,716		32,063
Key Energy Services, Inc. (a)		11,181		88,330
Matrix Service Co. (a)		1,916		46,884
Mitcham Industries, Inc. (a)		948		16,789
Natural Gas Services Group, Inc. (a)		893		24,620
Newpark Resources, Inc. (a)		6,330		77,796
Pioneer Energy Services Corp. (a)		4,572		36,622
SEACOR Holdings, Inc. (a)		1,473		134,338
Targa Resources Corp.		2,413		212,754
Tesco Corp. (a)		2,217		43,852
TETRA Technologies, Inc. (a)		5,751		71,082
TGC Industries, Inc.		1,250		9,125
Thermon Group Holdings, Inc. (a)		1,993		54,469
Willbros Group, Inc. (a)		2,884		27,167
				1,927,000
Pipelines — 0.1%
Crosstex Energy, Inc.		3,494		126,343
				6,297,671
Financial — 22.0%
Banks — 7.1%
1st Source Corp.		1,110		35,453
1st United Bancorp, Inc.		2,174		16,544
Access National Corp.		538		8,043
American National Bankshares, Inc.		588		15,435
Ameris Bancorp (a)		1,754		37,027
Ames National Corp.		685		15,337
Arrow Financial Corp. (b)		773		20,531
BancFirst Corp.		522		29,263
Banco Latinoamericano de Comercio Exterior SA		2,148		60,187
Bancorp, Inc. (a)		2,417		43,288

	Number of Shares		Value
BancorpSouth, Inc.		6,978	$	177,381
Bank Mutual Corp.		3,347		23,462
Bank of Kentucky Financial Corp.		461		17,011
Bank of Marin Bancorp		441		19,135
Bank of the Ozarks, Inc.		2,280		129,025
Banner Corp.		1,430		64,093
Bar Harbor Bankshares		283		11,317
BBCN Bancorp, Inc.		5,798		96,189
BNC Bancorp (b)		1,352		23,173
Boston Private Financial Holdings, Inc.		5,864		74,004
Bridge Bancorp, Inc.		790		20,540
Bridge Capital Holdings (a)		698		14,337
Bryn Mawr Bank Corp.		985		29,727
C&F Financial Corp.		246		11,235
Camden National Corp.		551		23,263
Capital Bank Financial Corp. Class A (a)		1,726		39,267
Capital City Bank Group, Inc. (a)		890		10,475
Cardinal Financial Corp.		2,223		40,014
Cascade Bancorp (a)		450		2,354
Cass Information Systems, Inc.		758		51,051
Cathay General Bancorp		5,788		154,713
Center Bancorp, Inc.		848		15,908
Centerstate Banks, Inc.		2,157		21,894
Central Pacific Financial Corp.		1,596		32,048
Century Bancorp, Inc. Class A		252		8,379
Chemical Financial Corp.		2,168		68,661
Chemung Financial Corp.		254		8,679
Citizens & Northern Corp.		891		18,381
City Holding Co.		1,163		53,882
CNB Financial Corp.		1,015		19,285
CoBiz Financial, Inc.		2,587		30,941
Columbia Banking System, Inc.		3,738		102,832
Community Bank System, Inc.		2,938		116,580
Community Trust Bancorp, Inc.		1,040		46,966
CommunityOne Bancorp (a)		774		9,869
ConnectOne Bancorp, Inc. (a)		132		5,231
CU Bancorp (a)		681		11,904
Customers Bancorp, Inc. (a)		1,459		29,851
CVB Financial Corp.		6,719		114,693
Eagle Bancorp, Inc. (a)		1,643		50,325
Enterprise Bancorp, Inc.		524		11,093
Enterprise Financial Services Corp.		1,410		28,792
F.N.B. Corp.		11,018		139,047
Farmers Capital Bank Corp. (a)		534		11,615
Fidelity Southern Corp.		1,079		17,922
Financial Institutions, Inc.		992		24,512
First BanCorp (a)		5,265		32,590
First Bancorp		1,416		23,534
First Bancorp, Inc.		714		12,438
First Busey Corp. Class A		5,351		31,036
First Commonwealth Financial Corp.		7,203		63,530
First Community Bancshares, Inc.		1,283		21,426
First Connecticut Bancorp, Inc.		1,238		19,957

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

157

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

	Number of Shares		Value
First Financial Bancorp		4,249	$	74,060
First Financial Bankshares, Inc. (b)		2,313		153,398
First Financial Corp.		823		30,089
First Financial Holdings, Inc.		1,764		117,324
First Interstate Bancsystem, Inc.		1,294		36,711
First Merchants Corp.		2,571		58,516
First Midwest Bancorp, Inc.		5,529		96,923
First NBC Bank Holding Co. (a)		324		10,465
The First of Long Island Corp.		573		24,565
First Security Group, Inc. (a)		5,233		12,036
FirstMerit Corp.		12,152		270,139
Franklin Financial Corp. (a)		797		15,765
German American Bancorp Inc.		918		26,163
Glacier Bancorp, Inc.		5,278		157,232
Great Southern Bancorp, Inc.		743		22,595
Guaranty Bancorp		1,090		15,315
Hampton Roads Bankshares, Inc. (a)		2,626		4,596
Hancock Holding Co.		6,212		227,856
Hanmi Financial Corp.		2,320		50,785
Heartland Financial USA, Inc.		1,090		31,381
Heritage Commerce Corp.		1,512		12,459
Heritage Financial Corp.		1,101		18,838
Heritage Oaks Bancorp (a)		1,490		11,175
Home Bancshares, Inc.		3,317		123,890
Horizon Bancorp		643		16,287
Hudson Valley Holding Corp.		1,187		24,155
IBERIABANK Corp.		2,180		137,013
Independent Bank Corp.		1,739		68,151
Independent Bank Group, Inc.		277		13,756
International Bancshares Corp.		3,918		103,396
Intervest Bancshares Corp. Class A (a)		1,278		9,598
Lakeland Bancorp, Inc.		2,641		32,669
Lakeland Financial Corp.		1,210		47,190
LCNB Corp.		576		10,293
Macatawa Bank Corp. (a)		1,656		8,280
MainSource Financial Group, Inc.		1,477		26,630
MB Financial, Inc.		4,017		128,906
Mercantile Bank Corp.		648		13,984
Merchants Bancshares, Inc.		412		13,802
Metro Bancorp, Inc. (a)		1,013		21,820
MetroCorp Bancshares, Inc.		1,171		17,647
Middleburg Financial Corp.		380		6,855
MidSouth Bancorp, Inc.		654		11,680
MidWestOne Financial Group, Inc.		507		13,790
National Bankshares, Inc.		505		18,629
National Penn Bancshares, Inc.		8,564		97,030
NBT Bancorp, Inc.		3,230		83,657
NewBridge Bancorp (a)		1,840		13,800
Northrim BanCorp, Inc.		483		12,674
Northwest Bancshares, Inc.		6,862		101,420
OFG Bancorp		3,351		58,106
Old National Bancorp		7,420		114,045
OmniAmerican Bancorp, Inc. (a)		811		17,339

	Number of Shares		Value
Pacific Continental Corp.		1,323	$	21,089
PacWest Bancorp (b)		2,778		117,287
Palmetto Bancshares, Inc. (a)		347		4,497
Park National Corp. (b)		847		72,054
Park Sterling Corp.		3,225		23,027
Peapack Gladstone Financial Corp.		695		13,275
Penns Woods Bancorp, Inc.		351		17,901
Peoples Bancorp, Inc.		785		17,670
Pinnacle Financial Partners, Inc.		2,572		83,667
Preferred Bank (a)		861		17,263
PrivateBancorp, Inc.		4,760		137,707
Prosperity Bancshares, Inc.		4,409		279,487
Renasant Corp.		2,253		70,879
Republic Bancorp, Inc. Class A		693		17,006
S&T Bancorp, Inc.		2,198		55,631
Sandy Spring Bancorp, Inc.		1,841		51,898
Seacoast Banking Corp. of Florida (a)		1,280		15,616
Sierra Bancorp		883		14,207
Simmons First National Corp. Class A		1,213		45,063
Southside Bancshares, Inc.		1,316		35,979
Southwest Bancorp, Inc. (a)		1,406		22,384
State Bank Financial Corp.		2,356		42,856
StellarOne Corp.		1,683		40,510
Sterling Financial Corp.		2,487		84,757
Suffolk Bancorp (a)		849		17,659
Sun Bancorp, Inc. (a)		3,038		10,694
Susquehanna Bancshares, Inc.		13,671		175,536
SY Bancorp, Inc.		1,029		32,846
Taylor Capital Group, Inc. (a)		1,268		33,703
Texas Capital Bancshares, Inc. (a)		2,991		186,040
Tompkins Financial Corp.		1,067		54,833
TowneBank (b)		1,929		29,687
Trico Bancshares		1,175		33,335
Tristate Capital Holdings, Inc. (a)		510		6,049
Trustco Bank Corp.		6,944		49,858
Trustmark Corp.		4,922		132,107
UMB Financial Corp.		2,617		168,221
Umpqua Holdings Corp. (b)		8,187		156,699
Union First Market Bankshares Corp. (b)		1,491		36,992
United Bankshares, Inc. (b)		3,686		115,925
United Community Banks, Inc. (a)		3,162		56,126
Univest Corp. of Pennsylvania		1,208		24,981
VantageSouth Bancshares, Inc. (a)		937		4,938
Virginia Commerce Bancorp (a)		2,001		33,997
Walker & Dunlop, Inc. (a)		1,201		19,420
Washington Banking Co.		1,118		19,822
Washington Trust Bancorp, Inc.		1,075		40,012
Webster Financial Corp.		6,607		206,006
WesBanco, Inc.		1,910		61,120
West Bancorporation, Inc.		1,062		16,801
Westamerica Bancorp. (b)		1,980		111,791
Western Alliance Bancorp (a)		5,435		129,679
Wilshire Bancorp, Inc.		4,985		54,486

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

158

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

	Number of Shares		Value
Wintrust Financial Corp.		2,704	$	124,709
Yadkin Financial Corp. (a)		1,056		17,994
				8,825,329
Closed-end Funds — 0.0%
Capitala Finance Corp. (b)		316		6,288
Diversified Financial — 2.5%
Altisource Residential Corp.		3,104		93,461
BGC Partners, Inc. Class A		9,352		56,673
Blackhawk Network Holdings, Inc. (a)		826		20,865
Calamos Asset Management, Inc. Class A		1,474		17,452
California First National Bancorp		150		2,265
CIFC Corp.		439		3,415
Cohen & Steers, Inc. (b)		1,383		55,403
Consumer Portfolio Services, Inc. (a)		1,323		12,423
Cowen Group, Inc. Class A (a)		7,084		27,698
Credit Acceptance Corp. (a)		521		67,725
DFC Global Corp. (a)		2,958		33,869
Diamond Hill Investment Group, Inc.		203		24,023
Doral Financial Corp. (a)		475		7,438
Ellie Mae, Inc. (a)		1,932		51,913
Encore Capital Group, Inc. (a) (b)		1,834		92,177
Evercore Partners, Inc. Class A		2,319		138,630
FBR & Co. (a)		639		16,857
Federal Agricultural Mortgage Corp. Class C		745		25,516
Financial Engines, Inc.		3,589		249,364
First Financial Northwest		1,175		12,185
The First Marblehead Corp. (a)		710		5,247
FXCM, Inc. (b)		2,690		47,990
Gain Capital Holdings, Inc.		678		5,092
GAMCO Investors, Inc. Class A		444		38,615
GFI Group, Inc.		5,018		19,620
Greenhill & Co., Inc.		2,068		119,820
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (b)		1,077		15,035
Higher One Holdings, Inc. (a)		2,252		21,979
Horizon Technology Finance Corp.		576		8,185
Imperial Holdings, Inc. (a)		1,196		7,822
INTL. FCStone, Inc. (a)		1,006		18,651
Investment Technology Group, Inc. (a)		2,734		56,211
Janus Capital Group, Inc.		10,935		135,266
JGWPT Holdings, Inc. Class A (a)		768		13,356
JMP Group, Inc.		1,218		9,013
KCG Holdings, Inc. Class A (a)		5,214		62,359
Ladenburg Thalmann Financial Services, Inc. (a)		7,747		24,248
Manning & Napier, Inc.		1,004		17,721
MarketAxess Holdings, Inc.		2,751		183,959
Marlin Business Services Corp.		600		15,120
Nelnet, Inc. Class A		1,679		70,753
NewStar Financial, Inc. (a)		1,927		34,243

	Number of Shares		Value
Nicholas Financial, Inc.		787	$	12,387
Oppenheimer Holdings, Inc. Class A		734		18,189
Outerwall, Inc. (a) (b)		2,064		138,845
PennyMac Financial Services, Inc. Class A (a)		916		16,076
Piper Jaffray Cos., Inc. (a)		1,185		46,867
Portfolio Recovery Associates, Inc. (a)		3,720		196,565
Pzena Investment Management, Inc. Class A		895		10,525
RCS Capital Corp. (b)		169		3,101
Regional Management Corp. (a)		386		13,097
Silvercrest Asset Management Group, Inc.		395		6,735
Springleaf Holdings, Inc. (a)		1,776		44,897
Stifel Financial Corp. (a)		4,658		223,211
Stonegate Mortgage Corp. (a) (b)		634		10,480
SWS Group, Inc. (a)		2,115		12,859
Virtus Investment Partners, Inc. (a)		496		99,225
WageWorks, Inc. (a)		1,831		108,835
Westwood Holdings Group, Inc.		509		31,512
WhiteHorse Finance, Inc.		565		8,537
WisdomTree Investments, Inc. (a)		7,365		130,434
World Acceptance Corp. (a) (b)		635		55,582
ZAIS Financial Corp.		427		6,845
				3,134,461
Insurance — 2.6%
Ambac Financial Group, Inc. (a)		3,304		81,146
American Equity Investment Life Holding Co.		4,680		123,458
AMERISAFE, Inc.		1,350		57,024
AmTrust Financial Services, Inc. (b)		2,275		74,370
Argo Group International Holdings Ltd.		1,990		92,515
Baldwin & Lyons, Inc. Class B		671		18,332
Blue Capital Reinsurance Holdings Ltd. (a)		499		9,167
Citizens, Inc. (a)		3,148		27,545
CNO Financial Group, Inc.		16,262		287,675
Crawford & Co. Class B		1,904		17,593
Donegal Group, Inc. Class A		568		9,031
Eastern Insurance Holdings, Inc.		462		11,314
eHealth, Inc. (a)		1,352		62,854
EMC Insurance Group, Inc.		318		9,737
Employers Holdings, Inc.		2,269		71,814
Enstar Group Ltd. (a)		697		96,820
Essent Group Ltd. (a)		1,664		40,036
FBL Financial Group, Inc. Class A		650		29,113
Fidelity & Guaranty Life (a)		515		9,754
First American Financial Corp.		7,927		223,541
Fortegra Financial Corp. (a)		444		3,672
Global Indemnity PLC (a)		620		15,686
Greenlight Capital Re Ltd. Class A (a)		2,066		69,645
Hallmark Financial Services, Inc. (a)		1,142		10,147

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

159

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

	Number of Shares		Value
HCI Group, Inc.		718	$	38,413
Health Insurance Innovations, Inc. Class A (a)		335		3,387
Horace Mann Educators Corp.		2,907		91,687
Independence Holding Co.		564		7,608
Infinity Property & Casualty Corp.		849		60,916
Investors Title Co.		97		7,855
Kansas City Life Insurance Co.		284		13,558
Maiden Holdings Ltd.		3,668		40,091
Meadowbrook Insurance Group, Inc.		3,583		24,938
MGIC Investment Corp. (a)		23,785		200,745
Montpelier Re Holdings Ltd.		3,204		93,236
National Interstate Corp.		499		11,477
National Western Life Insurance Co. Class A		161		35,992
The Navigators Group, Inc. (a)		760		48,002
OneBeacon Insurance Group Ltd. Class A		1,662		26,293
The Phoenix Cos., Inc. (a)		426		26,156
Platinum Underwriters Holdings Ltd.		2,133		130,710
Primerica, Inc.		4,159		178,463
Radian Group, Inc. (b)		12,681		179,056
RLI Corp.		1,559		151,815
Safety Insurance Group, Inc.		947		53,316
Selective Insurance Group, Inc.		4,061		109,891
State Auto Financial Corp. Class A		1,069		22,706
Stewart Information Services Corp.		1,564		50,470
Symetra Financial Corp.		5,958		112,964
Third Point Reinsurance Ltd. (a)		1,859		34,447
Tower Group International Ltd. (b)		4,455		15,058
United Fire Group, Inc.		1,516		43,449
Universal Insurance Holdings, Inc.		1,908		27,628
				3,292,316
Investment Companies — 1.2%
Apollo Investment Corp.		16,423		139,267
Arlington Asset Investment Corp.		1,173		30,955
BlackRock Kelso Capital Corp.		5,436		50,718
Capital Southwest Corp.		994		34,661
Fifth Street Finance Corp.		10,004		92,537
Garrison Capital, Inc. (b)		470		6,524
Gladstone Capital Corp.		1,525		14,640
Gladstone Investment Corp.		1,952		15,733
Golub Capital BDC, Inc. (b)		2,741		52,381
Hercules Technology Growth Capital, Inc. (b)		4,523		74,177
Home Loan Servicing Solutions Ltd.		5,202		119,490
KCAP Financial, Inc. (b)		2,036		16,431
Main Street Capital Corp. (b)		2,862		93,559
MCG Capital Corp.		5,116		22,510
Medallion Financial Corp.		1,572		22,558
MVC Capital, Inc.		1,677		22,639
New Mountain Finance Corp.		3,317		49,888
NGP Capital Resources Co.		1,605		11,989

	Number of Shares		Value
PennantPark Floating Rate Capital Ltd.		1,021	$	14,018
PennantPark Investment Corp.		4,890		56,724
Prospect Capital Corp. (b)		20,270		227,429
Solar Capital Ltd.		3,299		74,392
Solar Senior Capital Ltd.		848		15,451
Stellus Capital Investment Corp. (b)		870		13,006
TCP Capital Corp.		2,608		43,762
THL Credit, Inc.		2,499		41,209
TICC Capital Corp. (b)		3,828		39,582
Triangle Capital Corp.		2,023		55,936
				1,452,166
Real Estate — 0.4%
Alexander & Baldwin, Inc.		3,160		131,867
AV Homes, Inc. (a)		664		12,065
Consolidated-Tomoka Land Co.		427		15,496
Forestar Real Esate Group, Inc. (a)		2,547		54,174
HFF, Inc. (a)		2,433		65,326
Hilltop Holdings Inc. (a)		4,553		105,311
Kennedy-Wilson Holdings, Inc.		4,161		92,582
Marcus & Millichap, Inc. (a)		538		8,016
RE/MAX Holdings, Inc. Class A (a)		856		27,452
Terreno Realty Corp.		1,837		32,515
				544,804
Real Estate Investment Trusts (REITS) — 6.9%
Acadia Realty Trust		4,039		100,288
AG Mortgage Investment Trust, Inc.		2,045		31,984
Agree Realty Corp.		1,098		31,864
Alexander’s, Inc.		155		51,150
American Assets Trust, Inc.		2,471		77,664
American Capital Mortgage Investment Corp.		3,884		67,815
American Realty Capital Properties, Inc. (b)		11,298		145,292
American Residential Properties, Inc. (a) (b)		980		16,817
AmREIT, Inc. Class B		1,420		23,856
Anworth Mortgage Asset Corp.		10,663		44,891
Apollo Commercial Real Estate Finance, Inc.		2,719		44,184
Apollo Residential Mortgage, Inc.		2,354		34,792
Ares Commercial Real Estate Corp.		1,527		20,004
Armada Hoffler Properties, Inc.		1,413		13,113
ARMOUR Residential REIT, Inc.		27,451		110,079
Ashford Hospitality Prime, Inc.		954		17,363
Ashford Hospitality Trust		4,524		37,459
Associated Estates Realty Corp. (b)		4,227		67,843
Aviv REIT, Inc.		812		19,244
Campus Crest Communities, Inc.		4,758		44,773
Capstead Mortgage Corp.		6,999		84,548
Cedar Realty Trust, Inc.		5,335		33,397
Chambers Street Properties (b)		17,348		132,712
Chatham Lodging Trust		1,935		39,571

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

160

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

	Number of Shares		Value
Chesapeake Lodging Trust		3,556	$	89,931
Colony Financial, Inc.		5,596		113,543
Coresite Realty Corp.		1,524		49,058
Cousins Properties, Inc.		12,334		127,040
CubeSmart		9,770		155,734
CYS Investments, Inc.		12,820		94,996
DCT Industrial Trust Inc.		21,286		151,769
DiamondRock Hospitality Co.		14,332		165,535
DuPont Fabros Technology, Inc. (b)		4,580		113,172
Dynex Capital, Inc.		4,042		32,336
Eastgroup Properties		2,222		128,720
Education Realty Trust, Inc.		8,358		73,718
Ellington Residential Mortgage REIT		443		6,813
Empire State Realty Trust, Inc. Class A		6,039		92,397
EPR Properties		3,788		186,218
Equity One, Inc.		4,399		98,714
Excel Trust, Inc.		3,542		40,343
FelCor Lodging Trust, Inc. (a)		9,118		74,403
First Industrial Realty Trust, Inc.		7,890		137,680
First Potomac Realty Trust		4,328		50,335
Franklin Street Properties Corp.		6,641		79,360
Getty Realty Corp.		1,899		34,885
Gladstone Commercial Corp.		1,165		20,935
Glimcher Realty Trust		10,627		99,469
Government Properties Income Trust		4,003		99,475
Gramercy Property Trust, Inc. (a)		4,341		24,961
Healthcare Realty Trust, Inc.		7,043		150,086
Hersha Hospitality Trust		14,869		82,820
Highwoods Properties, Inc.		6,570		237,637
Hudson Pacific Properties, Inc.		3,165		69,219
Inland Real Estate Corp.		6,266		65,918
Invesco Mortgage Capital, Inc.		9,921		145,640
Investors Real Estate Trust		7,436		63,801
iStar Financial, Inc. (a) (b)		6,238		89,016
JAVELIN Mortgage Investment Corp. (b)		1,023		14,250
Kite Realty Group Trust		9,622		63,217
LaSalle Hotel Properties		7,622		235,215
Lexington Realty Trust (b)		13,179		134,558
LTC Properties, Inc.		2,553		90,351
Medical Properties Trust, Inc.		11,856		144,880
Monmouth Real Estate Investment Corp. Class A		3,364		30,579
National Health Investors, Inc.		2,141		120,110
New Residential Investment Corp.		18,556		123,954
New York Mortgage Trust, Inc. (b)		4,667		32,622
NorthStar Realty Finance Corp.		21,243		285,718
One Liberty Properties, Inc.		856		17,231
Parkway Properties, Inc.		4,042		77,970
Pebblebrook Hotel Trust		4,505		138,574
Pennsylvania Real Estate Investment Trust		4,990		94,710
PennyMac Mortgage Investment Trust		5,163		118,542

	Number of Shares		Value
Physicians Realty Trust (b)		1,432	$	18,244
PS Business Parks, Inc.		1,426		108,975
QTS Realty Trust, Inc.		1,020		25,276
RAIT Financial Trust (b)		5,134		46,052
Ramco-Gershenson Properties Trust		4,883		76,858
Redwood Trust, Inc.		6,026		116,724
Resource Capital Corp.		9,316		55,244
Retail Opportunity Investments Corp.		5,255		77,354
Rexford Industrial Realty, Inc.		1,237		16,328
RLJ Lodging Trust		9,056		220,242
Rouse Properties, Inc. (b)		1,650		36,613
Ryman Hospitality Properties, Inc. (b)		3,235		135,158
Sabra Health Care REIT, Inc.		2,744		71,728
Saul Centers, Inc.		574		27,397
Select, Inc. REIT		1,610		43,051
Silver Bay Realty Trust Corp. (b)		1,099		17,573
Sovran Self Storage, Inc.		2,302		150,021
STAG Industrial, Inc.		3,080		62,801
Strategic Hotels & Resorts, Inc. (a)		13,298		125,666
Summit Hotel Properties, Inc.		5,863		52,767
Sun Communities, Inc.		2,630		112,143
Sunstone Hotel Investors, Inc.		13,402		179,587
UMH Properties, Inc.		1,334		12,566
Universal Health Realty Income Trust		877		35,133
Urstadt Biddle Properties, Inc. Class A		1,852		34,169
Walter Investment Management Corp. (a)		2,708		95,755
Washington Real Estate Investment Trust		4,886		114,137
Western Asset Mortgage Capital Corp. (b)		1,753		26,085
Whitestone REIT		1,504		20,108
Winthrop Realty Trust		2,311		25,537
Zillow, Inc. Class A (a) (b)		1,710		139,758
				8,537,911
Savings & Loans — 1.2%
Astoria Financial Corp.		6,470		89,480
Banc of California, Inc. (b)		1,197		16,052
BankFinancial Corp.		1,566		14,345
BBX Capital Corp. (a)		550		8,580
Beneficial Mutual Bancorp, Inc. (a)		2,317		25,302
Berkshire Hills Bancorp, Inc.		1,848		50,395
BofI Holding, Inc. (a)		888		69,646
Brookline Bancorp, Inc.		5,131		49,104
Capitol Federal Financial, Inc.		10,875		131,696
Charter Financial Corp.		1,663		17,911
Clifton Savings Bancorp, Inc.		663		8,486
Dime Community Bancshares, Inc.		2,343		39,644
ESB Financial Corp.		962		13,660
ESSA Bancorp, Inc.		691		7,988
EverBank Financial Corp.		5,903		108,261
First Defiance Financial Corp.		717		18,620

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

161

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

	Number of Shares		Value
First Federal Bancshares of Arkansas, Inc. (a) (b)		274	$	2,384
Flagstar Bancorp, Inc. (a)		1,433		28,115
Flushing Financial Corp.		2,279		47,175
Fox Chase Bancorp, Inc.		888		15,433
Hingham Institution for Savings		100		7,849
Home Bancorp Inc. (a)		464		8,746
Home Federal Bancorp, Inc.		1,053		15,690
HomeStreet, Inc.		932		18,640
HomeTrust Bancshares, Inc. (a)		1,509		24,129
Investors Bancorp, Inc.		3,697		94,569
Kearny Financial Corp. (a)		1,022		11,886
Meridian Interstate Bancorp, Inc. (a)		617		13,932
Meta Financial Group, Inc.		414		16,697
NASB Financial, Inc.		306		9,241
Northfield Bancorp, Inc.		4,278		56,470
OceanFirst Financial Corp.		993		17,010
Oritani Financial Corp.		3,335		53,527
Pacific Premier Bancorp, Inc. (a)		1,227		19,313
Provident Financial Holdings, Inc.		723		10,845
Provident Financial Services, Inc.		4,383		84,680
Rockville Financial, Inc.		1,851		26,303
Sterling Bancorp/DE		6,128		81,931
Territorial Bancorp, Inc.		774		17,957
United Community Financial Corp. (a)		3,599		12,848
United Financial Bancorp, Inc.		1,438		27,164
ViewPoint Financial Group		2,929		80,401
Waterstone Financial, Inc. (a)		602		6,682
Westfield Financial, Inc.		1,364		10,175
WSFS Financial Corp.		577		44,735
				1,533,697
Venture Capital — 0.1%
Fidus Investment Corp. (b)		986		21,436
GSV Capital Corp. (a) (b)		1,347		16,285
Medley Capital Corp.		2,955		40,927
				78,648
				27,405,620
Industrial — 14.2%
Aerospace & Defense — 1.5%
AAR Corp.		2,919		81,761
Aerovironment, Inc. (a)		1,360		39,617
API Technologies Corp. (a)		2,495		8,508
Astronics Corp. (a)		1,110		56,610
Cubic Corp.		1,458		76,778
Curtiss-Wright Corp.		3,432		213,573
Ducommun, Inc. (a)		758		22,596
Erickson Air-Crane, Inc. (a) (b)		294		6,112
Esterline Technologies Corp. (a)		2,292		233,692
GenCorp, Inc. (a) (b)		4,447		80,135
HEICO Corp.		4,868		282,101

	Number of Shares		Value
Innovative Solutions & Support, Inc. (a)		987	$	7,195
Kaman Corp.		1,991		79,103
Kratos Defense & Security Solutions, Inc. (a)		3,122		23,977
LMI Aerospace, Inc. (a)		803		11,836
M/A-COM Technology Solutions Holdings, Inc. (a)		761		12,929
Moog, Inc. Class A (a)		3,325		225,901
Orbital Sciences Corp. (a)		4,406		102,660
Teledyne Technologies, Inc. (a)		2,738		251,513
				1,816,597
Building Materials — 1.1%
AAON, Inc.		2,064		65,945
Apogee Enterprises, Inc.		2,112		75,842
Boise Cascade Co. (a)		890		26,237
Builders FirstSource, Inc. (a)		3,215		22,955
Comfort Systems USA, Inc.		2,743		53,187
Drew Industries, Inc.		1,683		86,170
Gibraltar Industries, Inc. (a)		2,266		42,125
Louisiana-Pacific Corp. (a)		10,224		189,246
LSI Industries, Inc.		1,600		13,872
NCI Building Systems, Inc. (a)		1,499		26,293
Nortek, Inc. (a)		664		49,534
Patrick Industries, Inc. (a)		489		14,147
PGT, Inc. (a)		2,368		23,964
Ply Gem Holdings, Inc. (a)		1,165		21,005
Quanex Building Products Corp.		2,723		54,242
Simpson Manufacturing Co., Inc.		2,980		109,455
Stock Building Supply Holdings, Inc. (a) (b)		552		10,057
Texas Industries, Inc. (a)		1,598		109,911
Trex Co., Inc. (a)		1,261		100,287
Universal Forest Products, Inc.		1,460		76,124
US Concrete, Inc. (a)		1,014		22,947
USG Corp. (a)		5,625		159,638
				1,353,183
Electrical Components & Equipment — 1.3%
Advanced Energy Industries, Inc. (a)		2,884		65,928
American Superconductor Corp. (a) (b)		3,471		5,692
Belden, Inc.		3,228		227,413
Capstone Turbine Corp. (a) (b)		22,051		28,446
Coleman Cable, Inc.		666		17,462
Encore Wire Corp.		1,519		82,330
EnerSys		3,526		247,137
Generac Holdings, Inc.		3,781		214,156
General Cable Corp.		3,652		107,405
GrafTech International Ltd. (a)		8,575		96,297
Graham Corp.		723		26,238
Greatbatch, Inc. (a)		1,755		77,641
Insteel Industries, Inc.		1,319		29,981

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

162

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

	Number of Shares		Value
Littelfuse, Inc.		1,621	$	150,640
Powell Industries, Inc.		680		45,553
PowerSecure International Inc. (a)		1,561		26,802
Revolution Lighting Technologies, Inc. (a) (b)		2,162		7,405
SunPower Corp. (a) (b)		3,027		90,235
Universal Display Corp. (a) (b)		2,952		101,431
Vicor Corp. (a)		1,330		17,849
				1,666,041
Electronics — 2.2%
American Science & Engineering, Inc.		601		43,218
Analogic Corp.		900		79,704
Applied Optoelectronics, Inc. (a)		326		4,893
Badger Meter, Inc.		1,061		57,824
Bel Fuse, Inc. Class B		699		14,896
Benchmark Electronics, Inc. (a)		3,994		92,182
Brady Corp. Class A		3,396		105,038
Checkpoint Systems, Inc. (a)		3,013		47,515
Coherent, Inc. (a)		1,783		132,637
Control4 Corp. (a) (b)		310		5,487
CTS Corp.		2,473		49,237
Daktronics, Inc.		2,687		42,132
Electro Scientific Industries, Inc.		1,706		17,845
Fabrinet (a)		2,087		42,909
Faro Technologies, Inc. (a)		1,254		73,108
FEI Co.		3,060		273,442
Fluidigm Corp. (a)		1,866		71,505
II-VI, Inc. (a)		3,751		66,018
InvenSense, Inc. (a) (b)		4,169		86,632
Itron, Inc. (a)		2,900		120,147
Kemet Corp. (a)		3,206		18,082
Measurement Specialties, Inc. (a)		1,134		68,822
Mesa Laboratories, Inc.		198		15,559
Methode Electronics, Inc.		2,721		93,031
Multi-Fineline Electronix, Inc. (a)		709		9,848
Newport Corp. (a)		2,872		51,897
NVE Corp. (a)		354		20,631
OSI Systems, Inc. (a)		1,463		77,700
Park Electrochemical Corp.		1,541		44,258
Plexus Corp. (a)		2,502		108,312
Rofin-Sinar Technologies, Inc. (a)		2,082		56,256
Rogers Corp. (a)		1,252		76,998
Sanmina Corp. (a)		6,074		101,436
Sparton Corp. (a)		737		20,599
Stoneridge, Inc. (a)		2,057		26,227
Taser International, Inc. (a)		3,765		59,788
TTM Technologies, Inc. (a)		3,873		33,230
Viasystems Group, Inc. (a)		261		3,570
Vishay Precision Group, Inc. (a)		900		13,401
Watts Water Technologies, Inc. Class A		2,088		129,185
Woodward, Inc.		5,043		230,011

	Number of Shares		Value
Zagg, Inc. (a)		2,155	$	9,374
Zygo Corp. (a)		1,199		17,721
				2,712,305
Engineering & Construction — 0.6%
Aegion Corp. (a)		2,877		62,978
Argan, Inc.		1,010		27,836
Dycom Industries, Inc. (a)		2,437		67,724
EMCOR Group, Inc.		4,922		208,890
Engility Holdings, Inc. (a)		1,263		42,184
Granite Construction, Inc.		2,851		99,728
Layne Christensen Co. (a)		1,416		24,185
Mistras Group, Inc. (a)		1,141		23,824
MYR Group, Inc. (a)		1,549		38,849
Orion Marine Group, Inc. (a)		1,950		23,458
Sterling Construction Co., Inc. (a)		1,224		14,358
Tutor Perini Corp. (a)		2,725		71,667
VSE Corp.		311		14,931
				720,612
Environmental Controls — 0.6%
Advanced Emissions Solutions, Inc. (a)		790		42,842
Calgon Carbon Corp. (a)		3,973		81,724
Casella Waste Systems, Inc. Class A (a)		2,786		16,159
Ceco Environmental Corp. (b)		1,269		20,520
Darling International, Inc. (a)		11,607		242,354
Energy Recovery, Inc. (a) (b)		3,140		17,458
GSE Holding, Inc. (a)		543		1,124
Heritage-Crystal Clean, Inc. (a)		641		13,134
Mine Safety Appliances Co.		2,080		106,517
Nuverra Environmental Solutions, Inc. (a) (b)		1,106		18,570
Pure Cycle Corp. (a) (b)		1,392		8,811
Rentech, Inc. (a)		16,541		28,947
Tetra Technologies, Inc. (a)		4,765		133,325
TRC Cos., Inc. (a)		1,116		7,968
US Ecology, Inc.		1,583		58,872
				798,325
Hand & Machine Tools — 0.1%
Franklin Electric Co., Inc.		3,480		155,347
Hardinge, Inc.		883		12,777
				168,124
Machinery – Construction & Mining — 0.1%
Astec Industries, Inc.		1,501		57,984
Hyster-Yale Materials Handling, Inc.		772		71,919
				129,903
Machinery – Diversified — 1.5%
Alamo Group, Inc.		517		31,377
Albany International Corp. Class A		2,057		73,908
Altra Industrial Motion Corp.		1,982		67,824

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

163

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

	Number of Shares		Value
Applied Industrial Technologies, Inc.		3,091	$	151,737
Briggs & Stratton Corp.		3,535		76,922
Chart Industries, Inc. (a)		2,225		212,799
Cognex Corp.		6,373		243,321
Columbus McKinnon Corp. (a)		1,438		39,027
DXP Enterprises, Inc. (a)		695		80,064
The ExOne Co. (a) (b)		478		28,900
Flow International Corp. (a)		3,584		14,479
Global Power Equipment Group, Inc.		1,236		24,188
Gorman-Rupp Co.		1,387		46,367
Hurco Cos., Inc.		470		11,755
iRobot Corp. (a)		2,074		72,113
Kadant, Inc.		825		33,429
Lindsay Corp. (b)		944		78,116
Manitex International, Inc. (a)		1,029		16,341
The Middleby Corp. (a)		1,378		330,679
NACCO Industries, Inc. Class A		359		22,326
Power Solutions International, Inc. (a)		157		11,791
Proto Labs, Inc. (a)		1,253		89,189
Tecumseh Products Co. Class A (a)		1,467		13,276
Tennant Co.		1,352		91,679
Twin Disc, Inc.		612		15,845
				1,877,452
Manufacturing — 2.1%
Actuant Corp. Class A		5,364		196,537
Acuity Brands, Inc.		3,142		343,483
American Railcar Industries, Inc. (b)		688		31,476
AZZ, Inc.		1,869		91,319
Barnes Group, Inc.		3,944		151,095
Blount International, Inc. (a)		3,623		52,425
The Brink’s Co.		3,523		120,275
Chase Corp.		479		16,909
CLARCOR, Inc.		3,637		234,041
EnPro Industries, Inc. (a)		1,530		88,204
ESCO Technologies, Inc.		1,942		66,533
Federal Signal Corp. (a)		4,584		67,156
FreightCar America, Inc.		870		23,159
GP Strategies Corp. (a)		1,071		31,905
Griffon Corp.		3,289		43,448
Handy & Harman Ltd. (a)		381		9,224
John Bean Technologies Corp.		2,122		62,238
Koppers Holdings, Inc.		1,521		69,586
LSB Industries, Inc. (a)		1,403		57,551
Lydall, Inc. (a)		1,218		21,461
Matthews International Corp. Class A		2,043		87,052
Myers Industries, Inc.		2,074		43,803
NL Industries, Inc.		520		5,814
Park-Ohio Holdings Corp. (a)		635		33,274
PMFG, Inc. (a)		1,570		14,208
Polypore International, Inc. (a) (b)		3,423		133,155
Raven Industries, Inc.		2,672		109,926
Smith & Wesson Holding Corp. (a) (b)		4,093		55,215

	Number of Shares		Value
Standex International Corp.		934	$	58,730
Sturm, Ruger & Co., Inc. (b)		1,418		103,642
Tredegar Corp.		1,809		52,117
Trimas Corp. (a)		3,296		131,477
				2,606,438
Metal Fabricate & Hardware — 0.9%
A.M. Castle & Co. (a)		1,232		18,197
Ampco-Pittsburgh Corp.		625		12,156
Circor International, Inc.		1,288		104,045
Commercial Metals Co.		8,565		174,126
Dynamic Materials Corp.		978		21,262
Global Brass & Copper Holdings, Inc.		578		9,566
Haynes International, Inc.		910		50,268
L.B. Foster Co. Class A		750		35,468
Mueller Industries, Inc.		2,061		129,864
Mueller Water Products, Inc. Class A		11,587		108,570
NN, Inc.		1,241		25,056
Northwest Pipe Co. (a)		682		25,752
Omega Flex, Inc.		198		4,051
RBC Bearings, Inc. (a)		1,690		119,568
Rexnord Corp. (a)		2,226		60,124
Sun Hydraulics Corp.		1,581		64,552
Worthington Industries, Inc.		3,877		163,144
				1,125,769
Packaging & Containers — 0.2%
AEP Industries, Inc. (a)		301		15,902
Berry Plastics Group, Inc. (a)		4,062		96,635
Graphic Packaging Holding Co. (a)		14,365		137,904
UFP Technologies, Inc. (a)		398		10,038
				260,479
Transportation — 1.7%
Air Transport Services Group, Inc. (a)		3,789		30,653
Arkansas Best Corp.		1,887		63,554
Atlas Air Worldwide Holdings, Inc. (a)		1,897		78,062
Bristow Group, Inc.		2,650		198,909
CAI International, Inc. (a)		1,249		29,439
Celadon Group, Inc.		1,457		28,382
Echo Global Logistics, Inc. (a)		1,288		27,666
Era Group, Inc. (a)		1,480		45,673
Forward Air Corp.		2,222		97,568
Frontline Ltd. (a) (b)		3,729		13,946
GasLog Ltd.		1,868		31,924
GulfMark Offshore, Inc. Class A		1,959		92,328
Heartland Express, Inc.		3,371		66,139
Hub Group, Inc. Class A (a)		2,717		108,354
International Shipholding Corp.		406		11,977
Knight Transportation, Inc.		4,305		78,954
Knightsbridge Tankers Ltd.		2,157		19,823
Marten Transport Ltd.		1,719		34,707
Matson, Inc.		3,132		81,776
Nordic American Tanker Shipping Ltd. (b)		5,519		53,534

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

164

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

	Number of Shares		Value
Pacer International, Inc. (a)		2,531	$	20,906
Patriot Transportation Holding, Inc. (a)		483		20,049
PHI, Inc. (a)		927		40,232
Quality Distribution, Inc. (a)		1,548		19,861
Roadrunner Transportation Systems, Inc. (a)		1,368		36,868
Saia, Inc. (a)		1,785		57,209
Scorpio Tankers, Inc.		13,555		159,813
Ship Finance International Ltd. (b)		4,115		67,404
Swift Transportation Co. (a) (b)		6,153		136,658
Teekay Tankers Ltd. Class A (b)		4,576		17,984
Ultrapetrol Bahamas Ltd. (a)		1,663		6,220
Universal Truckload Services, Inc.		389		11,868
UTI Worldwide, Inc.		6,661		116,967
Werner Enterprises, Inc.		3,347		82,771
XPO Logistics, Inc. (a)		2,158		56,734
YRC Worldwide, Inc. (a) (b)		751		13,045
				2,057,957
Trucking & Leasing — 0.3%
Aircastle Ltd.		5,021		96,202
TAL International Group, Inc. (b)		2,484		142,457
Textainer Group Holdings Ltd. (b)		1,566		62,985
The Greenbrier Cos., Inc. The (United States) (a)		1,794		58,915
				360,559
				17,653,744
Technology — 9.9%
Computers — 1.8%
Acorn Energy, Inc. (b)		1,617		6,581
Agilysys, Inc. (a)		1,041		14,491
CACI International, Inc. Class A (a)		1,685		123,376
Carbonite, Inc. (a)		922		10,907
Ciber, Inc. (a)		5,530		22,894
Computer Task Group, Inc.		1,109		20,960
Cray, Inc. (a)		2,911		79,936
Datalink Corp. (a)		1,347		14,682
Digimarc Corp.		440		8,474
Electronics for Imaging, Inc. (a)		3,409		132,031
FleetMatics Group PLC (a)		1,277		55,230
Furmanite Corp. (a)		2,710		28,780
Fusion-io, Inc. (a) (b)		5,995		53,416
Hutchinson Technology, Inc. (a)		1,992		6,374
iGATE Corp. (a)		2,554		102,569
Imation Corp. (a)		2,469		11,555
Immersion Corp. (a)		1,980		20,552
j2 Global, Inc.		3,372		168,634
The KEYW Holding Corp. (a) (b)		2,318		31,154
LivePerson, Inc. (a)		4,046		59,962
LogMeIn, Inc. (a)		1,795		60,222
Luxoft Holding, Inc. (a)		334		12,685
Manhattan Associates, Inc. (a)		1,428		167,761

	Number of Shares		Value
Maxwell Technologies, Inc. (a)		2,083	$	16,185
Mentor Graphics Corp.		6,996		168,394
Mercury Computer Systems, Inc. (a)		2,329		25,503
Mitek Systems, Inc. (a) (b)		1,759		10,449
MTS Systems Corp.		1,161		82,721
Netscout Systems, Inc. (a)		2,661		78,739
Nimble Storage, Inc. (a) (b)		7		317
Quantum Corp. (a)		15,113		18,136
RadiSys Corp. (a)		1,811		4,147
RealD, Inc. (a)		2,916		24,903
Silicon Graphics International Corp. (a) (b)		2,468		33,096
Silver Spring Networks, Inc. (a)		447		9,387
Spansion, Inc. Class A (a)		3,479		48,323
Super Micro Computer, Inc. (a)		2,349		40,309
Sykes Enterprises, Inc. (a)		2,890		63,031
Synaptics, Inc. (a)		2,385		123,567
Syntel, Inc.		1,130		102,774
Uni-Pixel, Inc. (a) (b)		820		8,208
Unisys Corp. (a)		3,237		108,666
Violin Memory, Inc. (a) (b)		1,498		5,932
Virtusa Corp. (a)		1,504		57,287
				2,243,300
Office Equipment/Supplies — 0.0%
Arc Document Solutions, Inc. (a)		2,742		22,539
Compx International, Inc.		52		732
				23,271
Semiconductors — 3.0%
Aeroflex Holding Corp. (a)		1,418		9,217
Alpha & Omega Semiconductor Ltd. (a)		1,379		10,632
Ambarella, Inc. (a)		1,359		46,111
Amkor Technology, Inc. (a) (b)		5,088		31,189
ANADIGICS, Inc. (a)		5,830		10,727
Applied Micro Circuits Corp. (a)		5,370		71,851
ATMI, Inc. (a)		2,345		70,842
Axcelis Technologies, Inc. (a)		7,904		19,286
Brooks Automation, Inc.		4,904		51,443
Cabot Microelectronics Corp. (a)		1,712		78,238
Cavium, Inc. (a)		3,771		130,137
Ceva, Inc. (a)		1,584		24,108
Cirrus Logic, Inc. (a)		4,650		95,000
Cohu, Inc.		1,781		18,701
Cypress Semiconductor Corp.		10,791		113,306
Diodes, Inc. (a)		2,636		62,104
DSP Group, Inc. (a)		1,457		14,147
Emulex Corp. (a)		5,923		42,409
Entegris, Inc. (a)		10,243		118,819
Entropic Communications, Inc. (a)		6,523		30,723
Exar Corp. (a)		2,796		32,965
Formfactor, Inc. (a)		3,855		23,207
GSI Group, Inc. (a)		2,181		24,514

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

165

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

	Number of Shares		Value
GSI Technology, Inc. (a)		1,453	$	9,648
GT Advanced Technologies, Inc. (a) (b)		9,853		85,918
Hittite Microwave Corp. (a)		2,316		142,967
Inphi Corp. (a)		1,857		23,955
Integrated Device Technology, Inc. (a)		9,678		98,619
Integrated Silicon Solution, Inc. (a)		2,017		24,386
Intermolecular, Inc. (a)		1,343		6,608
International Rectifier Corp. (a)		5,098		132,905
Intersil Corp. Class A		9,334		107,061
IXYS Corp.		1,784		23,138
Kopin Corp. (a)		4,906		20,703
Lattice Semiconductor Corp. (a)		8,512		46,901
LTX-Credence Corp. (a)		3,429		27,398
MaxLinear, Inc. Class A (a)		1,716		17,898
Micrel, Inc.		3,390		33,459
Microsemi Corp. (a)		6,822		170,209
MKS Instruments, Inc.		3,897		116,676
Monolithic Power Systems, Inc. (a)		2,701		93,617
MoSys, Inc. (a)		3,480		19,210
Nanometrics, Inc. (a)		1,684		32,080
OmniVision Technologies, Inc. (a)		3,965		68,198
Peregrine Semiconductor Corp. (a) (b)		1,906		14,123
Pericom Semiconductor Corp. (a)		1,735		15,372
Photronics, Inc. (a)		4,480		40,454
PLX Technology, Inc. (a)		3,280		21,582
PMC-Sierra, Inc. (a)		14,986		96,360
Power Integrations, Inc.		2,127		118,729
QLogic Corp. (a)		6,543		77,404
Rambus, Inc. (a)		8,199		77,645
Richardson Electronics Ltd.		902		10,247
Rubicon Technology, Inc. (a) (b)		1,356		13,492
Rudolph Technologies, Inc. (a)		2,362		27,730
Semtech Corp. (a)		4,946		125,035
Sigma Designs, Inc. (a)		2,211		10,436
Silicon Image, Inc. (a)		5,628		34,612
SunEdison, Inc. (a)		19,550		255,127
Supertex, Inc. (a)		711		17,811
Tessera Technologies, Inc.		3,882		76,514
TriQuint Semiconductor, Inc. (a)		11,987		99,972
Ultra Clean Holdings, Inc. (a)		1,738		17,432
Ultratech, Inc. (a)		2,039		59,131
Veeco Instruments, Inc. (a)		2,878		94,715
				3,735,153
Software — 5.1%
Accelrys, Inc. (a)		4,142		39,515
ACI Worldwide, Inc. (a)		2,923		189,995
Actuate Corp. (a)		3,443		26,545
Acxiom Corp. (a)		5,423		200,543
Advent Software, Inc.		2,397		83,871
American Software, Inc. /Georgia Class A		1,763		17,401
Aspen Technology, Inc. (a)		6,874		287,333

	Number of Shares		Value
Athenahealth, Inc. (a) (b)		2,695	$	362,477
Audience, Inc. (a)		667		7,764
AVG Technologies NV (a)		1,734		29,842
Avid Technology, Inc. (a)		2,265		18,460
Benefitfocus, Inc. (a) (b)		365		21,075
Blackbaud, Inc.		3,351		126,165
Bottomline Technologies, Inc. (a)		2,779		100,489
BroadSoft, Inc. (a)		2,062		56,375
Callidus Software, Inc. (a)		2,969		40,764
CommVault Systems, Inc. (a)		3,410		255,341
Computer Programs & Systems, Inc.		815		50,375
Cornerstone OnDemand, Inc. (a)		2,964		158,100
CSG Systems International, Inc.		2,493		73,294
Cvent, Inc. (a)		450		16,375
Demandware, Inc. (a)		1,355		86,883
Digi International, Inc. (a)		1,885		22,846
E2open, Inc. (a) (b)		1,065		25,464
Ebix, Inc. (b)		2,275		33,488
Envestnet, Inc. (a)		1,660		66,898
EPAM Systems, Inc. (a)		1,605		56,079
EPIQ Systems, Inc.		2,318		37,575
Fair Isaac Corp.		2,632		165,395
Glu Mobile, Inc. (a) (b)		4,467		17,377
Guidance Software, Inc. (a)		1,211		12,231
Guidewire Software, Inc. (a)		3,581		175,720
Imperva, Inc. (a)		1,482		71,329
inContact, Inc. (a)		3,894		30,412
Infoblox, Inc. (a)		3,888		128,382
InnerWorkings, Inc. (a)		3,185		24,811
Interactive Intelligence Group, Inc. (a)		1,137		76,588
Jive Software, Inc. (a)		2,888		32,490
ManTech International Corp. Class A		1,750		52,377
MedAssets, Inc. (a)		4,473		88,700
Medidata Solutions, Inc. (a)		3,901		236,284
MicroStrategy, Inc. Class A (a)		665		82,620
Model N, Inc. (a)		593		6,991
Monotype Imaging Holdings, Inc.		2,808		89,463
Omnicell, Inc. (a)		2,521		64,361
PDF Solutions, Inc. (a)		1,848		47,346
Pegasystems, Inc.		1,278		62,852
Planet Payment, Inc. (a)		3,297		9,166
Progress Software Corp. (a)		3,818		98,619
Proofpoint, Inc. (a)		1,690		56,057
PROS Holdings, Inc. (a)		1,655		66,034
PTC, Inc. (a)		8,772		310,441
QAD, Inc.		464		8,194
QLIK Technologies, Inc. (a)		6,385		170,033
Quality Systems, Inc.		2,929		61,685
Qualys, Inc. (a)		1,072		24,774
Rally Software Development Corp. (a)		507		9,861
RealPage, Inc. (a)		3,420		79,960
Rocket Fuel, Inc. (a) (b)		354		21,767
Rosetta Stone, Inc. (a)		868		10,607

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

166

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

	Number of Shares		Value
Sapiens International Corp. NV		1,542	$	11,889
Schawk, Inc.		992		14,751
SciQuest, Inc. (a)		1,675		47,704
Seachange International, Inc. (a)		2,371		28,831
SS&C Technologies Holdings, Inc (a)		4,273		189,123
Synchronoss Technologies, Inc. (a)		2,141		66,521
SYNNEX Corp. (a)		1,936		130,486
Take-Two Interactive Software, Inc. (a)		5,944		103,247
Tangoe, Inc./CT (a) (b)		2,276		40,991
TiVo, Inc. (a)		9,290		121,885
Tyler Technologies, Inc. (a)		2,312		236,125
The Ultimate Software Group, Inc. (a)		2,028		310,730
Verint Systems, Inc. (a)		3,863		165,877
				6,352,419
				12,354,143
Utilities — 3.0%
Electric — 1.8%
Allete, Inc.		2,923		145,799
Ameresco, Inc. Class A (a)		1,439		13,901
Atlantic Power Corp. (b)		8,671		30,175
Avista Corp.		4,378		123,416
Black Hills Corp.		3,258		171,078
Cleco Corp.		4,428		206,433
Dynegy, Inc. (a) (b)		7,343		158,021
El Paso Electric Co.		2,959		103,890
The Empire District Electric Co.		3,137		71,179
EnerNOC, Inc. (a)		1,918		33,009
Genie Energy Ltd. Class B (a)		892		9,107
IDACORP, Inc.		3,683		190,927
MGE Energy, Inc.		1,707		98,835
NorthWestern Corp.		2,776		120,256
NRG Yield, Inc. Class A		1,656		66,257
Ormat Technologies, Inc. (b)		1,288		35,046
Otter Tail Corp.		2,672		78,209
Pike Corp. (a)		1,842		19,470
Portland General Electric Co.		5,544		167,429
UIL Holdings Corp.		4,142		160,503
Unitil Corp.		1,016		30,978
UNS Energy Corp.		3,041		182,004
				2,215,922
Gas — 0.9%
Chesapeake Utilities Corp.		710		42,614
Delta Natural Gas Co., Inc.		540		12,085
The Laclede Group, Inc.		2,393		108,977
New Jersey Resources Corp.		3,073		142,096
Northwest Natural Gas Co.		1,972		84,441
Piedmont Natural Gas Co., Inc.		5,518		182,977
PNM Resources, Inc.		5,840		140,861
South Jersey Industries, Inc.		2,347		131,338

	Number of Shares		Value
Southwest Gas Corp.		3,388	$	189,423
WGL Holdings, Inc.		3,796		152,068
				1,186,880
Water — 0.3%
American States Water Co.		2,834		81,421
Artesian Resources Corp. Class A		552		12,668
California Water Service Group		3,516		81,114
Connecticut Water Service, Inc.		795		28,230
Consolidated Water Co., Inc.		1,070		15,087
Middlesex Water Co.		1,150		24,081
Pico Holdings, Inc. (a)		1,679		38,802
SJW Corp.		1,149		34,229
York Water Co.		928		19,423
				335,055
				3,737,857
TOTAL COMMON STOCK (Cost $97,473,109)				122,357,696
TOTAL EQUITIES (Cost $97,473,109)				122,357,696
WARRANTS — 0.0%
Consumer, Non-cyclical — 0.0%
Agriculture — 0.0%
Magnum Hunter Resources Corp., Expires 4/15/16 (a) (b) (c)		1,427		-
Tejon Ranch Co., Expires 8/31/16 Strike 40.00 (United States) (a)		169		904
				904
TOTAL WARRANTS (Cost $863)				904
RIGHTS — 0.0%
Consumer, Non-cyclical — 0.0%
Biotechnology — 0.0%
Cubist Pharmaceuticals, Inc. Expires 12/31/16 (a) (b)		3,409		4,602
Energy — 0.0%
Oil & Gas — 0.0%
EXCO Resources, Inc. Expires 1/9/14 (a)		10,524		1,684
TOTAL RIGHTS (Cost $7,576)				6,286
MUTUAL FUNDS — 11.2%
Diversified Financial — 11.2%
Firsthand Technology Value Fund, Inc.		637		14,759

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

167

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

	Number of Shares		Value
State Street Navigator Securities Lending Prime Portfolio (d)		13,876,893	$	13,876,893
				13,891,652
TOTAL MUTUAL FUNDS (Cost $13,889,221)				13,891,652
TOTAL LONG-TERM INVESTMENTS (Cost $111,370,769)				136,256,538
	Principal Amount
SHORT-TERM INVESTMENTS — 1.5%
Repurchase Agreement — 1.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (e)	$	1,552,756		1,552,756
Time Deposits — 0.0%
Euro Time Deposit 0.010% 1/02/14		3,950		3,950
U.S. Treasury Bills — 0.3%
U.S. Treasury Bill (f) 0.000% 4/10/14		325,000		324,955
TOTAL SHORT-TERM INVESTMENTS (Cost $1,881,661)				1,881,661
TOTAL INVESTMENTS —111.0% (Cost $113,252,430) (g)				138,138,199
Other Assets/(Liabilities) — (11.0)%				(13,733,441	)
NET ASSETS — 100.0%			$	124,404,758

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $13,461,135. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2013, these securities amounted to a value of $3,933 or 0.00% of net assets.

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

(e) Maturity value of $1,552,756. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/25/39, and an aggregate market value, including accrued interest, of $1,584,499.

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

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

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

168

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

December 31, 2013

	Number of Shares		Value
EQUITIES — 97.0%
COMMON STOCK — 96.7%
Basic Materials — 3.3%
Chemicals — 2.6%
Albemarle Corp.		30,800	$	1,952,412
Celanese Corp. Series A		248,800		13,761,128
Cytec Industries, Inc.		26,000		2,422,160
FMC Corp.		136,200		10,277,652
Rockwood Holdings, Inc.		213,000		15,318,960
The Sherwin-Williams Co.		21,660		3,974,610
				47,706,922
Mining — 0.7%
Franco-Nevada Corp.		191,000		7,783,846
Agnico-Eagle Mines Ltd.		223,000		5,882,740
				13,666,586
				61,373,508
Communications — 8.3%
Advertising — 0.1%
Aimia, Inc. (a)		58,600		1,076,287
Internet — 3.8%
Akamai Technologies, Inc. (b)		371,500		17,527,370
Cogent Communications Group, Inc.		43,500		1,757,835
Dropbox, Inc. (b) (c)		32,717		296,059
FireEye, Inc. (a) (b)		12,000		523,320
Groupon, Inc. (b)		726,000		8,545,020
LinkedIn Corp. (b)		19,000		4,119,770
Netflix, Inc. (b)		29,500		10,861,015
Rackspace Hosting, Inc. (b)		95,000		3,717,350
TripAdvisor, Inc. (b)		39,000		3,230,370
Twitter, Inc. (a) (b)		31,000		1,973,150
VeriSign, Inc. (b)		270,000		16,140,600
Yelp, Inc. (b)		27,000		1,861,650
zulily, Inc. Class A (a) (b)		22,000		911,460
				71,464,969
Media — 2.2%
Charter Communications, Inc. Class A (b)		111,000		15,180,360
Discovery Communications, Inc. Series A (b)		60,600		5,479,452
Discovery Communications, Inc. Series C (b)		48,000		4,025,280
FactSet Research Systems, Inc. (a)		128,000		13,898,240
Pandora Media, Inc. (b)		65,400		1,739,640
				40,322,972
Telecommunications — 2.2%
DigitalGlobe, Inc. (b)		315,000		12,962,250
JDS Uniphase Corp. (b)		989,000		12,837,220
Motorola Solutions, Inc.		223,000		15,052,500
				40,851,970
				153,716,198

	Number of Shares		Value
Consumer, Cyclical — 16.4%
Airlines — 0.4%
Alaska Air Group, Inc.		92,200	$	6,764,714
Apparel — 0.2%
VF Corp.		74,016		4,614,158
Auto Manufacturers — 0.2%
Tesla Motors, Inc. (a) (b)		29,000		4,361,020
Automotive & Parts — 1.1%
Delphi Automotive PLC		92,200		5,543,986
TRW Automotive Holdings Corp. (b)		71,100		5,289,129
WABCO Holdings, Inc. (b)		95,000		8,873,950
				19,707,065
Distribution & Wholesale — 1.5%
Fastenal Co.		334,000		15,868,340
LKQ Corp. (b)		202,500		6,662,250
WESCO International, Inc. (b)		49,900		4,544,393
				27,074,983
Home Furnishing — 0.5%
Harman International Industries, Inc.		112,000		9,167,200
Leisure Time — 1.7%
Harley-Davidson, Inc.		262,300		18,161,652
Norwegian Cruise Line Holdings Ltd. (b)		351,000		12,449,970
				30,611,622
Lodging — 1.6%
Choice Hotels International, Inc. (a)		171,000		8,397,810
Marriott International, Inc. Class A		255,000		12,586,800
Starwood Hotels & Resorts Worldwide, Inc.		79,600		6,324,220
Wyndham Worldwide Corp.		40,400		2,977,076
				30,285,906
Retail — 9.2%
AutoZone, Inc. (b)		32,000		15,294,080
Bed Bath & Beyond, Inc. (b)		37,300		2,995,190
CarMax, Inc. (b)		500,400		23,528,808
Chipotle Mexican Grill, Inc. (b)		20,840		11,103,135
Coach, Inc.		143,000		8,026,590
Dick’s Sporting Goods, Inc.		42,700		2,480,870
Dollar General Corp. (b)		286,000		17,251,520
Dollar Tree, Inc. (b)		207,000		11,678,940
DSW, Inc. Class A		251,900		10,763,687
Dunkin’ Brands Group, Inc.		56,300		2,713,660
GNC Holdings, Inc. Class A		148,500		8,679,825
Kohl’s Corp.		121,000		6,866,750
L Brands, Inc.		95,000		5,875,750
O’Reilly Automotive, Inc. (b)		152,900		19,679,759
Panera Bread Co. Class A (b)		25,000		4,417,250
PVH Corp.		23,400		3,182,868
Rite Aid Corp. (b)		1,146,000		5,798,760

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

169

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

	Number of Shares		Value
Tiffany & Co.		30,200	$	2,801,956
Tim Hortons, Inc.		143,000		8,348,340
				171,487,738
				304,074,406
Consumer, Non-cyclical — 26.7%
Beverages — 0.5%
Brown-Forman Corp. Class B		50,925		3,848,402
Green Mountain Coffee Roasters, Inc. (a) (b)		71,000		5,366,180
				9,214,582
Biotechnology — 4.1%
Alexion Pharmaceuticals, Inc. (b)		64,000		8,515,840
Alkermes PLC (b)		494,800		20,118,568
Illumina, Inc. (b)		117,400		12,986,788
Incyte Corp. (b)		217,300		11,001,899
Intrexon Corp. (a) (b)		52,000		1,237,600
Puma Biotechnology, Inc. (b)		32,000		3,312,960
Regeneron Pharmaceuticals, Inc. (b)		35,000		9,633,400
Vertex Pharmaceuticals, Inc. (b)		115,000		8,544,500
				75,351,555
Commercial Services — 8.3%
Alliance Data Systems Corp. (b)		42,200		11,095,646
ARAMARK Holdings Corp. (b)		155,600		4,079,832
CoreLogic, Inc. (b)		286,000		10,161,580
Equifax, Inc.		191,000		13,196,190
Gartner, Inc. (b)		311,300		22,117,865
Global Payments, Inc.		159,000		10,333,410
Hertz Global Holdings, Inc. (b)		477,000		13,651,740
KAR Auction Services, Inc.		124,910		3,691,091
Manpower, Inc.		190,000		16,313,400
MAXIMUS, Inc.		44,200		1,944,358
Quanta Services, Inc. (b)		552,000		17,421,120
Vantiv, Inc. Class A (b)		368,000		12,000,480
Verisk Analytics, Inc. Class A (b)		182,000		11,961,040
WEX, Inc. (b)		49,400		4,892,082
				152,859,834
Foods — 2.1%
Dean Foods Co. (b)		317,000		5,449,230
The Fresh Market, Inc. (b)		64,000		2,592,000
Sprouts Farmers Market, Inc. (b)		18,000		691,740
TreeHouse Foods, Inc. (b)		127,000		8,752,840
WhiteWave Foods Co. Class A (b)		526,000		12,066,440
Whole Foods Market, Inc.		159,000		9,194,970
				38,747,220
Health Care – Products — 3.9%
Bruker Corp. (b)		477,000		9,430,290
CareFusion Corp. (b)		398,000		15,848,360
The Cooper Cos., Inc.		144,600		17,907,264
Henry Schein, Inc. (b)		128,000		14,625,280

	Number of Shares		Value
IDEXX Laboratories, Inc. (b)		139,000	$	14,785,430
				72,596,624
Health Care – Services — 3.8%
Catamaran Corp. (b)		90,316		4,288,204
Covance, Inc. (b)		250,000		22,015,000
Envision Healthcare Holdings, Inc. (b)		127,000		4,511,040
Laboratory Corporation of America Holdings (b)		164,000		14,984,680
MEDNAX, Inc. (b)		262,670		14,021,324
Universal Health Services, Inc. Class B		134,000		10,888,840
				70,709,088
Pharmaceuticals — 4.0%
Actavis PLC (b)		69,500		11,676,000
Alnylam Pharmaceuticals, Inc. (b)		64,000		4,117,120
Cubist Pharmaceuticals, Inc. (b)		48,000		3,305,760
DENTSPLY International, Inc.		382,000		18,519,360
Hospira, Inc. (b)		229,000		9,453,120
Mylan, Inc. (b)		140,600		6,102,040
Perrigo Co. PLC (a)		55,100		8,455,646
Pharmacyclics, Inc. (b)		48,000		5,077,440
Sirona Dental Systems, Inc. (b)		32,000		2,246,400
Valeant Pharmaceuticals International, Inc. (b)		48,000		5,635,200
				74,588,086
				494,066,989
Energy — 6.0%
Coal — 0.5%
CONSOL Energy, Inc.		237,000		9,015,480
Oil & Gas — 5.2%
Antero Resources Corp. (b)		28,000		1,776,320
Cabot Oil & Gas Corp.		148,000		5,736,480
Concho Resources, Inc. (b)		118,400		12,787,200
Continental Resources, Inc. (a) (b)		49,700		5,592,244
EQT Corp.		223,000		20,020,940
InterOil Corp. (a) (b)		40,400		2,080,196
Pioneer Natural Resources Co.		51,000		9,387,570
Range Resources Corp.		207,000		17,452,170
SandRidge Energy, Inc. (a) (b)		494,800		3,003,436
SM Energy Co.		218,000		18,117,980
				95,954,536
Oil & Gas Services — 0.3%
Cameron International Corp. (b)		68,800		4,095,664
Oceaneering International, Inc.		24,300		1,916,784
				6,012,448
				110,982,464
Financial — 7.1%
Banks — 0.3%
Signature Bank (b)		52,500		5,639,550

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

170

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

	Number of Shares		Value
Diversified Financial — 2.7%
CBOE Holdings, Inc.		239,000	$	12,418,440
The Charles Schwab Corp.		126,000		3,276,000
E*TRADE Financial Corp. (b)		267,000		5,243,880
IntercontinentalExchange, Inc.		46,000		10,346,320
Raymond James Financial, Inc.		90,500		4,723,195
TD Ameritrade Holding Corp.		445,000		13,634,800
				49,642,635
Insurance — 3.5%
Allied World Assurance Co. Holdings Ltd.		55,900		6,306,079
Aon PLC		52,200		4,379,058
Arthur J. Gallagher & Co.		81,400		3,820,102
Fidelity National Financial, Inc. Class A		620,000		20,119,000
HCC Insurance Holdings, Inc.		255,000		11,765,700
The Progressive Corp.		414,000		11,289,780
Willis Group Holdings PLC		175,000		7,841,750
				65,521,469
Real Estate — 0.6%
Jones Lang LaSalle, Inc.		110,000		11,262,900
				132,066,554
Industrial — 17.2%
Aerospace & Defense — 0.8%
BE Aerospace, Inc. (b)		170,300		14,821,209
Building Materials — 0.9%
Armstrong World Industries, Inc. (b)		68,500		3,946,285
Eagle Materials, Inc.		70,600		5,466,558
Martin Marietta Materials, Inc.		76,000		7,595,440
				17,008,283
Electrical Components & Equipment — 1.9%
AMETEK, Inc.		318,000		16,749,060
The Babcock & Wilcox Co.		525,000		17,949,750
				34,698,810
Electronics — 2.7%
Agilent Technologies, Inc.		278,000		15,898,820
Amphenol Corp. Class A		51,600		4,601,688
FEI Co.		30,000		2,680,800
Imax Corp. (a) (b)		151,200		4,457,376
Mettler-Toledo International, Inc. (b)		14,000		3,396,260
Sensata Technologies Holding NV (b)		286,000		11,088,220
Trimble Navigation Ltd. (b)		220,000		7,634,000
				49,757,164
Engineering & Construction — 0.5%
Chicago Bridge & Iron Co. NV		56,000		4,655,840
Jacobs Engineering Group, Inc. (b)		69,200		4,358,908
				9,014,748

	Number of Shares		Value
Environmental Controls — 0.4%
Stericycle, Inc. (b)		21,200	$	2,462,804
Waste Connections, Inc.		127,000		5,541,010
				8,003,814
Machinery – Diversified — 2.6%
Chart Industries, Inc. (b)		11,600		1,109,424
IDEX Corp.		293,000		21,638,050
Nordson Corp.		64,000		4,755,200
Roper Industries, Inc.		130,000		18,028,400
Wabtec Corp.		45,400		3,371,858
				48,902,932
Manufacturing — 4.4%
Acuity Brands, Inc.		87,000		9,510,840
Colfax Corp. (b)		176,000		11,209,440
Pall Corp.		297,600		25,400,160
Pentair Ltd.		58,300		4,528,161
Teleflex, Inc.		79,000		7,414,940
Textron, Inc.		652,000		23,967,520
				82,031,061
Metal Fabricate & Hardware — 0.3%
Rexnord Corp. (b)		194,700		5,258,847
Packaging & Containers — 0.5%
Ball Corp.		159,000		8,213,940
Transportation — 2.2%
Genesee & Wyoming, Inc. Class A (b)		53,100		5,100,255
J.B. Hunt Transport Services, Inc.		163,100		12,607,630
Kansas City Southern		95,000		11,763,850
Kirby Corp. (b)		56,000		5,558,000
United Continental Holdings, Inc. (b)		137,400		5,197,842
				40,227,577
				317,938,385
Technology — 11.2%
Computers — 2.1%
Cadence Design Systems, Inc. (b)		373,900		5,242,078
IHS, Inc. Class A (b)		239,900		28,716,030
Jack Henry & Associates, Inc.		99,800		5,909,158
				39,867,266
Semiconductors — 3.9%
Altera Corp.		331,000		10,767,430
Atmel Corp. (b)		1,008,000		7,892,640
Avago Technologies Ltd.		258,400		13,666,776
Cree, Inc. (b)		63,000		3,941,910
IPG Photonics Corp. (a) (b)		88,000		6,829,680
Microchip Technology, Inc. (a)		126,000		5,638,500
NXP Semiconductor NV (b)		138,000		6,338,340
Xilinx, Inc.		367,000		16,852,640
				71,927,916

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

171

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

	Number of Shares		Value
Software — 5.2%
Cerner Corp. (b)		42,100	$	2,346,654
Citrix Systems, Inc. (b)		30,600		1,935,450
Concur Technologies, Inc. (a) (b)		111,000		11,452,980
Electronic Arts, Inc. (b)		208,600		4,785,284
Fidelity National Information Services, Inc.		127,000		6,817,360
Fiserv, Inc. (b)		454,000		26,808,700
MSCI, Inc. (b)		228,000		9,968,160
Red Hat, Inc. (b)		328,000		18,381,120
Servicenow, Inc. (b)		159,000		8,905,590
Veeva Systems, Inc. Class A (a) (b)		13,000		417,300
Workday, Inc. Class A (b)		57,000		4,740,120
				96,558,718
				208,353,900
Utilities — 0.5%
Electric — 0.5%
Calpine Corp. (b)		475,000		9,267,250
TOTAL COMMON STOCK (Cost $1,163,278,562)				1,791,839,654
PREFERRED STOCK — 0.3%
Communications — 0.3%
Internet — 0.3%
Coupons.com (b) (c)		503,736		2,921,669
Dropbox, Inc. Series A (b) (c)		40,629		367,656
Dropbox, Inc. Series A 1 (b) (c)		199,577		1,805,992
Living Social (b) (c)		586,650		351,990
				5,447,307
TOTAL PREFERRED STOCK (Cost $8,256,006)				5,447,307
TOTAL EQUITIES (Cost $1,171,534,568)				1,797,286,961
MUTUAL FUNDS — 4.2%
Diversified Financial — 4.2%
State Street Navigator Securities Lending Prime Portfolio (d)		68,275,048		68,275,048
T. Rowe Price Government Reserve Investment Fund		9,516,029		9,516,029
				77,791,077
TOTAL MUTUAL FUNDS (Cost $77,791,077)				77,791,077
TOTAL LONG-TERM INVESTMENTS (Cost $1,249,325,645)				1,875,078,038

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.9%
Repurchase Agreement — 2.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (e)	$	54,403,715	$	54,403,715
TOTAL SHORT-TERM INVESTMENTS (Cost $54,403,715)				54,403,715
TOTAL INVESTMENTS — 104.1% (Cost $1,303,729,360) (f)				1,929,481,753
Other Assets/(Liabilities) — (4.1)%				(75,631,406	)
NET ASSETS — 100.0%			$	1,853,850,347

Notes to Portfolio of Investments

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $66,752,420. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2013, these securities amounted to a value of $5,743,366 or 0.31% of net assets.

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

(e) Maturity value of $54,403,744. Collateralized by U.S. Government Agency obligations with a rate of 2.500%, maturity date of 3/20/28, and an aggregate market value, including accrued interest, of $55,497,517.

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

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

172

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 98.4%
COMMON STOCK — 98.2%
Basic Materials — 2.5%
Chemicals — 1.4%
Balchem Corp.		52,100	$	3,058,270
Ferro Corp. (a)		175,160		2,247,303
H.B. Fuller Co.		56,399		2,935,004
Methanex Corp.		39,180		2,321,023
Minerals Technologies, Inc.		51,848		3,114,509
				13,676,109
Forest Products & Paper — 0.7%
KapStone Paper and Packaging Corp. (a)		133,211		7,441,167
Iron & Steel — 0.2%
AK Steel Holding Corp. (a) (b)		285,800		2,343,560
Mining — 0.2%
US Silica Holdings, Inc.		47,254		1,611,834
				25,072,670
Communications — 10.2%
Internet — 6.9%
Angie’s List, Inc. (a) (b)		149,237		2,260,941
Bankrate, Inc. (a)		337,528		6,055,252
Constant Contact, Inc. (a)		110,262		3,425,840
Dealertrack Technologies, Inc. (a)		159,723		7,679,482
Digital River, Inc. (a)		53,700		993,450
Dropbox, Inc. (c)		31,734		287,164
HomeAway, Inc. (a)		65,101		2,661,329
IAC/InterActiveCorp		55,120		3,786,193
OpenTable, Inc. (a) (b)		76,360		6,060,693
Responsys, Inc. (a)		317,808		8,711,117
Shutterfly, Inc. (a) (b)		107,610		5,480,577
Shutterstock, Inc. (a) (b)		37,440		3,131,107
SPS Commerce, Inc. (a)		47,641		3,110,957
Textura Corp. (a) (b)		40,392		1,209,336
Tremor Video, Inc. (a) (b)		389,691		2,260,208
Trulia, Inc. (a) (b)		61,991		2,186,423
Web.com Group, Inc. (a)		176,343		5,605,944
Wix.com Ltd. (a) (b)		59,650		1,601,603
Yelp, Inc. (a)		37,430		2,580,799
				69,088,415
Media — 0.7%
FactSet Research Systems, Inc. (b)		16,844		1,828,922
The New York Times Co. Class A (b)		158,350		2,513,014
Pandora Media, Inc. (a)		115,065		3,060,729
				7,402,665
Telecommunications — 2.6%
Calix, Inc. (a)		224,600		2,165,144
Ciena Corp. (a)		192,210		4,599,585
DigitalGlobe, Inc. (a)		198,195		8,155,724

	Number of Shares		Value
Palo Alto Networks, Inc. (a)		43,591	$	2,505,175
Sonus Networks, Inc. (a)		540,675		1,703,126
tw telecom, Inc. (a)		119,490		3,640,860
Vonage Holdings Corp. (a)		828,720		2,759,638
				25,529,252
				102,020,332
Consumer, Cyclical — 16.4%
Airlines — 0.8%
JetBlue Airways Corp. (a) (b)		390,880		3,342,024
Spirit Airlines, Inc. (a)		94,585		4,295,105
				7,637,129
Apparel — 0.7%
Skechers U.S.A., Inc. Class A (a)		94,978		3,146,621
Steven Madden Ltd. (a)		37,647		1,377,504
Under Armour, Inc. Class A (a)		34,062		2,973,613
				7,497,738
Automotive & Parts — 0.9%
Dana Holding Corp.		158,030		3,100,549
Tenneco, Inc. (a)		103,253		5,841,022
				8,941,571
Distribution & Wholesale — 1.6%
Beacon Roofing Supply, Inc. (a)		83,931		3,380,741
HD Supply Holdings, Inc. (a)		96,784		2,323,784
MRC Global, Inc. (a)		84,770		2,734,680
Watsco, Inc.		48,100		4,620,486
WESCO International, Inc. (a)		38,675		3,522,132
				16,581,823
Entertainment — 1.1%
Churchill Downs, Inc.		46,240		4,145,416
DreamWorks Animation SKG, Inc. Class A (a)		92,040		3,267,420
Six Flags Entertainment Corp.		90,950		3,348,779
				10,761,615
Home Builders — 1.5%
Beazer Homes USA, Inc. (a) (b)		158,977		3,882,218
The Ryland Group, Inc.		36,957		1,604,303
Standard Pacific Corp. (a)		773,635		7,001,397
Taylor Morrison Home Corp. Class A (a)		110,553		2,481,915
William Lyon Homes Class A (a)		2,400		53,136
				15,022,969
Home Furnishing — 0.6%
Harman International Industries, Inc.		68,500		5,606,725
Housewares — 0.4%
The Toro Co.		66,500		4,229,400
Leisure Time — 0.4%
Brunswick Corp.		95,125		4,381,458

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

173

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

	Number of Shares		Value
Office Furnishings — 0.3%
Steelcase, Inc. Class A		165,733	$	2,628,525
Retail — 7.4%
BJ’s Restaurants, Inc. (a)		47,171		1,465,131
Bloomin’ Brands, Inc. (a)		138,075		3,315,181
Bravo Brio Restaurant Group, Inc. (a)		180,100		2,930,227
Buffalo Wild Wings, Inc. (a)		14,451		2,127,187
Casey’s General Stores, Inc.		56,432		3,964,348
The Cheesecake Factory, Inc.		67,870		3,276,085
Denny’s Corp. (a)		326,530		2,347,751
Fiesta Restaurant Group, Inc. (a)		35,197		1,838,691
Five Below, Inc. (a)		35,707		1,542,542
Francesca’s Holdings Corp. (a) (b)		121,300		2,233,133
GameStop Corp. Class A		74,480		3,668,885
Haverty Furniture Cos., Inc.		67,479		2,112,093
HSN, Inc.		101,445		6,320,023
Jack in the Box, Inc. (a)		57,913		2,896,808
Krispy Kreme Doughnuts, Inc. (a)		173,700		3,350,673
Lithia Motors, Inc. Class A		27,190		1,887,530
Lumber Liquidators Holdings, Inc. (a) (b)		28,725		2,955,515
Panera Bread Co. Class A (a)		37,510		6,627,642
Pier 1 Imports, Inc.		228,547		5,274,865
Red Robin Gourmet Burgers, Inc. (a)		35,507		2,611,185
Stage Stores, Inc.		144,200		3,204,124
Tuesday Morning Corp. (a)		75,220		1,200,511
Vitamin Shoppe, Inc. (a)		60,789		3,161,636
Zumiez, Inc. (a)		153,647		3,994,822
				74,306,588
Storage & Warehousing — 0.4%
Mobile Mini, Inc. (a)		87,377		3,598,185
Textiles — 0.3%
Fifth & Pacific Cos., Inc. (a)		40,430		1,296,590
Tumi Holdings, Inc. (a)		83,240		1,877,062
				3,173,652
				164,367,378
Consumer, Non-cyclical — 24.1%
Biotechnology — 2.1%
Alkermes PLC (a)		54,130		2,200,926
Celldex Therapeutics, Inc. (a)		69,385		1,679,811
Exelixis, Inc. (a) (b)		418,000		2,562,340
Immunogen, Inc. (a) (b)		80,150		1,175,801
Ironwood Pharmaceuticals, Inc. (a) (b)		183,320		2,128,345
KYTHERA Biopharmaceuticals, Inc. (a) (b)		87,700		3,266,825
NewLink Genetics Corp. (a) (b)		90,725		1,996,857
NPS Pharmaceuticals, Inc. (a)		72,578		2,203,468
Puma Biotechnology, Inc. (a)		17,342		1,795,417

	Number of Shares		Value
Seattle Genetics, Inc. (a) (b)		40,539	$	1,617,101
				20,626,891
Commercial Services — 8.4%
AerCap Holdings NV (a)		133,850		5,133,148
Avis Budget Group, Inc. (a)		108,594		4,389,369
Convergys Corp.		132,920		2,797,966
The Corporate Executive Board Co.		50,332		3,897,207
CoStar Group, Inc. (a)		27,926		5,154,581
EVERTEC, Inc.		119,300		2,941,938
ExamWorks Group, Inc. (a)		190,276		5,683,544
Global Payments, Inc.		54,388		3,534,676
Healthcare Services Group, Inc.		75,500		2,141,935
Heartland Payment Systems, Inc. (b)		77,601		3,867,634
HMS Holdings Corp. (a)		44,897		1,020,509
Huron Consulting Group, Inc. (a)		36,400		2,283,008
MAXIMUS, Inc.		109,186		4,803,092
On Assignment, Inc. (a)		44,527		1,554,883
ServiceSource International, Inc. (a)		560,352		4,695,750
TAL Education Group Sponsored ADR (Cayman Islands)		137,893		3,032,267
Team Health Holdings, Inc. (a)		56,998		2,596,259
TrueBlue, Inc. (a)		302,366		7,794,995
WEX, Inc. (a)		96,597		9,566,001
WNS Holdings Ltd. Sponsored ADR (India) (a)		249,220		5,460,410
Xoom Corp. (a)		76,700		2,099,279
				84,448,451
Foods — 1.3%
The Fresh Market, Inc. (a)		38,873		1,574,356
Sanderson Farms, Inc.		45,030		3,257,020
The Hain Celestial Group, Inc. (a)		47,600		4,321,128
WhiteWave Foods Co. Class A (a)		175,897		4,035,077
				13,187,581
Health Care – Products — 5.0%
Cyberonics, Inc. (a)		125,800		8,241,158
Dexcom, Inc. (a)		444,839		15,751,749
Endologix, Inc. (a)		96,195		1,677,641
Globus Medical, Inc. Class A (a)		138,570		2,796,342
Haemonetics Corp. (a)		37,229		1,568,458
HeartWare International, Inc. (a)		51,476		4,836,685
Insulet Corp. (a)		146,237		5,425,393
MiMedx Group, Inc. (a) (b)		117,700		1,028,698
Spectranetics Corp. (a)		217,545		5,438,625
Tornier BV (a)		179,763		3,377,747
				50,142,496
Health Care – Services — 3.9%
Acadia Healthcare Co., Inc. (a)		169,860		8,039,474
Centene Corp. (a)		43,719		2,577,235
Covance, Inc. (a)		54,586		4,806,843
Envision Healthcare Holdings, Inc. (a)		77,400		2,749,248

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

174

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

	Number of Shares		Value
HealthSouth Corp.		91,189	$	3,038,418
Kindred Healthcare, Inc.		191,760		3,785,342
LifePoint Hospitals, Inc. (a)		52,990		2,799,992
Molina Healthcare, Inc. (a)		74,800		2,599,300
Surgical Care Affiliates, Inc. (a)		45,399		1,581,701
Vocera Communications, Inc. (a)		166,700		2,602,187
WellCare Health Plans, Inc. (a)		59,460		4,187,173
				38,766,913
Household Products — 0.3%
Spectrum Brands Holdings, Inc.		38,087		2,687,038
Pharmaceuticals — 2.9%
Alnylam Pharmaceuticals, Inc. (a)		23,669		1,522,627
Cubist Pharmaceuticals, Inc. (a)		37,280		2,567,474
Furiex Pharmaceuticals, Inc. (a)		56,088		2,356,257
Hyperion Therapeutics, Inc. (a) (b)		91,022		1,840,465
Isis Pharmaceuticals, Inc. (a)		65,810		2,621,870
Keryx Biopharmaceuticals, Inc. (a) (b)		326,472		4,227,812
The Medicines Co. (a)		49,510		1,912,076
Orexigen Therapeutics, Inc. (a)		327,986		1,846,561
Pacira Pharmaceuticals, Inc. (a) (b)		31,592		1,816,224
Portola Pharmaceuticals, Inc. (a)		129,954		3,346,315
Salix Pharmaceuticals Ltd. (a)		48,607		4,371,714
TESARO, Inc. (a)		36,265		1,024,124
				29,453,519
Textiles — 0.2%
Samsonite International SA		766,670		2,327,929
				241,640,818
Diversified — 0.3%
Holding Company – Diversified — 0.3%
Primoris Services Corp.		97,329		3,029,852
Energy — 5.2%
Energy – Alternate Sources — 0.8%
First Solar, Inc. (a)		123,097		6,726,020
Pattern Energy Group, Inc.		35,000		1,060,850
				7,786,870
Oil & Gas — 2.2%
Athlon Energy, Inc. (a)		34,600		1,046,650
Diamondback Energy, Inc. (a)		44,273		2,340,271
Murphy USA, Inc. (a)		23,625		981,855
Oasis Petroleum, Inc. (a)		49,598		2,329,618
PDC Energy, Inc. (a)		16,258		865,251
Rex Energy Corp. (a)		16,323		321,726
Rosetta Resources, Inc. (a)		167,240		8,034,209
SemGroup Corp. Class A		43,218		2,819,110
Western Refining, Inc. (b)		86,170		3,654,470
				22,393,160
Oil & Gas Services — 2.2%
CARBO Ceramics, Inc. (b)		21,000		2,447,130
Core Laboratories NV		16,883		3,223,809

	Number of Shares		Value
Dril-Quip, Inc. (a)		60,489	$	6,649,556
Hornbeck Offshore Services, Inc. (a)		110,364		5,433,219
Key Energy Services, Inc. (a)		281,220		2,221,638
Pioneer Energy Services Corp. (a)		219,576		1,758,804
				21,734,156
				51,914,186
Financial — 11.5%
Banks — 2.5%
Associated Banc-Corp.		165,170		2,873,958
BancFirst Corp.		47,284		2,650,741
Bank of the Ozarks, Inc.		44,050		2,492,790
Banner Corp.		53,320		2,389,802
CapitalSource, Inc.		211,210		3,035,088
First Financial Holdings, Inc.		40,130		2,669,046
First Horizon National Corp.		236,460		2,754,759
International Bancshares Corp.		132,410		3,494,300
PacWest Bancorp (b)		58,376		2,464,635
				24,825,119
Diversified Financial — 4.3%
Altisource Residential Corp.		79,947		2,407,204
Artisan Partners Asset Management, Inc.		14,472		943,430
Financial Engines, Inc.		113,388		7,878,198
Investment Technology Group, Inc. (a)		137,590		2,828,850
MarketAxess Holdings, Inc.		29,503		1,972,866
Portfolio Recovery Associates, Inc. (a)		175,818		9,290,223
Virtus Investment Partners, Inc. (a)		12,501		2,500,825
WageWorks, Inc. (a)		178,290		10,597,558
WisdomTree Investments, Inc. (a)		281,310		4,982,000
				43,401,154
Insurance — 1.6%
Argo Group International Holdings Ltd.		73,300		3,407,717
eHealth, Inc. (a)		119,382		5,550,069
The Hanover Insurance Group, Inc.		22,320		1,332,727
Primerica, Inc.		59,440		2,550,570
Protective Life Corp.		65,887		3,337,836
				16,178,919
Investment Companies — 0.2%
Solar Capital Ltd.		109,690		2,473,509
Real Estate — 1.0%
Alexander & Baldwin, Inc.		79,720		3,326,716
HFF, Inc. (a)		115,400		3,098,490
Jones Lang LaSalle, Inc.		34,186		3,500,304
				9,925,510
Real Estate Investment Trusts (REITS) — 1.9%
Eastgroup Properties		31,473		1,823,231
First Industrial Realty Trust, Inc.		86,100		1,502,445

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

175

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

	Number of Shares		Value
MFA Financial, Inc. (b)		204,020	$	1,440,381
NorthStar Realty Finance Corp. (b)		277,040		3,726,188
Pebblebrook Hotel Trust		162,573		5,000,746
Redwood Trust, Inc.		140,440		2,720,323
Zillow, Inc. Class A (a) (b)		30,551		2,496,933
				18,710,247
				115,514,458
Industrial — 14.1%
Aerospace & Defense — 1.5%
Esterline Technologies Corp. (a)		25,070		2,556,137
Moog, Inc. Class A (a)		106,805		7,256,332
Teledyne Technologies, Inc. (a)		57,582		5,289,483
				15,101,952
Building Materials — 2.2%
Armstrong World Industries, Inc. (a)		204,076		11,756,818
Drew Industries, Inc.		50,895		2,605,824
Lennox International, Inc.		16,750		1,424,755
Owens Corning, Inc. (a)		90,408		3,681,414
USG Corp. (a)		92,498		2,625,093
				22,093,904
Electrical Components & Equipment — 0.6%
Generac Holdings, Inc.		52,624		2,980,624
GrafTech International Ltd. (a) (b)		226,240		2,540,675
				5,521,299
Electronics — 1.2%
Imax Corp. (a) (b)		325,191		9,586,631
OSI Systems, Inc. (a)		24,633		1,308,258
Rogers Corp. (a)		20,750		1,276,125
				12,171,014
Environmental Controls — 0.6%
Clean Harbors, Inc. (a)		15,700		941,372
US Ecology, Inc.		69,289		2,576,858
Waste Connections, Inc.		67,400		2,940,662
				6,458,892
Hand & Machine Tools — 0.2%
Kennametal, Inc.		34,050		1,772,984
Machinery – Diversified — 3.3%
Altra Industrial Motion Corp.		121,269		4,149,825
Applied Industrial Technologies, Inc.		72,560		3,561,970
Cognex Corp.		148,400		5,665,912
Graco, Inc.		51,600		4,030,992
Lindsay Corp. (b)		28,491		2,357,630
The Middleby Corp. (a)		26,300		6,311,211
Nordson Corp.		24,500		1,820,350
Tennant Co.		37,700		2,556,437
Wabtec Corp.		37,354		2,774,282
				33,228,609

	Number of Shares		Value
Manufacturing — 1.8%
Actuant Corp. Class A		84,752	$	3,105,313
Acuity Brands, Inc.		49,790		5,443,043
FreightCar America, Inc.		66,414		1,767,941
Hexcel Corp. (a)		169,048		7,554,755
				17,871,052
Metal Fabricate & Hardware — 0.4%
RBC Bearings, Inc. (a)		62,200		4,400,650
Packaging & Containers — 0.5%
Graphic Packaging Holding Co. (a)		470,860		4,520,256
Transportation — 1.8%
Con-way, Inc.		137,760		5,470,450
Diana Shipping, Inc. (a)		148,353		1,971,611
Genesee & Wyoming, Inc. Class A (a)		23,052		2,214,145
Old Dominion Freight Line, Inc. (a)		64,114		3,399,324
Swift Transportation Co. (a) (b)		246,036		5,464,459
				18,519,989
				141,660,601
Technology — 13.4%
Computers — 1.7%
Cadence Design Systems, Inc. (a)		466,402		6,538,956
FleetMatics Group PLC (a)		125,690		5,436,093
Virtusa Corp. (a)		142,470		5,426,682
				17,401,731
Semiconductors — 2.5%
Cavium, Inc. (a)		105,018		3,624,171
Fairchild Semiconductor International, Inc. (a)		184,700		2,465,745
Himax Technologies, Inc. ADR (Cayman Islands) (b)		189,368		2,785,603
Hittite Microwave Corp. (a)		56,100		3,463,053
Lattice Semiconductor Corp. (a)		425,236		2,343,050
Microsemi Corp. (a)		99,530		2,483,274
Monolithic Power Systems, Inc. (a)		53,790		1,864,361
Nanometrics, Inc. (a)		79,760		1,519,428
ON Semiconductor Corp. (a)		235,990		1,944,558
Silicon Laboratories, Inc. (a)		69,590		3,013,943
				25,507,186
Software — 9.2%
Acxiom Corp. (a)		63,615		2,352,483
Aspen Technology, Inc. (a)		97,263		4,065,593
Athenahealth, Inc. (a) (b)		20,222		2,719,859
BroadSoft, Inc. (a)		145,300		3,972,502
CommVault Systems, Inc. (a)		37,579		2,813,915
Concur Technologies, Inc. (a)		36,494		3,765,451
Cornerstone OnDemand, Inc. (a)		93,677		4,996,731
Demandware, Inc. (a)		33,308		2,135,709
Envestnet, Inc. (a)		159,473		6,426,762
Guidewire Software, Inc. (a)		151,242		7,421,445

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

176

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

	Number of Shares		Value
Infoblox, Inc. (a)		259,965	$	8,584,044
Interactive Intelligence Group, Inc. (a)		44,480		2,996,173
Medidata Solutions, Inc. (a)		64,800		3,924,936
Monotype Imaging Holdings, Inc.		71,000		2,262,060
PTC, Inc. (a)		200,281		7,087,945
Solera Holdings, Inc.		33,230		2,351,355
Tableau Software, Inc. (a)		32,080		2,211,274
Telogis (c)		251,002		497,260
TiVo, Inc. (a)		358,710		4,706,275
Tyler Technologies, Inc. (a)		71,744		7,327,215
The Ultimate Software Group, Inc. (a)		19,990		3,062,868
Verint Systems, Inc. (a)		147,831		6,347,863
				92,029,718
				134,938,635
Utilities — 0.5%
Electric — 0.2%
NRG Yield, Inc. Class A		70,640		2,826,305
Gas — 0.3%
Southwest Gas Corp.		50,560		2,826,810
				5,653,115
TOTAL COMMON STOCK (Cost $742,683,778)				985,812,045
PREFERRED STOCK — 0.2%
Consumer, Cyclical — 0.1%
Automotive & Parts — 0.1%
Mobileye NV (a) (c)		37,375		1,453,514
Technology — 0.1%
Software — 0.1%
Telogis (a) (c)		341,823		752,421
TOTAL PREFERRED STOCK (Cost $2,056,808)				2,205,935
TOTAL EQUITIES (Cost $744,740,586)				988,017,980
MUTUAL FUNDS — 9.5%
Diversified Financial — 9.5%
iShares Russell 2000 Index Fund (b)		23,930		2,759,369
State Street Naviagtor Securities Lending Prime Portfolio (d)		92,776,764		92,776,764
				95,536,133
TOTAL MUTUAL FUNDS (Cost $95,519,427)				95,536,133
TOTAL LONG-TERM INVESTMENTS (Cost $840,260,013)				1,083,554,113

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.5%
Repurchase Agreement — 1.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (e)	$	14,612,150	$	14,612,150
Time Deposits — 0.0%
Euro Time Deposit 0.010% 1/02/14		7,626		7,626
TOTAL SHORT-TERM INVESTMENTS (Cost $14,619,776)				14,619,776
TOTAL INVESTMENTS —109.4% (Cost $854,879,789) (f)				1,098,173,889
Other Assets/(Liabilities) — (9.4)%				(94,536,868	)
NET ASSETS — 100.0%			$	1,003,637,021

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $90,449,810. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2013, these securities amounted to a value of $2,990,359 or 0.30% of net assets.

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

(e) Maturity value of $14,612,158. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 1/25/39 – 9/15/40, and an aggregate market value, including accrued interest, of $14,915,569.

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

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

177

MassMutual Select Small Company Growth Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 97.0%
COMMON STOCK — 97.0%
Basic Materials — 1.9%
Chemicals — 1.2%
H.B. Fuller Co.		14,454	$	752,186
Mining — 0.7%
US Silica Holdings, Inc.		12,372		422,009
				1,174,195
Communications — 13.3%
Internet — 10.9%
Dealertrack Technologies, Inc. (a)		21,480		1,032,758
HomeAway, Inc. (a)		17,044		696,759
Responsys, Inc. (a)		55,168		1,512,155
Shutterfly, Inc. (a) (b)		28,208		1,436,633
SPS Commerce, Inc. (a)		12,034		785,820
Textura Corp. (a) (b)		10,654		318,981
Tremor Video, Inc. (a) (b)		68,530		397,474
Yelp, Inc. (a)		9,744		671,849
				6,852,429
Telecommunications — 2.4%
DigitalGlobe, Inc. (a)		27,211		1,119,733
Sonus Networks, Inc. (a)		137,705		433,771
				1,553,504
				8,405,933
Consumer, Cyclical — 18.6%
Distribution & Wholesale — 1.3%
Beacon Roofing Supply, Inc. (a)		21,421		862,838
Entertainment — 1.4%
Six Flags Entertainment Corp.		23,721		873,407
Home Builders — 2.3%
Beazer Homes USA, Inc. (a) (b)		41,433		1,011,794
The Ryland Group, Inc.		9,636		418,299
				1,430,093
Leisure Time — 1.8%
Brunswick Corp.		24,890		1,146,433
Office Furnishings — 1.1%
Steelcase, Inc. Class A		43,967		697,317
Retail — 9.2%
BJ’s Restaurants, Inc. (a)		12,359		383,870
Casey’s General Stores, Inc.		10,083		708,331
Fiesta Restaurant Group, Inc. (a)		9,244		482,907
Haverty Furniture Cos., Inc.		17,720		554,636
Jack in the Box, Inc. (a)		15,121		756,352
Lithia Motors, Inc. Class A		7,130		494,965
Pier 1 Imports, Inc.		27,407		632,554
Red Robin Gourmet Burgers, Inc. (a)		9,271		681,789
Vitamin Shoppe, Inc. (a)		15,935		828,779
Zumiez, Inc. (a)		10,086		262,236
				5,786,419

	Number of Shares		Value
Storage & Warehousing — 1.5%
Mobile Mini, Inc. (a)		22,820	$	939,727
				11,736,234
Consumer, Non-cyclical — 24.4%
Biotechnology — 2.3%
Celldex Therapeutics, Inc. (a)		18,292		442,849
NewLink Genetics Corp. (a) (b)		23,742		522,561
Puma Biotechnology, Inc. (a)		4,548		470,855
				1,436,265
Commercial Services — 9.2%
Avis Budget Group, Inc. (a)		11,645		470,691
The Corporate Executive Board Co.		12,805		991,491
CoStar Group, Inc. (a)		1,681		310,279
ExamWorks Group, Inc. (a)		29,992		895,861
HMS Holdings Corp. (a)		11,697		265,873
MAXIMUS, Inc.		15,858		697,594
TAL Education Group Sponsored ADR (Cayman Islands)		35,700		785,043
TrueBlue, Inc. (a)		21,039		542,385
WEX, Inc. (a)		8,731		864,631
				5,823,848
Foods — 0.7%
The Fresh Market, Inc. (a)		10,178		412,209
Health Care – Products — 3.6%
Dexcom, Inc. (a)		22,561		798,885
Endologix, Inc. (a)		25,360		442,278
Haemonetics Corp. (a)		9,444		397,876
Spectranetics Corp. (a)		25,779		644,475
				2,283,514
Health Care – Services — 4.1%
Acadia Healthcare Co., Inc. (a)		15,272		722,824
Centene Corp. (a)		11,152		657,410
HealthSouth Corp.		23,858		794,949
Surgical Care Affiliates, Inc. (a)		11,887		414,143
				2,589,326
Pharmaceuticals — 4.5%
Furiex Pharmaceuticals, Inc. (a)		14,303		600,869
Isis Pharmaceuticals, Inc. (a)		17,222		686,124
Keryx Biopharmaceuticals, Inc. (a) (b)		84,089		1,088,953
Orexigen Therapeutics, Inc. (a)		85,934		483,808
				2,859,754
				15,404,916
Diversified — 1.3%
Holding Company – Diversified — 1.3%
Primoris Services Corp.		25,481		793,224

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

178

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

	Number of Shares		Value
Energy — 3.5%
Oil & Gas — 2.3%
Oasis Petroleum, Inc. (a)		12,640	$	593,701
Rosetta Resources, Inc. (a)		17,365		834,214
				1,427,915
Oil & Gas Services — 1.2%
Hornbeck Offshore Services, Inc. (a)		6,921		340,721
Pioneer Energy Services Corp. (a)		55,661		445,845
				786,566
				2,214,481
Financial — 8.7%
Banks — 3.2%
Bank of the Ozarks, Inc.		11,613		657,180
Banner Corp.		14,057		630,035
First Financial Holdings, Inc.		10,595		704,673
				1,991,888
Diversified Financial — 2.5%
Altisource Residential Corp.		20,490		616,954
MarketAxess Holdings, Inc.		7,566		505,938
WageWorks, Inc. (a)		7,290		433,318
				1,556,210
Real Estate — 1.4%
Jones Lang LaSalle, Inc.		8,962		917,619
Real Estate Investment Trusts (REITS) — 1.6%
Eastgroup Properties		8,026		464,946
Pebblebrook Hotel Trust		18,453		567,614
				1,032,560
				5,498,277
Industrial — 11.8%
Building Materials — 2.1%
Drew Industries, Inc.		13,107		671,078
USG Corp. (a)		23,655		671,329
				1,342,407
Electronics — 2.3%
Imax Corp. (a) (b)		36,615		1,079,410
OSI Systems, Inc. (a)		6,482		344,259
				1,423,669
Environmental Controls — 1.1%
US Ecology, Inc.		18,256		678,941
Machinery – Diversified — 1.0%
Lindsay Corp. (b)		7,291		603,330
Manufacturing — 2.3%
Actuant Corp. Class A		21,830		799,851
Hexcel Corp. (a)		14,768		659,982
				1,459,833
Transportation — 3.0%
Diana Shipping, Inc. (a)		38,045		505,618

	Number of Shares		Value
Genesee & Wyoming, Inc. Class A (a)		5,870	$	563,814
Swift Transportation Co. (a) (b)		37,828		840,160
				1,909,592
				7,417,772
Technology — 13.5%
Semiconductors — 2.7%
Cavium, Inc. (a)		27,504		949,163
Himax Technologies, Inc. ADR (Cayman Islands) (b)		49,923		734,367
				1,683,530
Software — 10.8%
Aspen Technology, Inc. (a)		25,805		1,078,649
Athenahealth, Inc. (a)		5,298		712,581
CommVault Systems, Inc. (a)		9,970		746,554
Envestnet, Inc. (a)		20,056		808,257
Guidewire Software, Inc. (a)		15,874		778,937
Infoblox, Inc. (a)		46,319		1,529,453
Interactive Intelligence Group, Inc. (a)		11,544		777,604
The Ultimate Software Group, Inc. (a)		2,430		372,325
				6,804,360
				8,487,890
TOTAL COMMON STOCK (Cost $54,866,892)				61,132,922
TOTAL EQUITIES (Cost $54,866,892)				61,132,922
MUTUAL FUNDS — 10.2%
Diversified Financial — 10.2%
State Street Navigator Securities Lending Prime Portfolio (c)		6,406,197		6,406,197
TOTAL MUTUAL FUNDS (Cost $6,406,197)				6,406,197
TOTAL LONG-TERM INVESTMENTS (Cost $61,273,089)				67,539,119
	Principal Amount
SHORT-TERM INVESTMENTS — 3.1%
Repurchase Agreement — 3.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (d)	$	1,952,713		1,952,713

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

179

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

	Value
TOTAL SHORT-TERM INVESTMENTS (Cost $1,952,713)	$	1,952,713
TOTAL INVESTMENTS — 110.3% (Cost $63,225,802) (e)		69,491,832
Other Assets/(Liabilities) — (10.3)%		(6,474,738	)
NET ASSETS — 100.0%	$	63,017,094

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $6,243,599. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

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

(d) Maturity value of $1,952,715. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 1/25/2039, and an aggregate market value, including accrued interest, of $1,995,772.

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

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

180

MassMutual Select Diversified International Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 97.6%
COMMON STOCK — 96.3%
Basic Materials — 5.2%
Chemicals — 3.6%
BASF SE		25,593	$	2,729,105
Nitto Denko Corp.		23,300		986,389
Solvay SA Class A		13,597		2,152,175
				5,867,669
Forest Products & Paper — 1.2%
UPM-Kymmene OYJ		110,675		1,872,476
Mining — 0.4%
First Quantum Minerals Ltd.		39,506		711,833
				8,451,978
Communications — 10.1%
Advertising — 0.8%
Publicis Groupe		14,385		1,320,511
Media — 0.8%
Pearson PLC		62,283		1,383,402
Telecommunications — 8.5%
Deutsche Telekom AG		173,819		2,972,860
KDDI Corp.		25,200		1,554,199
Telefonaktiebolaget LM Ericsson Class B		152,219		1,864,025
Telenor ASA		63,354		1,512,881
Vodafone Group PLC		1,504,594		5,914,673
				13,818,638
				16,522,551
Consumer, Cyclical — 11.3%
Auto Manufacturers — 4.3%
Daimler AG		33,628		2,910,867
Honda Motor Co. Ltd. (a)		53,300		2,198,242
Toyota Motor Corp.		33,200		2,020,302
				7,129,411
Automotive & Parts — 1.9%
Bridgestone Corp.		38,000		1,440,596
Sumitomo Electric Industries Ltd.		97,200		1,624,324
				3,064,920
Food Services — 1.1%
Sodexo		18,160		1,843,991
Home Builders — 1.0%
Daiwa House Industry Co. Ltd.		84,000		1,626,261
Home Furnishing — 0.9%
Electrolux AB Series B		55,956		1,473,113
Lodging — 1.3%
InterContinental Hotels Group PLC		63,266		2,110,077
Retail — 0.8%
Kingfisher PLC		202,939		1,297,360
				18,545,133

	Number of Shares		Value
Consumer, Non-cyclical — 10.3%
Agriculture — 1.2%
Japan Tobacco, Inc.		59,300	$	1,929,449
Beverages — 0.8%
SABMiller PLC		24,331		1,253,005
Foods — 2.3%
Metro AG		35,239		1,706,776
Seven & I Holdings Co. Ltd.		53,800		2,142,585
				3,849,361
Pharmaceuticals — 6.0%
AstraZeneca PLC		27,915		1,655,808
Bayer AG		25,928		3,637,526
Novartis AG		36,710		2,937,918
Roche Holding AG		5,753		1,612,664
				9,843,916
				16,875,731
Diversified — 2.2%
Holding Company – Diversified — 2.2%
Hutchison Whampoa Ltd.		179,000		2,447,469
Wharf Holdings Ltd.		147,000		1,123,545
				3,571,014
Energy — 9.6%
Coal — 0.9%
China Shenhua Energy Co. Ltd. Class H		450,000		1,430,884
Oil & Gas — 8.7%
BG Group PLC		91,305		1,967,646
BP PLC		238,353		1,930,842
ENI SpA		141,727		3,426,902
Repsol YPF SA (a)		73,002		1,844,483
Royal Dutch Shell PLC Class A		119,887		4,305,662
Tullow Oil PLC		60,598		860,500
				14,336,035
				15,766,919
Financial — 31.2%
Banks — 17.4%
Australia & New Zealand Banking Group Ltd.		95,426		2,747,120
Barclays PLC		427,712		1,935,223
BNP Paribas		51,966		4,069,078
China Construction Bank Corp. Class H		1,639,000		1,244,661
Danske Bank A/S (b)		73,078		1,682,523
HSBC Holdings PLC		494,601		5,424,731
ICICI Bank Ltd. Sponsored ADR (India)		27,884		1,036,448
Mitsubishi UFJ Financial Group, Inc.		591,700		3,912,355
Nordea Bank AB		119,693		1,620,767
Societe Generale SA		13,900		811,725

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

181

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

	Number of Shares		Value
Sumitomo Mitsui Financial Group, Inc.		56,700	$	2,928,074
UniCredit SpA		147,805		1,100,600
				28,513,305
Diversified Financial — 3.4%
Nomura Holdings, Inc.		202,100		1,564,151
ORIX Corp.		163,300		2,876,568
UBS AG		57,315		1,091,869
				5,532,588
Insurance — 8.6%
Allianz SE		10,888		1,953,019
Assicurazioni Generali SpA		33,858		804,665
AXA SA		117,287		3,271,508
ING Groep NV (b)		120,517		1,685,268
Prudential PLC		121,535		2,720,078
Swiss Re AG		38,855		3,591,537
				14,026,075
Real Estate — 1.3%
China Overseas Land & Investment Ltd.		422,000		1,191,944
Mitsui Fudosan Co. Ltd.		28,000		1,010,022
				2,201,966
Real Estate Investment Trusts (REITS) — 0.5%
Goodman Group		192,485		815,237
				51,089,171
Industrial — 11.1%
Aerospace & Defense — 1.1%
European Aeronautic Defence and Space Co.		23,821		1,836,073
Building Materials — 2.9%
Compagnie de Saint-Gobain		50,173		2,773,149
Lafarge SA		26,189		1,970,751
				4,743,900
Electrical Components & Equipment — 2.8%
Hitachi Ltd.		352,000		2,668,776
Schneider Electric SA		21,103		1,852,239
				4,521,015
Machinery – Construction & Mining — 1.6%
Rio Tinto PLC		45,484		2,566,640
Machinery – Diversified — 0.8%
Kawasaki Heavy Industries Ltd.		332,000		1,395,556
Transportation — 1.9%
East Japan Railway		22,900		1,827,566
Yamato Holdings Co. Ltd.		61,700		1,249,087
				3,076,653
				18,139,837

	Number of Shares		Value
Technology — 2.1%
Office Equipment/Supplies — 0.7%
Ricoh Co. Ltd.		97,000	$	1,035,073
Semiconductors — 1.4%
ASML Holding NV		8,537		801,668
Samsung Electronics Co., Ltd.		1,172		1,531,798
				2,333,466
				3,368,539
Utilities — 3.2%
Electric — 1.4%
Cia Energetica de Minas Gerais Sponsored ADR (Brazil) (a)		105,190		819,430
Electricite de France		43,408		1,537,183
				2,356,613
Gas — 1.3%
Centrica PLC		144,461		831,958
Gaz De France		52,028		1,227,749
				2,059,707
Water — 0.5%
Suez Environnement Co.		42,562		762,717
				5,179,037
TOTAL COMMON STOCK (Cost $128,789,247)				157,509,910
PREFERRED STOCK — 1.3%
Consumer, Cyclical — 1.3%
Auto Manufacturers — 1.3%
Volkswagen AG 2.070%		7,679		2,157,422
TOTAL PREFERRED STOCK (Cost $1,531,149)				2,157,422
TOTAL EQUITIES (Cost $130,320,396)				159,667,332
RIGHTS — 0.1%
Energy — 0.1%
Oil & Gas — 0.1%
Repsol YPF SA, Expires 01/09/14 (b)		73,002		49,813
TOTAL RIGHTS (Cost $47,603)				49,813
MUTUAL FUNDS — 2.1%
Diversified Financial — 2.1%
State Street Navigator Securities Lending Prime Portfolio (c)		3,469,748		3,469,748
TOTAL MUTUAL FUNDS (Cost $3,469,748)				3,469,748
TOTAL LONG-TERM INVESTMENTS (Cost $133,837,747)				163,186,893

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

182

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.4%
Repurchase Agreement — 2.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (d)	$	3,961,147	$	3,961,147
TOTAL SHORT-TERM INVESTMENTS (Cost $3,961,147)				3,961,147
TOTAL INVESTMENTS — 102.2% (Cost $137,798,894) (e)				167,148,040
Other Assets/(Liabilities) — (2.2)%				(3,528,724	)
NET ASSETS — 100.0%			$	163,619,316

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $3,308,391. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

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

(d) Maturity value of $3,961,149. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 8/15/39, and an aggregate market value, including accrued interest, of $4,041,441.

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

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

183

MM MSCI EAFE International Index Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 98.1%
COMMON STOCK — 97.5%
Basic Materials — 6.1%
Chemicals — 3.1%
Air Liquide		4,715	$	668,405
Air Water, Inc.		2,000		27,129
Akzo Nobel NV		3,656		283,663
Arkema		963		112,794
Asahi Kasei Corp.		19,000		148,919
BASF SE		13,884		1,480,518
Brenntag AG		768		142,673
Croda International PLC		1,971		80,259
Daicel Corp.		4,000		32,598
EMS-Chemie Holding AG Registered		137		48,820
Givaudan SA Registered		125		179,082
Hitachi Chemical Co. Ltd.		1,700		27,134
Incitec Pivot Ltd.		23,209		55,564
Israel Chemicals Ltd.		7,241		60,340
Johnson Matthey PLC		3,052		166,180
JSR Corp. (a)		2,800		54,293
K+S AG		2,452		75,510
Kaneka Corp.		4,000		26,280
Kansai Paint Co. Ltd.		4,000		59,264
Koninklijke DSM NV		2,268		178,749
Lanxess AG		1,267		84,646
Linde AG		2,812		588,937
Lonza Group AG Registered		854		81,292
Mitsubishi Chemical Holding Corp.		20,500		94,851
Mitsubishi Gas Chemical Co., Inc.		6,000		44,220
Mitsui Chemicals, Inc. (a)		14,000		33,845
Nippon Paint Co. Ltd.		3,000		49,931
Nitto Denko Corp.		2,500		105,836
OCI NV (b)		1,378		62,111
Shin-Etsu Chemical Co. Ltd.		6,300		368,381
Showa Denko KK (a)		22,000		31,195
Solvay SA Class A		914		144,671
Sumitomo Chemical Co. Ltd.		22,000		86,301
Syngenta AG		1,408		561,280
Taiyo Nippon Sanso Corp. (a)		4,000		28,496
Ube Industries Ltd.		16,000		34,253
Yara International ASA		2,850		123,129
				6,431,549
Forest Products & Paper — 0.3%
Oji Holdings Corp.		12,000		61,664
Stora Enso Oyj Class R		8,716		87,836
Svenska Cellulosa AB Class B		9,028		278,929
UPM-Kymmene OYJ		8,216		139,004
				567,433
Iron & Steel — 0.7%
ArcelorMittal		15,260		272,833
Daido Steel Co. Ltd.		5,000		24,865

	Number of Shares		Value
Fortescue Metals Group Ltd. (a)		23,266	$	121,409
Hitachi Metals Ltd.		3,000		42,444
The Japan Steel Works Ltd.		5,000		28,009
JFE Holdings, Inc.		7,400		176,450
Kobe Steel Ltd. (a) (b)		38,000		65,145
Nippon Steel Corp.		114,000		382,391
ThyssenKrupp AG (b)		6,840		166,880
Voestalpine AG		1,754		84,941
Yamato Kogyo Co. Ltd.		700		22,393
				1,387,760
Mining — 2.0%
Alumina Ltd. (a) (b)		33,624		33,482
Anglo American PLC		21,051		462,624
Antofagasta PLC		6,177		84,754
BHP Billiton Ltd.		48,478		1,648,644
Boliden AB		4,111		63,211
Fresnillo PLC		2,686		33,306
Glencore International PLC		160,297		833,308
Iluka Resources Ltd. (a)		6,217		47,923
Mitsubishi Materials Corp.		18,000		66,533
Newcrest Mining Ltd.		11,775		82,368
Orica Ltd. (a)		5,521		117,678
Randgold Resources Ltd.		1,274		79,938
Rio Tinto Ltd.		6,534		397,882
Sumitomo Metal Mining Co. Ltd.		8,000		104,897
Umicore SA		1,622		75,774
				4,132,322
				12,519,064
Communications — 7.9%
Advertising — 0.5%
Dentsu, Inc.		3,200		131,170
Hakuhodo DY Holdings, Inc.		3,800		29,494
JCDecaux SA		1,078		44,520
Publicis Groupe		2,714		249,139
WPP PLC		20,266		465,062
				919,385
Internet — 0.3%
Dena Co. Ltd. (a)		1,400		29,479
Gree, Inc. (a)		2,000		19,768
Iliad SA		396		81,130
Kakaku.com, Inc.		2,300		40,446
M3, Inc. (a)		9		22,578
Rakuten, Inc. (a)		11,000		163,663
SBI Holdings, Inc.		2,842		43,133
Seek Ltd.		4,832		58,100
Trend Micro, Inc. (a) (b)		1,700		59,579
United Internet AG		1,521		64,797
Yahoo! Japan Corp.		21,500		119,758
				702,431

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

184

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

	Number of Shares		Value
Media — 1.1%
Axel Springer AG (a)		653	$	41,965
British Sky Broadcasting Group PLC		16,002		223,835
ITV PLC		57,196		183,850
Lagardere S.C.A		1,563		58,110
Pearson PLC		12,596		279,777
ProSiebenSat.1 Media AG		2,855		141,630
Reed Elsevier NV		10,643		226,137
Reed Elsevier PLC		18,054		269,102
RTL Group (b)		587		75,863
Singapore Press Holdings Ltd. (a)		26,000		85,046
Sky Deutschland AG (b)		6,824		75,369
Vivendi SA		18,338		485,115
Wolters Kluwer NV		4,636		132,677
				2,278,476
Telecommunications — 6.0%
Alcatel-Lucent (b)		37,484		168,155
Belgacom SA (a)		2,409		71,272
Bezeq Israeli Telecommunication Corp. Ltd.		27,986		47,435
BT Group PLC		119,828		754,481
Deutsche Telekom AG		43,828		749,599
Elisa OYJ		2,020		53,571
Eutelsat Communications SA		2,116		66,023
France Telecom SA		27,789		345,399
HKT Trust / HKT Ltd.		38,000		37,609
Inmarsat PLC		6,725		84,248
KDDI Corp.		8,200		505,731
Koninklijke KPN NV (b)		49,546		160,277
Millicom International Cellular SA		1,029		102,529
NICE Systems Ltd.		969		39,696
Nippon Telegraph & Telephone Corp.		5,600		301,428
Nokia Oyj (b)		56,933		459,338
NTT DOCOMO, Inc.		22,900		376,251
PCCW Ltd.		64,000		28,648
Portugal Telecom SGPS SA		8,525		37,093
SES SA		4,523		146,452
Singapore Telecommunications Ltd.		120,000		348,793
Softbank Corp.		14,500		1,271,108
StarHub Ltd.		9,000		30,661
Swisscom AG		356		188,256
TDC A/S		12,442		120,711
Tele2 AB		4,576		51,911
Telecom Corp. of New Zealand Ltd. (a)		25,693		48,728
Telecom Italia SpA		148,189		147,464
Telecom Italia SpA- RSP		89,411		70,213
Telefonaktiebolaget LM Ericsson Class B		46,146		565,089
Telefonica Deutschland Holding AG		4,076		33,699
Telefonica SA		61,775		1,008,452
Telekom Austria AG		3,784		28,652
Telenet Group Holding NV		820		49,026

	Number of Shares		Value
Telenor ASA		10,274	$	245,341
TeliaSonera AB		35,503		296,101
Telstra Corp. Ltd.		65,045		304,977
Vodafone Group PLC		732,488		2,879,466
Ziggo NV		2,281		104,392
				12,328,275
				16,228,567
Consumer, Cyclical — 11.2%
Airlines — 0.2%
All Nippon Airways Co. Ltd. (a)		17,000		33,957
Cathay Pacific Airways Ltd.		19,000		40,330
Deutsche Lufthansa AG (b)		3,513		74,545
easyJet PLC (a)		2,461		62,657
International Consolidated Airlines Group SA (b)		15,152		100,930
Japan Airlines Co. Ltd.		800		39,470
Qantas Airways Ltd. (b)		17,203		16,896
Singapore Airlines Ltd. (a)		8,000		66,079
				434,864
Apparel — 0.4%
Adidas AG		3,171		404,246
Asics Corp.		2,300		39,286
Burberry Group PLC		6,663		167,400
Christian Dior SA		820		155,240
Hugo Boss AG		468		66,650
Yue Yuen Industrial Holdings Ltd.		11,000		36,804
				869,626
Auto Manufacturers — 3.5%
Bayerische Motoren Werke AG		5,021		588,831
Daihatsu Motor Co. Ltd.		3,000		50,890
Daimler AG		14,570		1,261,191
Fiat SpA (a) (b)		13,137		107,819
Fuji Heavy Industries Ltd.		9,000		258,533
Hino Motors Ltd.		4,000		63,040
Honda Motor Co. Ltd. (a)		24,600		1,014,573
Isuzu Motors Ltd.		18,000		112,227
Mazda Motor Corp. (b)		40,000		207,394
Mitsubishi Motors Corp. (a) (b)		6,500		70,167
Nissan Motor Co. Ltd.		38,000		319,899
Renault SA		2,849		230,021
Scania AB Class B		4,723		92,770
Suzuki Motor Corp.		5,600		150,839
Toyota Motor Corp.		41,700		2,537,548
Volkswagen AG		461		124,921
				7,190,663
Automotive & Parts — 1.3%
Aisin Seiki Co.		2,800		113,940
Bridgestone Corp.		9,700		367,731
Cie Generale des Etablissements Michelin Class B		2,832		302,215
Continental AG		1,643		360,422

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

185

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

	Number of Shares		Value
Denso Corp.		7,400	$	391,260
GKN PLC		24,552		151,990
JTEKT Corp.		2,800		47,867
Koito Manufacturing Co. Ltd.		2,000		38,320
NGK Spark Plug Co., Ltd.		3,000		71,145
NHK Spring Co. Ltd.		2,600		29,388
NOK Corp.		1,400		22,933
Nokian Renkaat OYJ (a)		1,688		81,213
Pirelli & C. SpA		3,482		60,436
Stanley Electric Co. Ltd.		2,200		50,417
Sumitomo Electric Industries Ltd.		11,600		193,849
Sumitomo Rubber Industries Ltd. (a)		2,600		37,024
Toyoda Gosei Co. Ltd.		1,100		25,631
Toyota Boshoku Corp. (a)		1,300		16,250
Toyota Industries Corp.		2,500		112,993
Valeo SA		1,160		128,522
The Yokohama Rubber Co. Ltd. (a)		3,000		29,557
				2,633,103
Distribution & Wholesale — 1.0%
Hitachi High-Technologies Corp.		1,100		27,673
ITOCHU Corp.		22,400		277,233
Jardine Cycle & Carriage Ltd.		2,000		57,148
Li & Fung Ltd.		88,000		113,943
Marubeni Corp.		25,000		179,904
Mitsubishi Corp.		21,400		410,726
Mitsui & Co. Ltd.		26,400		368,130
Sojitz Corp.		20,000		35,616
Sumitomo Corp.		16,700		210,058
Toyota Tsusho Corp.		3,100		76,985
Wolseley PLC		3,933		223,352
				1,980,768
Entertainment — 0.2%
Oriental Land Co. Ltd.		800		115,358
Tabcorp Holdings Ltd.		10,763		34,899
Tatts Group Ltd.		20,276		56,232
Toho Co. Ltd.		1,700		37,413
William Hill PLC		13,161		87,610
				331,512
Food Services — 0.3%
Compass Group PLC		27,584		442,277
Sodexo		1,375		139,619
				581,896
Home Builders — 0.2%
Daiwa House Industry Co. Ltd.		9,000		174,242
Iida Group Holdings Co. Ltd. (b)		1,900		37,924
Persimmon PLC		4,604		94,583
Sekisui Chemical Co. Ltd.		7,000		86,050
Sekisui House Ltd.		8,000		112,017
				504,816

	Number of Shares		Value
Home Furnishing — 0.4%
Electrolux AB Series B		3,699	$	97,381
Panasonic Corp.		33,000		384,695
Sony Corp. (a)		15,100		260,805
				742,881
Leisure Time — 0.2%
Carnival PLC		2,810		116,041
Flight Centre Travel Group Ltd. (a)		743		31,555
Sankyo Co. Ltd.		900		41,528
Sega Sammy Holdings, Inc.		2,700		68,858
Shimano, Inc.		1,200		103,226
Yamaha Corp.		2,500		39,761
Yamaha Motor Co. Ltd.		3,900		58,601
				459,570
Lodging — 0.8%
Accor SA		2,433		115,029
City Developments Ltd. (a)		6,000		45,771
Crown Resorts Ltd.		5,959		89,688
Echo Entertainment Group Ltd.		12,264		26,947
Galaxy Entertainment Group Ltd. (b)		32,000		287,340
Genting Singapore PLC		91,000		108,144
InterContinental Hotels Group PLC		3,988		133,010
MGM China Holdings Ltd.		14,800		63,577
Sands China Ltd.		36,800		302,410
Shangri-La Asia Ltd.		22,000		43,005
SJM Holdings Ltd.		29,000		97,811
Whitbread PLC		2,729		169,617
Wynn Macau Ltd.		23,200		106,220
				1,588,569
Retail — 2.5%
ABC-Mart, Inc.		300		13,114
Aeon Co. Ltd.		9,100		123,409
Cie Financiere Richemont SA		7,908		791,345
Citizen Holdings Co. Ltd.		4,500		38,000
Don Quijote Holdings Co. Ltd.		800		48,568
FamilyMart Co. Ltd. (a)		800		36,554
Fast Retailing Co. Ltd.		800		331,117
Harvey Norman Holdings Ltd. (a)		9,444		26,656
Hennes & Mauritz AB Class B		14,395		665,201
Inditex SA		3,280		542,742
Isetan Mitsukoshi Holdings Ltd.		5,500		78,423
J Front Retailing Co. Ltd.		7,000		53,089
Kering		1,124		237,706
Kingfisher PLC		36,523		233,486
Lawson, Inc. (a)		1,000		74,852
Marks & Spencer Group PLC		24,877		178,819
Marui Group Co. Ltd.		3,400		34,605
McDonald’s Holdings Co. Japan Ltd. (a)		1,100		28,085
Next PLC		2,425		218,907
Nitori Holdings Co. Ltd.		500		47,414

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

186

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

	Number of Shares		Value
Shimamura Co. Ltd.		300	$	28,145
Swatch Group AG		461		305,891
The Swatch Group AG		651		73,585
Takashimaya Co. Ltd.		4,000		39,934
Travis Perkins PLC		3,774		117,467
USS Co. Ltd.		3,200		43,963
Wesfarmers Ltd.		14,962		589,222
Yamada Denki Co. Ltd. (a)		14,300		46,791
				5,047,090
Storage & Warehousing — 0.0%
Mitsubishi Logistics Corp. (a)		2,000		31,721
Textiles — 0.1%
Kuraray Co. Ltd.		5,200		62,039
Teijin Ltd.		14,000		31,195
Toray Industries, Inc.		22,000		152,427
				245,661
Toys, Games & Hobbies — 0.1%
Namco Bandai Holdings, Inc.		2,500		55,537
Nintendo Co. Ltd. (a)		1,600		213,948
Sanrio Co. Ltd. (a)		700		29,502
				298,987
				22,941,727
Consumer, Non-cyclical — 21.3%
Agriculture — 1.4%
British American Tobacco PLC		28,842		1,547,489
Golden Agri-Resources Ltd.		108,000		46,733
Imperial Tobacco Group PLC		14,677		569,601
Japan Tobacco, Inc.		16,600		540,116
Swedish Match AB		3,207		103,121
Wilmar International Ltd. (a)		28,000		76,001
				2,883,061
Beverages — 2.4%
Asahi Group Holdings Ltd. (a)		6,000		169,310
Carlsberg A/S Class B		1,653		183,635
Coca-Cola Amatil Ltd. (a)		8,945		96,281
Coca-Cola HBC AG		461		13,467
Coca-Cola HBC AG Sponsored ADR (Switzerland)		2,589		75,521
Coca-Cola West Co. Ltd.		1,100		23,310
Diageo PLC		37,990		1,254,857
Heineken Holding NV Class A		1,579		100,136
Heineken NV		3,412		231,035
InBev NV		12,126		1,292,922
Kirin Holdings Co. Ltd. (a)		13,000		187,257
Pernod-Ricard SA		3,183		363,432
Remy Cointreau SA (a)		420		35,303
SABMiller PLC		14,551		749,351
Suntory Beverage & Food Ltd.		1,900		60,578
Treasury Wine Estates Ltd.		8,906		38,341
				4,874,736

	Number of Shares		Value
Biotechnology — 0.3%
CSL Ltd.		7,390	$	456,168
Novozymes A/S		3,426		144,934
				601,102
Commercial Services — 1.4%
Abertis Infraestructuras SA (a)		5,951		132,542
Adecco SA		2,014		159,953
Aggreko PLC		4,034		114,269
Atlantia SpA (a)		4,918		111,177
Babcock International Group PLC		5,635		126,481
Benesse Holdings, Inc.		1,200		48,201
Brambles Ltd.		24,039		196,475
Bunzl PLC		5,151		123,781
Bureau Veritas SA		3,420		100,188
Capita PLC		10,150		174,601
Dai Nippon Printing Co. Ltd.		8,000		85,011
Edenred		2,997		100,542
Experian PLC		15,077		278,264
G4S PLC		23,427		101,910
Intertek Group PLC		2,446		127,613
Park24 Co. Ltd. (a)		1,300		24,518
Randstad Holding NV		1,847		119,927
Secom Co. Ltd.		3,200		193,244
Securitas AB Class B		4,579		48,792
Serco Group PLC		7,519		62,138
SGS SA		85		196,309
Toppan Printing Co. Ltd.		9,000		72,101
Transurban Group (a)		21,114		129,084
				2,827,121
Cosmetics & Personal Care — 0.6%
Beiersdorf AG		1,550		157,364
Kao Corp.		7,800		245,661
L’Oreal		3,652		643,116
Shiseido Co. Ltd.		5,400		86,956
Unicharm Corp.		1,700		97,044
				1,230,141
Foods — 5.1%
Ajinomoto Co., Inc. (a)		9,000		130,415
Aryzta AG		1,301		100,012
Associated British Foods PLC		5,357		217,019
Barry Callebaut AG		30		37,636
Calbee, Inc. (a)		1,200		29,196
Carrefour SA		9,329		369,944
Casino Guichard-Perrachon SA		883		102,067
Colruyt SA		1,210		67,674
Danone SA		8,640		623,296
Delhaize Group		1,513		90,148
Distribuidora Internacional de Alimentacion SA		9,320		83,377
First Pacific Co. Ltd.		33,750		38,567
J Sainsbury PLC		18,663		113,052
Jeronimo Martins SGPS SA		3,842		75,175

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

187

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

	Number of Shares		Value
Kerry Group PLC Class A		2,284	$	158,709
Kikkoman Corp. (a)		2,000		37,890
Koninlijke Ahold NV		14,974		268,864
Lindt & Spruengli AG		13		58,597
Lindt & Spruengli AG		1		53,926
MEIJI Holdings Co. Ltd.		900		57,933
Metcash Ltd. (a)		14,608		41,219
Metro AG		2,037		98,661
Nestle SA		48,705		3,575,334
Nippon Meat Packers, Inc.		3,000		51,553
Nisshin Seifun Group, Inc.		3,300		34,148
Nissin Foods Holdings Co. Ltd.		900		38,019
Olam International Ltd. (a)		24,000		29,288
Seven & I Holdings Co. Ltd.		11,300		450,022
Suedzucker AG		1,217		32,851
Tate & Lyle PLC		7,304		97,938
Tesco PLC		122,294		677,293
Toyo Suisan Kaisha Ltd.		1,000		30,064
Unilever NV		24,567		991,900
Unilever PLC		19,364		794,278
WM Morrison Supermarkets PLC		33,064		143,193
Woolworths Ltd.		18,955		573,065
Yakult Honsha Co. Ltd.		1,300		65,724
Yamazaki Baking Co. Ltd.		2,000		20,521
				10,458,568
Health Care – Products — 0.9%
Cie Generale d’Optique Essilor International SA		3,138		334,324
Cochlear Ltd. (a)		870		45,785
Coloplast A/S Class B		1,693		112,301
Elekta AB (a)		5,265		80,773
Fresenius SE & Co. KGaA		1,924		295,454
Getinge AB Class B		3,114		106,810
Luxottica Group SpA		2,525		135,620
QIAGEN NV (b)		3,560		83,053
Shimadzu Corp.		4,000		34,833
Smith & Nephew PLC		13,809		196,933
Sonova Holding AG		792		106,766
Sysmex Corp.		1,100		64,972
Terumo Corp.		2,300		111,110
William Demant Holding (a) (b)		401		38,988
				1,747,722
Health Care – Services — 0.2%
Fresenius Medical Care AG & Co. KGaA		3,267		232,512
Miraca Holdings, Inc.		800		37,732
Ramsay Health Care Ltd.		2,039		78,947
Ryman Healthcare Ltd.		5,921		38,195
Sonic Healthcare Ltd.		5,610		83,378
				470,764

	Number of Shares		Value
Household Products — 0.5%
Henkel AG & Co. KGaA		2,001	$	208,618
Husqvarna AB Class B		5,959		35,986
Reckitt Benckiser Group PLC		9,759		776,979
Societe BIC SA		402		49,274
				1,070,857
Pharmaceuticals — 8.5%
Actelion Ltd.		1,512		128,174
Alfresa Holdings Corp.		600		29,808
Astellas Pharma, Inc.		6,600		391,066
AstraZeneca PLC		18,891		1,120,540
Bayer AG		12,498		1,753,386
Celesio AG		1,392		44,048
Chugai Pharmaceutical Co. Ltd. (a)		3,400		75,277
Daiichi Sankyo Co. Ltd.		10,000		183,194
Dainippon Sumitomo Pharma Co. Ltd. (a)		2,300		36,034
Eisai Co. Ltd.		3,800		147,309
GlaxoSmithKline PLC		74,012		1,974,022
Grifols SA		2,209		105,822
Grifols SA Class B		79		2,829
Hisamitsu Pharmaceutical Co., Inc.		900		45,343
Kyowa Hakko Kirin Co. Ltd. (a)		4,000		44,115
Medipal Holdings Corp.		2,300		30,393
Merck KGaA		974		175,486
Mitsubishi Tanabe Pharma Corp.		3,300		46,003
Novartis AG		34,735		2,779,858
Novo Nordisk A/S Class B		6,019		1,108,889
Ono Pharmaceutical Co. Ltd.		1,200		105,091
Orion OYJ Class B		1,380		38,853
Otsuka Holdings Co. Ltd.		5,600		161,729
Perrigo Co. PLC		562		86,211
Roche Holding AG		10,619		2,976,686
Sanofi		18,027		1,918,901
Santen Pharmaceutical Co. Ltd.		1,200		56,009
Shionogi & Co. Ltd.		4,500		97,761
Shire Ltd.		8,388		395,257
Suzuken Co. Ltd.		1,100		35,626
Taisho Pharmaceutical Holdings Co. Ltd.		500		34,390
Takeda Pharmaceutical Co. Ltd.		11,900		546,273
Teva Pharmaceutical Industries Ltd.		12,766		511,732
Tsumura & Co. (a)		900		23,852
UCB SA		1,690		125,916
				17,335,883
				43,499,955
Diversified — 1.1%
Holding Company – Diversified — 1.1%
Exor SpA		1,515		60,399
GEA Group AG		2,766		131,683
Groupe Bruxelles Lambert SA		1,243		114,324
Hutchison Whampoa Ltd.		32,000		437,536

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

188

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

	Number of Shares		Value
Industrivarden AB Class C		1,824	$	34,779
Keppel Corp. Ltd.		22,000		195,589
LVMH Moet Hennessy Louis Vuitton SA		3,843		703,503
Noble Group Ltd.		63,000		53,643
NWS Holdings Ltd.		21,255		32,398
Swire Pacific Ltd. Class A		10,500		123,648
TUI Travel PLC		6,833		46,781
Wendel SA		464		67,648
Wharf Holdings Ltd.		23,000		175,793
				2,177,724
Energy — 6.5%
Energy – Alternate Sources — 0.0%
Enel Green Power SpA		27,971		70,494
Oil & Gas — 6.2%
BG Group PLC		51,475		1,109,299
BP PLC		284,669		2,306,037
Caltex Australia Ltd.		1,973		35,437
ENI SpA		38,362		927,578
Galp Energia SGPS SA		5,341		87,692
Idemitsu Kosan Co. Ltd.		1,200		27,323
Inpex Corp.		13,200		169,245
Japan Petroleum Exploration Co.		500		18,949
JX Holdings, Inc.		34,100		175,571
Lundin Petroleum AB (b)		3,311		64,628
Neste Oil OYJ (a)		2,061		40,988
OMV AG		2,273		108,865
Repsol YPF SA (a)		12,834		324,266
Royal Dutch Shell PLC Class A		57,724		2,073,119
Royal Dutch Shell PLC Class B		37,924		1,427,178
Santos Ltd.		14,852		194,734
Seadrill Ltd.		5,611		229,985
Showa Shell Sekiyu KK (a)		2,800		28,467
StatoilHydro ASA		16,950		411,714
TonenGeneral Sekiyu KK (a)		4,000		36,710
Total SA		32,309		1,980,513
Transocean Ltd.		5,367		262,713
Tullow Oil PLC		13,745		195,181
Woodside Petroleum Ltd.		9,874		343,073
				12,579,265
Oil & Gas Services — 0.3%
AMEC PLC		4,758		85,924
Cie Generale de Geophysique-Veritas (b)		2,414		41,895
Fugro NV		1,128		67,476
Petrofac Ltd.		4,066		82,516
Saipem SpA		4,069		87,842
Subsea 7 SA		3,839		73,612
Technip SA		1,541		148,428
				587,693

	Number of Shares		Value
Pipelines — 0.0%
APA Group (a)		12,561	$	67,334
				13,304,786
Financial — 24.8%
Banks — 13.6%
Aozora Bank Ltd. (a)		16,000		45,337
Australia & New Zealand Banking Group Ltd.		41,522		1,195,334
Banca Monte dei Paschi di Siena SpA (a) (b)		107,375		26,063
Banco Bilbao Vizcaya Argentaria SA		87,566		1,084,977
Banco de Sabadell SA (a)		51,173		133,750
Banco Espirito Santo SA (b)		28,332		40,532
Banco Popular Espanol SA (b)		19,200		115,924
Banco Santander SA		171,477		1,547,462
Bank Hapoalim B.M.		15,983		89,663
Bank Leumi Le-Israel (b)		19,173		78,383
Bank of East Asia Ltd.		18,033		76,459
Bank of Ireland (b)		342,231		119,097
The Bank of Kyoto Ltd. (a)		5,000		41,841
Bank of Queensland Ltd.		4,928		53,650
The Bank of Yokohama Ltd.		17,000		94,920
Bankia SA (a) (b)		63,030		108,110
Barclays PLC		231,145		1,045,837
Bendigo and Adelaide Bank Ltd. (a)		6,213		65,209
BNP Paribas		15,040		1,177,673
BOC Hong Kong Holdings Ltd.		56,000		180,115
CaixaBank		26,122		136,150
The Chiba Bank Ltd.		11,000		74,339
The Chugoku Bank Ltd.		2,700		34,288
Commerzbank AG (b)		14,590		235,133
Commonwealth Bank of Australia		24,385		1,699,086
Credit Agricole SA (b)		15,374		197,610
Danske Bank A/S (b)		9,927		228,556
DBS Group Holdings, Ltd.		26,000		353,389
Deutsche Bank AG		15,449		737,128
DnB NOR ASA		14,545		260,664
Erste Group Bank AG		3,808		133,221
Fukuoka Financial Group, Inc.		12,000		52,714
The Gunma Bank Ltd.		6,000		33,562
The Hachijuni Bank Ltd.		6,000		35,032
Hang Seng Bank Ltd.		11,600		188,617
The Hiroshima Bank Ltd.		8,000		33,167
Hokuhoku Financial Group, Inc.		18,000		35,933
HSBC Holdings PLC		281,831		3,091,092
Intesa Sanpaolo SpA		176,952		439,277
The Iyo Bank Ltd.		4,000		39,279
The Joyo Bank Ltd.		11,000		56,285
Julius Baer Group Ltd.		3,368		162,403
KBC Groep NV		3,787		215,530
Lloyds Banking Group PLC (b)		756,418		988,693
Mediobanca SpA (b)		7,504		66,026
Mitsubishi UFJ Financial Group, Inc.		192,600		1,273,482

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

189

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

	Number of Shares		Value
Mizrahi Tefahot Bank Ltd.		2,271	$	29,746
Mizuho Financial Group, Inc.		347,100		751,749
National Australia Bank Ltd.		35,557		1,110,013
Natixis		14,789		87,334
The Nishi-Nippon City Bank Ltd.		10,000		26,956
Nordea Bank AB		46,059		623,687
Oversea-Chinese Banking Corp. Ltd.		39,000		315,712
Pohjola Bank PLC		2,118		42,659
Raiffeisen Bank International AG		813		28,700
Resona Holdings, Inc.		28,600		145,876
Royal Bank of Scotland Group PLC (b)		32,750		184,369
Seven Bank Ltd.		8,700		34,041
Shinsei Bank Ltd. (a)		25,000		61,181
The Shizuoka Bank Ltd.		9,000		96,278
Skandinaviska Enskilda Banken AB Class A		22,698		300,292
Societe Generale SA		10,875		635,072
Standard Chartered PLC		36,630		825,340
Sumitomo Mitsui Financial Group, Inc.		19,200		991,517
Sumitomo Mitsui Trust Holdings, Inc.		51,000		269,427
Suruga Bank Ltd.		3,000		53,920
Svenska Handelsbanken AB		7,471		369,047
Swedbank AB Class A		13,687		386,116
UBI Banca		13,474		92,013
UniCredit SpA		65,117		484,881
United Overseas Bank Ltd.		19,000		320,336
Westpac Banking Corp.		46,966		1,363,942
Yamaguchi Financial Group, Inc. (a)		3,000		27,821
				27,779,017
Diversified Financial — 2.3%
Aberdeen Asset Management PLC		14,471		120,512
Acom Co. Ltd. (a) (b)		5,400		18,371
Aeon Credit Service Co. Ltd. (a)		900		24,182
ASX Ltd.		2,941		96,564
Credit Saison Co. Ltd.		2,500		65,937
Credit Suisse Group		22,956		704,792
Daiwa Securities Group, Inc.		25,000		250,366
Deutsche Boerse AG		2,852		236,827
Eurazeo SA		475		37,246
Hargreaves Lansdown PLC		3,046		68,493
Hong Kong Exchanges and Clearing Ltd.		16,456		275,534
ICAP PLC		7,880		59,040
Investec PLC		8,701		63,097
Japan Exchange Group, Inc.		3,600		102,499
London Stock Exchange Group PLC		2,513		72,143
Macquarie Group Ltd.		4,441		219,013
Mitsubishi UFJ Lease & Finance Co. Ltd.		8,500		52,270
Nomura Holdings, Inc.		55,100		426,446

	Number of Shares		Value
Old Mutual PLC		72,651	$	227,657
ORIX Corp.		19,300		339,974
Partners Group Holding AG		250		66,700
Schroders PLC		1,535		66,280
Singapore Exchange Ltd.		13,000		74,963
UBS AG		55,226		1,052,073
				4,720,979
Insurance — 5.4%
Admiral Group PLC		2,748		59,649
Aegon NV		26,763		252,666
Ageas		3,455		147,500
AIA Group Ltd.		182,405		919,564
Allianz SE		6,893		1,236,422
AMP Ltd.		44,312		174,001
Assicurazioni Generali SpA		17,757		422,011
Aviva PLC		43,975		327,652
AXA SA		27,192		758,472
Baloise Holding AG		726		92,754
CNP Assurances		2,427		49,764
The Dai-ichi Life Insurance Co. Ltd.		12,800		214,535
Delta Lloyd NV		2,944		73,243
Direct Line Insurance Group PLC		16,775		69,449
Gjensidige Forsikring ASA		2,799		53,434
Hannover Rueck SE		908		78,421
ING Groep NV (b)		58,117		812,688
Insurance Australia Group Ltd.		34,826		181,035
Legal & General Group PLC		88,775		327,570
Mapfre SA (a)		15,948		68,455
Mitsui Sumitomo Insurance Group Holdings, Inc.		7,800		209,843
Muenchener Rueckversicherungs AG		2,712		597,710
NKSJ Holdings, Inc.		5,000		139,467
Prudential PLC		38,770		867,712
QBE Insurance Group Ltd.		18,491		190,401
RSA Insurance Group PLC		54,071		81,885
Sampo Oyj		6,282		310,046
SCOR SE		2,287		83,604
Sony Financial Holdings, Inc.		2,500		45,542
Standard Life PLC		36,576		217,946
Suncorp Group Ltd.		19,842		233,077
Swiss Life Holding AG		488		101,567
Swiss Re AG		5,273		487,406
T&D Holdings, Inc.		8,500		119,068
Tokio Marine Holdings, Inc.		10,400		348,370
Tryg A/S		387		37,447
Vienna Insurance Group AG Wiener Versicherung Gruppe		623		31,110
Zurich Insurance Group AG		2,243		652,258
				11,073,744
Investment Companies — 0.3%
Cheung Kong Infrastructure Holdings Ltd.		10,000		63,386
Delek Group Ltd.		50		19,113

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

190

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

	Number of Shares		Value
Investment AB Kinnevik Class B		3,377	$	156,742
Investor AB Class B		6,776		233,806
The Israel Corp. Ltd. (b)		38		20,025
Pargesa Holding SA		435		35,136
Resolution Ltd.		20,639		121,390
				649,598
Real Estate — 1.7%
Aeon Mall Co. Ltd.		1,800		50,573
Capitaland Ltd.		37,000		89,081
CapitaMalls Asia Ltd.		21,000		32,720
Cheung Kong Holdings		21,000		332,900
Daito Trust Construction Co. Ltd.		1,100		102,836
Deutsche Wohnen AG		4,469		86,731
Global Logistic Properties Ltd.		46,000		105,547
Hang Lung Properties Ltd.		33,000		105,265
Henderson Land Development Co. Ltd.		16,683		95,384
Hopewell Holdings Ltd.		8,500		28,852
Hulic Co. Ltd. (a)		4,000		59,361
Hysan Development Co. Ltd.		10,035		43,269
IMMOFINANZ AG		14,572		67,622
Keppel Land Ltd.		11,000		29,221
Kerry Properties Ltd.		9,500		33,012
Lend Lease Group		7,854		78,164
Mitsubishi Estate Co. Ltd.		19,000		569,370
Mitsui Fudosan Co. Ltd.		13,000		468,939
New World Development Ltd.		59,118		75,003
Nomura Real Estate Holdings, Inc.		2,000		45,084
NTT Urban Development Corp.		1,900		21,912
REA Group Ltd.		847		28,567
Sino Land Co. Ltd.		44,349		60,739
Sumitomo Realty & Development Co. Ltd.		5,000		249,216
Sun Hung Kai Properties Ltd.		24,000		305,941
Swire Properties Ltd.		16,200		40,974
Swiss Prime Site AG		794		61,602
Tokyo Tatemono Co. Ltd. (a)		6,000		66,839
Tokyu Fudosan Holdings Corp. (b)		8,000		75,492
UOL Group Ltd.		7,000		34,379
Wheelock & Co. Ltd.		14,000		64,527
				3,509,122
Real Estate Investment Trusts (REITS) — 1.4%
Ascendas Real Estate Investment Trust		30,000		52,405
British Land Co. PLC		14,032		146,254
CapitaCommercial Trust (a)		31,000		35,671
Capital Shopping Centres Group PLC		10,776		55,413
CapitaMall Trust		36,000		54,447
CFS Retail Property Trust Group		31,999		55,714
Corio NV		974		43,725
Dexus Property Group		68,087		61,120
Federation Centres Ltd.		21,726		45,409
Fonciere Des Regions		391		33,776

	Number of Shares		Value
Gecina SA		324	$	42,817
Goodman Group		25,455		107,810
GPT Group		26,493		80,644
Hammerson PLC		10,318		85,811
ICADE		578		53,912
Japan Prime Realty Investment Corp. (a)		11		35,239
Japan Real Estate Investment Corp.		18		96,558
Japan Retail Fund Investment Corp.		33		67,198
Klepierre		1,551		71,887
Land Securities Group PLC		12,196		194,699
The Link REIT		34,723		169,391
Mirvac Group (a)		55,600		83,436
Nippon Building Fund, Inc. (a)		22		128,067
Nippon Prologis REIT, Inc.		4		38,242
Nomura Real Estate Office Fund, Inc.		5		23,263
Segro PLC		10,805		59,792
Stockland (a)		34,539		111,667
Unibail-Rodamco SE		68		17,463
Unibail-Rodamco SE		1,409		361,020
United Urban Investment Corp.		35		50,341
Westfield Group		30,733		276,995
Westfield Retail Trust		45,345		120,290
				2,860,476
Venture Capital — 0.1%
3i Group PLC		14,966		95,482
				50,688,418
Industrial — 12.8%
Aerospace & Defense — 1.1%
BAE Systems PLC		48,567		350,992
Cobham PLC		16,639		75,669
European Aeronautic Defence and Space Co.		8,938		688,922
Finmeccanica SpA (b)		6,425		49,278
Meggitt PLC		11,692		102,414
Rolls-Royce Holdings PLC		28,296		599,297
Safran SA		4,128		287,067
Thales SA		1,302		83,934
Zodiac Aerospace (a)		530		94,108
				2,331,681
Building Materials — 1.2%
Asahi Glass Co. Ltd. (a)		16,000		99,559
Boral Ltd. (a)		12,337		52,799
Compagnie de Saint-Gobain		6,297		348,046
CRH PLC		11,004		279,164
Daikin Industries Ltd.		3,500		218,412
Fletcher Building Ltd.		10,060		70,061
Geberit AG Registered		580		177,428
HeidelbergCement AG		2,114		160,434
Holcim Ltd.		3,400		255,623
Imerys SA (a)		511		44,567
James Hardie Industries NV		6,697		77,905

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

191

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

	Number of Shares		Value
Lafarge SA		2,876	$	216,422
Lixil Group Corp.		4,200		115,343
Rinnai Corp.		500		38,969
Sika AG		33		117,349
Taiheiyo Cement Corp.		17,000		65,347
TOTO Ltd.		4,000		63,501
				2,400,929
Electrical Components & Equipment — 1.2%
Brother Industries Ltd.		3,500		47,920
Casio Computer Co. Ltd. (a)		3,400		41,672
Hitachi Ltd.		73,000		553,468
Legrand SA		4,004		220,801
Mitsubishi Electric Corp.		29,000		364,712
OSRAM Licht AG (b)		1,276		72,118
Prysmian SpA		3,152		81,271
Schneider Electric SA		8,059		707,349
Sharp Corp. (b)		22,000		69,910
Toshiba Corp.		60,000		252,495
				2,411,716
Electronics — 1.4%
Advantest Corp. (a)		2,300		28,638
Fanuc Corp.		2,900		531,792
Hamamatsu Photonics KK		1,100		44,069
Hirose Electric Co. Ltd.		500		71,276
Hoya Corp.		6,700		186,474
Ibiden Co. Ltd.		1,900		35,565
Keyence Corp.		700		299,777
Koninklijke Philips Electronics NV		14,775		544,652
Kyocera Corp.		5,000		250,099
Mabuchi Motor Co. Ltd. (a)		300		17,843
Murata Manufacturing Co. Ltd.		3,100		275,578
NEC Corp.		38,000		85,784
NGK Insulators Ltd.		4,000		76,211
Nidec Corp. (a)		1,500		147,101
Nippon Electric Glass Co. Ltd.		6,000		31,532
Omron Corp.		3,000		132,780
Rexel Promesses		3,267		86,050
Yaskawa Electric Corp.		3,000		47,577
Yokogawa Electric Corp.		3,000		46,159
				2,938,957
Engineering & Construction — 1.3%
ABB Ltd.		33,217		877,573
ACS Actividades de Construccion y Servicios SA		2,069		71,721
Aeroports de Paris		439		49,834
Aker Kvaerner ASA		2,243		40,103
Auckland International Airport Ltd.		14,536		42,206
Boskalis Westminster		1,131		59,968
Bouygues SA		2,825		107,123
Chiyoda Corp.		2,000		29,108
Ferrovial SA		6,183		120,244

	Number of Shares		Value
Fraport AG Frankfurt Airport Services Worldwide		574	$	43,157
Hochtief AG (a)		467		39,978
JGC Corp.		3,000		117,832
Kajima Corp.		13,000		48,928
Kinden Corp.		2,000		20,904
Leighton Holdings Ltd. (a)		2,675		38,675
Obayashi Corp.		9,000		51,322
SembCorp Industries Ltd.		14,000		60,989
Shimizu Corp.		9,000		45,514
Singapore Technologies Engineering Ltd.		22,000		69,243
Skanska AB		5,851		120,136
Sydney Airport		18,086		61,514
Taisei Corp. (a)		14,000		63,768
Vinci SA		7,273		479,247
WorleyParsons Ltd.		3,038		45,048
				2,704,135
Environmental Controls — 0.0%
Kurita Water Industries Ltd. (a)		1,700		35,291
Hand & Machine Tools — 0.4%
Fuji Electric Co. Ltd.		9,000		42,158
Makita Corp.		1,600		84,192
Sandvik AB		15,794		223,569
Schindler Holding AG		727		107,290
Schindler Holding AG		301		44,406
SMC Corp.		800		202,079
THK Co. Ltd.		1,800		44,982
				748,676
Machinery – Construction & Mining — 1.4%
Atlas Copco AB Class A		10,201		284,507
Atlas Copco AB Class B		5,876		149,628
BHP Billiton PLC		31,854		987,653
Hitachi Construction Machinery Co. Ltd. (a)		1,600		34,270
Komatsu Ltd.		14,000		284,969
Rio Tinto PLC		19,176		1,082,092
				2,823,119
Machinery – Diversified — 1.0%
Alstom SA		3,192		116,620
Amada Co. Ltd.		5,000		44,194
Andritz AG		1,078		67,712
CNH Industrial NV (b)		14,316		163,496
Hexagon AB Class B		3,631		115,159
IHI Corp.		20,000		86,479
Kawasaki Heavy Industries Ltd.		22,000		92,477
Kone OYJ (a)		4,808		217,993
Kubota Corp.		16,000		265,265
MAN SE		512		62,866
Metso OYJ		1,862		79,697
Mitsubishi Heavy Industries Ltd.		46,000		285,119

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

192

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

	Number of Shares		Value
Nabtesco Corp.		1,600	$	36,950
Sumitomo Heavy Industries Ltd.		8,000		36,864
Volvo AB Class B		23,311		307,277
The Weir Group PLC		3,239		114,457
Zardoya Otis SA (a)		2,462		44,529
				2,137,154
Manufacturing — 1.5%
Alfa Laval AB		4,699		120,874
ALS Ltd. (a)		6,332		49,834
FUJIFILM Holdings Corp.		7,000		198,776
IMI PLC		4,574		115,933
Invensys PLC		9,751		82,279
Konica Minolta Holdings, Inc.		7,000		70,172
Melrose Industries PLC		18,778		95,121
Nikon Corp. (a)		5,300		101,346
Olympus Corp. (b)		3,500		111,008
Orkla ASA		11,832		92,477
Siemens AG		11,991		1,638,377
Smiths Group PLC		5,956		146,458
Sulzer AG		377		60,986
Wartsila OYJ Abp		2,685		132,870
				3,016,511
Metal Fabricate & Hardware — 0.4%
Assa Abloy AB Series B		4,955		262,700
Maruichi Steel Tube Ltd.		900		22,754
Norsk Hydro ASA		20,570		91,955
NSK Ltd.		7,000		87,361
SKF AB Class B		5,969		156,647
Tenaris SA (a)		7,084		154,822
Vallourec SA		1,561		85,419
				861,658
Packaging & Containers — 0.2%
Amcor Ltd.		18,616		176,043
Rexam PLC		12,130		106,661
Toyo Seikan Kaisha Ltd.		2,300		49,513
				332,217
Shipbuilding — 0.0%
SembCorp Marine Ltd. (a)		12,000		42,415
Yangzijiang Shipbuilding Holdings Ltd.		33,000		31,106
				73,521
Transportation — 1.7%
AP Moeller – Maersk A/S Class A		8		82,495
AP Moeller – Maersk A/S Class B		20		218,129
Asciano Group		14,402		74,405
Aurizon Holdings Ltd.		31,667		138,333
Central Japan Railway Co.		2,200		259,479
ComfortDelGro Corp. Ltd.		28,000		44,630
Deutsche Post AG		13,838		504,611
DSV A/S		2,877		94,548

	Number of Shares		Value
East Japan Railway		5,100	$	407,013
Groupe Eurotunnel SA		8,173		85,916
Hankyu Hanshin Holdings, Inc.		18,000		97,381
Hutchison Port Holdings Trust		80,000		54,033
Kamigumi Co. Ltd.		4,000		36,723
Keikyu Corp. (a)		7,000		57,853
Keio Corp. (a)		9,000		60,138
Keisei Electric Railway Co. Ltd.		4,000		36,874
Kintetsu Corp. (a)		27,000		94,697
Koninklijke Vopak NV		1,072		62,808
Kuehne & Nagel International AG		841		110,609
Mitsui OSK Lines Ltd.		17,000		76,724
MTR Corp.		23,000		87,266
Nippon Express Co. Ltd.		12,000		58,194
Nippon Yusen KK		24,000		76,814
Odakyu Electric Railway Co. Ltd.		9,000		81,579
TNT Express NV		5,712		53,129
Tobu Railway Co. Ltd.		15,000		72,794
Tokyu Corp.		17,000		110,391
Toll Holdings Ltd.		9,949		50,476
West Japan Railway Co.		2,600		112,837
Yamato Holdings Co. Ltd.		5,800		117,418
				3,418,297
				26,233,862
Technology — 2.3%
Computers — 0.4%
Atos Origin SA		873		79,268
Cap Gemini SA		2,101		142,468
Computershare Ltd.		6,787		69,121
Fujitsu LTD (b)		29,000		150,141
Gemalto NV (a)		1,193		131,960
Gemalto NV (a)		23		2,532
Itochu Techno-Solutions Corp. (a)		300		12,173
NTT Data Corp.		1,900		70,309
Otsuka Corp. (a)		200		25,528
TDK Corp.		1,800		86,408
				769,908
Office Equipment/Supplies — 0.3%
Canon, Inc. (a)		17,100		544,300
Ricoh Co. Ltd.		10,000		106,709
				651,009
Semiconductors — 0.7%
ARM Holdings PLC		20,870		379,544
ASM Pacific Technology Ltd.		3,800		31,781
ASML Holding NV		5,380		505,209
Infineon Technologies AG		16,528		176,496
Rohm Co. Ltd.		1,500		73,149
STMicroelectronics NV		9,348		75,306
Sumco Corp. (a) (b)		2,000		17,648
Tokyo Electron Ltd.		2,500		137,907
				1,397,040

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

193

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

	Number of Shares		Value
Software — 0.9%
Amadeus IT Holding SA Class A		5,696	$	243,983
Dassault Systemes SA		944		117,296
GungHo Online Entertainment, Inc. (a) (b)		4,900		35,359
Konami Corp. (a)		1,500		34,730
Nexon Co. Ltd.		1,300		12,003
Nomura Research Institute Ltd.		1,500		47,304
Oracle Corp.		600		21,959
The Sage Group PLC		17,020		114,136
SAP AG		13,922		1,193,673
				1,820,443
				4,638,400
Utilities — 3.5%
Electric — 2.4%
AGL Energy Ltd.		8,339		111,948
Chubu Electric Power Co., Inc.		9,900		127,963
The Chugoku Electric Power Co., Inc.		4,400		68,503
CLP Holdings Ltd.		26,500		209,973
Contact Energy Ltd.		6,246		26,349
E.ON AG		27,042		498,344
EDP – Energias de Portugal SA		30,561		112,260
Electric Power Development Co. Ltd.		1,700		49,578
Electricite de France		3,628		128,476
Enel SpA		100,489		440,247
Fortum OYJ		6,844		156,682
Hokkaido Electric Power Co., Inc. (a) (b)		2,900		33,379
Hokuriku Electric Power Co.		2,600		35,313
HongKong Electric Holdings		21,000		167,440
Iberdrola SA		70,490		450,845
The Kansai Electric Power Co., Inc. (b)		10,500		120,857
Kyushu Electric Power (b)		6,300		80,499
National Grid PLC		56,403		736,985
Origin Energy Ltd.		16,883		212,197
Red Electrica Corp. SA		1,612		107,766
RWE AG		7,525		275,180
Scottish & Southern Energy PLC		14,390		327,237
Shikoku Electric Power Co., Inc. (a) (b)		2,500		37,497
SP AusNet (a)		26,022		28,957
Terna Rete Elettrica Nazionale SpA		23,216		116,680
Tohoku Electric Power Co., Inc. (b)		6,600		74,305
The Tokyo Electric Power Co., Inc. (a) (b)		22,300		109,659
				4,845,119
Gas — 0.9%
Centrica PLC		77,465		446,125
Enagas SA		2,868		75,080
Gas Natural SDG SA		5,267		135,906
Gaz De France		19,953		470,848

	Number of Shares		Value
Hong Kong & China Gas Co. Ltd.		85,200	$	196,122
Osaka Gas Co. Ltd.		28,000		110,039
Snam Rete Gas SpA		30,435		170,599
Toho Gas Co. Ltd.		6,000		29,233
Tokyo Gas Co. Ltd.		37,000		182,318
				1,816,270
Water — 0.2%
Severn Trent PLC		3,641		102,824
Suez Environnement Co.		4,514		80,892
United Utilities Group PLC		10,343		115,317
Veolia Environnement SA		5,286		86,375
				385,408
				7,046,797
TOTAL COMMON STOCK (Cost $157,429,230)				199,279,300
PREFERRED STOCK — 0.6%
Consumer, Cyclical — 0.5%
Auto Manufacturers — 0.5%
Bayerische Motoren Werke AG 5.450%		855		73,046
Porsche Automobil Holdings SE 1.530%		2,332		243,385
Volkswagen AG 2.070%		2,176		611,349
				927,780
Consumer, Non-cyclical — 0.1%
Household Products — 0.1%
Henkel AG & Co. KGaA 1.260%		2,656		308,125
Energy — 0.0%
Oil & Gas — 0.0%
Fuchs Petrolub AG 2.180%		529		51,767
Industrial — 0.0%
Aerospace & Defense — 0.0%
Rolls-Royce Holdings PLC (b) (c)		2,479,466		4,106
TOTAL PREFERRED STOCK (Cost $844,707)				1,291,778
TOTAL EQUITIES (Cost $158,273,937)				200,571,078
RIGHTS — 0.0%
Energy — 0.0%
Oil & Gas — 0.0%
Repsol SA, Expires 01/09/14 (b)		12,834		8,757
TOTAL RIGHTS (Cost $8,369)				8,757

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

194

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

	Number of Shares		Value
MUTUAL FUNDS — 4.3%
Diversified Financial — 4.3%
iShares MSCI EAFE Index Fund		12,205	$	818,467
State Street Navigator Securities Lending Prime Portfolio (d)		8,066,283		8,066,283
				8,884,750
TOTAL MUTUAL FUNDS (Cost $8,858,715)				8,884,750
TOTAL LONG-TERM INVESTMENTS (Cost $167,141,021)				209,464,585

	Principal Amount
SHORT-TERM INVESTMENTS — 0.9%
Repurchase Agreement — 0.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (e)	$	1,747,687		1,747,687
TOTAL SHORT-TERM INVESTMENTS (Cost $1,747,687)				1,747,687
TOTAL INVESTMENTS — 103.3% (Cost $168,888,708) (f)				211,212,272
Other Assets/(Liabilities) — (3.3)%				(6,743,694	)
NET ASSETS — 100.0%			$	204,468,578

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $7,658,525. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

(c) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2013, these securities amounted to a value of $4,106 or 0.00% of net assets.

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

(e) Maturity value of $1,747,688. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 5/15/40, and an aggregate market value, including accrued interest, of $1,784,474.

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

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

195

MassMutual Select Overseas Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 99.2%
COMMON STOCK — 98.9%
Basic Materials — 6.1%
Chemicals — 5.0%
Air Liquide		43,484	$	6,164,356
Akzo Nobel NV		86,821		6,736,292
BASF SE		23,536		2,509,757
Givaudan SA Registered		1,155		1,654,720
Linde AG		36,965		7,741,846
Nitto Denko Corp.		22,100		935,587
Shin-Etsu Chemical Co. Ltd.		68,800		4,022,960
Solvay SA Class A		12,877		2,038,212
				31,803,730
Forest Products & Paper — 0.3%
UPM-Kymmene OYJ		102,449		1,733,303
Mining — 0.8%
First Quantum Minerals Ltd.		37,586		677,238
Orica Ltd. (a)		203,356		4,334,450
				5,011,688
				38,548,721
Communications — 4.8%
Advertising — 1.8%
Publicis Groupe		31,145		2,859,042
WPP PLC		363,936		8,351,568
				11,210,610
Media — 0.5%
Pearson PLC		57,276		1,272,189
Thomson Reuters Corp. (a)		54,000		2,042,062
				3,314,251
Telecommunications — 2.5%
China Unicom Ltd.		1,442,000		2,160,930
Deutsche Telekom AG		160,831		2,750,723
KDDI Corp.		23,500		1,449,352
Singapore Telecommunications Ltd.		71,000		205,355
Singapore Telecommunications Ltd. (a)		338,500		983,886
Telefonaktiebolaget LM Ericsson Class B		139,982		1,714,174
Telenor ASA		60,386		1,442,006
Vodafone Group PLC		1,389,978		5,464,109
				16,170,535
				30,695,396
Consumer, Cyclical — 14.3%
Apparel — 0.3%
Christian Dior SA		8,600		1,628,129
Auto Manufacturers — 5.0%
Bayerische Motoren Werke AG		35,700		4,186,670

	Number of Shares		Value
Daimler AG		99,119	$	8,579,822
Honda Motor Co. Ltd. (a)		303,400		12,513,068
Toyota Motor Corp.		101,600		6,182,611
				31,462,171
Automotive & Parts — 2.1%
Bridgestone Corp.		35,000		1,326,865
Continental AG		5,500		1,206,524
Delphi Automotive PLC		37,800		2,272,914
Denso Corp.		126,500		6,688,433
Sumitomo Electric Industries Ltd.		89,400		1,493,977
				12,988,713
Distribution & Wholesale — 0.7%
Li & Fung Ltd.		3,281,600		4,249,042
Wolseley PLC		6,355		360,896
				4,609,938
Food Services — 1.7%
Compass Group PLC		575,390		9,225,703
Sodexo		16,700		1,695,740
				10,921,443
Home Builders — 0.2%
Daiwa House Industry Co. Ltd.		78,000		1,510,099
Home Furnishing — 0.2%
Electrolux AB Series B		53,862		1,417,986
Lodging — 0.3%
InterContinental Hotels Group PLC		58,180		1,940,447
Retail — 3.8%
Cie Financiere Richemont SA		36,600		3,662,522
Hennes & Mauritz AB Class B		120,680		5,576,687
Kering		20,250		4,282,521
Kingfisher PLC		187,733		1,200,150
Lawson, Inc. (a)		36,100		2,702,168
Shoppers Drug Mart Corp. (a)		32,490		1,779,801
Signet Jewelers Ltd.		9,100		716,170
Yum! Brands, Inc.		52,350		3,958,183
				23,878,202
				90,357,128
Consumer, Non-cyclical — 21.9%
Agriculture — 0.7%
Japan Tobacco, Inc.		126,200		4,106,181
Beverages — 4.6%
Diageo PLC		308,615		10,193,934
Heineken Holding NV Class A		35,900		2,276,685
Heineken NV		90,775		6,146,614
Pernod-Ricard SA		81,435		9,298,168
SABMiller PLC		22,655		1,166,694
				29,082,095

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

196

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Commercial Services — 2.7%
Adecco SA		29,400	$	2,334,962
Experian PLC		192,500		3,552,820
Hays PLC		959,588		2,064,931
Meitec Corp.		15,900		431,182
Randstad Holding NV		127,721		8,292,991
Secom Co. Ltd.		5,800		350,254
				17,027,140
Cosmetics & Personal Care — 0.7%
Beiersdorf AG		45,874		4,657,359
Foods — 5.0%
Danone SA		130,608		9,422,152
Koninlijke Ahold NV		100,000		1,795,539
Metro AG		32,622		1,580,024
Nestle SA		180,883		13,278,250
Seven & I Holdings Co. Ltd.		49,400		1,967,354
Tesco PLC		681,600		3,774,861
				31,818,180
Health Care – Products — 0.4%
Sonova Holding AG		17,744		2,391,995
Household Products — 0.8%
Reckitt Benckiser Group PLC		60,923		4,850,487
Pharmaceuticals — 7.0%
AstraZeneca PLC		25,995		1,541,921
Bayer AG		128,295		17,998,937
GlaxoSmithKline PLC		125,000		3,333,956
Merck KGaA		28,448		5,125,486
Novartis AG		56,567		4,527,083
Roche Holding AG		26,368		7,391,398
Sanofi		12,300		1,309,285
Valeant Pharmaceuticals International, Inc. (b)		27,990		3,286,026
				44,514,092
				138,447,529
Diversified — 2.0%
Holding Company – Diversified — 2.0%
Hutchison Whampoa Ltd.		165,000		2,256,047
LVMH Moet Hennessy Louis Vuitton SA		50,491		9,242,930
Wharf Holdings Ltd.		136,000		1,039,470
				12,538,447
Energy — 3.9%
Coal — 0.2%
China Shenhua Energy Co. Ltd. Class H		426,000		1,354,570
Oil & Gas — 3.5%
BG Group PLC		318,772		6,869,619
BP PLC		221,980		1,798,208
ENI SpA		130,443		3,154,060
Inpex Corp.		292,800		3,754,154

	Number of Shares		Value
Repsol YPF SA (a)		67,987	$	1,717,773
Royal Dutch Shell PLC Class A		110,783		3,978,697
Tullow Oil PLC		55,819		792,638
				22,065,149
Oil & Gas Services — 0.2%
Saipem SpA		72,973		1,575,355
				24,995,074
Financial — 24.8%
Banks — 13.3%
Australia & New Zealand Banking Group Ltd.		90,375		2,601,712
Banco Santander SA		224,904		2,029,603
Barclays PLC		1,531,763		6,930,605
BNP Paribas		118,789		9,301,499
China Construction Bank Corp. Class H		1,514,000		1,149,736
Danske Bank A/S (b)		69,685		1,604,404
DBS Group Holdings, Ltd.		312,000		4,240,671
HSBC Holdings PLC		1,351,967		14,828,229
ICICI Bank Ltd. Sponsored ADR (India)		156,565		5,819,521
Intesa Sanpaolo SpA		2,552,600		6,336,732
Itau Unibanco Holding SA Sponsored ADR (Brazil)		194,803		2,643,477
Julius Baer Group Ltd.		91,602		4,417,001
Komercni Banka AS		2,227		497,146
Lloyds Banking Group PLC (b)		3,135,800		4,098,719
Mitsubishi UFJ Financial Group, Inc.		547,100		3,617,457
Nordea Bank AB		113,875		1,541,985
Sberbank of Russia Sponsored ADR (Russia)		111,946		1,407,161
Societe Generale SA		12,935		755,371
Standard Chartered PLC		281,091		6,333,491
Sumitomo Mitsui Financial Group, Inc.		52,200		2,695,687
UniCredit SpA		136,656		1,017,582
				83,867,789
Diversified Financial — 4.4%
BM&F BOVESPA SA		365,200		1,714,092
Credit Suisse Group		293,205		9,001,937
Daiwa Securities Group, Inc.		379,000		3,795,546
Nomura Holdings, Inc.		188,100		1,455,798
ORIX Corp.		150,200		2,645,808
Schroders PLC		300		10,020
Schroders PLC		63,300		2,733,255
UBS AG		345,290		6,577,885
				27,934,341
Insurance — 6.7%
AIA Group Ltd.		743,000		3,745,711
Allianz SE		46,040		8,258,357
AMP Ltd.		1,037,157		4,072,632

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

197

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Assicurazioni Generali SpA		32,213	$	765,570
AXA SA		107,822		3,007,499
ING Groep NV (b)		687,356		9,611,749
Prudential PLC		112,328		2,514,016
Swiss Re AG		67,529		6,241,999
Willis Group Holdings PLC		87,300		3,911,913
				42,129,446
Real Estate — 0.3%
China Overseas Land & Investment Ltd.		388,000		1,095,911
Mitsui Fudosan Co. Ltd.		27,000		973,950
				2,069,861
Real Estate Investment Trusts (REITS) — 0.1%
Goodman Group		179,267		759,254
				156,760,691
Industrial — 13.9%
Aerospace & Defense — 0.5%
European Aeronautic Defence and Space Co.		22,671		1,747,433
MTU Aero Engines AG		12,560		1,233,677
				2,981,110
Building Materials — 1.4%
Compagnie de Saint-Gobain		46,493		2,569,749
Geberit AG Registered		680		208,018
Holcim Ltd.		57,500		4,323,040
Lafarge SA		24,363		1,833,342
Rinnai Corp.		800		62,350
				8,996,499
Electrical Components & Equipment — 2.3%
Hitachi Ltd.		325,000		2,464,069
Legrand SA		69,733		3,845,427
Schneider Electric SA		95,509		8,382,954
				14,692,450
Electronics — 2.6%
Fanuc Corp.		21,500		3,942,596
Hon Hai Precision Industry Co. Ltd.		898,907		2,419,508
Hoya Corp.		162,000		4,508,780
Koninklijke Philips Electronics NV		65,187		2,402,994
Kyocera Corp.		58,500		2,926,154
Omron Corp.		4,100		181,466
				16,381,498
Hand & Machine Tools — 0.0%
Schindler Holding AG		600		88,548
Machinery – Construction & Mining — 1.6%
Atlas Copco AB Class B		98,200		2,500,583
Rio Tinto PLC		140,645		7,936,530
				10,437,113

	Number of Shares		Value
Machinery – Diversified — 1.0%
CNH Industrial NV (b)		413,600	$	4,723,523
Kawasaki Heavy Industries Ltd.		307,000		1,290,469
				6,013,992
Manufacturing — 1.5%
Olympus Corp. (b)		91,800		2,911,582
Smiths Group PLC		256,522		6,307,898
				9,219,480
Metal Fabricate & Hardware — 0.4%
SKF AB Class B		100,300		2,632,208
Transportation — 2.6%
Canadian National Railway Co.		133,160		7,592,783
East Japan Railway		21,100		1,683,915
Kuehne & Nagel International AG		46,080		6,060,452
Yamato Holdings Co. Ltd.		56,700		1,147,864
				16,485,014
				87,927,912
Technology — 6.0%
Computers — 0.2%
NCR Corp. (b)		35,360		1,204,362
Internet — 0.6%
Check Point Software Technologies Ltd. (b)		60,840		3,925,397
Office Equipment/Supplies — 1.0%
Canon, Inc. (a)		161,950		5,154,936
Ricoh Co. Ltd.		89,000		949,706
				6,104,642
Semiconductors — 1.8%
ASML Holding NV		8,123		762,791
Samsung Electronics Co., Ltd.		4,752		6,210,842
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)		259,567		4,526,848
				11,500,481
Software — 2.4%
Amadeus IT Holding SA Class A		122,625		5,252,530
Dassault Systemes SA		12,698		1,577,787
SAP AG		98,316		8,429,619
				15,259,936
				37,994,818
Utilities — 1.2%
Electric — 0.4%
Cia Energetica de Minas Gerais Sponsored ADR (Brazil) (a)		99,989		778,915
Electricite de France		40,383		1,430,060
				2,208,975
Gas — 0.7%
Centrica PLC		134,436		774,224

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

198

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Gaz De France		157,349	$	3,713,097
				4,487,321
Water — 0.1%
Suez Environnement Co.		40,207		720,515
				7,416,811
TOTAL COMMON STOCK (Cost $485,494,833)				625,682,527
PREFERRED STOCK — 0.3%
Consumer, Cyclical — 0.3%
Auto Manufacturers — 0.3%
Volkswagen AG 2.070%		7,150		2,008,800
TOTAL PREFERRED STOCK (Cost $1,382,328)				2,008,800
TOTAL EQUITIES (Cost $486,877,161)				627,691,327
RIGHTS — 0.0%
Energy — 0.0%
Oil & Gas — 0.0%
Repsol SA, Expires 01/09/14 (b)		67,987		46,391
TOTAL RIGHTS (Cost $44,333)				46,391
MUTUAL FUNDS — 4.6%
Diversified Financial — 4.6%
State Street Navigator Securities Lending Prime Portfolio (c)		28,962,207		28,962,207
TOTAL MUTUAL FUNDS (Cost $28,962,207)				28,962,207
TOTAL LONG-TERM INVESTMENTS (Cost $515,883,701)				656,699,925
	Principal Amount
SHORT-TERM INVESTMENTS — 1.6%
Repurchase Agreement — 1.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 12/31/13, 0.010%, due 1/02/14 (d)	$	10,311,901		10,311,901
Time Deposits — 0.0%
Euro Time Deposit 0.010% 1/02/14		26,887		26,887
TOTAL SHORT-TERM INVESTMENTS (Cost $10,338,788)				10,338,788

	Value
TOTAL INVESTMENTS — 105.4% (Cost $526,222,489) (e)	$	667,038,713
Other Assets/(Liabilities) — (5.4)%		(34,126,631	)
NET ASSETS — 100.0%	$	632,912,082

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Denotes all or a portion of security on loan. The total value of securities on loan as of December 31, 2013, was $27,582,009. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b) Non-income producing security.

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

(d) Maturity value of $10,311,907. Collateralized by U.S. Government Agency obligations with rates ranging from 2.500% – 3.500%, maturity dates ranging from 1/25/39 – 5/15/40, and an aggregate market value, including accrued interest, of $10,524,901.

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

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

199

MassMutual Select Funds – Financial Statements

Statements of Assets and Liabilities

December 31, 2013

	MassMutual Select PIMCO Total Return Fund			MassMutual Select Strategic Bond Fund
Assets:
Investments, at value (Note 2) (a)	$	1,961,181,137		$	163,234,746
Short-term investments, at value (Note 2) (b)		56,722,717			15,478,786
Total investments (c)		2,017,903,854			178,713,532
Cash		-			6,738
Foreign currency, at value (d)		1,420,697			375,172
Receivables from:
Investments sold		1,963,649			22,823
Investments sold on a when-issued basis (Note 2)		337,390,472			5,341,625
Open forward foreign currency contracts (Note 2)		1,601,614			229,645
Investment adviser		-			-
Fund shares sold		159,616			13,927
Collateral held for open futures contracts (Note 2)		4,076,000			106,527
Collateral held for open swap agreements (Note 2)		5,285,000			74,000
Variation margin on open derivative instruments (Note 2)		1,226,944			-
Interest and dividends		8,752,227			1,233,514
Foreign taxes withheld		-			-
Open swap agreements, at value (Note 2)		365,939			-
Total assets		2,380,146,012			186,117,503
Liabilities:
Payables for:
Investments purchased		1,637,000			20,879
Treasury roll transactions		24,327,549			-
Written options outstanding, at value (Note 2) (e)		955,971			-
Forward sale commitments, at value (Note 2) (f)		14,381,718			-
Open forward foreign currency contracts (Note 2)		4,269,354			208,187
Fund shares repurchased		2,628,971			1,225,127
Interest and dividends		33,022			-
Investments purchased on a when-issued basis (Note 2)		757,649,446			21,248,355
Securities on loan (Note 2)		-			-
Open swap agreements, at value (Note 2)		665,030			-
Trustees’ fees and expenses (Note 3)		230,559			54,467
Variation margin on open derivative instruments (Note 2)		458,127			24,916
Collateral held for when-issued securities (Note 2)		200,000			-
Affiliates (Note 3):
Investment management fees		485,583			79,406
Administration fees		258,947			16,718
Service fees		334,116			19,913
Distribution fees		30,899			627
Due to custodian		119,170			-
Accrued expense and other liabilities		152,386			57,736
Total liabilities		808,817,848			22,956,331
Net assets	$	1,571,328,164		$	163,161,172
Net assets consist of:
Paid-in capital	$	1,559,958,961		$	172,626,085
Undistributed (accumulated) net investment income (loss)		1,751,145			119,765
Distributions in excess of net investment income		-			-
Accumulated net realized gain (loss) on investments and foreign currency transactions		(11,420,927	)		(9,909,680	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		21,038,985			325,002
Net assets	$	1,571,328,164		$	163,161,172
(a)        Cost of investments:	$	1,949,577,302		$	162,928,266
(b)        Cost of short-term investments:	$	56,297,647		$	15,478,786
(c)        Securities on loan with market value of:	$	-		$	-
(d)        Cost of foreign currency:	$	1,392,961		$	375,378
(e)        Premiums on written options:	$	1,278,218		$	-
(f)         Proceeds from forward sale commitments:	$	14,411,250		$	-

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

200

MassMutual Select Diversified Value Fund			MassMutual Select Fundamental Value Fund		MassMutual Select Large Cap Value Fund			MM S&P 500 Index Fund			MassMutual Select Focused Value Fund
$	377,513,342		$	1,425,158,310	$	468,465,918		$	3,051,005,371		$	838,293,940
	8,988,794			13,467,620		15,000,792			52,352,987			75,525,101
	386,502,136			1,438,625,930		483,466,710			3,103,358,358			913,819,041
	-			-		-			-			-
	-			-		-			-			-
	-			3,708,352		752,260			-			-
	-			-		-			-			-
	-			-		-			-			-
	-			184,721		8,103			196,172			77,656
	66,146			685,269		60,854			289,953			410,663
	-			-		-			-			-
	-			-		-			-			-
	-			-		-			218,699			-
	588,563			1,785,896		849,898			4,077,566			531,661
	-			139,830		151,778			-			-
	-			-		-			-			-
	387,156,845			1,445,129,998		485,289,603			3,108,140,748			914,839,021
	516,664			7,203,806		-			-			-
	-			-		-			-			-
	-			-		-			-			-
	-			-		-			-			-
	-			-		-			-			-
	1,848,118			4,975,118		129,475			9,409,904			6,798,070
	-			-		-			-			-
	-			-		-			-			-
	-			-		16,890,854			-			-
	-			-		-			-			-
	96,186			305,796		222,026			578,822			187,987
	-			-		-			-			-
	-			-		-			-			-
	164,634			797,068		263,347			256,807			535,826
	28,033			365,232		56,588			696,697			204,873
	16,978			171,480		42,406			325,564			132,819
	101			746		70			2,983			425
	-			-		-			-			-
	37,679			60,068		46,265			91,735			45,288
	2,708,393			13,879,314		17,651,031			11,362,512			7,905,288
$	384,448,452		$	1,431,250,684	$	467,638,572		$	3,096,778,236		$	906,933,733
$	360,017,035		$	951,794,770	$	374,436,550		$	1,990,095,283		$	589,643,258
	1,026,935			474,087		-			251,351			-
	-			-		(146,613	)		-			(183,073	)
	(83,972,791	)		24,181,439		7,407,051			(45,347,386	)		17,723,068
	107,377,273			454,800,388		85,941,584			1,151,778,988			299,750,480
$	384,448,452		$	1,431,250,684	$	467,638,572		$	3,096,778,236		$	906,933,733
$	270,136,069		$	970,365,520	$	382,537,642		$	1,901,200,742		$	538,543,460
$	8,988,794		$	13,467,620	$	15,000,792		$	52,352,987		$	75,525,101
$	-		$	-	$	16,497,837		$	-		$	-
$	-		$	-	$	-		$	-		$	-
$	-		$	-	$	-		$	-		$	-
$	-		$	-	$	-		$	-		$	-

201

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

December 31, 2013

	MassMutual Select PIMCO Total Return Fund		MassMutual Select Strategic Bond Fund
Class Z shares:
Net assets	$	420,871,902	$	-
Shares outstanding (a)		41,604,276		-
Net asset value, offering price and redemption price per share	$	10.12	$	-
Class I shares:
Net assets	$	-	$	-
Shares outstanding (a)		-		-
Net asset value, offering price and redemption price per share	$	-	$	-
Class S shares:
Net assets	$	175,117,100	$	82,091,072
Shares outstanding (a)		17,333,694		8,359,635
Net asset value, offering price and redemption price per share	$	10.10	$	9.82
Class Y shares:
Net assets	$	355,678,002	$	37,806,083
Shares outstanding (a)		35,101,705		3,846,183
Net asset value, offering price and redemption price per share	$	10.13	$	9.83
Class L shares:
Net assets	$	107,500,502	$	14,613,263
Shares outstanding (a)		10,670,298		1,489,000
Net asset value, offering price and redemption price per share	$	10.07	$	9.81
Class A shares:
Net assets	$	463,236,026	$	27,676,849
Shares outstanding (a)		45,696,051		2,824,674
Net asset value and redemption price per share	$	10.14	$	9.80
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.65	$	10.29
Class N shares:
Net assets	$	48,924,632	$	973,905
Shares outstanding (a)		4,851,764		99,860
Net asset value, offering price and redemption price per share	$	10.08	$	9.75

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

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

202

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund		MassMutual Select Large Cap Value Fund		MM S&P 500 Index Fund		MassMutual Select Focused Value Fund
$	-	$	267,341,512	$	-	$	436,004,087	$	167,586,281
	-		19,662,777		-		25,658,762		7,180,531
$	-	$	13.60	$	-	$	16.99	$	23.34
$	-	$	-	$	-	$	1,003,964,672	$	-
	-		-		-		58,972,036		-
$	-	$	-	$	-	$	17.02	$	-
$	329,972,264	$	541,839,193	$	337,851,923	$	609,354,166	$	316,009,595
	24,332,106		39,732,816		35,646,096		35,740,348		13,513,702
$	13.56	$	13.64	$	9.48	$	17.05	$	23.38
$	21,780,274	$	207,094,240	$	34,719,468	$	335,897,898	$	98,783,982
	1,605,325		15,226,416		3,659,980		19,922,898		4,264,842
$	13.57	$	13.60	$	9.49	$	16.86	$	23.16
$	7,904,719	$	141,206,978	$	29,045,835	$	171,336,913	$	105,330,996
	580,127		10,343,144		3,071,379		10,154,087		4,579,437
$	13.63	$	13.65	$	9.46	$	16.87	$	23.00
$	24,625,144	$	272,523,608	$	65,906,849	$	535,280,030	$	218,492,200
	1,817,750		20,148,312		6,980,094		31,984,758		9,728,601
$	13.55	$	13.53	$	9.44	$	16.74	$	22.46
$	14.38	$	14.36	$	10.02	$	17.76	$	23.83
$	166,051	$	1,245,153	$	114,497	$	4,940,470	$	730,679
	12,204		92,572		12,309		297,896		33,514
$	13.61	$	13.45	$	9.30	$	16.58	$	21.80

203

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

December 31, 2013

	MassMutual Select Fundamental Growth Fund			MassMutual Select Blue Chip Growth Fund
Assets:
Investments, at value (Note 2) (a)	$	128,228,651		$	1,141,073,674
Short-term investments, at value (Note 2) (b)		875,991			10,777,265
Total investments (c)		129,104,642			1,151,850,939
Foreign currency, at value (d)		-			4,162
Receivables from:
Investments sold		534,518			189,907
Investment adviser		7,677			9,435
Fund shares sold		112,223			439,003
Variation margin on open derivative instruments (Note 2)		-			-
Interest and dividends		53,380			426,954
Foreign taxes withheld		-			14,858
Total assets		129,812,440			1,152,935,258
Liabilities:
Payables for:
Investments purchased		975,369			4,069,134
Fund shares repurchased		100,507			6,072,340
Securities on loan (Note 2)		1,307,140			-
Trustees’ fees and expenses (Note 3)		18,594			225,537
Affiliates (Note 3):
Investment management fees		70,553			618,056
Administration fees		23,549			186,385
Service fees		14,535			113,766
Distribution fees		100			570
Due to custodian		748			-
Accrued expense and other liabilities		38,720			69,020
Total liabilities		2,549,815			11,354,808
Net assets	$	127,262,625		$	1,141,580,450
Net assets consist of:
Paid-in capital	$	96,513,081		$	725,005,082
Undistributed (accumulated) net investment income (loss)		-			(219,354	)
Distributions in excess of net investment income		(17,906	)		-
Accumulated net realized gain (loss) on investments and foreign currency transactions		1,202,340			(1,752,188	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		29,565,110			418,546,910
Net assets	$	127,262,625		$	1,141,580,450
(a)        Cost of investments:	$	98,663,541		$	722,528,877
(b)        Cost of short-term investments:	$	875,991		$	10,777,265
(c)        Securities on loan with market value of:	$	1,278,204		$	-
(d)        Cost of foreign currency:	$	-		$	4,246

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

204

MassMutual Select Growth Opportunities Fund			MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap Value Equity Fund			MassMutual Select Small Company Value Fund			MM S&P Mid Cap Index Fund
$	844,832,488		$	158,837,576		$	149,644,579		$	533,807,252		$	137,186,157
	11,971,316			2,956,295			5,067,632			11,215,009			3,641,223
	856,803,804			161,793,871			154,712,211			545,022,261			140,827,380
	-			-			-			-			-
	-			1,110,557			76,914			578,220			-
	109,023			5,802			-			35,589			8,726
	539,705			158,762			37,843			100,540			219,493
	-			-			-			-			9,168
	420,424			245,087			156,552			864,408			124,273
	-			-			-			-			-
	857,872,956			163,314,079			154,983,520			546,601,018			141,189,040
	-			1,004,947			194,553			167,929			-
	2,626,080			83,937			193,385			489,823			146,333
	7,193,709			-			-			26,839,989			7,398,860
	122,858			34,372			28,121			139,558			6,421
	521,925			97,359			100,095			378,133			11,234
	227,142			15,233			9,493			107,746			17,409
	101,535			3,839			4,522			36,938			4,990
	19			60			-			118			-
	-			-			-			-			-
	44,994			35,010			32,095			41,196			33,524
	10,838,262			1,274,757			562,264			28,201,430			7,618,771
$	847,034,694		$	162,039,322		$	154,421,256		$	518,399,588		$	133,570,269
$	537,973,502		$	148,270,204		$	124,650,313		$	361,242,033		$	110,147,172
	(118,560	)		115,734			-			-			-
	-			-			(6,476	)		(398,738	)		(5,711	)
	6,046,824			(13,305,260	)		(18,143,706	)		934,379			390,063
	303,132,928			26,958,644			47,921,125			156,621,914			23,038,745
$	847,034,694		$	162,039,322		$	154,421,256		$	518,399,588		$	133,570,269
$	541,699,560		$	131,878,932		$	101,723,454		$	377,185,338		$	114,271,048
$	11,971,316		$	2,956,295		$	5,067,632		$	11,215,009		$	3,641,223
$	7,047,586		$	-		$	-		$	26,127,927		$	7,223,852
$	-		$	-		$	-		$	-		$	-

205

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

December 31, 2013

	MassMutual Select Fundamental Growth Fund		MassMutual Select Blue Chip Growth Fund
Class Z shares:
Net assets	$	-	$	-
Shares outstanding (a)		-		-
Net asset value, offering price and redemption price per share	$	-	$	-
Class I shares:
Net assets	$	-	$	-
Shares outstanding (a)		-		-
Net asset value, offering price and redemption price per share	$	-	$	-
Class S shares:
Net assets	$	86,287,657	$	526,553,033
Shares outstanding (a)		10,327,727		31,084,610
Net asset value, offering price and redemption price per share	$	8.35	$	16.94
Class Y shares:
Net assets	$	6,015,271	$	188,791,815
Shares outstanding (a)		728,929		11,202,711
Net asset value, offering price and redemption price per share	$	8.25	$	16.85
Class L shares:
Net assets	$	10,925,213	$	242,816,368
Shares outstanding (a)		1,344,287		14,528,785
Net asset value, offering price and redemption price per share	$	8.13	$	16.71
Class A shares:
Net assets	$	23,866,786	$	182,452,459
Shares outstanding (a)		3,023,629		11,210,996
Net asset value and redemption price per share	$	7.89	$	16.27
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	8.37	$	17.26
Class N shares:
Net assets	$	167,698	$	966,775
Shares outstanding (a)		21,962		61,649
Net asset value, offering price and redemption price per share	$	7.64	$	15.68

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

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

206

MassMutual Select Growth Opportunities Fund		MassMutual Select Mid-Cap Value Fund		MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund		MM S&P Mid Cap Index Fund
$	141,921,543	$	67,094,668	$	-	$	126,064,357	$	93,318,840
	12,418,804		4,570,839		-		7,699,462		7,482,466
$	11.43	$	14.68	$	-	$	16.37	$	12.47
$	-	$	-	$	-	$	-	$	5,893,377
	-		-		-		-		472,916
$	-	$	-	$	-	$	-	$	12.46
$	340,442,762	$	81,922,551	$	138,272,273	$	252,704,290	$	3,205,706
	29,888,038		5,569,541		9,264,022		15,394,937		257,894
$	11.39	$	14.71	$	14.93	$	16.41	$	12.43
$	85,741,114	$	2,574,008	$	5,263,694	$	44,234,154	$	12,453,278
	7,643,870		174,962		352,552		2,703,146		1,001,855
$	11.22	$	14.71	$	14.93	$	16.36	$	12.43
$	110,470,819	$	4,260,485	$	4,359,373	$	36,198,069	$	9,738,141
	10,058,255		287,736		292,670		2,233,493		784,312
$	10.98	$	14.81	$	14.90	$	16.21	$	12.42
$	168,429,780	$	6,092,241	$	6,525,916	$	59,004,352	$	8,960,927
	15,945,989		414,615		438,746		3,706,741		720,829
$	10.56	$	14.69	$	14.87	$	15.92	$	12.43
$	11.20	$	15.59	$	15.78	$	16.89	$	13.19
$	28,676	$	95,369	$	-	$	194,366	$	-
	2,841		6,513		-		12,643		-
$	10.09	$	14.64	$	-	$	15.37	$	-

207

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

December 31, 2013

	MM Russell 2000 Small Cap Index Fund			MassMutual Select Mid Cap Growth Equity II Fund
Assets:
Investments, at value (Note 2) (a)	$	136,256,538		$	1,875,078,038
Short-term investments, at value (Note 2) (b)		1,881,661			54,403,715
Total investments (c)		138,138,199			1,929,481,753
Cash		874			-
Foreign currency, at value (d)		-			2,122
Receivables from:
Investments sold		-			515,037
Open forward foreign currency contracts (Note 2)		-			-
Investment adviser		22,015			159,315
Fund shares sold		134,763			762,731
Variation margin on open derivative instruments (Note 2)		7,468			-
Interest and dividends		177,007			701,403
Foreign taxes withheld		-			-
Total assets		138,480,326			1,931,622,361
Liabilities:
Payables for:
Investments purchased		-			2,924,710
Open forward foreign currency contracts (Note 2)		-			-
Fund shares repurchased		119,890			4,292,697
Securities on loan (Note 2)		13,876,893			68,275,048
Trustees’ fees and expenses (Note 3)		5,695			376,052
Affiliates (Note 3):
Investment management fees		11,322			1,194,866
Administration fees		15,267			431,333
Service fees		2,977			205,651
Distribution fees		-			1,269
Due to custodian		-			-
Accrued expense and other liabilities		43,524			70,388
Total liabilities		14,075,568			77,772,014
Net assets	$	124,404,758		$	1,853,850,347
Net assets consist of:
Paid-in capital	$	97,192,770		$	1,206,759,083
Undistributed (accumulated) net investment income (loss)		-			(2,314,919	)
Distributions in excess of net investment income		(18,438	)		-
Accumulated net realized gain (loss) on investments and foreign currency transactions		2,278,046			23,653,929
Net unrealized appreciation (depreciation) on investments and foreign currency translations		24,952,380			625,752,254
Net assets	$	124,404,758		$	1,853,850,347
(a)        Cost of investments:	$	111,370,769		$	1,249,325,645
(b)        Cost of short-term investments:	$	1,881,661		$	54,403,715
(c)        Securities on loan with market value of:	$	13,461,135		$	66,752,420
(d)        Cost of foreign currency:	$	-		$	2,119

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

208

MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Small Company Growth Fund			MassMutual Select Diversified International Fund			MM MSCI EAFE International Index Fund			MassMutual Select Overseas Fund
$	1,083,554,113		$	67,539,119		$	163,186,893		$	209,464,585		$	656,699,925
	14,619,776			1,952,713			3,961,147			1,747,687			10,338,788
	1,098,173,889			69,491,832			167,148,040			211,212,272			667,038,713
	-			-			-			-			-
	4			-			158,087			1,019,766			631,585
	3,488,175			229,187			-			18,983			508,289
	-			-			746,164			3,316			629,811
	59,936			-			9,007			25,056			169,305
	751,957			19,813			37,117			177,473			287,019
	-			-			-			310,999			-
	446,245			45,763			164,982			197,598			419,301
	-			-			60,614			74,147			1,355,242
	1,102,920,206			69,786,595			168,324,011			213,039,610			671,039,265
	4,577,225			181,823			47,904			24,305			456,485
	-			-			859,062			2,069			1,103,292
	775,755			63,073			110,093			236,457			6,598,659
	92,776,764			6,406,197			3,469,748			8,066,283			28,962,207
	188,228			22,322			37,934			8,823			179,151
	702,095			45,570			124,337			17,314			546,149
	161,583			11,098			7,099			12,833			138,595
	44,240			6,147			501			1,701			39,202
	340			-			7			-			443
	-			-			-			133,366			147
	56,955			33,271			48,010			67,881			102,853
	99,283,185			6,769,501			4,704,695			8,571,032			38,127,183
$	1,003,637,021		$	63,017,094		$	163,619,316		$	204,468,578		$	632,912,082
$	742,138,346		$	55,565,443		$	219,329,772		$	163,019,967		$	586,318,348
	(178,599	)		(51,740	)		-			-			10,133,810
	-			-			(1,217,298	)		(784,827	)		-
	18,383,173			1,237,361			(83,745,015	)		(228,074	)		(104,116,234	)
	243,294,101			6,266,030			29,251,857			42,461,512			140,576,158
$	1,003,637,021		$	63,017,094		$	163,619,316		$	204,468,578		$	632,912,082
$	840,260,013		$	61,273,089		$	133,837,747		$	167,141,021		$	515,883,701
$	14,619,776		$	1,952,713		$	3,961,147		$	1,747,687		$	10,338,788
$	90,449,810		$	6,243,599		$	3,308,391		$	7,658,525		$	27,582,009
$	4		$	-		$	158,587		$	1,024,175		$	630,870

209

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

December 31, 2013

	MM Russell 2000 Small Cap Index Fund		MassMutual Select Mid Cap Growth Equity II Fund
Class Z shares:
Net assets	$	91,466,247	$	298,869,004
Shares outstanding (a)		6,927,082		16,224,242
Net asset value, offering price and redemption price per share	$	13.20	$	18.42
Class I shares:
Net assets	$	13,078,034	$	-
Shares outstanding (a)		991,679		-
Net asset value, offering price and redemption price per share	$	13.19	$	-
Class S shares:
Net assets	$	997,227	$	569,237,901
Shares outstanding (a)		75,777		31,009,838
Net asset value, offering price and redemption price per share	$	13.16	$	18.36
Class Y shares:
Net assets	$	7,562,022	$	267,615,218
Shares outstanding (a)		573,582		14,782,851
Net asset value, offering price and redemption price per share	$	13.18	$	18.10
Class L shares:
Net assets	$	5,754,495	$	382,576,395
Shares outstanding (a)		437,901		21,722,977
Net asset value, offering price and redemption price per share	$	13.14	$	17.61
Class A shares:
Net assets	$	5,546,733	$	333,489,420
Shares outstanding (a)		421,832		19,805,498
Net asset value and redemption price per share	$	13.15	$	16.84
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	13.95	$	17.87
Class N shares:
Net assets	$	-	$	2,062,409
Shares outstanding (a)		-		128,471
Net asset value, offering price and redemption price per share	$	-	$	16.05

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

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

210

MassMutual Select Small Cap Growth Equity Fund		MassMutual Select Small Company Growth Fund		MassMutual Select Diversified International Fund		MM MSCI EAFE International Index Fund		MassMutual Select Overseas Fund
$	237,248,827	$	-	$	-	$	183,955,501	$	270,927,464
	12,476,303		-		-		13,621,243		29,922,124
$	19.02	$	-	$	-	$	13.51	$	9.05
$	-	$	-	$	-	$	10,414,324	$	-
	-		-		-		771,618		-
$	-	$	-	$	-	$	13.50	$	-
$	574,358,599	$	45,043,946	$	162,745,946	$	387,037	$	191,059,950
	30,326,357		3,587,696		21,073,855		28,693		21,093,689
$	18.94	$	12.56	$	7.72	$	13.49	$	9.06
$	77,163,380	$	2,965,123	$	97,276	$	4,450,318	$	83,579,756
	4,186,499		237,696		12,296		329,886		9,275,854
$	18.43	$	12.47	$	7.91	$	13.49	$	9.01
$	42,628,417	$	5,419,471	$	12,441	$	1,990,370	$	26,361,828
	2,385,097		444,163		1,552		147,886		2,899,019
$	17.87	$	12.20	$	8.02	$	13.46	$	9.09
$	71,666,638	$	9,588,554	$	763,653	$	3,271,028	$	60,251,433
	4,225,695		816,592		99,083		242,748		6,779,174
$	16.96	$	11.74	$	7.71	$	13.47	$	8.89
$	17.99	$	12.46	$	8.18	$	14.29	$	9.43
$	571,160	$	-	$	-	$	-	$	731,651
	35,599		-		-		-		83,502
$	16.04	$	-	$	-	$	-	$	8.76

211

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended December 31, 2013

	MassMutual Select PIMCO Total Return Fund			MassMutual Select Strategic Bond Fund
Investment income (Note 2):
Dividends (a)	$	-		$	11,911
Interest		41,741,531			5,927,026
Securities lending net income		-			-
Total investment income		41,741,531			5,938,937
Expenses (Note 3):
Investment management fees		6,429,105			919,854
Custody fees		336,238			79,073
Interest expense		2,341			-
Audit fees		90,688			46,569
Legal fees		10,767			1,196
Proxy fees		1,028			1,028
Shareholder reporting fees		46,488			6,266
Trustees’ fees		151,880			13,405
		7,068,535			1,067,391
Administration fees:
Class Z		86,444			-
Class I		-			-
Class S		296,378			39,660
Class Y		1,302,792			35,209
Class L		372,724			48,051
Class A		1,390,158			81,126
Class N		106,619			3,140
Distribution fees:
Class N		121,158			2,617
Service fees:
Class A		1,579,725			81,126
Class N		121,158			2,617
Total expenses		12,445,691			1,360,937
Expenses waived (Note 3):
Class Z fees reimbursed by adviser		-			-
Class A fees reimbursed by adviser		-			-
Class N fees reimbursed by adviser		-			-
Class Z administrative fees waived		-			-
Class L administrative fees waived		-			-
Class A administrative fees waived		-			-
Class N administrative fees waived		-			-
Class Z management fees waived		-			-
Class I management fees waived		-			-
Class S management fees waived		-			-
Class Y management fees waived		-			-
Class L management fees waived		-			-
Class A management fees waived		-			-
Class N management fees waived		-			-
Net expenses		12,445,691			1,360,937
Net investment income (loss)		29,295,840			4,578,000
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		(1,335,850	)		(4,528,271	)
Futures contracts		(521,631	)		654,728
Written options		1,485,906			167,448
Forward sale commitments		587,747			-
Swap agreements		1,853,070			22,603
Foreign currency transactions		4,851,811			96,646
Net realized gain (loss)		6,921,053			(3,586,846	)
Net change in unrealized appreciation (depreciation) on:
Investment transactions		(79,769,493	)		(3,834,567	)
Futures contracts		(4,997,100	)		9,657
Written options		(165,390	)		(476	)
Forward sale commitments		29,532			-
Swap agreements		12,248,858			(47,836	)
Translation of assets and liabilities in foreign currencies		(1,208,996	)		70,556
Net change in unrealized appreciation (depreciation)		(73,862,589	)		(3,802,666	)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		(66,941,536	)		(7,389,512	)
Net increase (decrease) in net assets resulting from operations	$	(37,645,696	)	$	(2,811,512	)
(a)       Net of withholding tax of:	$	-		$	-

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

212

MassMutual Select Diversified Value Fund		MassMutual Select Fundamental Value Fund			MassMutual Select Large Cap Value Fund			MM S&P 500 Index Fund			MassMutual Select Focused Value Fund
$	7,572,676	$	34,310,224		$	14,392,217		$	57,671,356		$	10,720,669
	601		1,460			149,552			10,305			5,718
	-		-			289,243			-			-
	7,573,277		34,311,684			14,831,012			57,681,661			10,726,387
	1,773,525		9,204,965			3,135,970			2,720,712			5,652,639
	38,410		114,312			63,235			214,149			58,309
	-		-			-			-			-
	33,335		34,170			33,906			36,881			34,155
	2,203		9,245			3,259			17,498			5,116
	1,028		1,028			1,028			1,028			2,023
	6,661		25,403			13,641			51,332			15,120
	28,114		114,832			38,185			220,020			64,754
	1,883,276		9,503,955			3,289,224			3,261,620			5,832,116
	-		167,410			-			136,237			102,585
	-		-			-			1,262,932			-
	176,084		1,452,825			297,147			2,005,844			569,902
	30,594		617,740			53,181			1,141,449			229,234
	18,813		569,538			94,818			1,250,468			392,272
	80,727		1,526,550			228,877			2,194,167			834,513
	554		5,653			414			23,590			2,924
	376		2,756			276			11,381			1,509
	65,462		824,449			176,385			1,171,837			480,267
	376		2,756			276			11,381			1,509
	2,256,262		14,673,632			4,140,598			12,470,906			8,446,831
	-		-			-			(86,144	)		-
	-		-			-			(283,243	)		-
	-		-			-			(2,745	)		-
	-		-			-			(25,299	)		-
	-		-			-			(261,897	)		-
	-		-			-			(360,029	)		-
	-		-			-			(3,506	)		-
	-		(359,067	)		-			(118,529	)		(146,512	)
	-		-			-			(466,099	)		-
	-		(798,953	)		(70,412	)		(286,718	)		(309,011	)
	-		(296,485	)		(6,106	)		(150,315	)		(80,645	)
	-		(184,612	)		(5,842	)		(129,637	)		(90,301	)
	-		(493,525	)		(14,109	)		(234,522	)		(192,150	)
	-		(1,656	)		(22	)		(2,278	)		(604	)
	2,256,262		12,539,334			4,044,107			10,059,945			7,627,608
	5,317,015		21,772,350			10,786,905			47,621,716			3,098,779
	36,677,940		138,877,988			32,173,209			32,590,366			94,880,062
	-		-			-			15,964,294			-
	-		-			-			-			-
	-		-			-			-			-
	-		-			-			-			-
	-		(5,822	)		(1,995	)		-			-
	36,677,940		138,872,166			32,171,214			48,554,660			94,880,062
	60,748,366		228,957,195			87,813,744			669,337,614			161,686,464
	-		-			-			1,977,941			-
	-		-			-			-			-
	-		-			-			-			-
	-		-			-			-			-
	-		7,598			3,250			-			-
	60,748,366		228,964,793			87,816,994			671,315,555			161,686,464
	97,426,306		367,836,959			119,988,208			719,870,215			256,566,526
$	102,743,321	$	389,609,309		$	130,775,113		$	767,491,931		$	259,665,305
$	18,992	$	305,776		$	198,920		$	11,898		$	-

213

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended December 31, 2013

	MassMutual Select Fundamental Growth Fund			MassMutual Select Blue Chip Growth Fund
Investment income (Note 2):
Dividends (a)	$	1,854,342		$	8,232,781
Interest		121			670
Securities lending net income		23,957			-
Total investment income		1,878,420			8,233,451
Expenses (Note 3):
Investment management fees		763,112			6,746,393
Custody fees		49,580			101,907
Audit fees		34,396			34,365
Legal fees		850			7,319
Proxy fees		1,028			1,029
Shareholder reporting fees		5,033			40,413
Trustees’ fees		9,362			85,240
		863,361			7,016,666
Administration fees:
Class Z		-			-
Class I		-			-
Class S		132,237			558,224
Class Y		10,273			312,710
Class L		36,736			1,062,435
Class A		72,288			565,382
Class N		1,080			3,166
Distribution fees:
Class N		670			2,021
Service fees:
Class A		51,210			400,381
Class N		670			2,021
Total expenses		1,168,525			9,923,006
Expenses waived (Note 3):
Class Z fees reimbursed by adviser		-			-
Class I fees reimbursed by adviser		-			-
Class S fees reimbursed by adviser		-			(106,287	)
Class Y fees reimbursed by adviser		-			(73,381	)
Class L fees reimbursed by adviser		-			(122,805	)
Class A fees reimbursed by adviser		-			(118,575	)
Class N fees reimbursed by adviser		-			(347	)
Class Z administrative fees waived		-			-
Class S administrative fees waived		(73,060	)		-
Class Y administrative fees waived		(1,519	)		-
Class L administrative fees waived		(3,123	)		-
Class A administrative fees waived		(6,145	)		-
Class N administrative fees waived		(80	)		-
Class Z management fees waived		-			-
Class S management fees waived		-			-
Class Y management fees waived		-			-
Class L management fees waived		-			-
Class A management fees waived		-			-
Class N management fees waived		-			-
Net expenses		1,084,598			9,501,611
Net investment income (loss)		793,822			(1,268,160	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		7,677,376			173,884,428
Futures contracts		-			-
Foreign currency transactions		-			(6,826	)
Net realized gain (loss)		7,677,376			173,877,602
Net change in unrealized appreciation (depreciation) on:
Investment transactions		24,376,114			196,336,876
Futures contracts		-			-
Translation of assets and liabilities in foreign currencies		-			323
Net change in unrealized appreciation (depreciation)		24,376,114			196,337,199
Net realized gain (loss) and change in unrealized appreciation (depreciation)		32,053,490			370,214,801
Net increase (decrease) in net assets resulting from operations	$	32,847,312		$	368,946,641
(a)       Net of withholding tax of:	$	4,607		$	8,155

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

214

MassMutual Select Growth Opportunities Fund			MassMutual Select Mid-Cap Value Fund			MassMutual Select Small Cap Value Equity Fund		MassMutual Select Small Company Value Fund			MM S&P Mid Cap Index Fund
$	4,946,213		$	3,222,469		$	1,908,694	$	8,996,342		$	1,757,385
	1,174			850			403		1,430			22,532
	60,964			-			-		371,282			59,309
	5,008,351			3,223,319			1,909,097		9,369,054			1,839,226
	5,095,860			1,081,280			1,061,067		4,357,312			127,085
	59,667			37,788			16,806		55,964			53,720
	34,001			33,556			33,532		33,315			29,314
	4,532			1,023			906		3,355			2,260
	1,028			1,028			1,028		1,028			1,028
	14,326			6,250			5,612		11,070			4,793
	55,456			12,264			11,124		40,847			9,714
	5,264,870			1,173,189			1,130,075		4,502,891			227,914
	95,351			57,055			-		59,520			54,260
	-			-			-		-			4,516
	746,987			85,028			63,617		616,963			2,654
	230,401			4,740			7,330		118,680			28,682
	476,440			14,836			9,383		155,273			15,004
	675,390			19,947			18,685		392,768			21,468
	151			379			-		838			-
	69			226			-		428			-
	341,520			13,539			15,571		223,519			11,927
	69			226			-		428			-
	7,831,248			1,369,165			1,244,661		6,071,308			366,425
	-			-			-		-			(42,468	)
	-			-			-		-			(1,213	)
	-			(6,139	)		-		-			(373	)
	-			(198	)		-		-			(2,873	)
	-			(318	)		-		-			(1,148	)
	-			(470	)		-		-			(1,919	)
	-			(7	)		-		-			-
	-			(34,374	)		-		-			-
	-			-			-		-			-
	-			-			-		-			-
	-			-			-		-			-
	-			-			-		-			-
	-			-			-		-			-
	(151,542	)		(33,291	)		-		(79,515	)		-
	(458,227	)		(27,138	)		-		(198,097	)		-
	(100,425	)		(813	)		-		(32,862	)		-
	(144,578	)		(1,691	)		-		(28,271	)		-
	(205,013	)		(1,986	)		-		(71,218	)		-
	(42	)		(35	)		-		(137	)		-
	6,771,421			1,262,705			1,244,661		5,661,208			316,431
	(1,763,070	)		1,960,614			664,436		3,707,846			1,522,795
	67,533,431			29,835,497			19,288,376		55,878,915			17,401,870
	-			-			-		-			957,236
	-			-			-		453			-
	67,533,431			29,835,497			19,288,376		55,879,368			18,359,106
	164,778,909			13,135,173			27,496,813		83,426,838			15,058,869
	-			-			-		-			87,298
	-			-			-		-			-
	164,778,909			13,135,173			27,496,813		83,426,838			15,146,167
	232,312,340			42,970,670			46,785,189		139,306,206			33,505,273
$	230,549,270		$	44,931,284		$	47,449,625	$	143,014,052		$	35,028,068
$	64,872		$	8,704		$	-	$	6,204		$	-

215

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended December 31, 2013

	MM Russell 2000 Small Cap Index Fund			MassMutual Select Mid Cap Growth Equity II Fund
Investment income (Note 2):
Dividends (a)	$	1,504,495		$	9,863,391
Interest		49,147			11,439
Securities lending net income		277,447			914,602
Total investment income		1,831,089			10,789,432
Expenses (Note 3):
Investment management fees		114,499			12,844,737
Custody fees		113,105			153,018
Audit fees		29,303			35,083
Legal fees		2,199			10,802
Proxy fees		1,028			1,028
Shareholder reporting fees		5,064			28,561
Trustees’ fees		8,495			136,232
		273,693			13,209,461
Administration fees:
Class Z		48,820			146,136
Class I		8,227			-
Class S		5,152			943,934
Class Y		18,542			683,807
Class L		11,257			1,504,865
Class A		13,384			1,490,770
Class N		-			10,076
Distribution fees:
Class N		-			5,310
Service fees:
Class A		7,435			878,163
Class N		-			5,310
Total expenses		386,510			18,877,832
Expenses waived (Note 3):
Class Z fees reimbursed by adviser		(96,268	)		-
Class I fees reimbursed by adviser		(5,655	)		-
Class S fees reimbursed by adviser		(1,644	)		-
Class Y fees reimbursed by adviser		(4,671	)		-
Class L fees reimbursed by adviser		(2,139	)		-
Class A fees reimbursed by adviser		(3,017	)		-
Class Z management fees waived		-			(243,809	)
Class S management fees waived		-			(512,037	)
Class Y management fees waived		-			(249,340	)
Class L management fees waived		-			(354,623	)
Class A management fees waived		-			(350,698	)
Class N management fees waived		-			(2,124	)
Net expenses		273,116			17,165,201
Net investment income (loss)		1,557,973			(6,375,769	)
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		15,771,737			217,634,425
Futures contracts		1,359,529			-
Foreign currency transactions		115			3,844
Net realized gain (loss)		17,131,381			217,638,269
Net change in unrealized appreciation (depreciation) on:
Investment transactions		18,306,712			311,745,180
Futures contracts		(1,046	)		-
Translation of assets and liabilities in foreign currencies		(2	)		(139	)
Net change in unrealized appreciation (depreciation)		18,305,664			311,745,041
Net realized gain (loss) and change in unrealized appreciation (depreciation)		35,437,045			529,383,310
Net increase (decrease) in net assets resulting from operations	$	36,995,018		$	523,007,541
(a)        Net of withholding tax of:	$	1,075		$	77,634

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

216

MassMutual Select Small Cap Growth Equity Fund			MassMutual Select Small Company Growth Fund			MassMutual Select Diversified International Fund			MM MSCI EAFE International Index Fund			MassMutual Select Overseas Fund
$	4,586,798		$	346,317		$	4,699,250		$	5,352,614		$	14,810,797
	2,090			130			300			539			9,704
	1,069,303			70,014			165,546			150,706			466,946
	5,658,191			416,461			4,865,096			5,503,859			15,287,447
	7,354,468			525,744			1,400,788			177,810			5,925,478
	143,969			59,820			111,966			256,547			407,061
	36,309			32,862			42,492			29,956			42,918
	5,925			406			1,024			3,180			3,984
	1,028			1,028			1,028			1,028			1,028
	17,920			3,454			5,846			5,246			11,498
	70,272			4,902			12,318			13,343			46,445
	7,629,891			628,216			1,575,462			487,110			6,438,412
	134,921			-			-			83,058			181,271
	-			-			-			8,370			-
	866,559			71,332			77,371			771			604,395
	214,402			5,173			127			12,377			329,920
	229,471			16,838			41			3,982			103,128
	303,834			33,104			2,407			9,176			263,717
	2,547			448			-			-			3,272
	1,255			281			-			-			1,622
	166,029			23,707			2,006			5,098			145,123
	1,255			281			-			-			1,622
	9,550,164			779,380			1,657,414			609,942			8,072,482
	-			-			-			(156,066	)		-
	-			-			-			(5,242	)		-
	-			-			(111,774	)		(242	)		-
	-			-			(61	)		(2,907	)		-
	-			-			(20	)		(680	)		-
	-			-			(1,134	)		(1,916	)		-
	(134,995	)		-			-			-			(802,407	)
	(362,138	)		-			-			-			(529,091	)
	(48,815	)		-			-			-			(253,040	)
	(35,051	)		-			-			-			(70,347	)
	(46,471	)		-			-			-			(180,001	)
	(352	)		-			-			-			(2,012	)
	8,922,342			779,380			1,544,425			442,889			6,235,584
	(3,264,151	)		(362,919	)		3,320,671			5,060,970			9,051,863
	171,849,036			19,710,660			11,165,391			5,776,065			37,096,812
	-			-			486,812			312,942			182,427
	1,885			-			(420,266	)		(39,654	)		2,485,147
	171,850,921			19,710,660			11,231,937			6,049,353			39,764,386
	177,353,126			(1,296,959	)		16,067,247			23,962,904			72,898,980
	-			-			(59,266	)		84,825			(42,292	)
	(57	)		-			(514,485	)		15,053			(1,767,420	)
	177,353,069			(1,296,959	)		15,493,496			24,062,782			71,089,268
	349,203,990			18,413,701			26,725,433			30,112,135			110,853,654
$	345,939,839		$	18,050,782		$	30,046,104		$	35,173,105		$	119,905,517
$	24,014		$	732		$	447,476		$	380,283		$	1,326,846

217

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select PIMCO Total Return Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	29,295,840		$	40,833,507
Net realized gain (loss) on investment transactions		6,921,053			54,651,215
Net change in unrealized appreciation (depreciation) on investments		(73,862,589	)		74,815,717
Net increase (decrease) in net assets resulting from operations		(37,645,696	)		170,300,439
Distributions to shareholders (Note 2):
From net investment income:
Class Z		(10,853,398	)		(16,027,867	)
Class S		(4,192,712	)		(5,674,734	)
Class Y		(7,789,783	)		(15,769,227	)
Class L		(2,374,538	)		(3,239,108	)
Class A		(9,009,340	)		(23,655,073	)
Class N		(909,220	)		(1,273,751	)
Total distributions from net investment income		(35,128,991	)		(65,639,760	)
From net realized gains:
Class Z		(618,492	)		(776,209	)
Class S		(270,131	)		(284,033	)
Class Y		(670,726	)		(818,099	)
Class L		(153,786	)		(170,265	)
Class A		(778,904	)		(1,298,662	)
Class N		(75,312	)		(73,647	)
Total distributions from net realized gains		(2,567,351	)		(3,420,915	)
Net fund share transactions (Note 5):
Class Z		(24,699	)		15,598,679
Class S		13,797,857			84,080,863
Class Y		(108,921,707	)		(424,598	)
Class L		11,763,175			29,216,526
Class A		(278,191,242	)		22,403,164
Class N		6,339,486			18,877,974
Increase (decrease) in net assets from fund share transactions		(355,237,130	)		169,752,608
Total increase (decrease) in net assets		(430,579,168	)		270,992,372
Net assets
Beginning of year		2,001,907,332			1,730,914,960
End of year	$	1,571,328,164		$	2,001,907,332
Undistributed (accumulated) net investment income (loss) included in net assets at end of year	$	1,751,145		$	-
Distributions in excess of net investment income included in net assets at end of year	$	-		$	(4,245,683	)

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

218

MassMutual Select Strategic Bond Fund						MassMutual Select Diversified Value Fund						MassMutual Select Fundamental Value Fund
Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012
$	4,578,000		$	5,038,313		$	5,317,015		$	5,673,560		$	21,772,350		$	24,274,369
	(3,586,846	)		2,374,707			36,677,940			13,597,808			138,872,166			50,205,005
	(3,802,666	)		5,456,318			60,748,366			29,453,141			228,964,793			114,533,025
	(2,811,512	)		12,869,338			102,743,321			48,724,509			389,609,309			189,012,399
	-			-			-			-			(4,728,149	)		(6,608,158	)
	(2,942,463	)		(2,710,337	)		(3,756,500	)		(5,686,142	)		(8,530,208	)		(14,240,372	)
	(1,334,194	)		(819,920	)		(228,948	)		(417,541	)		(3,243,148	)		(4,587,261	)
	(428,199	)		(1,025,610	)		(43,729	)		(160,779	)		(2,003,807	)		(3,313,139	)
	(948,955	)		(1,064,311	)		(188,916	)		(458,474	)		(2,837,644	)		(8,356,882	)
	(27,214	)		(29,706	)		(678	)		(1,900	)		(12,069	)		(13,802	)
	(5,681,025	)		(5,649,884	)		(4,218,771	)		(6,724,836	)		(21,355,025	)		(37,119,614	)
	-			-			-			-			(18,924,793	)		-
	-			-			-			-			(38,605,313	)		-
	-			-			-			-			(14,930,058	)		-
	-			-			-			-			(9,947,720	)		-
	-			-			-			-			(20,071,127	)		-
	-			-			-			-			(89,828	)		-
	-			-			-			-			(102,568,839	)		-
	-			-			-			-			21,510,522			(5,883,742	)
	3,840,436			3,753,494			719,855			146,741			(42,845,314	)		24,669,013
	14,440,415			(3,165,937	)		(2,021,035	)		(9,127,005	)		13,987,520			(15,499,204	)
	(16,515,043	)		3,599,648			(1,796,007	)		(3,532,005	)		4,365,111			1,726,087
	(8,485,204	)		(4,891,113	)		(7,169,455	)		(4,069,581	)		(130,324,483	)		10,196,670
	(103,307	)		105,005			(7,119	)		(152,542	)		184,696			(1,227,055	)
	(6,822,703	)		(598,903	)		(10,273,761	)		(16,734,392	)		(133,121,948	)		13,981,769
	(15,315,240	)		6,620,551			88,250,789			25,265,281			132,563,497			165,874,554
	178,476,412			171,855,861			296,197,663			270,932,382			1,298,687,187			1,132,812,633
$	163,161,172		$	178,476,412		$	384,448,452		$	296,197,663		$	1,431,250,684		$	1,298,687,187
$	119,765		$	-		$	1,026,935		$	-		$	474,087		$	-
$	-		$	(2,908	)	$	-		$	(67,031	)	$	-		$	(47,632	)

219

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Large Cap Value Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	10,786,905		$	7,411,169
Net realized gain (loss) on investment transactions		32,171,214			147,923,726
Net change in unrealized appreciation (depreciation) on investments		87,816,994			(101,293,831	)
Net increase (decrease) in net assets resulting from operations		130,775,113			54,041,064
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			-
Class I		-			-
Class S		(8,127,166	)		(5,172,215	)
Class Y		(800,391	)		(378,181	)
Class L		(607,057	)		(518,437	)
Class A		(1,286,166	)		(620,343	)
Class N		(1,952	)		(607	)
Total distributions from net investment income		(10,822,732	)		(6,689,783	)
From net realized gains:
Class Z		-			-
Class I		-			-
Class S		(16,923,630	)		(98,946,643	)
Class Y		(1,713,567	)		(8,242,904	)
Class L		(1,408,897	)		(12,188,393	)
Class A		(3,399,189	)		(20,446,560	)
Class N		(5,858	)		(34,459	)
Total distributions from net realized gains		(23,451,141	)		(139,858,959	)
Net fund share transactions (Note 5):
Class Z		-			-
Class I		-			-
Class S		(68,922,358	)		98,236,432
Class Y		2,995,160			(37,095,646	)
Class L		(19,193,901	)		459,745
Class A		(17,847,322	)		(24,105,425	)
Class N		(24,613	)		(312,112	)
Increase (decrease) in net assets from fund share transactions		(102,993,034	)		37,182,994
Total increase (decrease) in net assets		(6,491,794	)		(55,324,684	)
Net assets
Beginning of year		474,130,366			529,455,050
End of year	$	467,638,572		$	474,130,366
Undistributed (accumulated) net investment income (loss) included in net assets at end of year	$	-		$	12,481
Distributions in excess of net investment income included in net assets at end of year	$	(146,613	)	$	-

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

220

MM S&P 500 Index Fund						MassMutual Select Focused Value Fund						MassMutual Select Fundamental Growth Fund
Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012
$	47,621,716		$	43,983,759		$	3,098,779		$	4,921,041		$	793,822		$	648,418
	48,554,660			19,768,195			94,880,062			58,859,705			7,677,376			8,738,902
	671,315,555			260,969,930			161,686,464			59,255,627			24,376,114			(626,877	)
	767,491,931			324,721,884			259,665,305			123,036,373			32,847,312			8,760,443
	(8,662,330	)		(2,321,958	)		(937,144	)		(1,155,367	)		-			-
	(18,759,574	)		(19,055,127	)		-			-			-			-
	(10,271,553	)		(10,636,777	)		(1,425,109	)		(2,305,203	)		(733,137	)		(536,385	)
	(5,763,249	)		(5,592,667	)		(388,316	)		(420,961	)		(46,968	)		(23,180	)
	(2,463,233	)		(5,839,922	)		(274,181	)		(477,908	)		(69,916	)		(50,208	)
	(8,243,039	)		(7,443,264	)		(116,198	)		(584,552	)		(121,638	)		(27,774	)
	(61,113	)		(62,915	)		-			-			(6	)		-
	(54,224,091	)		(50,952,630	)		(3,140,948	)		(4,943,991	)		(971,665	)		(637,547	)
	(2,855,187	)		-			(16,136,475	)		(9,119,890	)		-			-
	(6,569,940	)		-			-			-			-			-
	(4,028,065	)		-			(31,538,935	)		(21,202,859	)		(3,093,048	)		(40,942	)
	(2,267,020	)		-			(9,594,288	)		(4,346,344	)		(217,504	)		(2,176	)
	(1,132,337	)		-			(10,400,894	)		(5,924,302	)		(403,404	)		(5,824	)
	(3,598,454	)		-			(22,335,248	)		(12,481,446	)		(932,780	)		(9,793	)
	(33,208	)		-			(75,530	)		(36,630	)		(6,308	)		(146	)
	(20,484,211	)		-			(90,081,370	)		(53,111,471	)		(4,653,044	)		(58,881	)
	276,838,853			37,487,062			15,500,446			25,441,109			-			-
	(61,773,256	)		(2,933,633	)		-			-			-			-
	(50,684,224	)		19,483,288			(15,877,189	)		7,490,203			(6,588,103	)		48,612,489
	(8,760,324	)		(14,935,313	)		24,641,833			(8,891,650	)		944,221			1,717,055
	(176,564,824	)		31,426,009			13,618,107			6,337,698			(1,911,423	)		2,569,030
	31,882,317			8,059,070			20,072,527			2,657,993			2,429,087			(893,439	)
	(36,082	)		60,172			142,475			(1,044,865	)		(139,778	)		(124,532	)
	10,902,460			78,646,655			58,098,199			31,990,488			(5,265,996	)		51,880,603
	703,686,089			352,415,909			224,541,186			96,971,399			21,956,607			59,944,618
	2,393,092,147			2,040,676,238			682,392,547			585,421,148			105,306,018			45,361,400
$	3,096,778,236		$	2,393,092,147		$	906,933,733		$	682,392,547		$	127,262,625		$	105,306,018
$	251,351		$	564,509		$	-		$	-		$	-		$	-
$	-		$	-		$	(183,073	)	$	(161,378	)	$	(17,906	)	$	(908	)

221

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Blue Chip Growth Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(1,268,160	)	$	1,713,615
Net realized gain (loss) on investment transactions		173,877,602			15,987,116
Net change in unrealized appreciation (depreciation) on investments		196,337,199			113,844,327
Net increase (decrease) in net assets resulting from operations		368,946,641			131,545,058
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			-
Class S		(139,220	)		(1,016,603	)
Class Y		(48,537	)		(237,195	)
Class L		(63,178	)		(144,653	)
Class A		(52,239	)		-
Class N		(262	)		-
Total distributions from net investment income		(303,436	)		(1,398,451	)
From net realized gains:
Class Z		-			-
Class S		(31,182,076	)		-
Class Y		(11,266,661	)		-
Class L		(14,412,971	)		-
Class A		(11,656,100	)		-
Class N		(61,642	)		-
Total distributions from net realized gains		(68,579,450	)		-
Net fund share transactions (Note 5):
Class Z		-			-
Class S		(7,574,535	)		84,895,520
Class Y		18,210,462			22,124,697
Class L		(162,669,073	)		31,294,485
Class A		(1,608,450	)		48,284,360
Class N		24,019			640,093
Increase (decrease) in net assets from fund share transactions		(153,617,577	)		187,239,155
Total increase (decrease) in net assets		146,446,178			317,385,762
Net assets
Beginning of year		995,134,272			677,748,510
End of year	$	1,141,580,450		$	995,134,272
Undistributed (accumulated) net investment income (loss) included in net assets at end of year	$	(219,354	)	$	150,359

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

222

MassMutual Select Growth Opportunities Fund						MassMutual Select Mid-Cap Value Fund						MassMutual Select Small Cap Value Equity Fund
Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012
$	(1,763,070	)	$	57,066		$	1,960,614		$	2,093,491		$	664,436		$	1,093,974
	67,533,431			17,154,998			29,835,497			10,489,884			19,288,376			9,145,252
	164,778,909			57,019,524			13,135,173			9,908,194			27,496,813			10,906,940
	230,549,270			74,231,588			44,931,284			22,491,569			47,449,625			21,146,166
	(68,924	)		-			(801,273	)		(1,254,330	)		-			-
	-			-			(930,260	)		(824,409	)		(617,830	)		(1,012,546	)
	-			-			(26,694	)		(24,970	)		(18,436	)		(25,312	)
	-			-			(37,582	)		(44,738	)		(8,740	)		(16,072	)
	-			-			(43,205	)		(45,198	)		(2,362	)		(20,157	)
	-			-			(367	)		(635	)		-			-
	(68,924	)		-			(1,839,381	)		(2,194,280	)		(647,368	)		(1,074,087	)
	(9,601,133	)		-			-			-			-			-
	(23,305,578	)		-			-			-			-			-
	(5,832,846	)		-			-			-			-			-
	(7,844,028	)		-			-			-			-			-
	(12,468,979	)		-			-			-			-			-
	(2,227	)		-			-			-			-			-
	(59,054,791	)		-			-			-			-			-
	41,096,630			74,186,932			(29,471,820	)		74,670,421			-			-
	(3,364,446	)		(11,878,139	)		6,642,920			(92,032,568	)		(19,734,652	)		5,341,346
	24,458,552			9,047,286			299,798			(76,272	)		549,201			(452,872	)
	1,307,736			50,780,947			(389,487	)		(1,368,004	)		808,784			14,623
	34,068,760			40,078,109			256,904			(662,708	)		(695,982	)		(344,741	)
	(2,409	)		(861	)		(5,677	)		2,475			(130	)		(20,851	)
	97,564,823			162,214,274			(22,667,362	)		(19,466,656	)		(19,072,779	)		4,537,505
	268,990,378			236,445,862			20,424,541			830,633			27,729,478			24,609,584
	578,044,316			341,598,454			141,614,781			140,784,148			126,691,778			102,082,194
$	847,034,694		$	578,044,316		$	162,039,322		$	141,614,781		$	154,421,256		$	126,691,778
$	(118,560	)	$	(27,319	)	$	115,734		$	18,437		$	(6,476	)	$	1,709

223

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Company Value Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	3,707,846		$	4,253,720
Net realized gain (loss) on investment transactions		55,879,368			22,030,725
Net change in unrealized appreciation (depreciation) on investments		83,426,838			39,904,476
Net increase (decrease) in net assets resulting from operations		143,014,052			66,188,921
Distributions to shareholders (Note 2):
From net investment income:
Class Z		(984,235	)		(1,063,293	)
Class I		-			-
Class S		(1,481,186	)		(2,748,643	)
Class Y		(248,901	)		(361,647	)
Class L		(145,244	)		(392,638	)
Class A		(7,914	)		(781,563	)
Class N		(25	)		-
Total distributions from net investment income		(2,867,505	)		(5,347,784	)
From net realized gains:
Class Z		(13,394,555	)		(2,495,910	)
Class I		-			-
Class S		(27,585,579	)		(7,351,721	)
Class Y		(4,799,012	)		(1,089,269	)
Class L		(3,931,672	)		(1,240,739	)
Class A		(6,768,459	)		(3,284,087	)
Class N		(22,296	)		(4,881	)
Total distributions from net realized gains		(56,501,573	)		(15,466,607	)
Net fund share transactions (Note 5):
Class Z		38,003,742			22,562,670
Class I		-			-
Class S		(17,965,603	)		(18,515,249	)
Class Y		4,447,510			(24,016,451	)
Class L		(6,196,559	)		(2,866,862	)
Class A		(60,292,902	)		(9,157,654	)
Class N		25,888			(542,083	)
Increase (decrease) in net assets from fund share transactions		(41,977,924	)		(32,535,629	)
Total increase (decrease) in net assets		41,667,050			12,838,901
Net assets
Beginning of year		476,732,538			463,893,637
End of year	$	518,399,588		$	476,732,538
Undistributed (accumulated) net investment income (loss) included in net assets at end of year	$	-		$	-
Distributions in excess of net investment income included in net assets at end of year	$	(398,738	)	$	(1,543,723	)

+ Fund commenced operations on July 26, 2012.

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

224

MM S&P Mid Cap Index Fund						MM Russell 2000 Small Cap Index Fund						MassMutual Select Mid Cap Growth Equity II Fund
Year Ended December 31, 2013			Period Ended December 31, 2012+			Year Ended December 31, 2013			Period Ended December 31, 2012+			Year Ended December 31, 2013			Year Ended December 31, 2012
$	1,522,795		$	661,693		$	1,557,973		$	1,021,229		$	(6,375,769	)	$	(3,005,185	)
	18,359,106			649,961			17,131,381			796,929			217,638,269			133,464,037
	15,146,167			7,892,578			18,305,664			6,646,716			311,745,041			74,903,661
	35,028,068			9,204,232			36,995,018			8,464,874			523,007,541			205,362,513
	(1,111,018	)		(650,268	)		(1,167,233	)		(914,662	)		-			(350,467	)
	(69,525	)		(791	)		(161,990	)		(1,132	)		-			-
	(36,989	)		(1,560	)		(141,125	)		(1,249	)		-			(219,632	)
	(128,154	)		(5,923	)		(79,492	)		(1,179	)		-			-
	(106,647	)		(963	)		(63,201	)		(1,560	)		-			-
	(77,925	)		(534	)		(49,579	)		(877	)		-			-
	-			-			-			-			-			-
	(1,530,258	)		(660,039	)		(1,662,620	)		(920,659	)		-			(570,099	)
	(12,564,310	)		(631,163	)		(10,508,939	)		(408,974	)		(28,897,423	)		(16,002,852	)
	(797,108	)		(813	)		(1,445,297	)		(526	)		-			-
	(423,641	)		(1,631	)		(1,230,387	)		(611	)		(56,638,118	)		(37,047,456	)
	(1,688,043	)		(6,100	)		(840,154	)		(600	)		(27,213,847	)		(16,920,942	)
	(1,305,982	)		(1,189	)		(628,857	)		(815	)		(38,826,831	)		(27,443,165	)
	(1,198,176	)		(813	)		(599,003	)		(526	)		(35,690,405	)		(30,066,085	)
	-			-			-			-			(231,834	)		(174,480	)
	(17,977,260	)		(641,709	)		(15,252,637	)		(412,052	)		(187,498,458	)		(127,654,980	)
	(10,642,114	)		79,440,579			(14,979,124	)		79,598,149			67,571,733			26,071,392
	5,927,066			101,754			12,824,201			101,807			-			-
	3,185,935			213,638			1,369,793			118,939			12,695,641			(10,328,467	)
	11,698,842			782,367			6,972,326			117,000			12,324,924			13,948,324
	10,213,589			153,312			5,631,519			162,231			(6,772,437	)		(25,750,229	)
	8,970,770			101,497			5,174,442			101,551			(86,410,537	)		1,833,842
	-			-			-			-			(308,902	)		(170,519	)
	29,354,088			80,793,147			16,993,157			80,199,677			(899,578	)		5,604,343
	44,874,638			88,695,631			37,072,918			87,331,840			334,609,505			82,741,777
	88,695,631			-			87,331,840			-			1,519,240,842			1,436,499,065
$	133,570,269		$	88,695,631		$	124,404,758		$	87,331,840		$	1,853,850,347		$	1,519,240,842
$	-		$	1,720		$	-		$	100,676		$	(2,314,919	)	$	-
$	(5,711	)	$	-		$	(18,438	)	$	-		$	-		$	(5,947,377	)

225

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Small Cap Growth Equity Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	(3,264,151	)	$	(2,342,104	)
Net realized gain (loss) on investment transactions		171,850,921			55,858,021
Net change in unrealized appreciation (depreciation) on investments		177,353,069			42,704,966
Net increase (decrease) in net assets resulting from operations		345,939,839			96,220,883
Distributions to shareholders (Note 2):
From net investment income:
Class Z		-			-
Class I		-			-
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Total distributions from net investment income		-			-
From net realized gains:
Class Z		(34,384,646	)		(7,744,622	)
Class I		-			-
Class S		(84,174,946	)		(25,943,940	)
Class Y		(11,953,451	)		(3,383,837	)
Class L		(6,568,617	)		(3,019,731	)
Class A		(11,526,813	)		(3,778,165	)
Class N		(95,810	)		(30,326	)
Total distributions from net realized gains		(148,704,283	)		(43,900,621	)
Tax return of capital:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Total tax return of capital		-			-
Net fund share transactions (Note 5):
Class Z		60,983,496			7,761,720
Class I		-			-
Class S		2,852,842			(4,621,507	)
Class Y		3,927,087			(10,937,537	)
Class L		(20,085,927	)		(3,499,306	)
Class A		(2,907,076	)		(14,809,829	)
Class N		(1,018	)		37,329
Increase (decrease) in net assets from fund share transactions		44,769,404			(26,069,130	)
Total increase (decrease) in net assets		242,004,960			26,251,132
Net assets
Beginning of year		761,632,061			735,380,929
End of year	$	1,003,637,021		$	761,632,061
Undistributed (accumulated) net investment income (loss) included in net assets at end of year	$	(178,599	)	$	(158,224	)
Distributions in excess of net investment income included in net assets at end of year	$	-		$	-

+ Fund commenced operations on July 25, 2012.

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

226

MassMutual Select Small Company Growth Fund						MassMutual Select Diversified International Fund						MM MSCI EAFE International Index Fund
Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Period Ended December 31, 2012+
$	(362,919	)	$	(200,392	)	$	3,320,671		$	4,060,590		$	5,060,970		$	1,117,127
	19,710,660			5,489,627			11,231,937			(9,472,193	)		6,049,353			428,214
	(1,296,959	)		2,101,488			15,493,496			28,458,720			24,062,782			18,398,730
	18,050,782			7,390,723			30,046,104			23,047,117			35,173,105			19,944,071
	-			-			-			-			(5,098,099	)		(1,472,093	)
	-			-			-			-			(283,749	)		(1,347	)
	-			-			(3,634,226	)		(4,392,023	)		(10,080	)		(1,480	)
	-			-			(2,050	)		(2,025	)		(111,880	)		(1,220	)
	-			-			(247	)		-			(49,898	)		(1,344	)
	-			-			(13,673	)		(17,661	)		(77,008	)		(1,079	)
	-			-			(3,650,196	)		(4,411,709	)		(5,630,714	)		(1,478,563	)
	-			-			-			-			(5,805,642	)		(116,055	)
	-			-			-			-			(324,715	)		(110	)
	(6,616,967	)		-			-			-			(12,064	)		(127	)
	(443,586	)		-			-			-			(139,068	)		(110	)
	(814,425	)		-			-			-			(59,594	)		(131	)
	(1,551,181	)		-			-			-			(101,626	)		(110	)
	-			-			-			-			-			-
	(9,426,159	)		-			-			-			(6,442,709	)		(116,643	)
	-			-			(5,700	)		-			-			-
	-			-			(3	)		-			-			-
	-			-			(1	)		-			-			-
	-			-			(21	)		-			-			-
	-			-			(5,725	)		-			-			-
	-			-			-			-			34,534,552			109,274,972
	-			-			-			-			9,737,638			101,557
	(3,187,873	)		(3,075,245	)		(14,559,160	)		11,747,277			221,959			118,630
	496,676			(455,165	)		8,196			11,538			3,966,903			101,332
	(1,351,414	)		486,767			(7,680	)		(2,308,253	)		1,796,962			112,687
	(28,433	)		(1,731,262	)		(64,282	)		(274,346	)		2,951,550			101,289
	(180,354	)		(105,362	)		-			(58,616	)		-			-
	(4,251,398	)		(4,880,267	)		(14,622,926	)		9,117,600			53,209,564			109,810,467
	4,373,225			2,510,456			11,767,257			27,753,008			76,309,246			128,159,332
	58,643,869			56,133,413			151,852,059			124,099,051			128,159,332			-
$	63,017,094		$	58,643,869		$	163,619,316		$	151,852,059		$	204,468,578		$	128,159,332
$	(51,740	)	$	(32,972	)	$	-		$	-		$	-		$	-
$	-		$	-		$	(1,217,298	)	$	(605,550	)	$	(784,827	)	$	(282,876	)

227

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual Select Overseas Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	9,051,863		$	10,633,625
Net realized gain (loss) on investment transactions		39,764,386			1,745,238
Net change in unrealized appreciation (depreciation) on investments		71,089,268			98,041,747
Net increase (decrease) in net assets resulting from operations		119,905,517			110,420,610
Distributions to shareholders (Note 2):
From net investment income:
Class Z		(6,192,954	)		(4,927,715	)
Class S		(3,987,151	)		(1,791,221	)
Class Y		(1,868,875	)		(820,526	)
Class L		(419,289	)		(121,522	)
Class A		(1,207,893	)		(531,248	)
Class N		(14,208	)		(3,469	)
Total distributions from net investment income		(13,690,370	)		(8,195,701	)
Net fund share transactions (Note 5):
Class Z		(31,086,209	)		(35,976,240	)
Class S		4,861,281			31,944,098
Class Y		2,906,914			(22,404,310	)
Class L		(5,300,218	)		(4,698,302	)
Class A		(4,505,143	)		2,365,018
Class N		69,871			246,011
Increase (decrease) in net assets from fund share transactions		(33,053,504	)		(28,523,725	)
Total increase (decrease) in net assets		73,161,643			73,701,184
Net assets
Beginning of year		559,750,439			486,049,255
End of year	$	632,912,082		$	559,750,439
Undistributed (accumulated) net investment income (loss) included in net assets at end of year	$	10,133,810		$	9,501,718

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

228

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assetso			Interest expense to average daily net assetsp			Ratio of expenses to average daily net assetsn			Net investment income (loss) to average daily net assetsn
Class Z
12/31/13	$	10.55	$	0.20	$	(0.35	)	$	(0.15	)	$	(0.26	)	$	(0.02	)	$	(0.28	)	$	10.12		(1.43%	)	$	420,872		0.40%			0.00	%e		0.40	%		1.87%
12/31/12		9.98		0.26		0.71			0.97			(0.38	)		(0.02	)		(0.40	)		10.55		9.74%			440,229		0.41%			0.00	%e		0.41	%		2.43%
12/31/11		10.09		0.33		(0.09	)		0.24			(0.35	)		-			(0.35	)		9.98		2.41%			402,361		0.40%			N/A			N/A			3.26%
12/31/10g		10.00		0.16		0.15			0.31			(0.14	)		(0.08	)		(0.22	)		10.09		3.13%	b		3,658		0.42%	a		N/A			N/A			3.15%	a
Class S
12/31/13	$	10.54	$	0.18	$	(0.35	)	$	(0.17	)	$	(0.25	)	$	(0.02	)	$	(0.27	)	$	10.10		(1.68%	)	$	175,117		0.55%			0.00	%e		0.55	%		1.72%
12/31/12		9.97		0.24		0.72			0.96			(0.37	)		(0.02	)		(0.39	)		10.54		9.62%			169,086		0.56%			0.00	%e		0.56	%		2.26%
12/31/11		10.07		0.31		(0.07	)		0.24			(0.34	)		-			(0.34	)		9.97		2.37%			79,275		0.55%			N/A			N/A			3.02%
12/31/10g		10.00		0.14		0.14			0.28			(0.13	)		(0.08	)		(0.21	)		10.07		2.88%	b		29,273		0.57%	a		N/A			N/A			2.77%	a
Class Y
12/31/13	$	10.56	$	0.17	$	(0.35	)	$	(0.18	)	$	(0.23	)	$	(0.02	)	$	(0.25	)	$	10.13		(1.78%	)	$	355,678		0.67%			0.00	%e		0.67	%		1.60%
12/31/12		9.99		0.23		0.71			0.94			(0.35	)		(0.02	)		(0.37	)		10.56		9.43%			481,613		0.68%			0.00	%e		0.68	%		2.15%
12/31/11		10.09		0.30		(0.08	)		0.22			(0.32	)		-			(0.32	)		9.99		2.21%			454,979		0.67%			N/A			N/A			2.89%
12/31/10g		10.00		0.13		0.16			0.29			(0.12	)		(0.08	)		(0.20	)		10.09		2.98%	b		516,171		0.69%	a		N/A			N/A			2.51%	a
Class L
12/31/13	$	10.51	$	0.16	$	(0.35	)	$	(0.19	)	$	(0.23	)	$	(0.02	)	$	(0.25	)	$	10.07		(1.86%	)	$	107,501		0.75%			0.00	%e		0.75	%		1.52%
12/31/12		9.95		0.22		0.71			0.93			(0.35	)		(0.02	)		(0.37	)		10.51		9.35%			99,987		0.76%			0.00	%e		0.76	%		2.06%
12/31/11		10.07		0.29		(0.08	)		0.21			(0.33	)		-			(0.33	)		9.95		2.13%			66,880		0.75%			N/A			N/A			2.87%
12/31/10g		10.00		0.13		0.15			0.28			(0.13	)		(0.08	)		(0.21	)		10.07		2.81%	b		27,909		0.77%	a		N/A			N/A			2.57%	a
Class A
12/31/13	$	10.56	$	0.15	$	(0.35	)	$	(0.20	)	$	(0.20	)	$	(0.02	)	$	(0.22	)	$	10.14		(1.94%	)	$	463,236		0.85%			0.00	%e		0.85	%		1.41%
12/31/12		9.99		0.21		0.71			0.92			(0.33	)		(0.02	)		(0.35	)		10.56		9.25%			766,346		0.86%			0.00	%e		0.86	%		1.98%
12/31/11		10.09		0.28		(0.08	)		0.20			(0.30	)		-			(0.30	)		9.99		2.03%			703,315		0.85%			N/A			N/A			2.71%
12/31/10g		10.00		0.12		0.16			0.28			(0.11	)		(0.08	)		(0.19	)		10.09		2.89%	b		708,198		0.87%	a		N/A			N/A			2.34%	a
Class N
12/31/13	$	10.52	$	0.12	$	(0.35	)	$	(0.23	)	$	(0.19	)	$	(0.02	)	$	(0.21	)	$	10.08		(2.21%	)	$	48,925		1.10%			0.00	%e		1.10	%		1.17%
12/31/12		9.97		0.18		0.71			0.89			(0.32	)		(0.02	)		(0.34	)		10.52		9.02%			44,647		1.11%			0.00	%e		1.11	%		1.71%
12/31/11		10.08		0.26		(0.07	)		0.19			(0.30	)		-			(0.30	)		9.97		1.77%			24,105		1.10%			N/A			N/A			2.50%
12/31/10g		10.00		0.11		0.15			0.26			(0.10	)		(0.08	)		(0.18	)		10.08		2.70%	b		9,825		1.12%	a		N/A			N/A			2.12%	a

	Year ended December 31
	2013			2012			2011			2010
Portfolio turnover rate for all share classes		460	%u		501	%u		442	%		299	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

e Amount is less than 0.005%.

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

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

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

n Includes interest expense.

o Excludes interest expense.

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

u Excludes dollar roll transactions. Including these transactions, the portfolio turnover would have been 479% and 509% as of December 31, 2013 and December 31, 2012, respectively.

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

229

MassMutual Select Strategic Bond Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets		Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.34	$	0.29	$	(0.45	)	$	(0.16	)	$	(0.36	)	$	(0.36	)	$	9.82		(1.51%	)	$	82,091		0.69%		2.87%
12/31/12		9.91		0.31		0.47			0.78			(0.35	)		(0.35	)		10.34		7.86%			82,408		0.68%		3.02%
12/31/11		9.60		0.31		0.33			0.64			(0.33	)		(0.33	)		9.91		6.61%			75,607		0.66%		3.14%
12/31/10		9.18		0.40		0.55			0.95			(0.53	)		(0.53	)		9.60		10.51%			48,222		0.66%		4.10%
12/31/09		8.40		0.50		1.09			1.59			(0.81	)		(0.81	)		9.18		18.95%			49,528		0.66%		5.54%
Class Y
12/31/13	$	10.35	$	0.29	$	(0.45	)	$	(0.16	)	$	(0.36	)	$	(0.36	)	$	9.83		(1.55%	)	$	37,806		0.74%		2.85%
12/31/12		9.92		0.31		0.46			0.77			(0.34	)		(0.34	)		10.35		7.79%			25,412		0.73%		2.96%
12/31/11		9.61		0.31		0.33			0.64			(0.33	)		(0.33	)		9.92		6.54%			27,303		0.71%		3.08%
12/31/10		9.18		0.40		0.54			0.94			(0.51	)		(0.51	)		9.61		10.46%			28,610		0.71%		4.12%
12/31/09		8.40		0.49		1.10			1.59			(0.81	)		(0.81	)		9.18		18.90%			56,838		0.71%		5.41%
Class L
12/31/13	$	10.32	$	0.27	$	(0.45	)	$	(0.18	)	$	(0.33	)	$	(0.33	)	$	9.81		(1.73%	)	$	14,613		0.89%		2.59%
12/31/12		9.90		0.29		0.46			0.75			(0.33	)		(0.33	)		10.32		7.57%			31,753		0.88%		2.81%
12/31/11		9.58		0.29		0.33			0.62			(0.30	)		(0.30	)		9.90		6.43%			26,987		0.86%		2.90%
12/31/10		9.16		0.38		0.55			0.93			(0.51	)		(0.51	)		9.58		10.34%			41,764		0.86%		3.88%
12/31/09		8.39		0.47		1.10			1.57			(0.80	)		(0.80	)		9.16		18.70%			36,382		0.86%		5.06%
Class A
12/31/13	$	10.31	$	0.24	$	(0.43	)	$	(0.19	)	$	(0.32	)	$	(0.32	)	$	9.80		(1.89%	)	$	27,677		1.14%		2.40%
12/31/12		9.89		0.26		0.46			0.72			(0.30	)		(0.30	)		10.31		7.27%			37,774		1.13%		2.57%
12/31/11		9.56		0.26		0.34			0.60			(0.27	)		(0.27	)		9.89		6.23%			40,971		1.11%		2.68%
12/31/10		9.14		0.36		0.54			0.90			(0.48	)		(0.48	)		9.56		10.00%			54,043		1.11%		3.68%
12/31/09		8.37		0.45		1.09			1.54			(0.77	)		(0.77	)		9.14		18.39%			62,233		1.11%		5.02%
Class N
12/31/13	$	10.26	$	0.21	$	(0.44	)	$	(0.23	)	$	(0.28	)	$	(0.28	)	$	9.75		(2.22%	)	$	974		1.44%		2.11%
12/31/12		9.85		0.23		0.46			0.69			(0.28	)		(0.28	)		10.26		7.00%			1,130		1.43%		2.26%
12/31/11		9.55		0.23		0.33			0.56			(0.26	)		(0.26	)		9.85		5.80%			988		1.41%		2.37%
12/31/10		9.14		0.32		0.55			0.87			(0.46	)		(0.46	)		9.55		9.70%			963		1.41%		3.33%
12/31/09		8.37		0.42		1.09			1.51			(0.74	)		(0.74	)		9.14		17.95%			820		1.41%		4.70%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		352	%		417	%		669	%		267	%		66	%

c Per share amount calculated on the average shares method.

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

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

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

230

MassMutual Select Diversified Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders										Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations		From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m		Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets		Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.21	$	0.19	$	3.32		$	3.51	$	(0.16	)	$	(0.16	)	$	13.56		34.40%	$	329,972		0.59%		1.55%
12/31/12		8.87		0.19		1.39			1.58		(0.24	)		(0.24	)		10.21		17.79%		245,589		0.59%		1.98%
12/31/11		8.92		0.16		(0.05	)		0.11		(0.16	)		(0.16	)		8.87		1.37%		212,076		0.59%		1.79%
12/31/10		8.08		0.15		0.86			1.01		(0.17	)		(0.17	)		8.92		12.56%		186,639		0.60%		1.86%
12/31/09		6.85		0.15		1.23			1.38		(0.15	)		(0.15	)		8.08		20.10%		200,237		0.60%		2.20%
Class Y
12/31/13	$	10.22	$	0.17	$	3.32		$	3.49	$	(0.14	)	$	(0.14	)	$	13.57		34.24%	$	21,780		0.69%		1.44%
12/31/12		8.87		0.18		1.39			1.57		(0.22	)		(0.22	)		10.22		17.74%		18,431		0.69%		1.84%
12/31/11		8.92		0.15		(0.05	)		0.10		(0.15	)		(0.15	)		8.87		1.25%		23,925		0.69%		1.69%
12/31/10		8.08		0.15		0.85			1.00		(0.16	)		(0.16	)		8.92		12.45%		33,138		0.70%		1.78%
12/31/09		6.85		0.15		1.21			1.36		(0.13	)		(0.13	)		8.08		19.92%		31,928		0.70%		2.26%
Class L
12/31/13	$	10.25	$	0.16	$	3.33		$	3.49	$	(0.11	)	$	(0.11	)	$	13.63		34.13%	$	7,905		0.80%		1.33%
12/31/12		8.90		0.17		1.39			1.56		(0.21	)		(0.21	)		10.25		17.53%		7,642		0.80%		1.74%
12/31/11		8.92		0.14		(0.04	)		0.10		(0.12	)		(0.12	)		8.90		1.17%		9,809		0.80%		1.52%
12/31/10		8.08		0.13		0.86			0.99		(0.15	)		(0.15	)		8.92		12.35%		40,298		0.81%		1.63%
12/31/09		6.85		0.14		1.22			1.36		(0.13	)		(0.13	)		8.08		19.85%		42,209		0.81%		2.06%
Class A
12/31/13	$	10.20	$	0.13	$	3.31		$	3.44	$	(0.09	)	$	(0.09	)	$	13.55		33.78%	$	24,625		1.09%		1.05%
12/31/12		8.86		0.14		1.39			1.53		(0.19	)		(0.19	)		10.20		17.23%		24,405		1.09%		1.48%
12/31/11		8.90		0.11		(0.04	)		0.07		(0.11	)		(0.11	)		8.86		0.83%		24,863		1.09%		1.26%
12/31/10		8.06		0.11		0.85			0.96		(0.12	)		(0.12	)		8.90		11.96%		32,870		1.10%		1.34%
12/31/09		6.83		0.12		1.22			1.34		(0.11	)		(0.11	)		8.06		19.57%		45,592		1.10%		1.73%
Class N
12/31/13	$	10.25	$	0.09	$	3.33		$	3.42	$	(0.06	)	$	(0.06	)	$	13.61		33.35%	$	166		1.40%		0.73%
12/31/12		8.90		0.11		1.39			1.50		(0.15	)		(0.15	)		10.25		16.88%		131		1.40%		1.12%
12/31/11		8.94		0.09		(0.04	)		0.05		(0.09	)		(0.09	)		8.90		0.63%		259		1.40%		0.98%
12/31/10		8.08		0.08		0.85			0.93		(0.07	)		(0.07	)		8.94		11.63%		255		1.41%		0.93%
12/31/09		6.85		0.10		1.21			1.31		(0.08	)		(0.08	)		8.08		19.07%		556		1.41%		1.41%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		44	%		38	%		36	%		130	%		68	%

c Per share amount calculated on the average shares method.

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

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

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

231

MassMutual Select Fundamental Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	11.36	$	0.24	$	3.32		$	3.56		$	(0.26	)	$	(1.06	)	$	(1.32	)	$	13.60		31.85%		$	267,342		0.74%			0.59%			1.82%
12/31/12		10.04		0.24		1.44			1.68			(0.36	)		-			(0.36	)		11.36		16.75%			204,268		0.74%			0.59%			2.21%
12/31/11		10.48		0.20		(0.43	)		(0.23	)		(0.21	)		-			(0.21	)		10.04		(2.06%	)		184,034		0.75%			0.60%			2.00%
12/31/10g		9.82		0.03		0.63			0.66			-			-			-			10.48		6.72%	b		107		0.75%	a		0.65%	a		1.98%	a
Class S
12/31/13	$	11.39	$	0.22	$	3.32		$	3.54		$	(0.23	)	$	(1.06	)	$	(1.29	)	$	13.64		31.57%		$	541,839		0.94%			0.79%			1.63%
12/31/12		10.07		0.22		1.44			1.66			(0.34	)		-			(0.34	)		11.39		16.49%			486,471		0.94%			0.79%			2.00%
12/31/11		10.49		0.17		(0.42	)		(0.25	)		(0.17	)		-			(0.17	)		10.07		(2.29%	)		407,353		0.94%			0.80%			1.62%
12/31/10		9.35		0.13		1.14			1.27			(0.13	)		-			(0.13	)		10.49		13.91%			500,716		0.81%			0.80%			1.35%
12/31/09		7.53		0.13		1.69			1.82			(0.00	)d		-			(0.00	)d		9.35		24.17%			446,975		0.80%			N/A			1.68%
Class Y
12/31/13	$	11.36	$	0.21	$	3.32		$	3.53		$	(0.23	)	$	(1.06	)	$	(1.29	)	$	13.60		31.52%		$	207,094		0.98%			0.83%			1.58%
12/31/12		10.05		0.22		1.42			1.64			(0.33	)		-			(0.33	)		11.36		16.35%			158,864		0.98%			0.83%			1.96%
12/31/11		10.46		0.17		(0.41	)		(0.24	)		(0.17	)		-			(0.17	)		10.05		(2.20%	)		154,312		0.98%			0.84%			1.60%
12/31/10		9.33		0.12		1.14			1.26			(0.13	)		-			(0.13	)		10.46		13.81%			133,797		0.85%			0.84%			1.30%
12/31/09		7.52		0.13		1.68			1.81			(0.00	)d		-			(0.00	)d		9.33		24.07%			129,536		0.84%			N/A			1.63%
Class L
12/31/13	$	11.40	$	0.19	$	3.33		$	3.52		$	(0.21	)	$	(1.06	)	$	(1.27	)	$	13.65		31.35%		$	141,207		1.13%			0.98%			1.42%
12/31/12		10.09		0.20		1.43			1.63			(0.32	)		-			(0.32	)		11.40		16.16%			115,576		1.13%			0.98%			1.81%
12/31/11		10.45		0.15		(0.41	)		(0.26	)		(0.10	)		-			(0.10	)		10.09		(2.39%	)		100,173		1.13%			0.98%			1.41%
12/31/10		9.31		0.11		1.14			1.25			(0.11	)		-			(0.11	)		10.45		13.71%			162,055		1.00%			0.99%			1.15%
12/31/09		7.52		0.12		1.67			1.79			(0.00	)d		-			(0.00	)d		9.31		23.81%			168,790		0.99%			N/A			1.50%
Class A
12/31/13	$	11.28	$	0.15	$	3.31		$	3.46		$	(0.15	)	$	(1.06	)	$	(1.21	)	$	13.53		31.10%		$	272,524		1.38%			1.23%			1.18%
12/31/12		9.99		0.17		1.41			1.58			(0.29	)		-			(0.29	)		11.28		15.85%			332,630		1.38%			1.23%			1.56%
12/31/11		10.36		0.12		(0.40	)		(0.28	)		(0.09	)		-			(0.09	)		9.99		(2.65%	)		284,989		1.38%			1.24%			1.19%
12/31/10		9.24		0.09		1.13			1.22			(0.10	)		-			(0.10	)		10.36		13.46%			293,195		1.25%			1.24%			0.91%
12/31/09		7.48		0.10		1.66			1.76			(0.00	)d		-			(0.00	)d		9.24		23.53%			241,206		1.24%			N/A			1.24%
Class N
12/31/13	$	11.25	$	0.11	$	3.29		$	3.40		$	(0.14	)	$	(1.06	)	$	(1.20	)	$	13.45		30.66%		$	1,245		1.68%			1.53%			0.88%
12/31/12		9.90		0.14		1.40			1.54			(0.19	)		-			(0.19	)		11.25		15.55%			878		1.68%			1.53%			1.29%
12/31/11		10.25		0.09		(0.40	)		(0.31	)		(0.04	)		-			(0.04	)		9.90		(2.95%	)		1,951		1.68%			1.54%			0.89%
12/31/10		9.13		0.06		1.11			1.17			(0.05	)		-			(0.05	)		10.25		12.97%			2,051		1.55%			1.54%			0.60%
12/31/09		7.41		0.07		1.65			1.72			(0.00	)d		-			(0.00	)d		9.13		23.21%			2,403		1.54%			N/A			0.95%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		18	%		22	%		14	%		30	%		47	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

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

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

232

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	7.82	$	0.21	$	2.21		$	2.42		$	(0.25	)	$	(0.51	)	$	(0.76	)	$	9.48		31.24%		$	337,852		0.77%		0.75%			2.33%
12/31/12		10.08		0.18		0.96			1.14			(0.17	)		(3.23	)		(3.40	)		7.82		11.22%			336,198		0.77%		0.77%	k		1.67%
12/31/11		10.60		0.10		(0.54	)		(0.44	)		(0.08	)		-			(0.08	)		10.08		(4.15%	)		309,422		0.77%		N/A			1.00%
12/31/10		9.50		0.09		1.15			1.24			(0.14	)		-			(0.14	)		10.60		13.08%			377,131		0.77%		N/A			0.91%
12/31/09		7.29		0.07		2.22			2.29			(0.08	)		-			(0.08	)		9.50		31.48%			365,567		0.78%		N/A			0.92%
Class Y
12/31/13	$	7.83	$	0.20	$	2.21		$	2.41		$	(0.24	)	$	(0.51	)	$	(0.75	)	$	9.49		31.11%		$	34,719		0.86%		0.84%			2.23%
12/31/12		10.07		0.15		0.99			1.14			(0.15	)		(3.23	)		(3.38	)		7.83		11.22%			26,190		0.86%		0.86%	k		1.38%
12/31/11		10.60		0.10		(0.56	)		(0.46	)		(0.07	)		-			(0.07	)		10.07		(4.34%	)		65,751		0.86%		N/A			0.91%
12/31/10		9.50		0.08		1.15			1.23			(0.13	)		-			(0.13	)		10.60		12.98%			81,805		0.86%		N/A			0.82%
12/31/09		7.29		0.06		2.23			2.29			(0.08	)		-			(0.08	)		9.50		31.39%			82,157		0.87%		N/A			0.82%
Class L
12/31/13	$	7.80	$	0.19	$	2.20		$	2.39		$	(0.22	)	$	(0.51	)	$	(0.73	)	$	9.46		30.99%		$	29,046		1.01%		0.99%			2.08%
12/31/12		10.06		0.14		0.97			1.11			(0.14	)		(3.23	)		(3.37	)		7.80		10.93%			41,924		1.01%		1.01%	k		1.34%
12/31/11		10.57		0.08		(0.54	)		(0.46	)		(0.05	)		-			(0.05	)		10.06		(4.37%	)		48,977		1.01%		N/A			0.77%
12/31/10		9.47		0.06		1.15			1.21			(0.11	)		-			(0.11	)		10.57		12.81%			78,893		1.01%		N/A			0.65%
12/31/09		7.27		0.05		2.21			2.26			(0.06	)		-			(0.06	)		9.47		31.12%			110,367		1.02%		N/A			0.70%
Class A
12/31/13	$	7.79	$	0.17	$	2.18		$	2.35		$	(0.19	)	$	(0.51	)	$	(0.70	)	$	9.44		30.53%		$	65,907		1.26%		1.24%			1.84%
12/31/12		10.03		0.11		0.98			1.09			(0.10	)		(3.23	)		(3.33	)		7.79		10.77%			69,701		1.26%		1.26%	k		1.05%
12/31/11		10.54		0.05		(0.55	)		(0.50	)		(0.01	)		-			(0.01	)		10.03		(4.70%	)		104,872		1.26%		N/A			0.51%
12/31/10		9.45		0.04		1.14			1.18			(0.09	)		-			(0.09	)		10.54		12.48%			155,189		1.26%		N/A			0.42%
12/31/09		7.25		0.04		2.19			2.23			(0.03	)		-			(0.03	)		9.45		30.82%			172,363		1.27%		N/A			0.46%
Class N
12/31/13	$	7.68	$	0.14	$	2.16		$	2.30		$	(0.17	)	$	(0.51	)	$	(0.68	)	$	9.30		30.27%		$	114		1.56%		1.54%			1.54%
12/31/12		9.93		0.07		0.97			1.04			(0.06	)		(3.23	)		(3.29	)		7.68		10.32%			117		1.56%		1.56%	k		0.70%
12/31/11		10.44		0.02		(0.53	)		(0.51	)		-			-			-			9.93		(4.89%	)		434		1.55%		N/A			0.22%
12/31/10		9.36		0.01		1.13			1.14			(0.06	)		-			(0.06	)		10.44		12.20%			735		1.56%		N/A			0.12%
12/31/09		7.20		0.01		2.18			2.19			(0.03	)		-			(0.03	)		9.36		30.36%			926		1.57%		N/A			0.10%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		34	%		107	%		10	%		10	%		12	%

c Per share amount calculated on the average shares method.

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

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

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

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

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

233

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	13.20	$	0.32	$	3.93		$	4.25		$	(0.35	)	$	(0.11	)	$	(0.46	)	$	16.99		32.34%		$	436,004		0.18%			0.08%			2.01%
12/31/12		11.66		0.29		1.57			1.86			(0.32	)		-			(0.32	)		13.20		15.96%			103,732		0.18%			0.08%			2.23%
12/31/11i		11.85		0.01		(0.02	)		(0.01	)		(0.18	)		-			(0.18	)		11.66		0.00%	b,e		57,185		0.17%	a		0.06%	a		1.80%	a
Class I
12/31/13	$	13.23	$	0.29	$	3.94		$	4.23		$	(0.33	)	$	(0.11	)	$	(0.44	)	$	17.02		32.11%		$	1,003,965		0.25%			0.20%			1.88%
12/31/12		11.69		0.27		1.57			1.84			(0.30	)		-			(0.30	)		13.23		15.77%			833,287		0.26%			0.21%			2.07%
12/31/11p		11.70		0.22		(0.01	)		0.21			(0.22	)		-			(0.22	)		11.69		1.84%			737,960		0.21%			0.21%	k		1.85%
12/31/10		10.36		0.20		1.33			1.53			(0.19	)		-			(0.19	)		11.70		14.93%			693,596		0.21%			N/A			1.84%
12/31/09		8.32		0.19		2.00			2.19			(0.15	)		-			(0.15	)		10.36		26.31%			528,989		0.22%			N/A			2.10%
Class S
12/31/13	$	13.25	$	0.25	$	3.95		$	4.20		$	(0.29	)	$	(0.11	)	$	(0.40	)	$	17.05		31.86%		$	609,354		0.47%			0.42%			1.66%
12/31/12		11.71		0.24		1.58			1.82			(0.28	)		-			(0.28	)		13.25		15.51%			516,727		0.47%			0.42%			1.86%
12/31/11		11.71		0.19		(0.00	)d		0.19			(0.19	)		-			(0.19	)		11.71		1.69%			437,378		0.42%			0.42%	k		1.62%
12/31/10		10.38		0.17		1.33			1.50			(0.17	)		-			(0.17	)		11.71		14.57%			470,762		0.43%			N/A			1.62%
12/31/09		8.33		0.17		2.01			2.18			(0.13	)		-			(0.13	)		10.38		26.16%			425,981		0.43%			N/A			1.88%
Class Y
12/31/13	$	13.11	$	0.25	$	3.90		$	4.15		$	(0.29	)	$	(0.11	)	$	(0.40	)	$	16.86		31.81%		$	335,898		0.50%			0.45%			1.63%
12/31/12		11.58		0.23		1.57			1.80			(0.27	)		-			(0.27	)		13.11		15.56%			269,106		0.50%			0.45%			1.82%
12/31/11		11.59		0.19		(0.02	)		0.17			(0.18	)		-			(0.18	)		11.58		1.55%			251,190		0.45%			0.45%	k		1.58%
12/31/10		10.27		0.17		1.31			1.48			(0.16	)		-			(0.16	)		11.59		14.56%			298,754		0.46%			N/A			1.58%
12/31/09		8.25		0.16		1.99			2.15			(0.13	)		-			(0.13	)		10.27		26.03%			307,391		0.46%			N/A			1.85%
Class L
12/31/13	$	13.09	$	0.24	$	3.90		$	4.14		$	(0.25	)	$	(0.11	)	$	(0.36	)	$	16.87		31.76%		$	171,337		0.60%			0.45%			1.60%
12/31/12		11.57		0.24		1.56			1.80			(0.28	)		-			(0.28	)		13.09		15.57%			277,997		0.65%			0.40%			1.89%
12/31/11		11.58		0.19		(0.01	)		0.18			(0.19	)		-			(0.19	)		11.57		1.66%			217,548		0.60%			0.40%			1.65%
12/31/10		10.26		0.17		1.33			1.50			(0.18	)		-			(0.18	)		11.58		14.69%			203,160		0.61%			0.41%			1.65%
12/31/09		8.23		0.17		1.98			2.15			(0.12	)		-			(0.12	)		10.26		26.09%			156,894		0.61%			0.41%			1.92%
Class A
12/31/13	$	13.02	$	0.22	$	3.87		$	4.09		$	(0.26	)	$	(0.11	)	$	(0.37	)	$	16.74		31.57%		$	535,280		0.84%			0.65%			1.43%
12/31/12		11.51		0.21		1.55			1.76			(0.25	)		-			(0.25	)		13.02		15.28%			388,374		0.90%			0.65%			1.63%
12/31/11		11.52		0.16		(0.00	)d		0.16			(0.17	)		-			(0.17	)		11.51		1.42%			336,032		0.85%			0.65%			1.40%
12/31/10		10.22		0.15		1.30			1.45			(0.15	)		-			(0.15	)		11.52		14.29%			302,470		0.86%			0.66%			1.39%
12/31/09		8.21		0.14		1.98			2.12			(0.11	)		-			(0.11	)		10.22		25.83%			241,090		0.86%			0.66%			1.65%
Class N
12/31/13	$	12.90	$	0.17	$	3.83		$	4.00		$	(0.21	)	$	(0.11	)	$	(0.32	)	$	16.58		31.14%		$	4,940		1.14%			0.95%			1.13%
12/31/12		11.41		0.17		1.53			1.70			(0.21	)		-			(0.21	)		12.90		14.91%			3,869		1.20%			0.95%			1.33%
12/31/11		11.42		0.13		(0.01	)		0.12			(0.13	)		-			(0.13	)		11.41		1.13%			3,385		1.15%			0.95%			1.10%
12/31/10		10.13		0.11		1.29			1.40			(0.11	)		-			(0.11	)		11.42		13.94%			2,982		1.16%			0.96%			1.09%
12/31/09		8.14		0.12		1.95			2.07			(0.08	)		-			(0.08	)		10.13		25.46%			3,172		1.16%			0.96%			1.35%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		10	%		3	%		2	%		5	%		10	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

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

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

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

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

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

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

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

234

MassMutual Select Focused Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	18.86	$	0.14		$	6.99		$	7.13		$	(0.14	)	$	(2.51	)	$	(2.65	)	$	23.34		38.45%		$	167,586		0.78%			0.68%			0.63%
12/31/12		16.98		0.20			3.38			3.58			(0.19	)		(1.51	)		(1.70	)		18.86		21.28%			121,833		0.78%			0.68%			1.04%
12/31/11		17.64		0.17			(0.22	)		(0.05	)		(0.29	)		(0.32	)		(0.61	)		16.98		(0.12%	)		86,517		0.79%			0.69%			1.01%
12/31/10g		16.92		0.02			0.70			0.72			-			-			-			17.64		4.26%	b		104		0.79%	a		0.69%	a		0.77%	a
Class S
12/31/13	$	18.89	$	0.11		$	7.00		$	7.11		$	(0.11	)	$	(2.51	)	$	(2.62	)	$	23.38		38.28%		$	316,010		0.90%			0.80%			0.51%
12/31/12		17.00		0.17			3.39			3.56			(0.16	)		(1.51	)		(1.67	)		18.89		21.17%			266,390		0.90%			0.80%			0.88%
12/31/11		17.63		0.13			(0.20	)		(0.07	)		(0.24	)		(0.32	)		(0.56	)		17.00		(0.23%	)		233,071		0.90%			0.80%			0.73%
12/31/10		14.59		0.10			3.05			3.15			(0.11	)		-			(0.11	)		17.63		21.81%			307,649		0.82%			0.80%			0.62%
12/31/09		8.94		0.10			5.55			5.65			-			-			-			14.59		63.20%			262,825		0.81%			N/A			0.89%
Class Y
12/31/13	$	18.74	$	0.09		$	6.94		$	7.03		$	(0.10	)	$	(2.51	)	$	(2.61	)	$	23.16		38.13%		$	98,784		1.00%			0.90%			0.42%
12/31/12		16.88		0.14			3.38			3.52			(0.15	)		(1.51	)		(1.66	)		18.74		21.03%			59,000		1.00%			0.90%			0.77%
12/31/11		17.49		0.11			(0.20	)		(0.09	)		(0.20	)		(0.32	)		(0.52	)		16.88		(0.35%	)		60,921		1.00%			0.90%			0.63%
12/31/10		14.47		0.08			3.04			3.12			(0.10	)		-			(0.10	)		17.49		21.73%			70,955		0.92%			0.90%			0.52%
12/31/09		8.87		0.09			5.51			5.60			-			-			-			14.47		63.13%			64,121		0.91%			N/A			0.78%
Class L
12/31/13	$	18.62	$	0.06		$	6.90		$	6.96		$	(0.07	)	$	(2.51	)	$	(2.58	)	$	23.00		37.97%		$	105,331		1.15%			1.05%			0.26%
12/31/12		16.79		0.12			3.34			3.46			(0.12	)		(1.51	)		(1.63	)		18.62		20.82%			73,933		1.15%			1.05%			0.64%
12/31/11		17.32		0.08			(0.18	)		(0.10	)		(0.11	)		(0.32	)		(0.43	)		16.79		(0.48%	)		60,937		1.15%			1.05%			0.46%
12/31/10		14.33		0.05			3.01			3.06			(0.07	)		-			(0.07	)		17.32		21.54%			91,044		1.07%			1.05%			0.36%
12/31/09		8.80		0.07			5.46			5.53			-			-			-			14.33		62.84%			98,934		1.06%			N/A			0.62%
Class A
12/31/13	$	18.23	$	0.00	d	$	6.75		$	6.75		$	(0.01	)	$	(2.51	)	$	(2.52	)	$	22.46		37.66%		$	218,492		1.40%			1.30%			0.01%
12/31/12		16.46		0.07			3.28			3.35			(0.07	)		(1.51	)		(1.58	)		18.23		20.55%			160,758		1.40%			1.30%			0.37%
12/31/11		16.99		0.04			(0.19	)		(0.15	)		(0.06	)		(0.32	)		(0.38	)		16.46		(0.79%	)		142,551		1.40%			1.30%			0.23%
12/31/10		14.06		0.02			2.96			2.98			(0.05	)		-			(0.05	)		16.99		21.29%			170,895		1.32%			1.30%			0.12%
12/31/09		8.66		0.04			5.36			5.40			-			-			-			14.06		62.36%			161,884		1.31%			N/A			0.38%
Class N
12/31/13	$	17.80	$	(0.06	)	$	6.57		$	6.51		$	-		$	(2.51	)	$	(2.51	)	$	21.80		37.19%		$	731		1.70%			1.60%			(0.28%	)
12/31/12		16.10		(0.01	)		3.22			3.21			-			(1.51	)		(1.51	)		17.80		20.13%			477		1.70%			1.60%			(0.06%	)
12/31/11		16.60		(0.02	)		(0.16	)		(0.18	)		-			(0.32	)		(0.32	)		16.10		(1.02%	)		1,425		1.70%			1.60%			(0.09%	)
12/31/10		13.73		(0.03	)		2.90			2.87			-			-			-			16.60		20.90%			1,882		1.62%			1.60%			(0.19%	)
12/31/09		8.48		0.01			5.24			5.25			-			-			-			13.73		61.91%			2,617		1.61%			N/A			0.07%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		27	%		30	%		32	%		32	%		43	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

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

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

235

MassMutual Select Fundamental Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

	Net asset value, beginning of the period		Income (loss) from investment operations							Less distributions to shareholders									Net asset value, end of the period		Total Returnl,m		Ratios / Supplemental Data
			Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions							Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class S
12/31/13	$	6.62	$	0.06		$	2.05	$	2.11	$	(0.07	)	$	(0.31	)	$	(0.38	)	$	8.35		32.24%	$	86,288		0.90%		0.81%		0.79%
12/31/12		5.89		0.07			0.71		0.78		(0.05	)		(0.00	)d		(0.05	)		6.62		13.26%		73,897		0.91%		0.83%		1.02%
12/31/11		5.72		0.02			0.16		0.18		(0.01	)		-			(0.01	)		5.89		3.13%		20,468		0.64%		N/A		0.31%
12/31/10		4.75		0.01			0.96		0.97		-			-			-			5.72		20.42%		21,169		0.65%		N/A		0.25%
12/31/09		3.09		0.00	d		1.66		1.66		-			-			-			4.75		53.72%		20,229		0.70%		N/A		0.06%
Class Y
12/31/13	$	6.54	$	0.05		$	2.04	$	2.09	$	(0.07	)	$	(0.31	)	$	(0.38	)	$	8.25		32.23%	$	6,015		0.94%		0.91%		0.68%
12/31/12		5.82		0.05			0.71		0.76		(0.04	)		(0.00	)d		(0.04	)		6.54		13.09%		3,948		0.97%		0.94%		0.73%
12/31/11		5.66		0.01			0.15		0.16		(0.00	)d		-			(0.00	)d		5.82		2.89%		1,859		0.74%		N/A		0.21%
12/31/10		4.70		0.01			0.95		0.96		-			-			-			5.66		20.43%		1,633		0.75%		N/A		0.13%
12/31/09		3.07		(0.00	)d		1.63		1.63		-			-			-			4.70		53.09%		2,737		0.80%		N/A		(0.04%	)
Class L
12/31/13	$	6.45	$	0.04		$	2.00	$	2.04	$	(0.05	)	$	(0.31	)	$	(0.36	)	$	8.13		32.00%	$	10,925		1.09%		1.06%		0.55%
12/31/12		5.74		0.04			0.70		0.74		(0.03	)		(0.00	)d		(0.03	)		6.45		12.97%		10,370		1.12%		1.09%		0.61%
12/31/11		5.58		0.00	d		0.16		0.16		-			-			-			5.74		2.87%		6,929		0.89%		N/A		0.06%
12/31/10		4.65		0.00	d		0.93		0.93		-			-			-			5.58		20.00%		6,658		0.90%		N/A		0.01%
12/31/09		3.03		(0.01	)		1.63		1.62		-			-			-			4.65		53.47%		6,620		0.95%		N/A		(0.19%	)
Class A
12/31/13	$	6.28	$	0.02		$	1.94	$	1.96	$	(0.04	)	$	(0.31	)	$	(0.35	)	$	7.89		31.53%	$	23,867		1.34%		1.31%		0.29%
12/31/12		5.58		0.02			0.69		0.71		(0.01	)		(0.00	)d		(0.01	)		6.28		12.79%		16,843		1.37%		1.35%		0.29%
12/31/11		5.44		(0.01	)		0.15		0.14		-			-			-			5.58		2.57%		15,768		1.14%		N/A		(0.19%	)
12/31/10		4.54		(0.01	)		0.91		0.90		-			-			-			5.44		19.82%		19,690		1.15%		N/A		(0.24%	)
12/31/09		2.97		(0.02	)		1.59		1.57		-			-			-			4.54		52.86%		18,508		1.20%		N/A		(0.45%	)
Class N
12/31/13	$	6.07	$	0.00	d	$	1.88	$	1.88	$	(0.00	)d	$	(0.31	)	$	(0.31	)	$	7.64		31.26%	$	168		1.64%		1.61%		0.02%
12/31/12		5.41		(0.00	)d		0.66		0.66		-			(0.00	)d		(0.00	)d		6.07		12.27%		248		1.68%		1.66%		(0.02%	)
12/31/11		5.28		(0.03	)		0.16		0.13		-			-			-			5.41		2.46%		337		1.44%		N/A		(0.50%	)
12/31/10		4.43		(0.03	)		0.88		0.85		-			-			-			5.28		19.19%		336		1.45%		N/A		(0.55%	)
12/31/09		2.91		(0.03	)		1.55		1.52		-			-			-			4.43		52.23%		317		1.50%		N/A		(0.74%	)

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		62	%		109	%		49	%		8	%		22	%

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

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

236

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders													Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m		Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class S
12/31/13	$	12.77	$	0.00	d	$	5.24	$	5.24	$	(0.00	)d	$	(1.07	)	$	(1.07	)	$	16.94		41.38%	$	526,553		0.78%		0.76%		0.02%
12/31/12		10.81		0.04			1.95		1.99		(0.03	)		-			(0.03	)		12.77		18.43%		406,245		0.82%		0.76%		0.34%
12/31/11		10.65		0.02			0.14		0.16		(0.00	)d		-			(0.00	)d		10.81		1.50%		270,651		0.84%		0.76%		0.17%
12/31/10		9.14		0.01			1.51		1.52		(0.01	)		-			(0.01	)		10.65		16.64%		163,662		0.84%		0.76%		0.08%
12/31/09		6.39		0.01			2.74		2.75		(0.00	)d		-			(0.00	)d		9.14		43.06%		172,449		0.85%		0.76%		0.20%
Class Y
12/31/13	$	12.71	$	(0.01	)	$	5.22	$	5.21	$	(0.00	)d	$	(1.07	)	$	(1.07	)	$	16.85		41.34%	$	188,792		0.87%		0.82%		(0.04%	)
12/31/12		10.77		0.03			1.93		1.96		(0.02	)		-			(0.02	)		12.71		18.23%		128,562		0.95%		0.82%		0.26%
12/31/11		10.61		0.01			0.15		0.16		-			-			-			10.77		1.51%		87,359		0.97%		0.82%		0.13%
12/31/10		9.12		0.00	d		1.50		1.50		(0.01	)		-			(0.01	)		10.61		16.45%		42,443		0.97%		0.82%		0.01%
12/31/09		6.37		0.01			2.74		2.75		(0.00	)d		-			(0.00	)d		9.12		43.20%		39,094		0.98%		0.82%		0.12%
Class L
12/31/13	$	12.64	$	(0.03	)	$	5.17	$	5.14	$	(0.00	)d	$	(1.07	)	$	(1.07	)	$	16.71		41.01%	$	242,816		1.02%		0.98%		(0.22%	)
12/31/12		10.71		0.01			1.93		1.94		(0.01	)		-			(0.01	)		12.64		18.07%		319,306		1.07%		0.98%		0.10%
12/31/11		10.57		(0.01	)		0.15		0.14		-			-			-			10.71		1.42%		243,741		1.09%		0.98%		(0.09%	)
12/31/10		9.08		(0.01	)		1.50		1.49		-			-			-			10.57		16.30%		257,545		1.09%		0.98%		(0.15%	)
12/31/09		6.36		(0.00	)d		2.72		2.72		(0.00	)d		-			(0.00	)d		9.08		42.79%		281,168		1.10%		0.98%		(0.03%	)
Class A
12/31/13	$	12.35	$	(0.06	)	$	5.05	$	4.99	$	(0.00	)d	$	(1.07	)	$	(1.07	)	$	16.27		40.76%	$	182,452		1.26%		1.19%		(0.41%	)
12/31/12		10.48		(0.01	)		1.88		1.87		-			-			-			12.35		17.84%		140,294		1.32%		1.19%		(0.08%	)
12/31/11		10.36		(0.03	)		0.15		0.12		-			-			-			10.48		1.16%		75,919		1.34%		1.19%		(0.29%	)
12/31/10		8.93		(0.03	)		1.46		1.43		-			-			-			10.36		16.01%		66,401		1.34%		1.19%		(0.36%	)
12/31/09		6.26		(0.02	)		2.69		2.67		(0.00	)d		-			(0.00	)d		8.93		42.68%		69,307		1.35%		1.19%		(0.24%	)
Class N
12/31/13	$	11.97	$	(0.10	)	$	4.88	$	4.78	$	(0.00	)d	$	(1.07	)	$	(1.07	)	$	15.68		40.30%	$	967		1.55%		1.51%		(0.73%	)
12/31/12		10.18		(0.04	)		1.83		1.79		-			-			-			11.97		17.58%		727		1.62%		1.51%		(0.35%	)
12/31/11		10.11		(0.08	)		0.15		0.07		-			-			-			10.18		0.69%		78		1.64%		1.51%		(0.72%	)
12/31/10		8.74		(0.06	)		1.43		1.37		-			-			-			10.11		15.68%		344		1.64%		1.51%		(0.69%	)
12/31/09		6.15		(0.04	)		2.63		2.59		(0.00	)d		-			(0.00	)d		8.74		42.14%		803		1.65%		1.51%		(0.55%	)

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		33	%		20	%		38	%		53	%		62	%

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

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

237

MassMutual Select Growth Opportunities Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	8.89	$	0.00	d	$	3.38		$	3.38		$	(0.01	)	$	(0.83	)	$	(0.84	)	$	11.43		38.50%		$	141,922		0.84%			0.69%			0.02%
12/31/12		7.40		0.07			1.42			1.49			-			-			-			8.89		20.14%			76,857		0.85%			0.70%			0.86%
12/31/11i		7.45		(0.00	)d		(0.05	)		(0.05	)		-			-			-			7.40		(0.67%	)b		99		0.79%	a		0.64%	a		(0.33%	)a
Class S
12/31/13	$	8.87	$	(0.01	)	$	3.36		$	3.35		$	-		$	(0.83	)	$	(0.83	)	$	11.39		38.28%		$	340,443		0.99%			0.84%			(0.13%	)
12/31/12		7.40		0.01			1.46			1.47			-			-			-			8.87		19.86%			268,035		1.00%			0.85%			0.06%
12/31/11		7.06		(0.01	)		0.35			0.34			-			-			-			7.40		4.82%			233,080		0.87%			0.86%			(0.18%	)
12/31/10		5.87		(0.00	)d		1.19			1.19			-			-			-			7.06		20.27%			210,972		0.87%			N/A			(0.06%	)
12/31/09		3.74		(0.01	)		2.14			2.13			-			(0.00	)d		(0.00	)d		5.87		56.97%			164,994		0.87%			N/A			(0.15%	)
Class Y
12/31/13	$	8.76	$	(0.02	)	$	3.31		$	3.29		$	-		$	(0.83	)	$	(0.83	)	$	11.22		38.07%		$	85,741		1.09%			0.94%			(0.23%	)
12/31/12		7.31		0.00	d		1.45			1.45			-			-			-			8.76		19.84%			45,380		1.10%			0.95%			0.03%
12/31/11		6.98		(0.02	)		0.35			0.33			-			-			-			7.31		4.73%			29,740		0.97%			0.96%			(0.29%	)
12/31/10		5.81		(0.01	)		1.18			1.17			-			-			-			6.98		20.14%			22,037		0.97%			N/A			(0.19%	)
12/31/09		3.71		(0.01	)		2.11			2.10			-			(0.00	)d		(0.00	)d		5.81		56.63%			21,830		0.97%			N/A			(0.27%	)
Class L
12/31/13	$	8.60	$	(0.04	)	$	3.25		$	3.21		$	-		$	(0.83	)	$	(0.83	)	$	10.98		37.85%		$	110,471		1.24%			1.09%			(0.39%	)
12/31/12		7.19		(0.01	)		1.42			1.41			-			-			-			8.60		19.61%			85,363		1.25%			1.10%			(0.10%	)
12/31/11		6.87		(0.03	)		0.35			0.32			-			-			-			7.19		4.66%			27,467		1.11%			1.11%	k		(0.36%	)
12/31/10		5.73		(0.02	)		1.16			1.14			-			-			-			6.87		19.90%			54,658		1.12%			N/A			(0.35%	)
12/31/09		3.66		(0.02	)		2.09			2.07			-			(0.00	)d		(0.00	)d		5.73		56.58%			61,774		1.12%			N/A			(0.41%	)
Class A
12/31/13	$	8.32	$	(0.06	)	$	3.13		$	3.07		$	-		$	(0.83	)	$	(0.83	)	$	10.56		37.43%		$	168,430		1.49%			1.34%			(0.63%	)
12/31/12		6.97		(0.03	)		1.38			1.35			-			-			-			8.32		19.37%			102,385		1.50%			1.35%			(0.35%	)
12/31/11		6.68		(0.05	)		0.34			0.29			-			-			-			6.97		4.34%			51,191		1.37%			1.36%			(0.68%	)
12/31/10		5.58		(0.03	)		1.13			1.10			-			-			-			6.68		19.50%			53,610		1.37%			N/A			(0.60%	)
12/31/09		3.58		(0.03	)		2.03			2.00			-			(0.00	)d		(0.00	)d		5.58		56.17%			60,935		1.37%			N/A			(0.65%	)
Class N
12/31/13	$	8.00	$	(0.09	)	$	3.01		$	2.92		$	-		$	(0.83	)	$	(0.83	)	$	10.09		37.05%		$	29		1.79%			1.64%			(0.93%	)
12/31/12		6.73		(0.05	)		1.32			1.27			-			-			-			8.00		18.87%			24		1.80%			1.65%			(0.69%	)
12/31/11		6.47		(0.07	)		0.33			0.26			-			-			-			6.73		4.02%			21		1.67%			1.66%			(0.99%	)
12/31/10		5.43		(0.05	)		1.09			1.04			-			-			-			6.47		19.37%			28		1.67%			N/A			(0.95%	)
12/31/09		3.49		(0.04	)		1.98			1.94			-			(0.00	)d		(0.00	)d		5.43		55.32%			93		1.67%			N/A			(0.96%	)

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		29	%		19	%		21	%		40	%		33	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

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

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

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

238

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss) c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	11.09	$	0.18	$	3.59		$	3.77		$	(0.18	)	$	(0.18	)	$	14.68		34.02%		$	67,095		0.84%			0.74%			1.36%
12/31/12		9.68		0.24		1.36			1.60			(0.19	)		(0.19	)		11.09		16.54%			75,912		0.83%			0.73%			2.18%
12/31/11i		9.88		0.02		(0.11	)		(0.09	)		(0.11	)		(0.11	)		9.68		(0.84%	)b		129		0.77%	a		0.67%	a		3.28%	a
Class S
12/31/13	$	11.12	$	0.16	$	3.60		$	3.76		$	(0.17	)	$	(0.17	)	$	14.71		33.85%		$	81,923		0.88%			0.83%			1.24%
12/31/12		9.69		0.14		1.44			1.58			(0.15	)		(0.15	)		11.12		16.35%			56,001		0.90%			0.80%			1.32%
12/31/11		10.09		0.12		(0.41	)		(0.29	)		(0.11	)		(0.11	)		9.69		(2.84%	)		130,318		0.80%			0.80%	k		1.22%
12/31/10		8.28		0.12		1.82			1.94			(0.13	)		(0.13	)		10.09		23.43%			91,957		0.82%			N/A			1.36%
12/31/09		6.43		0.08		1.85			1.93			(0.08	)		(0.08	)		8.28		30.02%			71,351		0.83%			N/A			1.22%
Class Y
12/31/13	$	11.12	$	0.15	$	3.60		$	3.75		$	(0.16	)	$	(0.16	)	$	14.71		33.73%		$	2,574		0.98%			0.93%			1.14%
12/31/12		9.71		0.14		1.43			1.57			(0.16	)		(0.16	)		11.12		16.21%			1,688		1.00%			0.90%			1.30%
12/31/11		10.12		0.12		(0.43	)		(0.31	)		(0.10	)		(0.10	)		9.71		(3.02%	)		1,545		0.90%			0.90%	k		1.14%
12/31/10		8.30		0.12		1.82			1.94			(0.12	)		(0.12	)		10.12		23.42%			1,061		0.92%			N/A			1.31%
12/31/09		6.43		0.07		1.85			1.92			(0.05	)		(0.05	)		8.30		29.94%			470		0.93%			N/A			1.12%
Class L
12/31/13	$	11.19	$	0.13	$	3.62		$	3.75		$	(0.13	)	$	(0.13	)	$	14.81		33.57%		$	4,260		1.13%			1.08%			1.01%
12/31/12		9.76		0.12		1.45			1.57			(0.14	)		(0.14	)		11.19		16.12%			3,552		1.15%			1.05%			1.12%
12/31/11		10.10		0.07		(0.41	)		(0.34	)		-			-			9.76		(3.37%	)		4,305		1.05%			1.05%	k		0.71%
12/31/10		8.29		0.10		1.81			1.91			(0.10	)		(0.10	)		10.10		23.10%			42,178		1.07%			N/A			1.09%
12/31/09		6.44		0.07		1.84			1.91			(0.06	)		(0.06	)		8.29		29.70%			37,197		1.08%			N/A			0.96%
Class A
12/31/13	$	11.11	$	0.10	$	3.58		$	3.68		$	(0.10	)	$	(0.10	)	$	14.69		33.18%		$	6,092		1.38%			1.33%			0.73%
12/31/12		9.69		0.10		1.43			1.53			(0.11	)		(0.11	)		11.11		15.84%			4,385		1.40%			1.30%			0.89%
12/31/11		10.08		0.06		(0.40	)		(0.34	)		(0.05	)		(0.05	)		9.69		(3.39%	)		4,423		1.30%			1.30%	k		0.64%
12/31/10		8.27		0.07		1.81			1.88			(0.07	)		(0.07	)		10.08		22.77%			5,748		1.32%			N/A			0.82%
12/31/09		6.43		0.05		1.84			1.89			(0.05	)		(0.05	)		8.27		29.40%			6,145		1.33%			N/A			0.74%
Class N
12/31/13	$	11.07	$	0.06	$	3.57		$	3.63		$	(0.06	)	$	(0.06	)	$	14.64		32.77%		$	95		1.68%			1.63%			0.43%
12/31/12		9.67		0.06		1.43			1.49			(0.09	)		(0.09	)		11.07		15.46%			76		1.70%			1.60%			0.60%
12/31/11		10.07		0.04		(0.41	)		(0.37	)		(0.03	)		(0.03	)		9.67		(3.67%	)		64		1.60%			1.60%	k		0.37%
12/31/10		8.27		0.05		1.81			1.86			(0.06	)		(0.06	)		10.07		22.49%			64		1.62%			N/A			0.58%
12/31/09		6.44		0.03		1.83			1.86			(0.03	)		(0.03	)		8.27		29.06%			46		1.63%			N/A			0.43%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		109	%		85	%		82	%		143	%		66	%

a Annualized.

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

c Per share amount calculated on the average shares method.

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

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

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

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

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

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

239

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets		Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.71	$	0.06		$	4.23		$	4.29		$	(0.07	)	$	(0.07	)	$	14.93		40.05%		$	138,272		0.85%		0.50%
12/31/12		9.05		0.09			1.66			1.75			(0.09	)		(0.09	)		10.71		19.40%			115,775		0.85%		0.95%
12/31/11		9.45		0.03			(0.40	)		(0.37	)		(0.03	)		(0.03	)		9.05		(3.91%	)		92,162		0.86%		0.36%
12/31/10		7.41		0.06			2.04			2.10			(0.06	)		(0.06	)		9.45		28.36%			67,913		0.87%		0.73%
12/31/09		6.14		0.06			1.28			1.34			(0.07	)		(0.07	)		7.41		21.83%			62,397		0.89%		1.06%
Class Y
12/31/13	$	10.71	$	0.05		$	4.22		$	4.27		$	(0.05	)	$	(0.05	)	$	14.93		39.91%		$	5,264		0.95%		0.41%
12/31/12		9.06		0.08			1.65			1.73			(0.08	)		(0.08	)		10.71		19.15%			3,186		0.95%		0.83%
12/31/11		9.45		0.02			(0.39	)		(0.37	)		(0.02	)		(0.02	)		9.06		(3.93%	)		3,055		0.96%		0.22%
12/31/10		7.40		0.04			2.06			2.10			(0.05	)		(0.05	)		9.45		28.35%			4,734		0.97%		0.49%
12/31/09		6.14		0.06			1.26			1.32			(0.06	)		(0.06	)		7.40		21.54%			4,496		0.99%		0.96%
Class L
12/31/13	$	10.69	$	0.03		$	4.22		$	4.25		$	(0.04	)	$	(0.04	)	$	14.90		39.73%		$	4,359		1.10%		0.27%
12/31/12		9.04		0.07			1.65			1.72			(0.07	)		(0.07	)		10.69		19.03%			2,551		1.10%		0.69%
12/31/11		9.45		0.00	d		(0.41	)		(0.41	)		-			-			9.04		(4.34%	)		2,152		1.11%		0.04%
12/31/10		7.40		0.03			2.06			2.09			(0.04	)		(0.04	)		9.45		28.19%			21,552		1.12%		0.36%
12/31/09		6.14		0.05			1.26			1.31			(0.05	)		(0.05	)		7.40		21.39%			24,629		1.14%		0.81%
Class A
12/31/13	$	10.68	$	(0.00	)d	$	4.19		$	4.19		$	(0.00	)d	$	(0.00	)	$	14.87		39.28%		$	6,526		1.35%		(0.01%	)
12/31/12		9.03		0.04			1.65			1.69			(0.04	)		(0.04	)		10.68		18.75%			5,179		1.35%		0.43%
12/31/11		9.44		(0.02	)		(0.39	)		(0.41	)		-			-			9.03		(4.34%	)		4,694		1.36%		(0.18%	)
12/31/10		7.40		0.01			2.04			2.05			(0.01	)		(0.01	)		9.44		27.77%			7,837		1.37%		0.14%
12/31/09		6.14		0.03			1.27			1.30			(0.04	)		(0.04	)		7.40		21.11%			7,833		1.39%		0.56%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		28	%		32	%		25	%		39	%		175	%

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

240

MassMutual Select Small Company Value Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	14.03	$	0.16		$	4.29		$	4.45		$	(0.14	)	$	(1.97	)	$	(2.11	)	$	16.37		32.46%		$	126,064		0.94%			0.86%			0.97%
12/31/12		12.78		0.16			1.75			1.91			(0.20	)		(0.46	)		(0.66	)		14.03		15.04%			74,820		0.94%			0.86%			1.17%
12/31/11		13.72		0.09			(0.43	)		(0.34	)		(0.07	)		(0.53	)		(0.60	)		12.78		(2.34%	)		45,116		0.94%			0.86%			0.68%
12/31/10g		12.74		0.02			1.07			1.09			(0.11	)		-			(0.11	)		13.72		8.59%	b		108		0.95%	a		0.87%	a		1.03%	a
Class S
12/31/13	$	14.06	$	0.12		$	4.31		$	4.43		$	(0.11	)	$	(1.97	)	$	(2.08	)	$	16.41		32.19%		$	252,704		1.13%			1.05%			0.77%
12/31/12		12.81		0.13			1.75			1.88			(0.17	)		(0.46	)		(0.63	)		14.06		14.77%			231,211		1.13%			1.05%			0.96%
12/31/11		13.74		0.03			(0.40	)		(0.37	)		(0.03	)		(0.53	)		(0.56	)		12.81		(2.51%	)		229,298		1.13%			1.05%			0.22%
12/31/10		11.23		0.06			2.55			2.61			(0.10	)		-			(0.10	)		13.74		23.25%			307,184		1.06%			1.05%			0.48%
12/31/09		8.87		0.06			2.37			2.43			(0.07	)		-			(0.07	)		11.23		27.45%			232,379		1.06%			N/A			0.63%
Class Y
12/31/13	$	14.02	$	0.12		$	4.29		$	4.41		$	(0.10	)	$	(1.97	)	$	(2.07	)	$	16.36		32.18%		$	44,234		1.17%			1.09%			0.73%
12/31/12		12.76		0.12			1.75			1.87			(0.15	)		(0.46	)		(0.61	)		14.02		14.76%			33,617		1.17%			1.09%			0.85%
12/31/11		13.70		0.02			(0.40	)		(0.38	)		(0.03	)		(0.53	)		(0.56	)		12.76		(2.65%	)		52,720		1.17%			1.09%			0.18%
12/31/10		11.19		0.05			2.55			2.60			(0.09	)		-			(0.09	)		13.70		23.23%			67,430		1.10%			1.09%			0.42%
12/31/09		8.83		0.06			2.37			2.43			(0.07	)		-			(0.07	)		11.19		27.52%			77,398		1.10%			N/A			0.60%
Class L
12/31/13	$	13.90	$	0.09		$	4.26		$	4.35		$	(0.07	)	$	(1.97	)	$	(2.04	)	$	16.21		32.03%		$	36,198		1.32%			1.24%			0.59%
12/31/12		12.67		0.10			1.74			1.84			(0.15	)		(0.46	)		(0.61	)		13.90		14.57%			36,619		1.32%			1.24%			0.77%
12/31/11		13.60		0.00	d		(0.40	)		(0.40	)		(0.00	)d		(0.53	)		(0.53	)		12.67		(2.79%	)		35,901		1.32%			1.24%			0.02%
12/31/10		11.11		0.03			2.53			2.56			(0.07	)		-			(0.07	)		13.60		23.08%			52,437		1.25%			1.24%			0.27%
12/31/09		8.78		0.04			2.34			2.38			(0.05	)		-			(0.05	)		11.11		27.17%			52,856		1.25%			N/A			0.45%
Class A
12/31/13	$	13.66	$	0.06		$	4.17		$	4.23		$	(0.00	)d	$	(1.97	)	$	(1.97	)	$	15.92		31.69%		$	59,004		1.57%			1.49%			0.37%
12/31/12		12.46		0.07			1.70			1.77			(0.11	)		(0.46	)		(0.57	)		13.66		14.28%			100,321		1.57%			1.49%			0.51%
12/31/11		13.41		(0.03	)		(0.39	)		(0.42	)		-			(0.53	)		(0.53	)		12.46		(2.99%	)		100,184		1.57%			1.49%			(0.21%	)
12/31/10		10.97		0.00	d		2.49			2.49			(0.05	)		-			(0.05	)		13.41		22.68%			119,084		1.50%			1.49%			0.04%
12/31/09		8.67		0.02			2.31			2.33			(0.03	)		-			(0.03	)		10.97		26.90%			92,728		1.50%			N/A			0.19%
Class N
12/31/13	$	13.28	$	0.01		$	4.05		$	4.06		$	(0.00	)d	$	(1.97	)	$	(1.97	)	$	15.37		31.30%		$	194		1.87%			1.79%			0.03%
12/31/12		12.07		0.00	d		1.67			1.67			-			(0.46	)		(0.46	)		13.28		13.90%			145		1.87%			1.79%			0.03%
12/31/11		13.05		(0.07	)		(0.38	)		(0.45	)		-			(0.53	)		(0.53	)		12.07		(3.30%	)		675		1.87%			1.79%			(0.51%	)
12/31/10		10.67		(0.04	)		2.43			2.39			(0.01	)		-			(0.01	)		13.05		22.38%			817		1.80%			1.79%			(0.34%	)
12/31/09		8.44		(0.01	)		2.25			2.24			(0.01	)		-			(0.01	)		10.67		26.49%			1,590		1.80%			N/A			(0.10%	)

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		44	%		34	%		32	%		43	%		30	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Less than $0.005.

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

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

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

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

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

241

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

Financial Highlights (For a share outstanding throughout each period)

				Income (loss) from investment operations						Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	11.04	$	0.16	$	3.44	$	3.60	$	(0.18	)	$	(1.99	)	$	(2.17	)	$	12.47		33.20	%	$	93,319		0.23	%		0.19	%		1.25	%
12/31/12g		10.00		0.09		1.11		1.20		(0.08	)		(0.08	)		(0.16	)		11.04		12.06	%b		87,245		0.29	%a		0.19	%a		1.85	%a
Class I
12/31/13	$	11.04	$	0.16	$	3.42	$	3.58	$	(0.17	)	$	(1.99	)	$	(2.16	)	$	12.46		33.08	%	$	5,893		0.33	%		0.29	%		1.22	%
12/31/12g		10.00		0.08		1.12		1.20		(0.08	)		(0.08	)		(0.16	)		11.04		12.02	%b		112		0.39	%a		0.29	%a		1.74	%a
Class S
12/31/13	$	11.04	$	0.14	$	3.41	$	3.55	$	(0.17	)	$	(1.99	)	$	(2.16	)	$	12.43		32.81	%	$	3,206		0.48	%		0.44	%		1.07	%
12/31/12g		10.00		0.08		1.12		1.20		(0.08	)		(0.08	)		(0.16	)		11.04		12.01	%b		225		0.54	%a		0.44	%a		1.79	%a
Class Y
12/31/13	$	11.03	$	0.13	$	3.41	$	3.54	$	(0.15	)	$	(1.99	)	$	(2.14	)	$	12.43		32.72	%	$	12,453		0.58	%		0.54	%		0.96	%
12/31/12g		10.00		0.09		1.10		1.19		(0.08	)		(0.08	)		(0.16	)		11.03		11.92	%b		836		0.64	%a		0.54	%a		2.01	%a
Class L
12/31/13	$	11.04	$	0.11	$	3.42	$	3.53	$	(0.16	)	$	(1.99	)	$	(2.15	)	$	12.42		32.62	%	$	9,738		0.73	%		0.69	%		0.82	%
12/31/12g		10.00		0.07		1.12		1.19		(0.07	)		(0.08	)		(0.15	)		11.04		11.89	%b		166		0.79	%a		0.69	%a		1.45	%a
Class A
12/31/13	$	11.04	$	0.09	$	3.42	$	3.51	$	(0.13	)	$	(1.99	)	$	(2.12	)	$	12.43		32.40	%	$	8,961		0.88	%		0.84	%		0.68	%
12/31/12g		10.00		0.06		1.11		1.17		(0.05	)		(0.08	)		(0.13	)		11.04		11.76	%b		112		0.94	%a		0.84	%a		1.19	%a

	Year ended December 31
	2013			2012
Portfolio turnover rate for all share classes		54	%		11	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period July 26, 2012 (commencement of operations) through December 31, 2012.

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

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

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

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

242

MM Russell 2000 Small Cap Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations						Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	10.95	$	0.18	$	3.95	$	4.13	$	(0.19	)	$	(1.69	)	$	(1.88	)	$	13.20		38.47%		$	91,466		0.29%			0.19%			1.40%
12/31/12g		10.00		0.13		0.99		1.12		(0.12	)		(0.05	)		(0.17	)		10.95		11.24%	b		86,679		0.30%	a		0.19%	a		2.88%	a
Class I
12/31/13	$	10.95	$	0.19	$	3.93	$	4.12	$	(0.19	)	$	(1.69	)	$	(1.88	)	$	13.19		38.38%		$	13,078		0.39%			0.29%			1.41%
12/31/12g		10.00		0.13		0.98		1.11		(0.11	)		(0.05	)		(0.16	)		10.95		11.19%	b		111		0.40%	a		0.29%	a		2.76%	a
Class S
12/31/13	$	10.94	$	0.18	$	3.92	$	4.10	$	(0.19	)	$	(1.69	)	$	(1.88	)	$	13.16		38.24%		$	997		0.54%			0.44%			1.31%
12/31/12g		10.00		0.13		0.97		1.10		(0.11	)		(0.05	)		(0.16	)		10.94		11.03%	b		129		0.55%	a		0.44%	a		2.73%	a
Class Y
12/31/13	$	10.94	$	0.15	$	3.94	$	4.09	$	(0.16	)	$	(1.69	)	$	(1.85	)	$	13.18		38.13%		$	7,562		0.64%			0.54%			1.14%
12/31/12g		10.00		0.12		0.97		1.09		(0.10	)		(0.05	)		(0.15	)		10.94		10.99%	b		127		0.65%	a		0.54%	a		2.60%	a
Class L
12/31/13	$	10.94	$	0.13	$	3.93	$	4.06	$	(0.17	)	$	(1.69	)	$	(1.86	)	$	13.14		37.84%		$	5,754		0.79%			0.69%			0.94%
12/31/12g		10.00		0.12		0.97		1.09		(0.10	)		(0.05	)		(0.15	)		10.94		10.96%	b		175		0.80%	a		0.69%	a		2.70%	a
Class A
12/31/13	$	10.95	$	0.11	$	3.92	$	4.03	$	(0.14	)	$	(1.69	)	$	(1.83	)	$	13.15		37.66%		$	5,547		0.94%			0.84%			0.82%
12/31/12g		10.00		0.10		0.99		1.09		(0.09	)		(0.05	)		(0.14	)		10.95		10.83%	b		111		0.95%	a		0.84%	a		2.21%	a

	Year ended December 31
	2013			2012
Portfolio turnover rate for all share classes		59	%		10	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period July 26, 2012 (commencement of operations) through December 31, 2012.

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

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

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

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

243

MassMutual Select Mid Cap Growth Equity II Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	15.03	$	(0.02	)	$	5.40		$	5.38		$	-		$	(1.99	)	$	(1.99	)	$	18.42		36.31%		$	298,869		0.83%			0.73%			(0.10%	)
12/31/12		14.27		0.02			2.07			2.09			(0.03	)		(1.30	)		(1.33	)		15.03		14.71%			185,584		0.83%			0.73%			0.12%
12/31/11		15.76		(0.03	)		(0.29	)		(0.32	)		-			(1.17	)		(1.17	)		14.27		(1.74%	)		150,571		0.84%			0.74%			(0.20%	)
12/31/10g		14.67		(0.00	)d		1.09			1.09			-			-			-			15.76		7.43%	b		108		0.85%	a		0.75%	a		(0.02%	)a
Class S
12/31/13	$	15.00	$	(0.04	)	$	5.39		$	5.35		$	-		$	(1.99	)	$	(1.99	)	$	18.36		36.19%		$	569,238		0.96%			0.86%			(0.22%	)
12/31/12		14.25		(0.01	)		2.07			2.06			(0.01	)		(1.30	)		(1.31	)		15.00		14.51%			456,600		0.96%			0.86%			(0.04%	)
12/31/11		15.76		(0.06	)		(0.28	)		(0.34	)		-			(1.17	)		(1.17	)		14.25		(1.86%	)		442,760		0.96%			0.86%			(0.38%	)
12/31/10		12.31		(0.04	)		3.49			3.45			-			-			-			15.76		28.03%			536,407		0.88%			0.86%			(0.26%	)
12/31/09		8.49		(0.03	)		3.85			3.82			(0.00	)d		-			(0.00	)d		12.31		45.00%			364,961		0.87%			N/A			(0.26%	)
Class Y
12/31/13	$	14.83	$	(0.06	)	$	5.32		$	5.26		$	-		$	(1.99	)	$	(1.99	)	$	18.10		35.99%		$	267,615		1.05%			0.95%			(0.32%	)
12/31/12		14.10		(0.02	)		2.05			2.03			-			(1.30	)		(1.30	)		14.83		14.47%			207,290		1.05%			0.95%			(0.11%	)
12/31/11		15.63		(0.07	)		(0.29	)		(0.36	)		-			(1.17	)		(1.17	)		14.10		(2.01%	)		182,810		1.05%			0.95%			(0.47%	)
12/31/10		12.22		(0.05	)		3.46			3.41			-			-			-			15.63		27.91%			207,536		0.97%			0.95%			(0.36%	)
12/31/09		8.43		(0.03	)		3.82			3.79			-			-			-			12.22		44.96%			161,421		0.96%			N/A			(0.34%	)
Class L
12/31/13	$	14.49	$	(0.08	)	$	5.19		$	5.11		$	-		$	(1.99	)	$	(1.99	)	$	17.61		35.80%		$	382,576		1.20%			1.10%			(0.47%	)
12/31/12		13.82		(0.04	)		2.01			1.97			-			(1.30	)		(1.30	)		14.49		14.33%			320,612		1.20%			1.10%			(0.28%	)
12/31/11		15.37		(0.10	)		(0.28	)		(0.38	)		-			(1.17	)		(1.17	)		13.82		(2.18%	)		328,331		1.20%			1.10%			(0.63%	)
12/31/10		12.03		(0.07	)		3.41			3.34			-			-			-			15.37		27.76%			450,117		1.12%			1.10%			(0.51%	)
12/31/09		8.32		(0.05	)		3.76			3.71			-			-			-			12.03		44.59%			362,500		1.11%			N/A			(0.50%	)
Class A
12/31/13	$	13.96	$	(0.12	)	$	4.99		$	4.87		$	-		$	(1.99	)	$	(1.99	)	$	16.84		35.44%		$	333,489		1.44%			1.34%			(0.72%	)
12/31/12		13.39		(0.08	)		1.95			1.87			-			(1.30	)		(1.30	)		13.96		14.05%			347,186		1.45%			1.35%			(0.52%	)
12/31/11		14.96		(0.13	)		(0.27	)		(0.40	)		-			(1.17	)		(1.17	)		13.39		(2.37%	)		329,974		1.45%			1.35%			(0.87%	)
12/31/10		11.74		(0.10	)		3.32			3.22			-			-			-			14.96		27.43%			381,775		1.37%			1.35%			(0.77%	)
12/31/09		8.14		(0.07	)		3.67			3.60			-			-			-			11.74		44.23%			308,326		1.36%			N/A			(0.75%	)
Class N
12/31/13	$	13.42	$	(0.16	)	$	4.78		$	4.62		$	-		$	(1.99	)	$	(1.99	)	$	16.05		35.00%		$	2,062		1.75%			1.65%			(1.02%	)
12/31/12		12.95		(0.12	)		1.89			1.77			-			(1.30	)		(1.30	)		13.42		13.75%			1,969		1.75%			1.65%			(0.84%	)
12/31/11		14.56		(0.17	)		(0.27	)		(0.44	)		-			(1.17	)		(1.17	)		12.95		(2.71%	)		2,052		1.75%			1.65%			(1.18%	)
12/31/10		11.46		(0.13	)		3.23			3.10			-			-			-			14.56		27.05%			2,446		1.67%			1.65%			(1.07%	)
12/31/09		7.97		(0.10	)		3.59			3.49			-			-			-			11.46		43.79%			2,117		1.66%			N/A			(1.05%	)

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		32	%		36	%		38	%		52	%		55	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

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

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

244

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

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	15.16	$	(0.04	)	$	7.14		$	7.10		$	(3.24	)	$	(3.24	)	$	19.02		47.86%		$	237,249		0.92%			0.85%			(0.23%	)
12/31/12		14.16		(0.02	)		1.92			1.90			(0.90	)		(0.90	)		15.16		13.53%			136,266		0.92%			0.86%			(0.12%	)
12/31/11		17.26		(0.06	)		(0.96	)		(1.02	)		(2.08	)		(2.08	)		14.16		(5.41%	)		119,706		0.92%			0.87%			(0.36%	)
12/31/10g		16.06		0.00	d		1.34			1.34			(0.14	)		(0.14	)		17.26		8.38%	b		108		0.94%	a		0.89%	a		0.11%	a
Class S
12/31/13	$	15.12	$	(0.06	)	$	7.12		$	7.06		$	(3.24	)	$	(3.24	)	$	18.94		47.71%		$	574,359		1.02%			0.95%			(0.31%	)
12/31/12		14.14		(0.03	)		1.91			1.88			(0.90	)		(0.90	)		15.12		13.41%			455,747		1.02%			0.96%			(0.22%	)
12/31/11		17.25		(0.09	)		(0.94	)		(1.03	)		(2.08	)		(2.08	)		14.14		(5.47%	)		429,979		1.02%			0.97%			(0.53%	)
12/31/10		14.13		(0.07	)		3.33			3.26			(0.14	)		(0.14	)		17.25		23.11%			575,724		0.98%			0.98%	k		(0.45%	)
12/31/09		10.14		(0.06	)		4.05			3.99			-			-			14.13		39.35%			263,305		0.99%			N/A			(0.51%	)
Class Y
12/31/13	$	14.80	$	(0.08	)	$	6.95		$	6.87		$	(3.24	)	$	(3.24	)	$	18.43		47.46%		$	77,163		1.16%			1.09%			(0.46%	)
12/31/12		13.87		(0.06	)		1.89			1.83			(0.90	)		(0.90	)		14.80		13.31%			58,290		1.16%			1.10%			(0.39%	)
12/31/11		17.00		(0.12	)		(0.93	)		(1.05	)		(2.08	)		(2.08	)		13.87		(5.68%	)		64,304		1.16%			1.11%			(0.68%	)
12/31/10		13.94		(0.09	)		3.29			3.20			(0.14	)		(0.14	)		17.00		23.00%			82,815		1.12%			1.12%	k		(0.64%	)
12/31/09		10.02		(0.07	)		3.99			3.92			-			-			13.94		39.12%			86,922		1.13%			N/A			(0.65%	)
Class L
12/31/13	$	14.44	$	(0.10	)	$	6.77		$	6.67		$	(3.24	)	$	(3.24	)	$	17.87		47.25%		$	42,628		1.31%			1.24%			(0.60%	)
12/31/12		13.58		(0.08	)		1.84			1.76			(0.90	)		(0.90	)		14.44		13.08%			50,085		1.31%			1.25%			(0.53%	)
12/31/11		16.71		(0.14	)		(0.91	)		(1.05	)		(2.08	)		(2.08	)		13.58		(5.77%	)		50,193		1.31%			1.26%			(0.83%	)
12/31/10		13.73		(0.11	)		3.23			3.12			(0.14	)		(0.14	)		16.71		22.77%			61,655		1.27%			1.27%	k		(0.78%	)
12/31/09		9.88		(0.09	)		3.94			3.85			-			-			13.73		38.97%			59,458		1.28%			N/A			(0.80%	)
Class A
12/31/13	$	13.85	$	(0.14	)	$	6.49		$	6.35		$	(3.24	)	$	(3.24	)	$	16.96		46.94%		$	71,667		1.56%			1.49%			(0.86%	)
12/31/12		13.09		(0.13	)		1.79			1.66			(0.90	)		(0.90	)		13.85		12.80%			60,764		1.56%			1.50%			(0.89%	)
12/31/11		16.23		(0.18	)		(0.88	)		(1.06	)		(2.08	)		(2.08	)		13.09		(6.01%	)		70,773		1.56%			1.51%			(1.12%	)
12/31/10		13.38		(0.15	)		3.14			2.99			(0.14	)		(0.14	)		16.23		22.39%			91,525		1.52%			1.52%	k		(1.02%	)
12/31/09		9.65		(0.11	)		3.84			3.73			-			-			13.38		38.65%			75,428		1.53%			N/A			(1.05%	)
Class N
12/31/13	$	13.27	$	(0.19	)	$	6.20		$	6.01		$	(3.24	)	$	(3.24	)	$	16.04		46.43%		$	571		1.86%			1.79%			(1.16%	)
12/31/12		12.61		(0.14	)		1.70			1.56			(0.90	)		(0.90	)		13.27		12.49%			479		1.86%			1.80%			(1.04%	)
12/31/11		15.77		(0.21	)		(0.87	)		(1.08	)		(2.08	)		(2.08	)		12.61		(6.32%	)		426		1.86%			1.81%			(1.37%	)
12/31/10		13.04		(0.18	)		3.05			2.87			(0.14	)		(0.14	)		15.77		22.05%			466		1.82%			1.82%	k		(1.33%	)
12/31/09		9.43		(0.15	)		3.76			3.61			-			-			13.04		38.28%			515		1.83%			N/A			(1.36%	)

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		97	%		104	%		88	%		99	%		91	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

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

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

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

245

MassMutual Select Small Company Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets		Net investment income (loss) to average daily net assets
Class S
12/31/13	$	11.09	$	(0.06	)	$	3.72		$	3.66		$	(2.19	)	$	(2.19	)	$	12.56		33.92%		$	45,044		1.17%		(0.50%	)
12/31/12		9.82		(0.02	)		1.29			1.27			-			-			11.09		12.93%			41,706		1.13%		(0.21%	)
12/31/11		10.01		(0.07	)		(0.12	)		(0.19	)		-			-			9.82		(1.90%	)		39,408		1.14%		(0.74%	)
12/31/10		7.49		(0.05	)		2.57			2.52			-			-			10.01		33.64%			30,487		1.13%		(0.60%	)
12/31/09		5.70		(0.02	)		1.81			1.79			-			-			7.49		31.40%			21,869		1.17%		(0.25%	)
Class Y
12/31/13	$	11.03	$	(0.07	)	$	3.70		$	3.63		$	(2.19	)	$	(2.19	)	$	12.47		33.80%		$	2,965		1.22%		(0.55%	)
12/31/12		9.78		(0.04	)		1.29			1.25			-			-			11.03		12.78%			2,167		1.17%		(0.33%	)
12/31/11		9.96		(0.08	)		(0.10	)		(0.18	)		-			-			9.78		(1.81%	)		2,314		1.17%		(0.80%	)
12/31/10		7.46		(0.06	)		2.56			2.50			-			-			9.96		33.51%			2,659		1.17%		(0.73%	)
12/31/09		5.68		(0.04	)		1.82			1.78			-			-			7.46		31.34%			4,130		1.21%		(0.58%	)
Class L
12/31/13	$	10.84	$	(0.09	)	$	3.64		$	3.55		$	(2.19	)	$	(2.19	)	$	12.20		33.66%		$	5,419		1.37%		(0.70%	)
12/31/12		9.62		(0.04	)		1.26			1.22			-			-			10.84		12.56%			6,125		1.32%		(0.40%	)
12/31/11		9.83		(0.10	)		(0.11	)		(0.21	)		-			-			9.62		(2.03%	)		5,018		1.32%		(0.99%	)
12/31/10		7.38		(0.06	)		2.51			2.45			-			-			9.83		33.20%			17,323		1.32%		(0.78%	)
12/31/09		5.63		(0.03	)		1.78			1.75			-			-			7.38		31.08%			10,178		1.36%		(0.43%	)
Class A
12/31/13	$	10.53	$	(0.12	)	$	3.52		$	3.40		$	(2.19	)	$	(2.19	)	$	11.74		33.23%		$	9,589		1.62%		(0.94%	)
12/31/12		9.37		(0.09	)		1.25			1.16			-			-			10.53		12.38%			8,494		1.57%		(0.87%	)
12/31/11		9.58		(0.12	)		(0.09	)		(0.21	)		-			-			9.37		(2.19%	)		9,153		1.57%		(1.20%	)
12/31/10		7.21		(0.08	)		2.45			2.37			-			-			9.58		32.87%			13,123		1.57%		(1.08%	)
12/31/09		5.51		(0.04	)		1.74			1.70			-			-			7.21		30.85%			13,340		1.61%		(0.69%	)

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		161	%		105	%		94	%		98	%		120	%

c Per share amount calculated on the average shares method.

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

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

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

246

MassMutual Select Diversified International Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Tax return of capital			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class S
12/31/13	$	6.49	$	0.15	$	1.26		$	1.41		$	(0.18	)	$	(0.00	)d	$	(0.18	)	$	7.72		21.84%		$	162,746		1.06%		0.99%		2.14%
12/31/12		5.70		0.17		0.81			0.98			(0.19	)		-			(0.19	)		6.49		17.29%			151,060		1.07%		0.99%		2.86%
12/31/11		7.08		0.15		(1.35	)		(1.20	)		(0.18	)		-			(0.18	)		5.70		(16.84%	)		121,002		1.09%		0.99%		2.24%
12/31/10		6.94		0.10		0.27			0.37			(0.23	)		-			(0.23	)		7.08		5.39%			102,970		1.11%		0.99%		1.57%
12/31/09		4.98		0.11		1.92			2.03			(0.07	)		-			(0.07	)		6.94		40.70%			93,253		1.10%		0.99%		2.00%
Class Y
12/31/13	$	6.65	$	0.14	$	1.29		$	1.43		$	(0.17	)	$	(0.00	)d	$	(0.17	)	$	7.91		21.66%		$	97		1.16%		1.09%		1.92%
12/31/12		5.84		0.17		0.83			1.00			(0.19	)		-			(0.19	)		6.65		17.12%			74		1.17%		1.09%		2.75%
12/31/11		7.06		0.19		(1.40	)		(1.21	)		(0.01	)		-			(0.01	)		5.84		(17.11%	)		55		1.19%		1.09%		2.69%
12/31/10		6.93		0.10		0.25			0.35			(0.22	)		-			(0.22	)		7.06		5.15%			7,467		1.21%		1.09%		1.46%
12/31/09		4.97		0.11		1.91			2.02			(0.06	)		-			(0.06	)		6.93		40.65%			7,034		1.20%		1.09%		1.93%
Class L
12/31/13	$	6.74	$	0.13	$	1.31		$	1.44		$	(0.16	)	$	(0.00	)d	$	(0.16	)	$	8.02		21.50%		$	12		1.31%		1.17%		1.82%
12/31/12		5.79		0.20		0.75			0.95			-			-			-			6.74		16.61%			18		1.32%		1.17%		3.36%
12/31/11		7.06		0.21		(1.41	)		(1.20	)		(0.07	)		-			(0.07	)		5.79		(17.06%	)		2,113		1.34%		1.17%		2.91%
12/31/10		6.93		0.09		0.26			0.35			(0.22	)		-			(0.22	)		7.06		5.06%			33,000		1.36%		1.17%		1.38%
12/31/09		4.97		0.11		1.90			2.01			(0.05	)		-			(0.05	)		6.93		40.55%			32,559		1.35%		1.17%		1.98%
Class A
12/31/13	$	6.48	$	0.12	$	1.25		$	1.37		$	(0.14	)	$	(0.00	)d	$	(0.14	)	$	7.71		21.28%		$	764		1.56%		1.42%		1.64%
12/31/12		5.69		0.15		0.80			0.95			(0.16	)		-			(0.16	)		6.48		16.80%			700		1.57%		1.42%		2.53%
12/31/11		7.05		0.13		(1.34	)		(1.21	)		(0.15	)		-			(0.15	)		5.69		(17.13%	)		873		1.59%		1.42%		1.99%
12/31/10		6.91		0.08		0.25			0.33			(0.19	)		-			(0.19	)		7.05		4.90%			1,296		1.61%		1.42%		1.17%
12/31/09		4.95		0.11		1.85			1.96			-			-			-			6.91		39.60%			1,721		1.60%		1.42%		2.10%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		56	%		58	%		140	%		65	%		61	%

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

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

247

MM MSCI EAFE International Index Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations						Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	11.80	$	0.37	$	2.19	$	2.56	$	(0.40	)	$	(0.45	)	$	(0.85	)	$	13.51		22.08%		$	183,956		0.32%			0.23%			2.87%
12/31/12g		10.00		0.11		1.84		1.95		(0.14	)		(0.01	)		(0.15	)		11.80		19.53%	b		127,538		0.35%	a		0.23%	a		2.23%	a
Class I
12/31/13	$	11.80	$	0.34	$	2.20	$	2.54	$	(0.39	)	$	(0.45	)	$	(0.84	)	$	13.50		21.95%		$	10,414		0.42%			0.33%			2.54%
12/31/12g		10.00		0.11		1.83		1.94		(0.13	)		(0.01	)		(0.14	)		11.80		19.48%	b		120		0.45%	a		0.33%	a		2.15%	a
Class S
12/31/13	$	11.80	$	0.33	$	2.19	$	2.52	$	(0.38	)	$	(0.45	)	$	(0.83	)	$	13.49		21.71%		$	387		0.57%			0.48%			2.55%
12/31/12g		10.00		0.10		1.84		1.94		(0.13	)		(0.01	)		(0.14	)		11.80		19.42%	b		137		0.60%	a		0.48%	a		1.95%	a
Class Y
12/31/13	$	11.80	$	0.35	$	2.16	$	2.51	$	(0.37	)	$	(0.45	)	$	(0.82	)	$	13.49		21.60%		$	4,450		0.67%			0.58%			2.67%
12/31/12g		10.00		0.09		1.84		1.93		(0.12	)		(0.01	)		(0.13	)		11.80		19.35%	b		120		0.70%	a		0.58%	a		1.88%	a
Class L
12/31/13	$	11.80	$	0.22	$	2.27	$	2.49	$	(0.38	)	$	(0.45	)	$	(0.83	)	$	13.46		21.44%		$	1,990		0.82%			0.73%			1.63%
12/31/12g		10.00		0.08		1.84		1.92		(0.11	)		(0.01	)		(0.12	)		11.80		19.26%	b		126		0.85%	a		0.73%	a		1.62%	a
Class A
12/31/13	$	11.80	$	0.30	$	2.16	$	2.46	$	(0.34	)	$	(0.45	)	$	(0.79	)	$	13.47		21.32%		$	3,271		0.97%			0.88%			2.32%
12/31/12g		10.00		0.08		1.84		1.92		(0.11	)		(0.01	)		(0.12	)		11.80		19.20%	b		119		1.00%	a		0.88%	a		1.59%	a

	Year ended December 31
	2013			2012
Portfolio turnover rate for all share classes		42	%		6	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period July 25, 2012 (commencement of operations) through December 31, 2012.

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

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

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

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

248

MassMutual Select Overseas Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class Z
12/31/13	$	7.57	$	0.15		$	1.54		$	1.69		$	(0.21	)	$	(0.21	)	$	9.05		22.65%		$	270,927		1.16%			0.85%			1.76%
12/31/12		6.26		0.15			1.28			1.43			(0.12	)		(0.12	)		7.57		23.14%			255,215		1.16%			0.85%			2.19%
12/31/11		7.34		0.07			(1.02	)		(0.95	)		(0.13	)		(0.13	)		6.26		(12.97%	)		242,149		1.18%			0.86%			1.03%
12/31/10g		7.13		(0.00	)d		0.21			0.21			-			-			7.34		2.95%	b		103		1.20%	a		0.95%	a		(0.04%	)a
Class S
12/31/13	$	7.58	$	0.12		$	1.55		$	1.67		$	(0.19	)	$	(0.19	)	$	9.06		22.39%		$	191,060		1.44%			1.13%			1.41%
12/31/12		6.26		0.12			1.29			1.41			(0.09	)		(0.09	)		7.58		22.70%			155,925		1.45%			1.14%			1.78%
12/31/11		7.34		0.14			(1.10	)		(0.96	)		(0.12	)		(0.12	)		6.26		(13.09%	)		99,517		1.43%			1.14%			1.90%
12/31/10		6.72		0.08			0.64			0.72			(0.10	)		(0.10	)		7.34		10.97%			276,053		1.19%			1.16%			1.15%
12/31/09		4.74		0.08			1.90			1.98			-			-			6.72		41.77%			257,075		1.17%			N/A			1.40%
Class Y
12/31/13	$	7.54	$	0.12		$	1.54		$	1.66		$	(0.19	)	$	(0.19	)	$	9.01		22.27%		$	83,580		1.49%			1.18%			1.41%
12/31/12		6.23		0.13			1.27			1.40			(0.09	)		(0.09	)		7.54		22.64%			66,317		1.50%			1.19%			1.97%
12/31/11		7.31		0.11			(1.07	)		(0.96	)		(0.12	)		(0.12	)		6.23		(13.16%	)		75,356		1.49%			1.19%			1.60%
12/31/10		6.69		0.07			0.65			0.72			(0.10	)		(0.10	)		7.31		10.97%			83,409		1.24%			1.21%			1.10%
12/31/09		4.72		0.07			1.90			1.97			-			-			6.69		41.74%			97,912		1.22%			N/A			1.28%
Class L
12/31/13	$	7.60	$	0.11		$	1.54		$	1.65		$	(0.16	)	$	(0.16	)	$	9.09		22.02%		$	26,362		1.54%			1.23%			1.35%
12/31/12		6.22		0.12			1.29			1.41			(0.03	)		(0.03	)		7.60		22.67%			27,315		1.55%			1.24%			1.76%
12/31/11		7.28		0.14			(1.10	)		(0.96	)		(0.10	)		(0.10	)		6.22		(13.21%	)		26,070		1.53%			1.23%			1.97%
12/31/10		6.66		0.07			0.64			0.71			(0.09	)		(0.09	)		7.28		10.95%			149,245		1.38%			1.26%			1.04%
12/31/09		4.70		0.07			1.89			1.96			-			-			6.66		41.70%			151,443		1.37%			1.27%			1.41%
Class A
12/31/13	$	7.45	$	0.09		$	1.52		$	1.61		$	(0.17	)	$	(0.17	)	$	8.89		21.86%		$	60,251		1.79%			1.48%			1.08%
12/31/12		6.16		0.10			1.26			1.36			(0.07	)		(0.07	)		7.45		22.47%			54,429		1.80%			1.49%			1.48%
12/31/11		7.23		0.09			(1.06	)		(0.97	)		(0.10	)		(0.10	)		6.16		(13.60%	)		42,720		1.79%			1.49%			1.33%
12/31/10		6.61		0.05			0.65			0.70			(0.08	)		(0.08	)		7.23		10.75%			59,596		1.63%			1.51%			0.81%
12/31/09		4.68		0.05			1.88			1.93			-			-			6.61		41.24%			63,979		1.62%			1.52%			1.03%
Class N
12/31/13	$	7.37	$	0.06		$	1.51		$	1.57		$	(0.18	)	$	(0.18	)	$	8.76		21.53%		$	732		2.09%			1.78%			0.79%
12/31/12		6.11		0.07			1.26			1.33			(0.07	)		(0.07	)		7.37		21.96%			549		2.10%			1.79%			1.12%
12/31/11		7.15		0.07			(1.05	)		(0.98	)		(0.06	)		(0.06	)		6.11		(13.78%	)		238		2.09%			1.79%			0.98%
12/31/10		6.48		0.02			0.65			0.67			-			-			7.15		10.34%			238		1.92%			1.81%			0.37%
12/31/09		4.60		0.04			1.84			1.88			-			-			6.48		40.87%			963		1.92%			1.82%			0.79%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		35	%		39	%		55	%		40	%		61	%

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

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

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

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

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

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

249

Notes to Financial Statements

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 21 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

MassMutual Select PIMCO Total Return Fund (“PIMCO Total Return Fund”)

MassMutual Select Strategic Bond Fund (“Strategic Bond Fund”)

MassMutual Select Diversified Value Fund (“Diversified Value Fund”)

MassMutual Select Fundamental Value Fund (“Fundamental Value Fund”)

MassMutual Select Large Cap Value Fund (“Large Cap Value Fund”)

MM S&P 500^® Index Fund (“S&P 500 Index Fund”)

MassMutual Select Focused Value Fund (“Focused Value Fund”)

MassMutual Select Fundamental Growth Fund (“Fundamental Growth Fund”)

MassMutual Select Blue Chip Growth Fund (“Blue Chip Growth Fund”)

MassMutual Select Growth Opportunities Fund (“Growth Opportunities Fund”)

MassMutual Select Mid-Cap Value Fund (“Mid-Cap Value Fund”)

MassMutual Select Small Cap Value Equity Fund (“Small Cap Value Equity Fund”)

MassMutual Select Small Company Value Fund (“Small Company Value Fund”)

MM S&P^® Mid Cap Index Fund (“S&P Mid Cap Index Fund”)

MM Russell 2000^® Small Cap Index Fund (“Russell 2000 Small Cap Index Fund”)

MassMutual Select Mid Cap Growth Equity II Fund (“Mid Cap Growth Equity II Fund”)

MassMutual Select Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”)

MassMutual Select Small Company Growth Fund (“Small Company Growth Fund”)

MassMutual Select Diversified International Fund (“Diversified International Fund”)

MM MSCI EAFE^® International Index Fund (“MSCI EAFE International Index Fund”)

MassMutual Select Overseas Fund (“Overseas Fund”)

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange, on each day the New York Stock Exchange is open for trading (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System, or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last

250

Notes to Financial Statements (Continued)

reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (other than short-term obligations) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever the Funds’ investment adviser determines more closely approximates current market value. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.

Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee¹ in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market

¹  The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Funds’ pricing procedures in general.

251

Notes to Financial Statements (Continued)

data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned key inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.

The Diversified Value Fund, Focused Value Fund, Fundamental Growth Fund, Growth Opportunities Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, Small Company Value Fund, and Small Company Growth Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of December 31, 2013. The PIMCO Total Return Fund characterized all forward sale commitments at Level 2, as of December 31, 2013. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

252

Notes to Financial Statements (Continued)

The following is the aggregate value by input level, as of December 31, 2013, for the remaining Funds’ investments and the PIMCO Total Return Fund’s other investments:

	Level 1			Level 2			Level 3		Total
PIMCO Total Return Fund
Asset Investments
Corporate Debt	$	-		$	445,898,482		$	3,193,486	$	449,091,968
Municipal Obligations		-			52,684,812			-		52,684,812
Non-U.S. Government Agency Obligations		-			161,197,656			-		161,197,656
Sovereign Debt Obligations		-			80,691,916			-		80,691,916
U.S. Government Agency Obligations and Instrumentalities		-			725,827,106			-		725,827,106
U.S. Treasury Obligations		-			491,687,679			-		491,687,679
Short-Term Investments		-			56,722,717			-		56,722,717
Total Investments	$	-		$	2,014,710,368		$	3,193,486	$	2,017,903,854
Asset Derivatives
Forward Contracts	$	-		$	1,601,614		$	-	$	1,601,614
Futures Contracts		2,128			-			-		2,128
Swap Agreements		-			28,966,046			-		28,966,046
Total	$	2,128		$	30,567,660		$	-	$	30,569,788
Liability Derivatives
Forward Contracts	$	-		$	(4,269,354	)	$	-	$	(4,269,354	)
Futures Contracts		(4,863,735	)		-			-		(4,863,735	)
Swap Agreements		-			(1,533,747	)		-		(1,533,747	)
Written Options		(68,000	)		(887,971	)		-		(955,971	)
Total	$	(4,931,735	)	$	(6,691,072	)	$	-	$	(11,622,807	)
Strategic Bond Fund
Asset Investments
Preferred Stock	$	164,863		$	-		$	-	$	164,863
Bank Loans		-			5,708,876			-		5,708,876
Corporate Debt		-			62,263,978			-		62,263,978
Municipal Obligations		-			1,723,199			-		1,723,199
Non-U.S. Government Agency Obligations		-			20,534,865			-		20,534,865
Sovereign Debt Obligations		-			13,165,857			-		13,165,857
U.S. Government Agency Obligations and Instrumentalities		-			43,870,140			-		43,870,140
U.S. Treasury Obligations		-			15,786,205			-		15,786,205
Purchased Options		-			16,763			-		16,763
Short-Term Investments		-			15,478,786			-		15,478,786
Total Investments	$	164,863		$	178,548,669		$	-	$	178,713,532
Asset Derivatives
Forward Contracts	$	-		$	229,645		$	-	$	229,645
Futures Contracts		130,954			-			-		130,954
Total	$	130,954		$	229,645		$	-	$	360,599
Liability Derivatives
Forward Contracts	$	-		$	(208,187	)	$	-	$	(208,187	)
Futures Contracts		(99,832	)		-			-		(99,832	)
Swap Agreements		-			(132,920	)		-		(132,920	)
Total	$	(99,832	)	$	(341,107	)	$	-	$	(440,939	)

253

Notes to Financial Statements (Continued)

	Level 1		Level 2			Level 3			Total
Fundamental Value Fund
Asset Investments
Common Stock	$	1,404,735,257	$	20,423,053	*	$	-		$	1,425,158,310
Short-Term Investments		-		13,467,620			-			13,467,620
Total Investments	$	1,404,735,257	$	33,890,673		$	-		$	1,438,625,930
Large Cap Value Fund
Asset Investments
Common Stock	$	427,960,021	$	17,492,516	*	$	-		$	445,452,537
Preferred Stock		673,348		-			-			673,348
Corporate Debt		-		5,449,179			-			5,449,179
Mutual Funds		16,890,854		-			-			16,890,854
Short-Term Investments		-		15,000,792			-			15,000,792
Total Investments	$	445,524,223	$	37,942,487		$	-		$	483,466,710
S&P 500 Index Fund
Asset Investments
Common Stock	$	3,051,005,371	$	-		$	-		$	3,051,005,371
Short-Term Investments		-		52,352,987			-			52,352,987
Total Investments	$	3,051,005,371	$	52,352,987		$	-		$	3,103,358,358
Asset Derivatives
Futures Contracts	$	1,974,359	$	-		$	-		$	1,974,359
Blue Chip Growth Fund
Asset Investments
Common Stock	$	1,122,165,846	$	18,906,224	*	$	-		$	1,141,072,070
Mutual Funds		1,604		-			-			1,604
Short-Term Investments		-		10,777,265			-			10,777,265
Total Investments	$	1,122,167,450	$	29,683,489		$	-		$	1,151,850,939
S&P Mid Cap Index Fund
Asset Investments
Common Stock	$	129,787,297	$	-		$	-		$	129,787,297
Mutual Funds		7,398,860		-			-			7,398,860
Short-Term Investments		-		3,641,223			-			3,641,223
Total Investments	$	137,186,157	$	3,641,223		$	-		$	140,827,380
Asset Derivatives
Futures Contracts	$	123,636	$	-		$	-		$	123,636
Russell 2000 Small Cap Index Fund
Asset Investments
Common Stock	$	122,353,763	$	3,933		$	0	†	$	122,357,696
Warrants		904		-			0	†		904
Rights		6,286		-			-			6,286
Mutual Funds		13,891,652		-			-			13,891,652
Short-Term Investments		-		1,881,661			-			1,881,661
Total Investments	$	136,252,605	$	1,885,594		$	-		$	138,138,199

254

Notes to Financial Statements (Continued)

	Level 1		Level 2			Level 3		Total
Russell 2000 Small Cap Index Fund (Continued)
Asset Derivatives
Futures Contracts	$	66,613	$	-		$	-	$	66,613
Mid Cap Growth Equity II Fund
Asset Description
Common Stock	$	1,791,543,595	$	-		$	296,059	$	1,791,839,654
Preferred Stock		-		-			5,447,307		5,447,307
Mutual Funds		77,791,077		-			-		77,791,077
Short-Term Investments		-		54,403,715			-		54,403,715
Total Investments	$	1,869,334,672	$	54,403,715		$	5,743,366	$	1,929,481,753
Small Cap Growth Equity Fund
Asset Description
Common Stock	$	982,699,692	$	2,327,929	*	$	784,424	$	985,812,045
Preferred Stock		-		-			2,205,935		2,205,935
Mutual Funds		95,536,133		-			-		95,536,133
Short-Term Investments		-		14,619,776			-		14,619,776
Total Investments	$	1,078,235,825	$	16,947,705		$	2,990,359	$	1,098,173,889
Diversified International Fund
Asset Investments
Common Stock	$	2,567,711	$	154,942,199	*	$	-	$	157,509,910
Preferred Stock		-		2,157,422			-		2,157,422
Rights		49,813		-			-		49,813
Mutual Funds		3,469,748		-			-		3,469,748
Short-Term Investments		-		3,961,147			-		3,961,147
Total Investments	$	6,087,272	$	161,060,768		$	-	$	167,148,040
Asset Derivatives
Forward Contracts	$	-	$	746,164		$	-	$	746,164
Liability Derivatives
Forward Contracts	$	-	$	(859,062	)	$	-	$	(859,062	)
MSCI EAFE International Index Fund
Asset Investments
Common Stock	$	161,732	$	199,117,568	*	$	-	$	199,279,300
Preferred Stock		-		1,287,672			4,106		1,291,778
Rights		8,757		-			-		8,757
Mutual Funds		8,884,750		-			-		8,884,750
Short-Term Investments		-		1,747,687			-		1,747,687
Total Investments	$	9,055,239	$	202,152,927		$	4,106	$	211,212,272
Asset Derivatives
Forward Contracts	$	-	$	3,316		$	-	$	3,316
Futures Contracts		131,419		-			-		131,419
Total	$	131,419	$	3,316		$	-	$	134,735
Liability Derivatives
Forward Contracts	$	-	$	(2,069	)	$	-	$	(2,069	)

255

Notes to Financial Statements (Continued)

	Level 1		Level 2			Level 3		Total
Overseas Fund
Asset Investments
Common Stock	$	45,135,610	$	580,546,917	*	$	-	$	625,682,527
Preferred Stock		-		2,008,800			-		2,008,800
Rights		46,391		-			-		46,391
Mutual Funds		28,962,207		-			-		28,962,207
Short-Term Investments		-		10,338,788			-		10,338,788
Total Investments	$	74,144,208	$	592,894,505		$	-	$	667,038,713
Asset Derivatives
Forward Contracts	$	-	$	629,811		$	-	$	629,811
Liability Derivatives
Forward Contracts	$	-	$	(1,103,292	)	$	-	$	(1,103,292	)

† Represents security at $0 value as of December 31, 2013.

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

The following tables show Funds with certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of December 31, 2013.

Statements of Assets and Liabilities location:	PIMCO Total Return Fund	Strategic Bond Fund
Receivables from:
Investments sold on a when-issued basis	X	X
Collateral held for open futures contracts	X	X
Collateral held for open swap agreements	X	X
Payables for:
Treasury roll transactions	X
Investments purchased on a when-issued basis	X	X
Collateral held for when-issued securities	X

Statements of Assets and Liabilities location:	Large Cap Value Fund	Fundamental Growth Fund	Growth Opportunities Fund	Small Company Value Fund	S&P Mid Cap Index Fund	Russell 2000 Small Cap Index Fund
Payables for:
Securities on loan	X	X	X	X	X	X

Statements of Assets and Liabilities location:	Mid Cap Growth Equity II Fund	Small Cap Growth Equity Fund	Small Company Growth Fund	Diversified International Fund	MSCI EAFE International Index Fund	Overseas Fund
Payables for:
Securities on loan	X	X	X	X	X	X

The Funds had no transfers between Level 1 and Level 2 of the fair value hierarchy during the year ended December 31, 2013. The Funds recognize transfers between the Levels as of the beginning of the year.

256

Notes to Financial Statements (Continued)

Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:

Asset Valuation Inputs

	Investments in Securities
	Balance as of 12/31/12			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases			(Sales)			Transfers into Level 3*			Transfers (out) of Level 3*			Balance as of 12/31/13			Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 12/31/13
PIMCO Total Return Fund
Bonds & Notes
Corporate Debt†	$	49,403,146		$	-	$	(24,710	)	$	34,441		$	-		$	(7,000,000	)	$	2,163,218	**	$	(41,382,609	)**	$	3,193,486		$	20,224
Large Cap Value Fund
Common Stock	$	-	***	$	-	$	(6,323,701	)	$	6,323,701		$	-		$	-	††	$	-		$	-		$	-		$	-
Russell 2000 Small Cap Index Fund
Common Stock	$	-	***	$	-	$	-		$	-		$	-	††††	$	-	††	$	-		$	-		$	-	†††	$	-
Warrants		-			-		-			-			-	††††		-			-			-			-	†††		-
	$	-		$	-	$	-		$	-		$	-		$	-		$	-		$	-		$	-		$	-
Mid Cap Growth Equity II Fund
Equities
Common Stock	$	296,059		$	-	$	-		$	-		$	-		$	-		$	-		$	-		$	296,059		$	-
Preferred Stock		3,734,487			-		-			1,712,820			-			-			-			-			5,447,307			1,712,820
	$	4,030,546		$	-	$	-		$	1,712,820		$	-		$	-		$	-		$	-		$	5,743,366		$	1,712,820
Small Cap Growth Equity Fund
Common Stock	$	300,294		$	-	$	3,310		$	4		$	497,260		$	(16,444	)	$	-		$	-		$	784,424		$	4
Preferred Stock		-			-		-			149,127			2,056,808			-			-			-			2,205,935			149,127
	$	300,294		$	-	$	3,310		$	149,131		$	2,554,068		$	(16,444	)	$	-		$	-		$	2,990,359		$	149,131
MSCI EAFE International Index Fund
Preferred Stock	$	-		$	-	$	-		$	97		$	4,009		$	-		$	-		$	-		$	4,106		$	97
Rights		3,727			-		399			(2,134	)		-			(1,992	)		-			-			-			-
	$	3,727		$	-	$	399		$	(2,037	)	$	4,009		$	(1,992	)	$	-		$	-		$	4,106		$	97

* The Fund(s) recognize transfers between the Levels as of the beginning of the year.

** Transfers occurred between Level 3 and Level 2 as a result of changes in liquidity.

*** Represents security at $0 value as of December 31, 2012.

† Represents (i) an illiquid 144A security valued by a broker quote or vendor price or (ii) a restricted security issued by a non-public entity valued by a broker quote or vendor price.

†† Represents security at $0 value at the time of sale.

††† Represents security at $0 value as of December 31, 2013.

†††† Represents security at $0 value at the time of purchase.

None of the unobservable inputs, individually or collectively, had a material impact on the Fund(s).

257

Notes to Financial Statements (Continued)

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives during the year ended December 31, 2013, the following tables show how the Fund used these derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	S&P 500 Index Fund	Growth Opportunities Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A	A
Directional Exposures to Currencies	A	A
Futures Contracts**
Hedging/Risk Management	A	A
Duration/Credit Quality Management	A	A
Substitution for Direct Investment	A	A	A
Interest Rate Swaps***
Hedging/Risk Management	A	A
Duration Management	A	A
Substitution for Direct Investment	A
Total Return Swaps****
Hedging/Risk Management		A
Duration/Credit Quality Management		A
Substitution for Direct Investment		A
Market Access		A
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management	A	A
Duration/Credit Quality Management	A	A
Substitution for Direct Investment	A
Credit Default Swaps (Protection Seller)
Hedging/Risk Management	A
Duration/Credit Quality Management	A
Income	A
Substitution for Direct Investments	A
Options (Purchased)
Hedging/Risk Management		A
Duration/Credit Quality Management		A
Substitution for Direct Investment		M

258

Notes to Financial Statements (Continued)

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	S&P 500 Index Fund	Growth Opportunities Fund
Options (Written)
Hedging/Risk Management	A	A
Duration/Credit Quality Management	A	A
Income	A	A
Substitution for Direct Investment		M
Directional Investment		A
Rights and Warrants
Directional Investment		A		M
Result of a Corporate Action		M		A

Type of Derivative and Objective for Use	S&P Mid Cap Index Fund	Russell 2000 Small Cap Index Fund	Diversified International Fund	MSCI EAFE International Index Fund	Overseas Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management			A		A
Directional Exposures to Currencies				A
Futures Contracts**
Hedging/Risk Management			A		A
Substitution for Direct Investment	A	A	M	A	M
Rights and Warrants
Result of a Corporate Action		A	A	A	A

* Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable.

** Includes any options purchased or written on futures contracts, if applicable.

*** Includes any caps, floors, and collars, and related purchased or written options, if applicable.

**** Includes any index swaps, if applicable.

At December 31, 2013, and during the year then ended, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

	Credit Risk		Equity Risk		Foreign Exchange Risk		Interest Rate Risk		Total
PIMCO Total Return Fund
Asset Derivatives
Forward Contracts*	$	-	$	-	$	1,601,614	$	-	$	1,601,614
Futures Contracts^^		-		-		-		2,128		2,128
Swap Agreements*		286,461		-		-		79,478		365,939
Swap Agreements^^,^^^		1,084,692		-		-		27,515,415		28,600,107
Total Value	$	1,371,153	$	-	$	1,601,614	$	27,597,021	$	30,569,788

259

Notes to Financial Statements (Continued)

	Credit Risk			Equity Risk		Foreign Exchange Risk			Interest Rate Risk			Total
PIMCO Total Return Fund (Continued)
Liability Derivatives
Forward Contracts^	$	-		$	-	$	(4,269,354	)	$	-		$	(4,269,354	)
Futures Contracts^^		-			-		-			(4,863,735	)		(4,863,735	)
Swap Agreements^		(101,772	)		-		-			(563,258	)		(665,030	)
Swap Agreements^^,^^^		-			-		-			(868,717	)		(868,717	)
Written Options^		-			-		-			(887,971	)		(887,971	)
Written Options^,^^^		-			-		-			(68,000	)		(68,000	)
Total Value	$	(101,772	)	$	-	$	(4,269,354	)	$	(7,251,681	)	$	(11,622,807	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-	$	3,951,606		$	-		$	3,951,606
Futures Contracts		-			-		-			(521,631	)		(521,631	)
Swap Agreements		880,137			-		-			972,933			1,853,070
Written Options		-			-		-			1,485,906			1,485,906
Total Realized Gain (Loss)	$	880,137		$	-	$	3,951,606		$	1,937,208		$	6,768,951
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-	$	(1,218,007	)	$	-		$	(1,218,007	)
Futures Contracts		-			-		-			(4,997,100	)		(4,997,100	)
Swap Agreements		(191,441	)		-		-			12,440,299			12,248,858
Written Options		-			-		-			(165,390	)		(165,390	)
Total Change in Appreciation (Depreciation)	$	(191,441	)	$	-	$	(1,218,007	)	$	7,277,809		$	5,868,361
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-	$	456,673,697		$	-		$	456,673,697
Futures Contracts		-			-		-			3,542			3,542
Swap Agreements	$	108,502,333		$	-	$	-		$	798,025,000		$	906,527,333
Written Options		-			-		-			240,800,139			240,800,139
Strategic Bond Fund
Asset Derivatives
Forward Contracts*,^^^	$	-		$	-	$	229,645		$	-		$	229,645
Futures Contracts^^		-			-		-			130,954			130,954
Purchased Options*		-			-		16,763			-			16,763
Total Value	$	-		$	-	$	246,408		$	130,954		$	377,362
Liability Derivatives
Forward Contracts^,^^^	$	-		$	-	$	(208,187	)	$	-		$	(208,187	)
Futures Contracts^^		-			-		-			(99,832	)		(99,832	)
Swap Agreements^^,^^^		(132,920	)		-		-			-			(132,920	)
Total Value	$	(132,920	)	$	-	$	(208,187	)	$	(99,832	)	$	(440,939	)
Realized Gain (Loss)#
Forward Contracts	$	-		$	-	$	171,900		$	-		$	171,900
Futures Contracts		-			-		-			654,728			654,728
Swap Agreements		(66,573	)		-		-			89,176			22,603
Purchased Options		-			-		(8,096	)		(117,483	)		(125,579	)
Warrants		-			7,764		-			-			7,764
Written Options		-			-		27,544			139,904			167,448
Total Realized Gain (Loss)	$	(66,573	)	$	7,764	$	191,348		$	766,325		$	898,864

260

Notes to Financial Statements (Continued)

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Strategic Bond Fund (Continued)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-		$	74,224		$	-		$	74,224
Futures Contracts		-			-			-			9,657			9,657
Swap Agreements		(35,573	)		-			-			(12,263	)		(47,836	)
Purchased Options		-			-			(28,338	)		20,403			(7,935	)
Warrants		-			(3,813	)		-			-			(3,813	)
Written Options		-			-			-			(476	)		(476	)
Total Change in Appreciation (Depreciation)	$	(35,573	)	$	(3,813	)	$	45,886		$	17,321		$	23,821
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-		$	12,359,916		$	-		$	12,359,916
Futures Contracts		-			-			-			319			319
Swap Agreements	$	1,185,000		$	-		$	-		$	4,870,084		$	6,055,084
Purchased Options		-			-			301,667			125			301,792
Warrants		-			258			-			-			258
Written Options		-			-			17,400			68			17,468
S&P 500 Index Fund
Asset Derivatives
Futures Contracts^^	$	-		$	1,974,359		$	-		$	-		$	1,974,359
Realized Gain (Loss)#
Futures Contracts	$	-		$	15,964,294		$	-		$	-		$	15,964,294
Change in Appreciation (Depreciation)##
Futures Contracts	$	-		$	1,977,941		$	-		$	-		$	1,977,941
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-			531			-			-			531
Growth Opportunities Fund
Asset Derivatives
Warrants*	$	-		$	496,611		$	-		$	-		$	496,611
Realized Gain (Loss)#
Warrants	$	-		$	26,735		$	-		$	-		$	26,735
Change in Appreciation (Depreciation)##
Warrants	$	-		$	10,962		$	-		$	-		$	10,962
Number of Contracts, Notional Amounts or Shares/Units†
Warrants		-			124,880			-			-			124,880
S&P Mid Cap Index Fund
Asset Derivatives
Futures Contracts^^	$	-		$	123,636		$	-		$	-		$	123,636

261

Notes to Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
S&P Mid Cap Index Fund (Continued)
Realized Gain (Loss)#
Futures Contracts	$	-	$	957,236		$	-		$	-	$	957,236
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	87,298		$	-		$	-	$	87,298
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-		26			-			-		26
Russell 2000 Small Cap Index
Asset Derivatives
Futures Contracts^^	$	-	$	66,613		$	-		$	-	$	66,613
Warrants*		-		904			-			-		904
Rights*		-		6,286			-			-		6,286
Total Value	$	-	$	73,803		$	-		$	-	$	73,803
Realized Gain (Loss)#
Futures Contracts	$	-	$	1,359,529		$	-		$	-	$	1,359,529
Warrants		-		(6	)		-			-		(6	)
Total Realized Gain (Loss)	$	-	$	1,359,523		$	-		$	-	$	1,359,523
Change in Appreciation (Depreciation)##
Futures Contracts	$	-	$	(1,046	)	$	-		$	-	$	(1,046	)
Warrants		-		41			-			-		41
Rights		-		(1,290	)		-			-		(1,290	)
Total Change in Appreciation (Depreciation)	$	-	$	(2,295	)	$	-		$	-	$	(2,295	)
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-		36			-			-		36
Warrants		-		1,240			-			-		1,240
Rights		-		4,580			-			-		4,580
Diversified International Fund
Asset Derivatives
Forward Contracts*,^^^	$	-	$	-		$	746,164		$	-	$	746,164
Rights*		-		49,813			-			-		49,813
Total Value	$	-	$	49,813		$	746,164		$	-	$	795,977
Liability Derivatives
Forward Contracts^,^^^	$	-	$	-		$	(859,062	)	$	-	$	(859,062	)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	(263,800	)	$	-	$	(263,800	)
Futures Contracts		-		486,812			-			-		486,812
Rights		-		139,244			-			-		139,244
Total Realized Gain (Loss)	$	-	$	626,056		$	(263,800	)	$	-	$	362,256

262

Notes to Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Diversified International Fund (Continued)
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(527,856	)	$	-	$	(527,856	)
Futures Contracts		-		(59,266	)		-			-		(59,266	)
Rights		-		3,021			-			-		3,021
Total Change in Appreciation (Depreciation)	$	-	$	(56,245	)	$	(527,856	)	$	-	$	(584,101	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	65,390,216		$	-	$	65,390,216
Futures Contracts		-		51			-			-		51
Rights		-		159,364			-			-		159,364
MSCI EAFE International Index Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	3,316		$	-	$	3,316
Futures Contracts^^		-		131,419			-			-		131,419
Rights*		-		8,757			-			-		8,757
Total Value	$	-	$	140,176		$	3,316		$	-	$	143,492
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(2,069	)	$	-	$	(2,069	)
Realized Gain (Loss)#
Forward Contracts	$	-		-		$	(72,495	)	$	-	$	(72,495	)
Futures Contracts		-		312,942			-			-		312,942
Rights		-		(2,649	)		-			-		(2,649	)
Total Realized Gain (Loss)	$	-	$	310,293		$	(72,495	)	$	-	$	237,798
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	9,437		$	-	$	9,437
Futures Contracts		-		84,825			-			-		84,825
Rights		-		(1,601	)		-			-		(1,601	)
Total Change in Appreciation (Depreciation)	$	-	$	83,224		$	9,437		$	-	$	92,661
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	1,687,083		$	-	$	1,687,083
Futures Contracts		-		26			-			-		26
Rights		-		76,805			-			-		76,805
Overseas Fund
Asset Derivatives
Forward Contracts*	$	-	$	-		$	15,935		$	-	$	15,935
Forward Contracts*,^^^		-		-			613,876			-		613,876
Rights*		-		46,391			-			-		46,391
Total Value	$	-	$	46,391		$	629,811		$	-	$	676,202
Liability Derivatives
Forward Contracts^	$	-	$	-		$	(358,923	)	$	-	$	(358,923	)
Forward Contracts^,^^^		-		-			(744,369	)		-		(744,369	)
Total Value	$	-	$	-		$	(1,103,292	)	$	-	$	(1,103,292	)

263

Notes to Financial Statements (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Overseas Fund (Continued)
Realized Gain (Loss)#
Forward Contracts	$	-	$	-		$	2,662,690		$	-	$	2,662,690
Futures Contracts		-		182,427			-			-		182,427
Rights		-		140,379			-			-		140,379
Total Realized Gain (Loss)	$	-	$	322,806		$	2,662,690		$	-	$	2,985,496
Change in Appreciation (Depreciation)##
Forward Contracts	$	-	$	-		$	(1,757,791	)	$	-	$	(1,757,791	)
Futures Contracts		-		(42,292	)		-			-		(42,292	)
Rights		-		2,778			-			-		2,778
Total Change in Appreciation (Depreciation)	$	-	$	(39,514	)	$	(1,757,791	)	$	-	$	(1,797,305	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	74,541,827		$	-	$	74,541,827
Futures Contracts		-		22			-			-		22
Rights		-		456,799			-			-		456,799

* Statements of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts or open swap agreements, at value, as applicable.

^ Statements of Assets and Liabilities location: Payables for: open forward foreign currency contracts, open swap agreements, at value, or written options outstanding, at value, as applicable.

^^ Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities.

^^^ Represents centrally cleared swaps, exchange-traded written options, or forward contracts, which are not subject to a master netting agreement.

# Statements of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, written options, swap agreements, or foreign currency transactions, as applicable.

## Statements of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, written options, swap agreements, or translation of assets and liabilities in foreign currencies, as applicable.

† Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for written options, purchased options, rights, and warrants, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended December 31, 2013.

264

Notes to Financial Statements (Continued)

The following table presents the Fund(s) derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Funds(s) as of December 31, 2013.

Counterparty	Derivative Assets Subject to a MNA by Counterparty†		Financial Instruments Available for Offset			Collateral Received***		Net Amount*
PIMCO Total Return Fund
Barclays Bank PLC	$	769,828	$	(769,828	)	$	-	$	-
Credit Suisse International		851,546		(851,546	)		-		-
Goldman Sachs International		154,311		-			-		154,311
JP Morgan Chase Bank		72,664		(72,664	)		-		-
UBS AG		119,204		(119,204	)		-		-
	$	1,967,553	$	(1,813,242	)	$	-	$	154,311
MSCI EAFE International Index Fund
Morgan Stanley & Co., Inc.	$	2,299	$	-		$	-	$	2,299
UBS AG		1,017		(1,017	)		-		-
	$	3,316	$	(1,017	)	$	-	$	2,299
Overseas Fund
State Street Bank and Trust Co.	$	15,935	$	(15,935	)	$	-	$	-

The following table presents the Fund(s) derivative liabilities by counterparty net of amounts available for offset under a MNA, or similar agreement, and net of the related collateral pledged by the Funds(s) as of December 31, 2013.

Counterparty	Derivative Liabilities Subject to a MNA by Counterparty†			Financial Instruments Available for Offset		Collateral Pledged***		Net Amount**
PIMCO Total Return Fund
Barclays Bank PLC	$	(1,045,168	)	$	769,828	$	275,340	$	-
Credit Suisse International		(1,700,807	)		851,546		356,350		(492,911	)
Goldman Sachs Bank USA		(190,602	)		-		-		(190,602	)
JP Morgan Chase Bank		(2,633,766	)		72,664		2,212,449		(348,653	)
Royal Bank of Scotland PLC		(47,621	)		-		47,621		-
UBS AG		(204,391	)		119,204		80,812		(4,375	)
	$	(5,822,355	)	$	1,813,242	$	2,972,572	$	(1,036,541	)
MSCI EAFE International Index Fund
Goldman Sachs Bank USA	$	(271	)	$	-	$	-	$	(271	)
UBS AG		(1,798	)		1,017		-		(781	)
	$	(2,069	)	$	1,017	$	-	$	(1,052	)
Overseas Fund
State Street Bank and Trust Co.	$	(358,923	)	$	15,935	$	-	$	(342,988	)

* Represents the net amount receivable from the counterparty in the event of default.

** Represents the net amount payable to the counterparty in the event of default.

*** The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

† The amount presented here may be less than the total amount shown in the Statement of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements.

Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.

Further details regarding the derivatives and other investments held by the Fund(s) during the year ended December 31, 2013, are discussed below.

265

Notes to Financial Statements (Continued)

Foreign Currency Exchange Transactions

A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.

The Fund(s) listed in the following table had open forward foreign currency contracts at December 31, 2013. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
PIMCO Total Return Fund
Contracts to Buy
GBP	23,163,000	Barclays Bank PLC	01/02/14	$	37,709,364	$	647,405
BRL	335,910	Credit Suisse International	01/03/14		142,916		(535	)
EUR	62,844,000	Credit Suisse International	01/02/14		85,882,610		571,841
					86,025,526		571,306
MXN	35,937,324	JP Morgan Chase Bank	03/06/14		2,774,226		(35,590	)
EUR	738,000	UBS AG	01/02/14		1,001,536		13,730
				$	127,510,652	$	1,196,851

266

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
PIMCO Total Return Fund (Continued)
Contracts to Deliver
GBP	23,163,000	Barclays Bank PLC	02/04/14	$	37,700,747	$	(647,864	)
BRL	335,910	Credit Suisse International	01/03/14		143,392		1,012
CAD	28,905,000	Credit Suisse International	03/20/14		27,090,251		(69,636	)
EUR	62,844,000	Credit Suisse International	02/04/14		85,883,427		(569,745	)
EUR	2,500,000	Credit Suisse International	02/28/14		3,338,605		(100,571	)
EUR	700,000	Credit Suisse International	06/02/14		887,600		(75,442	)
GBP	23,163,000	Credit Suisse International	01/02/14		37,511,135		(845,633	)
JPY	104,904,400	Credit Suisse International	01/06/14		1,000,000		3,851
JPY	890,400,000	Credit Suisse International	02/18/14		8,731,598		274,842
					164,586,008		(1,381,322	)
EUR	61,845,000	JP Morgan Chase Bank	01/02/14		83,219,683		(1,860,445	)
JPY	343,600,000	JP Morgan Chase Bank	02/18/14		3,327,628		64,217
MXN	2,577,230	JP Morgan Chase Bank	01/23/14		200,072		3,000
					86,747,383		(1,793,228	)
EUR	1,194,000	Royal Bank of Scotland PLC	03/14/14		1,596,120		(46,429	)
EUR	1,737,000	UBS AG	01/02/14		2,372,126		(17,464	)
JPY	102,600,000	UBS AG	02/18/14		996,181		21,716
					3,368,307		4,252
				$	293,998,565	$	(3,864,591	)
Strategic Bond Fund
Contracts to Buy
AUD	900,000	Citibank N.A.	02/18/14	$	815,661	$	(14,476	)
EUR	763,282	Citibank N.A.	02/18/14		1,022,271		27,756
				$	1,837,932	$	13,280
Contracts to Deliver
JPY	87,063,000	Barclays Bank PLC	02/18/14	$	883,633	$	56,734
AUD	900,000	Citibank N.A.	02/18/14		847,566		46,381
EUR	4,536,898	Citibank N.A.	02/18/14		6,115,093		(126,199	)
JPY	167,124,000	Citibank N.A.	02/18/14		1,686,069		98,774
					8,648,728		18,956
EUR	1,270,000	Morgan Stanley & Co.	02/18/14		1,692,669		(54,437	)
EUR	466,893	UBS AG	02/18/14		629,218		(13,075	)
				$	11,854,248	$	8,178

267

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Diversified International Fund
Contracts to Buy
EUR	340,201	Barclays Bank PLC	01/08/14	$	461,190	$	6,824
EUR	629,635	BNP Paribas SA	01/08/14		860,549		5,638
GBP	196,002	BNP Paribas SA	01/08/14		313,094		11,465
					1,173,643		17,103
EUR	784,492	Citibank N.A.	01/08/14		1,074,079		5,143
GBP	362,416	Citibank N.A.	01/08/14		581,827		18,295
NOK	3,938,686	Citibank N.A.	01/08/14		654,531		(5,272	)
					2,310,437		18,166
EUR	348,521	Credit Suisse International	01/08/14		473,460		5,999
EUR	474,274	Credit Suisse International	04/08/14		653,449		(1,000	)
GBP	197,646	Credit Suisse International	04/08/14		326,724		344
JPY	36,572,101	Credit Suisse International	01/08/14		370,968		(23,686	)
					1,824,601		(18,343	)
EUR	1,163,945	Goldman Sachs International	01/08/14		1,581,914		19,320
JPY	428,161,936	Goldman Sachs International	01/08/14		4,078,837		(13,088	)
					5,660,751		6,232
EUR	614,369	Merrill Lynch International	01/08/14		830,868		14,318
GBP	194,133	Merrill Lynch International	01/08/14		312,933		8,531
JPY	116,337,716	Merrill Lynch International	01/08/14		1,175,831		(71,109	)
SGD	2,879,541	Merrill Lynch International	01/08/14		2,304,484		(22,668	)
					4,624,116		(70,928	)
SEK	8,431,368	Royal Bank of Canada	01/08/14		1,324,646		(13,881	)
CHF	446,134	Royal Bank of Scotland PLC	01/08/14		490,011		10,119
EUR	1,143,447	Societe Generale	01/08/14		1,552,110		20,926
JPY	29,334,809	Societe Generale	01/08/14		300,023		(21,465	)
					1,852,133		(539	)
EUR	1,188,376	State Street Bank London	01/08/14		1,627,987		6,857
GBP	2,706,377	Toronto Dominion Bank	01/08/14		4,386,767		94,710
EUR	856,073	UBS AG	01/08/14		1,159,176		18,521
JPY	39,471,340	UBS AG	01/08/14		384,948		(10,135	)
					1,544,124		8,386

268

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Diversified International Fund (Continued)
Contracts to Buy (Continued)
AUD	8,672,042	Westpac Banking Corp.	01/08/14	$	8,062,788	$	(322,056	)
EUR	627,888	Westpac Banking Corp.	01/08/14		854,977		8,805
GBP	358,422	Westpac Banking Corp.	01/08/14		573,896		19,614
					9,491,661		(293,637	)
				$	36,772,067	$	(228,931	)
Contracts to Deliver
EUR	1,019,166	Australia and New Zealand Banking Group	01/08/14	$	1,384,833	$	(17,230	)
GBP	369,161	Australia and New Zealand Banking Group	01/08/14		602,940		(8,352	)
JPY	125,651,435	Australia and New Zealand Banking Group	01/08/14		1,229,815		36,652
					3,217,588		11,070
EUR	280,599	BNP Paribas SA	01/08/14		380,687		(5,332	)
GBP	777,375	BNP Paribas SA	01/08/14		1,271,714		(15,537	)
SEK	3,447,978	BNP Paribas SA	01/08/14		542,226		6,193
					2,194,627		(14,676	)
CHF	3,014,361	Citibank N.A.	01/08/14		3,345,068		(34,128	)
JPY	115,146,397	Citibank N.A.	01/08/14		1,135,131		41,721
					4,480,199		7,593
GBP	280,001	Commonwealth Bank of Australia	01/08/14		448,418		(15,234	)
CHF	311,504	Credit Suisse International	01/08/14		338,269		(10,937	)
GBP	885,646	Goldman Sachs International	01/08/14		1,450,141		(16,397	)
JPY	379,596,713	Goldman Sachs International	04/08/14		3,606,962		688
					5,057,103		(15,709	)
EUR	408,267	Merrill Lynch International	01/08/14		553,552		(8,099	)
GBP	220,460	Merrill Lynch International	01/08/14		355,479		(9,580	)
HKD	18,888,152	Merrill Lynch International	01/08/14		2,436,164		324
					3,345,195		(17,355	)
SEK	3,987,023	Morgan Stanley & Co.	01/08/14		619,161		(673	)
EUR	4,231,866	Societe Generale	01/08/14		5,753,915		(67,847	)
GBP	275,445	Societe Generale	01/08/14		444,705		(11,403	)
					6,198,620		(79,250	)
JPY	99,575,814	Toronto Dominion Bank	01/08/14		969,588		24,034
CHF	379,685	UBS AG	01/08/14		420,638		(5,001	)
GBP	322,671	UBS AG	01/08/14		527,775		(6,534	)
					948,413		(11,535	)

269

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Diversified International Fund (Continued)
Contracts to Deliver (Continued)
CAD	525,611	Westpac Banking Corp.	01/08/14		$	507,265	$	12,526
EUR	300,749	Westpac Banking Corp.	01/08/14			408,310		(5,429	)
HKD	3,726,369	Westpac Banking Corp.	01/08/14			480,739		182
JPY	427,483,473	Westpac Banking Corp.	01/08/14			4,371,403		312,097
						5,767,717		319,376
					$	33,584,898	$	196,704
Cross Currency Forwards
AUD	262,234	Citibank N.A.	01/08/14	GBP		154,784	$	(22,234	)
AUD	276,663	Citibank N.A.	01/08/14	EUR		191,985		(17,162	)
GBP	240,431	Citibank N.A.	01/08/14	EUR		280,714		11,951
								(27,445	)
EUR	289,060	Credit Suisse International	01/08/14	GBP		242,417		(3,758	)
GBP	380,764	Goldman Sachs International	01/08/14	EUR		450,498		10,757
EUR	255,737	Morgan Stanley & Co.	01/08/14	HKD		2,682,203		5,916
GBP	2,727,601	State Street Bank and Trust Co.	01/08/14	EUR		3,280,697		3,379
CHF	1,729,265	State Street Bank and Trust Co.	01/08/14	EUR		1,406,013		4,315
JPY	81,625,445	State Street Bank and Trust Co.	01/08/14	EUR		585,839		(30,836	)
								(23,142	)
JPY	36,353,771	Westpac Banking Corp.	01/08/14	EUR		276,804		(35,589	)
NOK	1,280,986	Westpac Banking Corp.	01/08/14	EUR		158,880		(7,410	)
								(42,999	)
							$	(80,671	)
MSCI EAFE International Index Fund
Contracts to Buy
CHF	160,741	Goldman Sachs Bank USA	03/19/14		$	120,000	$	(271	)
GBP	87,186	Morgan Stanley & Co., Inc.	03/19/14			142,000		2,299
EUR	433,983	UBS AG	03/19/14			596,000		1,017
JPY	9,285,210	UBS AG	03/19/14			90,000		(1,798	)
						686,000		(781	)
					$	948,000	$	1,247

270

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Overseas Fund
Contracts to Buy
EUR	314,345	Barclays Bank PLC	01/08/14	$	426,138	$	6,305
EUR	527,597	Citibank N.A.	01/08/14		726,021		(208	)
NOK	1,732,224	Citibank N.A.	01/08/14		287,861		(2,319	)
					1,013,882		(2,527	)
GBP	182,993	Credit Suisse International	01/08/14		294,077		8,941
EUR	933,464	Goldman Sachs International	01/08/14		1,268,591		15,572
GBP	230,873	Goldman Sachs International	01/08/14		378,075		4,228
JPY	314,209,011	Goldman Sachs International	01/08/14		2,984,253		(581	)
					4,630,919		19,219
EUR	421,952	Merrill Lynch International	01/08/14		576,866		3,612
JPY	30,521,110	Merrill Lynch International	01/08/14		310,491		(20,668	)
SGD	2,978,566	Merrill Lynch International	01/08/14		2,383,734		(23,448	)
					3,271,091		(40,504	)
EUR	363,851	Royal Bank of Canada	01/08/14		493,249		7,299
JPY	79,651,061	Royal Bank of Canada	01/08/14		810,963		(54,611	)
SEK	8,152,695	Royal Bank of Canada	01/08/14		1,280,864		(13,423	)
					2,585,076		(60,735	)
CHF	420,394	Royal Bank of Scotland PLC	01/08/14		461,740		9,535
EUR	763,853	Societe Generale	01/08/14		1,037,317		13,513
GBP	186,251	Societe Generale	01/08/14		297,478		10,935
					1,334,795		24,448
EUR	672,815	State Street Bank and Trust Co.	01/08/14		926,150		(561	)
SEK	3,750,000	State Street Bank and Trust Co.	06/18/14		571,934		9,475
					1,498,084		8,914
GBP	2,930,648	Toronto Dominion Bank	01/08/14		4,753,510		99,336
EUR	645,688	UBS AG	01/08/14		874,829		13,441
JPY	33,567,667	UBS AG	01/08/14		327,372		(8,619	)
					1,202,201		4,822
AUD	8,436,748	Westpac Banking Corp.	01/08/14		7,844,025		(313,318	)
EUR	591,461	Westpac Banking Corp.	01/08/14		805,343		8,328
GBP	329,064	Westpac Banking Corp.	01/08/14		526,888		18,007
					9,176,256		(286,983	)
				$	30,647,769	$	(209,229	)

271

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Overseas Fund (Continued)
Contracts to Deliver
GBP	262,763	Barclays Bank PLC	01/08/14	$	420,728	$	(14,380	)
EUR	267,237	BNP Paribas SA	01/08/14		362,559		(5,078	)
JPY	87,457,812	BNP Paribas SA	01/08/14		877,956		47,473
					1,240,515		42,395
CHF	2,858,628	Citibank N.A.	01/08/14		3,172,249		(32,364	)
SEK	2,721,427	Citibank N.A.	01/08/14		413,889		(9,192	)
					3,586,138		(41,556	)
CHF	292,299	Credit Suisse International	01/08/14		317,413		(10,263	)
GBP	182,691	Credit Suisse International	01/08/14		295,170		(7,347	)
HKD	3,185,909	Credit Suisse International	01/08/14		410,911		52
					1,023,494		(17,558	)
GBP	846,710	Goldman Sachs International	01/08/14		1,386,453		(15,611	)
JPY	314,209,011	Goldman Sachs International	04/08/14		2,985,642		570
					4,372,095		(15,041	)
GBP	723,993	Merrill Lynch International	01/08/14		1,184,503		(14,353	)
HKD	15,346,968	Merrill Lynch International	01/08/14		1,979,428		264
					3,163,931		(14,089	)
SEK	3,797,281	Morgan Stanley & Co.	01/08/14		589,695		(641	)
EUR	388,866	Royal Bank of Canada	01/08/14		527,160		(7,801	)
EUR	3,976,880	Societe Generale	01/08/14		5,407,159		(63,820	)
GBP	245,380	Societe Generale	01/08/14		396,166		(10,158	)
					5,803,325		(73,978	)
AUD	3,070,000	State Street Bank and Trust Co.	09/17/14		2,701,907		6,460
CHF	9,340,000	State Street Bank and Trust Co.	03/19/14		10,156,280		(320,181	)
JPY	43,537,794	State Street Bank and Trust Co.	04/08/14		415,128		1,507
SEK	17,950,000	State Street Bank and Trust Co.	06/18/14		2,744,267		(38,742	)
					16,017,582		(350,956	)
JPY	91,147,994	Toronto Dominion Bank	01/08/14		887,524		22,000
CHF	480,863	UBS AG	01/08/14		532,730		(6,333	)
GBP	300,546	UBS AG	01/08/14		491,586		(6,086	)
SEK	2,289,448	UBS AG	01/08/14		355,153		(771	)
					1,379,469		(13,190	)

272

Notes to Financial Statements (Continued)

		Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Overseas Fund (Continued)
Contracts to Deliver (Continued)
CAD	427,266	Westpac Banking Corp.	01/08/14		$	412,352	$	10,182
EUR	286,629	Westpac Banking Corp.	01/08/14			389,139		(5,175	)
HKD	3,593,960	Westpac Banking Corp.	01/08/14			463,657		176
JPY	373,509,802	Westpac Banking Corp.	01/08/14			3,819,474		272,692
						5,084,622		277,875
					$	44,096,278	$	(206,920	)
Cross Currency Forwards
GBP	229,127	Australia and New Zealand Banking Group	01/08/14	EUR		268,808	$	9,611
EUR	326,787	Barclays Bank PLC	01/08/14	JPY		44,967,983		22,552
NOK	2,969,272	Citibank N.A.	01/08/14	EUR		365,482		(13,333	)
EUR	274,288	Goldman Sachs International	01/08/14	GBP		230,129		(3,733	)
JPY	38,266,891	Royal Bank of Scotland PLC	01/08/14	GBP		227,176		(12,805	)
EUR	318,926	Societe Generale	01/08/14	GBP		266,645		(2,791	)
JPY	29,982,128	State Street Bank and Trust Co.	01/08/14	GBP		177,692		(9,535	)
GBP	2,728,884	State Street Bank and Trust Co.	01/08/14	EUR		3,282,240		3,380
CHF	1,749,302	State Street Bank and Trust Co.	01/08/14	EUR		1,422,304		4,365
								(1,790	)
JPY	41,183,533	UBS AG	01/08/14	GBP		265,570		(48,685	)
JPY	29,702,190	Westpac Banking Corp.	01/08/14	EUR		209,643		(6,358	)
							$	(57,332	)

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CHF Swiss Franc

EUR Euro

HKD Hong Kong Dollar

GBP British Pound

JPY Japanese Yen

MXN Mexican Peso

NOK Norwegian Krone

SEK Swedish Krona

SGD Singapore Dollar

273

Notes to Financial Statements (Continued)

Futures Contracts

A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts and related options.

Futures Contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

Options on Futures Contracts. If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

The Fund(s) listed in the following table had open futures contracts at December 31, 2013:

	Expiration Date	Number of Contracts		Notional Amount		Net Unrealized Appreciation/ (Depreciation)
PIMCO Total Return Fund
Futures Contracts — Long
U.S. Treasury Note 10 Year	03/20/14		642	$	78,996,094	$	(1,449,561	)
U.S. Treasury Note 5 Year	03/31/14		705		84,115,312		(980,215	)
3 Month EURIBOR	12/15/14		45		15,419,354		(9,245	)
3 Month EURIBOR	03/16/15		45		15,406,973		(13,888	)
90 Day Eurodollar	03/16/15		35		8,703,625		2,128
3 Month EURIBOR	06/15/15		45		15,391,497		(18,737	)
90 Day Eurodollar	06/15/15		363		90,137,437		(72,969	)
3 Month EURIBOR	09/14/15		45		15,373,698		(23,483	)
90 Day Eurodollar	09/14/15		1,163		288,220,475		(267,718	)
90 Day Eurodollar	12/14/15		3,404		841,426,250		(1,620,616	)

274

Notes to Financial Statements (Continued)

	Expiration Date	Number of Contracts		Notional Amount			Net Unrealized Appreciation/ (Depreciation)
PIMCO Total Return Fund (Continued)
Futures Contracts — Long (Continued)
90 Day Eurodollar	03/14/16		298	$	73,434,650		$	(224,887	)
90 Day Eurodollar	06/13/16		119		29,230,863			(97,492	)
90 Day Eurodollar	09/19/16		65		15,916,063			(69,510	)
90 Day Eurodollar	12/19/16		20		4,882,250			(15,414	)
							$	(4,861,607	)
Strategic Bond Fund
Futures Contracts — Long
U.S. Treasury Long Bond	03/20/14		29	$	3,721,063		$	(32,328	)
U.S. Treasury Note 10 Year	03/20/14		48		5,906,250			(55,672	)
Ultra Long U.S. Treasury Bond	03/20/14		6		817,500			(11,832	)
							$	(99,832	)
Futures Contracts — Short
U.S. Treasury Note 2 Year	03/31/14		70	$	(15,386,875	)	$	30,944
U.S. Treasury Note 5 Year	03/31/14		57		(6,800,813	)		100,010
							$	130,954
S&P 500 Index Fund
Futures Contracts — Long
S&P 500 E Mini Index	03/21/14		615	$	56,613,825		$	1,974,359
S&P Mid Cap Index Fund
Futures Contracts — Long
S&P Midcap 400 E Mini Index	03/21/14		28	$	3,750,320		$	123,636
Russell 2000 Small Cap Index Fund
Futures Contracts — Long
Russell 2000 Mini Index	03/21/14		17	$	1,974,380		$	66,613
MSCI EAFE International Index Fund
Futures Contracts — Long
Mini MSCI	03/21/14		33	$	3,164,370		$	131,419

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

275

Notes to Financial Statements (Continued)

Total Return Swaps. A Fund also may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).

Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.

Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse; the initial margin required by a clearinghouse may be greater than the

276

Notes to Financial Statements (Continued)

initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation/depreciation on a Fund’s Statement of Operations. Only a limited number of transactions are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Funds are recorded in the accompanying Statements of Operations as realized gains and losses, respectively.

The Fund(s) listed in the following table had open swap agreements at December 31, 2013. A Fund’s current exposure to a counterparty is the fair value of the agreement.

Counterparty	Currency	Notional Amount		Expiration Date		Receive (Pay) Fixed Rate	Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
PIMCO Total Return Fund*
Credit Default Swaps — Sell Protection†
OTC Swaps
Barclays Bank PLC	USD		17,100,000		3/20/16	1.000%	Federative Republic of Brazil (PIMCO Rating: BAA)**	$	15,536		$	(78,063	)	$	(62,527	)
Barclays Bank PLC	USD		3,600,000		3/20/16	1.000%	United Mexican States (PIMCO Rating: BAA+)**		60,316			(17,371	)		42,945
									75,852			(95,434	)		(19,582	)
Credit Suisse International	USD		6,100,000		6/20/16	1.000%	Federative Republic of Brazil (PIMCO Rating: BAA)**		(30,367	)		(8,878	)		(39,245	)
Goldman Sachs International	USD		7,700,000		12/20/15	1.000%	United Mexican States (PIMCO Rating: BAA+)**		292,655			(207,341	)		85,314
Goldman Sachs International	USD		4,300,000		3/20/16	1.000%	United Mexican States (PIMCO Rating: BAA+)**		184,059			(132,765	)		51,294
Goldman Sachs International	USD		1,300,000		9/20/16	1.000%	United Mexican States (PIMCO Rating: BAA+)**		23,723			(6,020	)		17,703
									500,437			(346,126	)		154,311
JP Morgan Chase Bank	USD		400,000		9/20/16	1.000%	United Mexican States (PIMCO Rating: BAA+)**		3,141			2,306			5,447
UBS AG	USD		1,000,000		9/20/15	1.000%	United Mexican States (PIMCO Rating: BAA+)**		24,368			(14,146	)		10,222
UBS AG	USD		5,400,000		9/20/16	1.000%	United Mexican States (PIMCO Rating: BAA+)**		97,230			(23,694	)		73,536
									121,598			(37,840	)		83,758
Centrally Cleared Swaps
	EUR		42,400,000		12/20/18	1.000%	CDX.ITRAXX MAIN 20††		800,357			30,141			830,498
	USD		14,200,000		12/20/18	1.000%	CDX.NA.IG.21††		112,304			141,890			254,194
									912,661			172,031			1,084,692

277

Notes to Financial Statements (Continued)

Counterparty	Currency	Notional Amount		Expiration Date		Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
PIMCO Total Return Fund* (Continued)
Interest Rate Swaps
OTC Swaps
Barclays Bank PLC	MXN		63,000,000		9/13/17	MXN TIIEMexican Banxico	Fixed 5.500%	$	122,584		$	(43,106	)	$	79,478
Barclays Bank PLC	MXN		98,000,000		9/02/22	MXN TIIEMexican Banxico	Fixed 6.000%		(268,547	)		(51,278	)		(319,825	)
									(145,963	)		(94,384	)		(240,347	)
Goldman Sachs Bank USA	BRL		1,100,000		1/02/17	BRL CETIP Interbank	Fixed 9.095%		(27,909	)		-			(27,909	)
JP Morgan Chase Bank	MXN		7,000,000		6/05/23	MXN TIIE Mexican Banxico	Fixed 6.000%		(11,326	)		(17,271	)		(28,597	)
UBS AG	BRL		7,000,000		1/02/17	BRL CETIP Interbank	Fixed 8.900%		(187,825	)		898			(186,927	)
Centrally Cleared Swaps
	JPY		1,380,000,000		9/18/23	3-Month JPY-LIBOR-BBA	Fixed 1.000%		221,212			(338,141	)		(116,929	)
	USD		155,300,000		3/18/16	3-Month USD-LIBOR-BBA	Fixed 1.500%		(196,516	)		1,225,068			1,028,552
	USD		15,700,000		12/16/16	3-Month USD-LIBOR-BBA	Fixed 1.500%		(25,994	)		9,524			(16,470	)
	USD		311,400,000		9/21/17	3-Month USD-LIBOR-BBA	Fixed 3.000%		(894,004	)		2,414,025			1,520,021
	USD		53,000,000		10/15/17	Federal Funds Effective Rate US	Fixed 1.000%		(676,768	)		(58,550	)		(735,318	)
	USD		107,800,000		6/19/43	3-Month USD-LIBOR-BBA	Fixed 2.750%		15,771,191			7,784,194			23,555,385
	USD		17,500,000		12/18/43	3-Month USD-LIBOR-BBA	Fixed 3.500%		720,552			690,905			1,411,457
									14,919,673			11,727,025			26,646,698
	Currency	Notional Amount		Expiration Date		Receive (Pay) Fixed Rate	Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
Strategic Bond Fund***
Credit Default Swaps — Buy Protection
Centrally Cleared Swaps
	USD		1,560,000		12/20/18	(5.000%)	CDX.NA.HY.21††	$	(32,172	)	$	(100,748	)	$	(132,920	)

BRL Brazilian Real

EUR Euro

JPY Japanese Yen

MXN Mexican Peso

USD U.S. Dollar

* Collateral for swap agreements held by Barclays Bank PLC, Citigroup Global Markets, Inc., Credit Suisse International, and Goldman Sachs & Co., amounted to $185,000, $146,000, $126,000, and $4,828,000, in cash, respectively, at December 31, 2013; and collateral for swap agreements held by Barclays Bank PLC, Credit Suisse International, JP Morgan Chase Bank, Royal Bank of Scotland PLC, and UBS AG amounted to $283,328, $356,350, $2,212,449, $89,574, and $80,812 in securities, respectively, at December 31, 2013.

** Rating is determined by Pacific Investment Management Company LLC and represents a weighted average rating of all securities in the underlying index for credit default swaps. The source of the ratings for the underlying securities are Moody’s Investors Service, Inc., Standard & Poor’s Ratings Group, and/or Fitch Ratings. All ratings are as of the report date and do not reflect subsequent changes.

*** Collateral for swap agreements held by Goldman Sachs & Co. amounted to $74,000 in cash at December 31, 2013.

† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent Pacific Investment Management Company LLC’s rating category. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection.

†† Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

278

Notes to Financial Statements (Continued)

Options, Rights, and Warrants

A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written.

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

Writing put and call options. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

279

Notes to Financial Statements (Continued)

OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

The Fund(s) listed in the following table had open written option contracts at December 31, 2013. A Fund’s current exposure to a counterparty is the fair value of the contract.

OTC Counterparty	Units		Expiration Date		Description	Premiums Received		Value
PIMCO Total Return Fund
		136		3/14/14	Eurodollar Mid Curve Option 3 Year Put, Strike 97.38	$	47,780	$	68,000
Barclays Bank PLC		7,800,000		3/12/14	Interest Rate Swaption EUR 1 Year Call, Strike 0.40		15,079		4,283
Barclays Bank PLC		7,800,000		3/12/14	Interest Rate Swaption EUR 1 Year Put, Strike 0.40		17,089		10,669
Goldman Sachs Bank USA		73,600,000		1/27/14	Interest Rate Swaption USD 5 Year Call, Strike 1.40		129,744		1,283
Goldman Sachs Bank USA		73,600,000		1/27/14	Interest Rate Swaption USD 5 Year Put, Strike 2.00		472,820		94,883
Goldman Sachs Bank USA		7,800,000		3/12/14	Interest Rate Swaption EUR 1 Year Call, Strike 0.40		16,084		4,283
Goldman Sachs Bank USA		7,800,000		3/12/14	Interest Rate Swaption EUR 1 Year Put, Strike 0.40		16,084		10,669
Goldman Sachs Bank USA		28,100,000		3/31/14	Interest Rate Swaption USD 1 Year Put, Strike 2.00		30,688		51,575
JP Morgan Chase Bank		77,300,000		3/03/14	Interest Rate Swaption USD 5 Year Call, Strike 1.40		54,110		12,277
JP Morgan Chase Bank		77,300,000		3/03/14	Interest Rate Swaption USD 5 Year Put, Strike 1.80		417,420		693,659
JP Morgan Chase Bank		2,300,000		3/19/14	CDX.NA.IG.21 Index 5 Year Call, Strike 0.60		920		2,174
JP Morgan Chase Bank		2,300,000		3/19/14	CDX.NA.IG.21 Index 5 Year Put, Strike 0.90		3,795		1,024
Royal Bank of Scotland PLC		2,200,000		1/27/14	Interest Rate Swaption USD 10 Year Call, Strike 2.50		13,200		4
Royal Bank of Scotland PLC		2,200,000		1/27/14	Interest Rate Swaption USD 10 Year Put, Strike 3.50		17,490		571
Royal Bank of Scotland PLC		7,100,000		3/03/14	Interest Rate Swaption USD 10 Year Call, Strike 2.50		25,915		617
							$1,278,218	$	955,971

EUR Euro

USD U.S. Dollar

280

Notes to Financial Statements (Continued)

Transactions in written option contracts during the year ended December 31, 2013, were as follows:

	Number of Contracts			Premiums Received
PIMCO Total Return Fund
Options outstanding at December 31, 2012		69,200,000		$	526,218
Options written		823,100,618			2,958,340
Options terminated in closing purchase transactions		(21,200,000	)		(110,340	)
Options expired		(419,900,256	)		(2,095,964	)
Options exercised		(74,000,226	)		(36	)
Options outstanding at December 31, 2013		377,200,136		$	1,278,218
Strategic Bond Fund
Options outstanding at December 31, 2012		17		$	1,007
Options written		1,740,638			229,962
Options terminated in closing purchase transactions		(409	)		(154,528	)
Options expired		(1,740,246	)		(76,441	)
Options outstanding at December 31, 2013		-		$	-

Structured Investments

A structured investment typically involves the deposit by a financial institution of one or more securities or other assets (the “underlying investments”) with a specially created corporation or trust, which in turn issues one or more classes of securities (“structured securities”) backed by, or representing different interests in, the underlying instruments. The cash flow on the underlying instruments may be apportioned among the newly issued structured securities to create securities with different investment characteristics, such as varying maturities, payment priorities, and interest rate provisions, and the extent of such payments made with respect to structured securities is dependent on the extent of the cash flow on the underlying instruments. Because structured securities typically involve no credit enhancement, their credit risk generally will reflect that of the underlying instruments. Investments in a structured security may be subordinated to the right of payment of another class of securities.

Structured securities may be highly volatile and their use by a Fund may not be successful. The terms of a structured security may create investment leverage. Structured securities are typically privately issued, presenting credit risk of the issuer, and may be highly illiquid and difficult to value.

Inflation-Indexed Bonds

The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.

If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.

281

Notes to Financial Statements (Continued)

The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.

Bank Loans

Certain of the Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

At December 31, 2013, the Funds had no unfunded loan commitments.

Repurchase Agreements

Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral.

Reverse Repurchase Agreements and Treasury Rolls

Each Fund may enter into reverse repurchase agreements or Treasury rolls with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price (typically equal to the original sale price plus interest). During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the purchase price received by it from the counterparty. Similarly, in a Treasury roll transaction, a Fund sells a Treasury security and simultaneously enters into an agreement to repurchase the security from the buyer at a later date, at the original sale price plus interest. The repurchase price is typically adjusted to provide the Fund the economic benefit of

282

Notes to Financial Statements (Continued)

any interest that accrued on the Treasury security during the term of the transaction. The Fund may use the purchase price received by it to earn additional return during the term of the Treasury roll transaction.

Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements generally create investment leverage and involve the risk that the market value of the security that a Fund is obligated to repurchase under the agreement may decline below the repurchase price. For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for a security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.

Reverse repurchase transactions are entered into by a Fund under a Master Repurchase Agreement (“MRA”), which permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and creates one single net payment due to or from the Fund. With reverse repurchase transactions, typically a Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.

Reverse repurchase agreements and Treasury rolls generally create investment leverage. If the counterparty in such a transaction files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.

A Fund accounts for a Treasury roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these Treasury roll transactions may be considered financing transactions, whereby the difference in the sales price and the future price is recorded as an adjustment to interest income.

The Funds have adopted the new disclosure requirements on offsetting in the following table. As such, the following table is a summary of the Fund(s) open Treasury rolls which are subject to a MNA on a net basis at December 31, 2013:

Counterparty	Treasury Roll Liabilities Subject to a MNA	Financial Instruments Available for Offset	Collateral Pledged	Net Amount
PIMCO Total Return Fund
Barclays Capital, Inc.	$24,327,549	$(24,322,570)	$        -	$4,979

The Fund(s) listed in the following table had reverse repurchase transactions during the year ended December 31, 2013:

PIMCO Total Return Fund
Average balance outstanding	$	11,313,189
Maximum balance outstanding	$	92,806,000
Average interest rate		(0.01%)
Weighted average maturity		7 days

283

Notes to Financial Statements (Continued)

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase agreements.

The Fund(s) listed in the following table had Treasury roll transactions during the year ended December 31, 2013, which were accounted for as financing transactions:

PIMCO Total Return Fund
Average balance outstanding	$	4,522,880
Weighted average interest rate		0.02%

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into Treasury roll transactions.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition, because the Fund is not required to make payment under these transactions until the delivery date, they may result in a form of leverage.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Dollar Roll Transactions

A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.

Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, a Fund’s use of the transaction proceeds may be restricted pending a determination by the counterparty or its representative, whether to enforce the Fund’s obligation to repurchase the securities. A Fund can incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.

284

Notes to Financial Statements (Continued)

A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income. Dollar roll transactions generally have the effect of creating leverage in a Fund’s portfolio.

Securities Lending

Each Fund may lend its securities to qualified brokers, under the terms of a master netting agreement. Securities lending cannot exceed 33% of the total assets of the Fund taken at current value.

Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash or securities adjusted daily to have market value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the borrower, as well as a share of the income earned on investment of the cash collateral received for the loan of securities. At December 31, 2013 the Fund(s) collateral was equal to or greater than 100% of the market value of the securities on loan.

The Funds employ an agent to implement their securities lending program and the agent receives a fee from the Funds for its services. In addition, the Funds may be required to pay a rebate to the borrower. Accordingly, a Fund’s compensation for lending its securities is reduced by any such fees or rebate paid to the securities lending agent or borrower, respectively. For the year ended December 31, 2013, the Fund(s) earned securities lending net income as follows:

	Securities Lending Gross Income		Securities Lending Fees and Expenses		Securities Lending Net Income
Large Cap Value Fund	$	361,656	$	72,413	$	289,243
Fundamental Growth Fund		30,011		6,054		23,957
Growth Opportunities Fund		76,325		15,361		60,964
Small Company Value Fund		464,364		93,082		371,282
S&P Mid Cap Index Fund		74,180		14,871		59,309
Russell 2000 Small Cap Index Fund		346,944		69,497		277,447
Mid Cap Growth Equity II Fund		1,143,816		229,214		914,602
Small Cap Growth Equity Fund		1,338,037		268,734		1,069,303
Small Company Growth Fund		87,554		17,540		70,014
Diversified International Fund		210,785		45,239		165,546
MSCI EAFE International Index Fund		188,403		37,697		150,706
Overseas Fund		585,851		118,905		466,946

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and dividend expense are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.

285

Notes to Financial Statements (Continued)

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.

Foreign Securities

Each of the Diversified International Fund, MSCI EAFE International Index Fund, and Overseas Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Management Fees and Other Transactions

Investment Management Fees and Investment Subadvisers

Under agreements between Massachusetts Mutual Life Insurance Company (“MassMutual”) and the Trust on behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for these services, MassMutual receives advisory fees, based upon each Fund's average daily net assets, at the annual rates shown in the following table.

286

Notes to Financial Statements (Continued)

MassMutual has also entered into investment subadvisory agreements for each fund with the unaffiliated investment subadviser(s) shown in the following table. MassMutual pays a subadvisory fee to each of these subadvisers based upon the aggregate net assets under management which include (1) the average daily net assets of the specified Fund which it manages, and, if applicable, (2) the average daily net assets of all other funds or accounts of MassMutual or its affiliates for which the subadviser provides subadvisory services and which have substantially the same investment objective, policies and investment strategies.

The Funds’ subadvisory fees are paid by MassMutual out of the management fees.

Fund	Investment Management Fee	Investment Subadviser(s)
PIMCO Total Return Fund	0.35% on the first $3 billion; and	Pacific Investment Management Company LLC
	0.32% on any excess over $3 billion
Strategic Bond Fund	0.55% on the first $200 million; and	Western Asset Management Company; and
	0.45% on any excess over $200 million	Western Asset Management Company Limited
Diversified Value Fund	0.50% on the first $400 million; and 0.475% on any excess over $400 million	Brandywine Global Investment Management, LLC; and Loomis, Sayles & Company, L.P.
Fundamental Value Fund	0.65% on the first $1.25 billion;	Wellington Management Company, LLP
	0.625% on the next $250 million; and
	0.60% on any excess over $1.5 billion
Large Cap Value Fund	0.65% on the first $750 million; and 0.60% on any excess over $750 million	Columbia Management Investment Advisers, LLC; and Huber Capital Management, LLC
S&P 500 Index Fund	0.10% on the first $2.5 billion;	Northern Trust Investments, Inc.
	0.08% on the next $2.5 billion; and
	0.05% on any excess over $5 billion
Focused Value Fund	0.69% on the first $1 billion; and	Harris Associates L.P.
	0.64% on any excess over $1 billion
Fundamental Growth Fund	0.65%	Wellington Management Company, LLP
Blue Chip Growth Fund	0.65% on the first $750 million; and	T. Rowe Price Associates, Inc.
	0.60% on any excess over $750 million
Growth Opportunities Fund	0.73% on the first $500 million; and	Delaware Investment Fund Advisers; and
	0.70% on any excess over $500 million	Sands Capital Management, LLC
Mid-Cap Value Fund	0.70% on the first $350 million; and	NFJ Investment Group LLC; and
	0.65% on any excess over $350 million	Systematic Financial Management, L.P.
Small Cap Value Equity Fund	0.75% on the first $350 million; and 0.70% on any excess over $350 million	Barrow, Hanley, Mewhinney & Strauss, LLC; and Wellington Management Company, LLP
Small Company Value Fund	0.85% on the first $750 million; and	EARNEST Partners, LLC;
	0.80% on any excess over $750 million	Federated Clover Investment Advisors; and
		T. Rowe Price Associates, Inc.
S&P Mid Cap Index Fund	0.10%	Northern Trust Investments, Inc.
Russell 2000 Small Cap Index Fund	0.10%	Northern Trust Investments, Inc.
Mid Cap Growth Equity II Fund	0.75% on the first $2 billion; and 0.70% on any excess over $2 billion	Frontier Capital Management Company, LLC; and T. Rowe Price Associates, Inc.
Small Cap Growth Equity Fund	0.82% on the first $1 billion; and 0.80% on any excess over $1 billion	Timberline Asset Management LLC; Waddell & Reed Investment Management Company; and Wellington Management Company, LLP
Small Company Growth Fund *	0.85% on the first $350 million; and 0.80% on any excess over $350 million	Timberline Asset Management LLC
Diversified International Fund	0.90% on the first $250 million; and 0.88% on any excess over $250 million	J.P. Morgan Investment Management Inc.
MSCI EAFE International Index Fund	0.10%	Northern Trust Investments, Inc.

287

Notes to Financial Statements (Continued)

Fund	Investment Management Fee	Investment Subadviser(s)
Overseas Fund	1.00% on the first $750 million;	Harris Associates L.P.;
	0.975% on the next $500 million; and	J.P. Morgan Investment Management Inc.; and
	0.95% on any excess over $1.25 billion	Massachusetts Financial Services Company

* Effective September 17, 2013, Timberline Asset Management LLC replaced Eagle Asset Management, Inc. and The Boston Company Asset Management, LLC as subadviser.

Administration Fees

Under separate administrative and shareholder services agreements between each Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:

	Class Z		Class I		Class S		Class Y		Class L		Class A		Class N
PIMCO Total Return Fund		0.0200%		None		0.1700%		0.2900%		0.3700%		0.2200%		0.2200%
Strategic Bond Fund		None		None		0.0500%		0.1000%		0.2500%		0.2500%		0.3000%
Diversified Value Fund		None		None		0.0583%		0.1583%		0.2683%		0.3083%		0.3683%
Fundamental Value Fund		0.0700%		None		0.2729%		0.3129%		0.4629%		0.4629%		0.5129%
Large Cap Value Fund		None		None		0.0844%		0.1744%		0.3244%		0.3244%		0.3744%
S&P 500 Index Fund*		0.0577%		0.1355%		0.3497%		0.3797%		0.4297%		0.4297%		0.4797%
Focused Value Fund		0.0700%		None		0.1844%		0.2844%		0.4344%		0.4344%		0.4844%
Fundamental Growth Fund		None		None		0.1629%		0.2029%		0.3529%		0.3529%		0.4029%
Blue Chip Growth Fund*		None		None		0.0985%		0.1585%		0.3185%		0.3185%		0.3485%
Growth Opportunities Fund		0.0944%		None		0.2444%		0.3444%		0.4944%		0.4944%		0.5444%
Mid-Cap Value Fund*		0.0800%		None		0.1000%		0.2000%		0.3500%		0.3500%		0.4000%
Small Cap Value Equity Fund		None		None		0.0500%		0.1500%		0.3000%		0.3000%		None
Small Company Value Fund		0.0600%		None		0.2493%		0.2893%		0.4393%		0.4393%		0.4893%
S&P Mid Cap Index Fund		0.0500%		0.1500%		0.3000%		0.4000%		0.5500%		0.4500%		None
Russell 2000 Small Cap Index Fund		0.0500%		0.1500%		0.3000%		0.4000%		0.5500%		0.4500%		None
Mid Cap Growth Equity II Fund		0.0600%		None		0.1844%		0.2744%		0.4244%		0.4244%		0.4744%
Small Cap Growth Equity Fund		0.0700%		None		0.1675%		0.3075%		0.4575%		0.4575%		0.5075%
Small Company Growth Fund		None		None		0.1591%		0.1991%		0.3491%		0.3491%		None
Diversified International Fund		None		None		0.0500%		0.1500%		0.3000%		0.3000%		None
MSCI EAFE International Index Fund		0.0500%		0.1500%		0.3000%		0.4000%		0.5500%		0.4500%		None
Overseas Fund		0.0700%		None		0.3543%		0.4043%		0.4543%		0.4543%		0.5043%

* Prior to June 1, 2013, the administration fees per share class were as follows:

	Class Z		Class I		Class S		Class Y		Class L		Class A		Class N
S&P 500 Index Fund		0.0577%		0.1355%		0.3497%		0.3797%		0.5297%		0.5297%		0.5797%
Blue Chip Growth Fund		None		None		0.1585%		0.2885%		0.4085%		0.4085%		0.4585%
Mid-Cap Value Fund		0.0800%		None		0.1500%		0.2500%		0.4000%		0.4000%		0.4500%

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to separate 12b-1 Plans adopted by the Funds, Class A shares of each Fund pay an annual fee of 0.25% of the average daily net asset value of Class A shares to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Class A shares of the Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to

288

Notes to Financial Statements (Continued)

Class A shareholders. Pursuant to separate 12b-1 Plans adopted by the Funds, Class N shares of each Fund pay an annual fee of 0.50% of the average daily net asset value of Class N shares as follows: 0.25% of the average daily net asset value of Class N shares to the Distributor for services provided and expenses incurred by it in connection with the distribution of Class N shares of the Fund; and 0.25% of the average daily net asset value of Class N shares to MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class N shareholders. The Distribution fee may be spent by the Distributor on any activities or expenses primarily intended to result in the sale of Class A or Class N shares of the Fund. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A or Class N shareholders of a Fund and/or maintenance of Class A or Class N shareholder accounts. The Distributor is a majority-owned subsidiary of MassMutual. For the period January 1, 2013 through May 31, 2013, OppenheimerFunds Distributor, Inc. acted as a sub-distributor to each Fund. OppenheimerFunds Distributor, Inc. is an affiliate of the Distributor and an indirect majority-owned subsidiary of MassMutual.

Expense Caps and Waivers

MassMutual agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund fees and expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

	Class Z		Class I		Class S		Class Y		Class L		Class A		Class N
S&P 500 Index Fund*		0.08%		None		None		None		None		0.65%		0.95%
Blue Chip Growth Fund**		None		None		0.76%		0.82%		0.98%		1.19%		1.51%
Mid-Cap Value Fund*		None		None		0.85%		0.95%		1.10%		1.35%		1.65%
S&P Mid Cap Index Fund**		0.19%		0.29%		0.44%		0.54%		0.69%		0.84%		None
Russell 2000 Small Cap Index Fund**		0.19%		0.29%		0.44%		0.54%		0.69%		0.84%		None
Diversified International Fund**		None		None		0.99%		1.09%		1.17%		1.42%		None
MSCI EAFE International Index Fund**		0.23%		0.33%		0.48%		0.58%		0.73%		0.88%		None

# Acquired Fund fees and expenses are borne indirectly by a Fund through investments in other pooled investment vehicles.

* Effective June 1, 2013. Expense caps in effect through May 31, 2014.

** Expense caps in effect through March 31, 2014.

MassMutual has contractually agreed to waive, through March 31, 2014, 0.15% of the management fee for each class of the Fundamental Value Fund, 0.02% of the management fee for each class of the Large Cap Value Fund, 0.05% of the management fee for each class of the S&P 500 Index Fund, 0.10% of the management fee for each class of the Focused Value Fund, 0.15% of the management fee for each class of the Growth Opportunities Fund, 0.08% of the management fee for each class of the Small Company Value Fund, 0.10% of the management fee for each class of the Mid Cap Growth Equity II Fund, 0.07% of the management fee for each class of the Small Cap Growth Equity Fund, and 0.31% of the management fee for each class of the Overseas Fund. For the period January 1, 2013 through March 31, 2013, MassMutual had contractually agreed to waive 0.10% of the management fee for each class of the Mid-Cap Value Fund. For the period April 1, 2013 through May 31, 2013, MassMutual had contractually agreed to waive 0.05%, and voluntarily agreed to waive an additional 0.05% of the management fee for each class of the Mid-Cap Value Fund.

MassMutual has contractually agreed to waive, through March 31, 2014, 0.09% of the administrative and shareholder service fee for Class S, and 0.03% of the administrative and shareholder service fee for Classes Y, L, A, and N of the Fundamental Growth Fund.

For the period January 1, 2013 through March 31, 2013, MassMutual had contractually agreed to waive 0.05% of the administrative and shareholder service fee for Class Z and 0.20% of the administrative and shareholder service fees for Classes L, A, and N of the S&P 500 Index Fund. For the period April 1, 2013 through May 31, 2013, MassMutual had contractually agreed to waive 0.05% of the administrative and shareholder service fee for Class Z, 0.10% of the administrative and shareholder service fee for Class L, and 0.20% of the administrative and shareholder service fee for Classes A and N of the S&P 500 Index Fund, and voluntarily agreed to waive an additional 0.10% of the administrative and shareholder service fee for Class L. For the period

289

Notes to Financial Statements (Continued)

April 1, 2013 through May 31, 2013, MassMutual had contractually agreed to waive 0.03% of the administrative and shareholder service fee for Class Z of the Mid-Cap Value Fund. Effective June 1, 2013 through May 31, 2014, MassMutual has contractually agreed to waive 0.08% of the administrative and shareholder service fee for Class Z of the Mid-Cap Value Fund.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

Rebated Brokerage Commissions

The Funds listed below have entered into agreements with certain brokers whereby the brokers will rebate to the Funds, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Funds and are included with realized gain or loss on investment transactions presented in the Statements of Operations. For the year ended December 31, 2013, brokerage commissions rebated under these agreements were as follows:

	Rebated Commissions
Diversified Value Fund	$	14,344
Fundamental Value Fund		1,707
Large Cap Value Fund		128,787
Fundamental Growth Fund		8
Blue Chip Growth Fund		15,477
Growth Opportunities Fund		18,905
Mid-Cap Value Fund		36,738
Small Cap Value Equity Fund		9,409
Small Company Value Fund		139,865
Mid Cap Growth Equity II Fund		91,048
Small Cap Growth Equity Fund		192,443
Small Company Growth Fund		3,407
Diversified International Fund		1,583
Overseas Fund		3,519

Deferred Compensation

Trustees of the Funds who are not employees of MassMutual or its subsidiaries may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

Other

Certain officers and trustees of the Funds are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at December 31, 2013:

	Total % Ownership by Related Party
PIMCO Total Return Fund		65.2%
Strategic Bond Fund		93.8%
Diversified Value Fund		56.9%
Fundamental Value Fund		78.0%
Large Cap Value Fund		94.3%

290

Notes to Financial Statements (Continued)

	Total % Ownership by Related Party
S&P 500 Index Fund		61.8%
Focused Value Fund		82.3%
Fundamental Growth Fund		92.2%
Blue Chip Growth Fund		80.7%
Growth Opportunities Fund		68.8%
Mid-Cap Value Fund		89.7%
Small Cap Value Equity Fund		74.6%
Small Company Value Fund		75.1%
S&P Mid Cap Index Fund		74.7%
Russell 2000 Small Cap Index Fund		76.0%
Mid Cap Growth Equity II Fund		71.2%
Small Cap Growth Equity Fund		64.3%
Small Company Growth Fund		81.0%
Diversified International Fund		35.1%
MSCI EAFE International Index Fund		87.5%
Overseas Fund		89.4%

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended December 31, 2013, were as follows:

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
PIMCO Total Return Fund	$	10,735,081,889	$	99,515,339	$	10,787,293,305	$	525,009,927
Strategic Bond Fund		551,833,179		40,700,768		575,242,612		20,766,542
Diversified Value Fund		-		152,598,346		-		167,666,524
Fundamental Value Fund		-		258,156,353		-		502,073,003
Large Cap Value Fund		-		157,271,132		-		309,137,046
S&P 500 Index Fund		-		264,824,702		-		271,297,320
Focused Value Fund		-		204,070,572		-		284,688,336
Fundamental Growth Fund		-		72,263,591		-		80,517,493
Blue Chip Growth Fund		-		347,953,408		-		570,422,052
Growth Opportunities Fund		-		231,417,151		-		201,637,857
Mid-Cap Value Fund		-		164,495,907		-		189,512,805
Small Cap Value Equity Fund		-		37,691,831		-		58,104,648
Small Company Value Fund		-		218,600,246		-		321,047,753
S&P Mid Cap Index Fund		-		77,170,139		-		64,694,119
Russell 2000 Small Cap Index Fund		-		67,893,841		-		63,030,130
Mid Cap Growth Equity II Fund		-		524,086,060		-		744,244,641
Small Cap Growth Equity Fund		-		848,479,814		-		952,878,050
Small Company Growth Fund		-		97,693,143		-		113,689,900
Diversified International Fund		-		85,354,107		-		100,814,769
MSCI EAFE International Index Fund		-		120,199,814		-		73,488,727
Overseas Fund		-		203,692,285		-		238,812,717

291

Notes to Financial Statements (Continued)

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
PIMCO Total Return Fund Class Z
Sold		13,753,784		$	143,134,291			11,608,502		$	122,626,107
Issued as reinvestment of dividends		1,129,818			11,471,890			1,595,738			16,804,076
Redeemed		(14,992,054	)		(154,630,880	)		(11,812,313	)		(123,831,504	)
Net increase (decrease)		(108,452	)	$	(24,699	)		1,391,927		$	15,598,679
PIMCO Total Return Fund Class S
Sold		4,053,910		$	42,779,245			8,664,443		$	90,101,608
Issued as reinvestment of dividends		439,966			4,462,843			566,408			5,958,767
Redeemed		(3,202,803	)		(33,444,231	)		(1,143,533	)		(11,979,512	)
Net increase (decrease)		1,291,073		$	13,797,857			8,087,318		$	84,080,863
PIMCO Total Return Fund Class Y
Sold		7,370,066		$	76,971,887			9,562,510		$	100,036,485
Issued as reinvestment of dividends		831,650			8,460,509			1,573,547			16,587,326
Redeemed		(18,695,524	)		(194,354,103	)		(11,096,945	)		(117,048,409	)
Net increase (decrease)		(10,493,808	)	$	(108,921,707	)		39,112		$	(424,598	)
PIMCO Total Return Fund Class L
Sold		2,617,648		$	26,949,998			3,568,814		$	37,284,395
Issued as reinvestment of dividends		250,007			2,528,324			324,994			3,409,373
Redeemed		(1,707,218	)		(17,715,147	)		(1,106,143	)		(11,477,242	)
Net increase (decrease)		1,160,437		$	11,763,175			2,787,665		$	29,216,526
PIMCO Total Return Fund Class A
Sold		4,024,524		$	42,259,105			11,338,554		$	118,685,556
Issued as reinvestment of dividends		961,442			9,788,244			2,367,608			24,953,735
Redeemed		(31,865,608	)		(330,238,591	)		(11,562,362	)		(121,236,127	)
Net increase (decrease)		(26,879,642	)	$	(278,191,242	)		2,143,800		$	22,403,164
PIMCO Total Return Fund Class N
Sold		1,645,496		$	17,121,254			2,275,455		$	23,613,760
Issued as reinvestment of dividends		97,271			984,532			128,327			1,347,398
Redeemed		(1,134,222	)		(11,766,300	)		(579,194	)		(6,083,184	)
Net increase (decrease)		608,545		$	6,339,486			1,824,588		$	18,877,974
Strategic Bond Fund Class S
Sold		2,247,364		$	22,988,263			1,537,226		$	16,056,775
Issued as reinvestment of dividends		299,031			2,942,463			262,649			2,710,337
Redeemed		(2,158,945	)		(22,090,290	)		(1,456,093	)		(15,013,618	)
Net increase (decrease)		387,450		$	3,840,436			343,782		$	3,753,494
Strategic Bond Fund Class Y
Sold		2,107,853		$	21,854,360			363,820		$	3,764,002
Issued as reinvestment of dividends		135,451			1,334,194			79,366			819,920
Redeemed		(853,300	)		(8,748,139	)		(739,622	)		(7,749,859	)
Net increase (decrease)		1,390,004		$	14,440,415			(296,436	)	$	(3,165,937	)

292

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Strategic Bond Fund Class L
Sold		433,402		$	4,374,849			765,977		$	7,866,379
Issued as reinvestment of dividends		43,560			428,199			99,486			1,025,610
Redeemed		(2,064,258	)		(21,318,091	)		(515,370	)		(5,292,341	)
Net increase (decrease)		(1,587,296	)	$	(16,515,043	)		350,093		$	3,599,648
Strategic Bond Fund Class A
Sold		512,240		$	5,296,393			520,002		$	5,319,578
Issued as reinvestment of dividends		96,635			948,955			103,337			1,064,311
Redeemed		(1,447,467	)		(14,730,552	)		(1,104,575	)		(11,275,002	)
Net increase (decrease)		(838,592	)	$	(8,485,204	)		(481,236	)	$	(4,891,113	)
Strategic Bond Fund Class N
Sold		26,207		$	265,085			32,047		$	329,049
Issued as reinvestment of dividends		2,786			27,214			2,899			29,706
Redeemed		(39,213	)		(395,606	)		(25,173	)		(253,750	)
Net increase (decrease)		(10,220	)	$	(103,307	)		9,773		$	105,005
Diversified Value Fund Class S
Sold		4,979,556		$	58,485,685			4,833,624		$	46,471,421
Issued as reinvestment of dividends		287,273			3,756,500			557,592			5,686,142
Redeemed		(4,980,006	)		(61,522,330	)		(5,254,982	)		(52,010,822	)
Net increase (decrease)		286,823		$	719,855			136,234		$	146,741
Diversified Value Fund Class Y
Sold		472,665		$	5,645,264			170,865		$	1,707,502
Issued as reinvestment of dividends		17,496			228,948			40,998			417,541
Redeemed		(688,434	)		(7,895,247	)		(1,105,302	)		(11,252,048	)
Net increase (decrease)		(198,273	)	$	(2,021,035	)		(893,439	)	$	(9,127,005	)
Diversified Value Fund Class L
Sold		363,468		$	4,590,142			163,786		$	1,608,757
Issued as reinvestment of dividends		3,329			43,729			15,740			160,779
Redeemed		(532,119	)		(6,429,878	)		(536,532	)		(5,301,541	)
Net increase (decrease)		(165,322	)	$	(1,796,007	)		(357,006	)	$	(3,532,005	)
Diversified Value Fund Class A
Sold		388,610		$	4,582,023			293,643		$	2,855,757
Issued as reinvestment of dividends		14,461			188,916			45,062			458,474
Redeemed		(976,817	)		(11,940,394	)		(752,343	)		(7,383,812	)
Net increase (decrease)		(573,746	)	$	(7,169,455	)		(413,638	)	$	(4,069,581	)
Diversified Value Fund Class N
Sold		1,378		$	16,315			1,802		$	17,528
Issued as reinvestment of dividends		52			678			186			1,900
Redeemed		(2,005	)		(24,112	)		(18,322	)		(171,970	)
Net increase (decrease)		(575	)	$	(7,119	)		(16,334	)	$	(152,542	)
Fundamental Value Fund Class Z
Sold		3,502,660		$	47,143,591			5,439,181		$	58,708,364
Issued as reinvestment of dividends		1,808,329			23,652,942			584,549			6,608,158
Redeemed		(3,634,819	)		(49,286,011	)		(6,362,272	)		(71,200,264	)
Net increase (decrease)		1,676,170		$	21,510,522			(338,542	)	$	(5,883,742	)

293

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Fundamental Value Fund Class S
Sold		4,600,246		$	59,579,209			5,388,814		$	59,254,442
Issued as reinvestment of dividends		3,592,646			47,135,521			1,256,441			14,240,372
Redeemed		(11,182,695	)		(149,560,044	)		(4,373,146	)		(48,825,801	)
Net increase (decrease)		(2,989,803	)	$	(42,845,314	)		2,272,109		$	24,669,013
Fundamental Value Fund Class Y
Sold		3,002,558		$	38,179,372			3,088,975		$	34,147,377
Issued as reinvestment of dividends		1,388,327			18,173,206			405,902			4,587,261
Redeemed		(3,148,461	)		(42,365,058	)		(4,871,702	)		(54,233,842	)
Net increase (decrease)		1,242,424		$	13,987,520			(1,376,825	)	$	(15,499,204	)
Fundamental Value Fund Class L
Sold		2,297,749		$	30,529,398			2,151,644		$	23,484,212
Issued as reinvestment of dividends		909,553			11,951,527			292,107			3,313,139
Redeemed		(2,999,315	)		(38,115,814	)		(2,240,010	)		(25,071,264	)
Net increase (decrease)		207,987		$	4,365,111			203,741		$	1,726,087
Fundamental Value Fund Class A
Sold		2,486,055		$	31,882,449			3,438,825		$	37,366,493
Issued as reinvestment of dividends		1,759,506			22,908,771			745,414			8,356,864
Redeemed		(13,573,774	)		(185,115,703	)		(3,246,782	)		(35,526,687	)
Net increase (decrease)		(9,328,213	)	$	(130,324,483	)		937,457		$	10,196,670
Fundamental Value Fund Class N
Sold		15,807		$	204,082			14,572		$	159,379
Issued as reinvestment of dividends		7,869			101,897			1,245			13,802
Redeemed		(9,130	)		(121,283	)		(134,812	)		(1,400,236	)
Net increase (decrease)		14,546		$	184,696			(118,995	)	$	(1,227,055	)
Large Cap Value Fund Class S
Sold		2,970,686		$	26,533,756			12,013,812		$	130,767,940
Issued as reinvestment of dividends		2,725,963			25,050,796			13,280,467			104,118,858
Redeemed		(13,049,270	)		(120,506,910	)		(13,002,348	)		(136,650,366	)
Net increase (decrease)		(7,352,621	)	$	(68,922,358	)		12,291,931		$	98,236,432
Large Cap Value Fund Class Y
Sold		905,740		$	8,291,561			1,042,169		$	11,326,728
Issued as reinvestment of dividends		273,264			2,513,958			1,098,227			8,621,085
Redeemed		(865,640	)		(7,810,359	)		(5,323,188	)		(57,043,459	)
Net increase (decrease)		313,364		$	2,995,160			(3,182,792	)	$	(37,095,646	)
Large Cap Value Fund Class L
Sold		701,899		$	6,525,035			797,546		$	8,537,866
Issued as reinvestment of dividends		219,852			2,015,954			1,624,914			12,706,830
Redeemed		(3,224,752	)		(27,734,890	)		(1,918,100	)		(20,784,951	)
Net increase (decrease)		(2,303,001	)	$	(19,193,901	)		504,360		$	459,745
Large Cap Value Fund Class A
Sold		386,520		$	3,479,576			328,151		$	3,508,606
Issued as reinvestment of dividends		511,485			4,684,801			2,697,093			21,064,293
Redeemed		(2,868,184	)		(26,011,699	)		(4,526,975	)		(48,678,324	)
Net increase (decrease)		(1,970,179	)	$	(17,847,322	)		(1,501,731	)	$	(24,105,425	)

294

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Large Cap Value Fund Class N
Sold		1,375		$	12,202			1,263		$	13,208
Issued as reinvestment of dividends		866			7,810			4,548			35,066
Redeemed		(5,166	)		(44,625	)		(34,263	)		(360,386	)
Net increase (decrease)		(2,925	)	$	(24,613	)		(28,452	)	$	(312,112	)
S&P 500 Index Fund Class Z
Sold		18,051,451		$	280,265,845			3,609,888		$	45,994,030
Issued as reinvestment of dividends		701,861			11,517,517			175,507			2,321,958
Redeemed		(951,068	)		(14,944,509	)		(831,197	)		(10,828,926	)
Net increase (decrease)		17,802,244		$	276,838,853			2,954,198		$	37,487,062
S&P 500 Index Fund Class I
Sold		12,423,486		$	189,480,991			7,935,044		$	100,792,509
Issued as reinvestment of dividends		1,540,728			25,329,514			1,437,330			19,055,127
Redeemed		(17,973,512	)		(276,583,761	)		(9,526,830	)		(122,781,269	)
Net increase (decrease)		(4,009,298	)	$	(61,773,256	)		(154,456	)	$	(2,933,633	)
S&P 500 Index Fund Class S
Sold		7,846,877		$	120,753,517			6,403,026		$	81,273,609
Issued as reinvestment of dividends		868,224			14,299,618			801,322			10,636,777
Redeemed		(11,973,795	)		(185,737,359	)		(5,570,896	)		(72,427,098	)
Net increase (decrease)		(3,258,694	)	$	(50,684,224	)		1,633,452		$	19,483,288
S&P 500 Index Fund Class Y
Sold		4,701,978		$	71,998,259			2,701,886		$	34,575,071
Issued as reinvestment of dividends		492,958			8,030,269			425,819			5,592,667
Redeemed		(5,799,776	)		(88,788,852	)		(4,283,529	)		(55,103,051	)
Net increase (decrease)		(604,840	)	$	(8,760,324	)		(1,155,824	)	$	(14,935,313	)
S&P 500 Index Fund Class L
Sold		4,837,227		$	71,484,794			4,881,904		$	62,340,231
Issued as reinvestment of dividends		220,588			3,595,570			445,257			5,839,922
Redeemed		(16,144,515	)		(251,645,188	)		(2,891,435	)		(36,754,144	)
Net increase (decrease)		(11,086,700	)	$	(176,564,824	)		2,435,726		$	31,426,009
S&P 500 Index Fund Class A
Sold		5,068,579		$	76,083,132			4,905,729		$	61,864,408
Issued as reinvestment of dividends		732,313			11,841,476			570,720			7,443,253
Redeemed		(3,648,746	)		(56,042,291	)		(4,841,177	)		(61,248,591	)
Net increase (decrease)		2,152,146		$	31,882,317			635,272		$	8,059,070
S&P 500 Index Fund Class N
Sold		72,480		$	1,076,363			87,710		$	1,111,041
Issued as reinvestment of dividends		5,887			94,321			4,871			62,915
Redeemed		(80,382	)		(1,206,766	)		(89,348	)		(1,113,784	)
Net increase (decrease)		(2,015	)	$	(36,082	)		3,233		$	60,172
Focused Value Fund Class Z
Sold		1,928,271		$	43,359,209			1,980,770		$	37,160,000
Issued as reinvestment of dividends		753,106			17,073,619			551,936			10,275,147
Redeemed		(1,962,278	)		(44,932,382	)		(1,167,847	)		(21,994,038	)
Net increase (decrease)		719,099		$	15,500,446			1,364,859		$	25,441,109

295

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Focused Value Fund Class S
Sold		2,308,453		$	51,394,369			2,123,318		$	40,579,705
Issued as reinvestment of dividends		1,451,720			32,964,044			1,260,455			23,508,062
Redeemed		(4,350,133	)		(100,235,602	)		(2,988,972	)		(56,597,564	)
Net increase (decrease)		(589,960	)	$	(15,877,189	)		394,801		$	7,490,203
Focused Value Fund Class Y
Sold		1,346,835		$	29,933,532			638,501		$	12,030,103
Issued as reinvestment of dividends		443,684			9,982,604			257,716			4,767,224
Redeemed		(674,828	)		(15,274,303	)		(1,356,761	)		(25,688,977	)
Net increase (decrease)		1,115,691		$	24,641,833			(460,544	)	$	(8,891,650	)
Focused Value Fund Class L
Sold		1,342,005		$	29,742,538			939,789		$	17,518,868
Issued as reinvestment of dividends		477,868			10,675,075			348,144			6,402,146
Redeemed		(1,211,123	)		(26,799,506	)		(947,596	)		(17,583,316	)
Net increase (decrease)		608,750		$	13,618,107			340,337		$	6,337,698
Focused Value Fund Class A
Sold		1,351,135		$	29,375,005			843,725		$	15,340,144
Issued as reinvestment of dividends		1,028,885			22,450,404			725,414			13,065,195
Redeemed		(1,468,681	)		(31,752,882	)		(1,410,723	)		(25,747,346	)
Net increase (decrease)		911,339		$	20,072,527			158,416		$	2,657,993
Focused Value Fund Class N
Sold		6,369		$	136,005			6,268		$	114,260
Issued as reinvestment of dividends		3,564			75,530			2,085			36,630
Redeemed		(3,203	)		(69,060	)		(70,091	)		(1,195,755	)
Net increase (decrease)		6,730		$	142,475			(61,738	)	$	(1,044,865	)
Fundamental Growth Fund Class S
Sold		2,392,074		$	18,217,741			12,035,894		$	77,239,723
Issued as reinvestment of dividends		475,901			3,826,185			86,947			577,327
Redeemed		(3,704,163	)		(28,632,029	)		(4,434,259	)		(29,204,561	)
Net increase (decrease)		(836,188	)	$	(6,588,103	)		7,688,582		$	48,612,489
Fundamental Growth Fund Class Y
Sold		242,734		$	1,804,214			719,069		$	4,433,500
Issued as reinvestment of dividends		33,310			264,472			3,865			25,356
Redeemed		(150,494	)		(1,124,465	)		(438,838	)		(2,741,801	)
Net increase (decrease)		125,550		$	944,221			284,096		$	1,717,055
Fundamental Growth Fund Class L
Sold		413,586		$	3,049,964			703,182		$	4,508,082
Issued as reinvestment of dividends		60,528			473,320			8,674			56,032
Redeemed		(738,575	)		(5,434,707	)		(310,591	)		(1,995,084	)
Net increase (decrease)		(264,461	)	$	(1,911,423	)		401,265		$	2,569,030
Fundamental Growth Fund Class A
Sold		755,704		$	5,420,074			1,055,977		$	6,544,276
Issued as reinvestment of dividends		138,924			1,054,418			5,973			37,567
Redeemed		(555,005	)		(4,045,405	)		(1,201,970	)		(7,475,282	)
Net increase (decrease)		339,623		$	2,429,087			(140,020	)	$	(893,439	)

296

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Fundamental Growth Fund Class N
Sold		17,425		$	121,649			22,769		$	136,095
Issued as reinvestment of dividends		859			6,314			24			146
Redeemed		(37,248	)		(267,741	)		(44,245	)		(260,773	)
Net increase (decrease)		(18,964	)	$	(139,778	)		(21,452	)	$	(124,532	)
Blue Chip Growth Fund Class S
Sold		4,774,070		$	71,966,885			11,960,055		$	148,628,898
Issued as reinvestment of dividends		1,915,215			31,321,296			79,796			1,016,603
Redeemed		(7,427,117	)		(110,862,716	)		(5,245,585	)		(64,749,981	)
Net increase (decrease)		(737,832	)	$	(7,574,535	)		6,794,266		$	84,895,520
Blue Chip Growth Fund Class Y
Sold		2,261,924		$	34,606,663			4,513,416		$	53,494,955
Issued as reinvestment of dividends		695,710			11,315,198			18,691			237,195
Redeemed		(1,867,966	)		(27,711,399	)		(2,531,925	)		(31,607,453	)
Net increase (decrease)		1,089,668		$	18,210,462			2,000,182		$	22,124,697
Blue Chip Growth Fund Class L
Sold		2,373,156		$	34,566,468			5,731,199		$	70,367,941
Issued as reinvestment of dividends		897,231			14,476,149			11,471			144,653
Redeemed		(14,008,896	)		(211,711,690	)		(3,241,700	)		(39,218,109	)
Net increase (decrease)		(10,738,509	)	$	(162,669,073	)		2,500,970		$	31,294,485
Blue Chip Growth Fund Class A
Sold		1,513,088		$	22,174,409			6,241,800		$	73,783,497
Issued as reinvestment of dividends		745,070			11,708,339			-			-
Redeemed		(2,408,555	)		(35,491,198	)		(2,125,542	)		(25,499,137	)
Net increase (decrease)		(150,397	)	$	(1,608,450	)		4,116,258		$	48,284,360
Blue Chip Growth Fund Class N
Sold		4,899		$	73,024			57,670		$	695,024
Issued as reinvestment of dividends		4,087			61,904			-			-
Redeemed		(8,122	)		(110,909	)		(4,568	)		(54,931	)
Net increase (decrease)		864		$	24,019			53,102		$	640,093
Growth Opportunities Fund Class Z
Sold		5,643,165		$	60,271,604			9,234,118		$	79,436,197
Issued as reinvestment of dividends		883,271			9,670,057			-			-
Redeemed		(2,749,643	)		(28,845,031	)		(605,544	)		(5,249,265	)
Net increase (decrease)		3,776,793		$	41,096,630			8,628,574		$	74,186,932
Growth Opportunities Fund Class S
Sold		3,941,978		$	38,763,395			11,405,037		$	96,829,805
Issued as reinvestment of dividends		2,136,705			23,305,578			-			-
Redeemed		(6,392,009	)		(65,433,419	)		(12,701,837	)		(108,707,944	)
Net increase (decrease)		(313,326	)	$	(3,364,446	)		(1,296,800	)	$	(11,878,139	)
Growth Opportunities Fund Class Y
Sold		2,910,350		$	28,554,364			2,319,906		$	19,443,608
Issued as reinvestment of dividends		542,295			5,832,846			-			-
Redeemed		(990,047	)		(9,928,658	)		(1,206,746	)		(10,396,322	)
Net increase (decrease)		2,462,598		$	24,458,552			1,113,160		$	9,047,286

297

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Growth Opportunities Fund Class L
Sold		2,839,073		$	27,825,233			7,079,566		$	58,971,166
Issued as reinvestment of dividends		745,407			7,844,028			-			-
Redeemed		(3,450,391	)		(34,361,525	)		(975,788	)		(8,190,219	)
Net increase (decrease)		134,089		$	1,307,736			6,103,778		$	50,780,947
Growth Opportunities Fund Class A
Sold		4,371,222		$	40,469,007			7,491,630		$	60,391,803
Issued as reinvestment of dividends		1,230,577			12,468,783			-			-
Redeemed		(1,967,121	)		(18,869,030	)		(2,525,814	)		(20,313,694	)
Net increase (decrease)		3,634,678		$	34,068,760			4,965,816		$	40,078,109
Growth Opportunities Fund Class N
Sold		282		$	2,510			1,276		$	10,178
Issued as reinvestment of dividends		230			2,227			-			-
Redeemed		(723	)		(7,146	)		(1,404	)		(11,039	)
Net increase (decrease)		(211	)	$	(2,409	)		(128	)	$	(861	)
Mid-Cap Value Fund Class Z
Sold		1,226,302		$	15,854,124			7,372,837		$	80,616,006
Issued as reinvestment of dividends		56,201			801,273			113,821			1,254,247
Redeemed		(3,554,034	)		(46,127,217	)		(657,647	)		(7,199,832	)
Net increase (decrease)		(2,271,531	)	$	(29,471,820	)		6,829,011		$	74,670,421
Mid-Cap Value Fund Class S
Sold		1,678,185		$	21,705,024			2,663,570		$	28,124,912
Issued as reinvestment of dividends		65,122			930,260			74,827			824,409
Redeemed		(1,209,943	)		(15,992,364	)		(11,157,548	)		(120,981,889	)
Net increase (decrease)		533,364		$	6,642,920			(8,419,151	)	$	(92,032,568	)
Mid-Cap Value Fund Class Y
Sold		69,720		$	895,619			41,390		$	439,233
Issued as reinvestment of dividends		1,869			26,694			2,261			24,970
Redeemed		(48,339	)		(622,515	)		(51,099	)		(540,475	)
Net increase (decrease)		23,250		$	299,798			(7,448	)	$	(76,272	)
Mid-Cap Value Fund Class L
Sold		77,742		$	983,355			106,440		$	1,094,253
Issued as reinvestment of dividends		2,616			37,582			4,027			44,738
Redeemed		(109,992	)		(1,410,424	)		(234,058	)		(2,506,995	)
Net increase (decrease)		(29,634	)	$	(389,487	)		(123,591	)	$	(1,368,004	)
Mid-Cap Value Fund Class A
Sold		185,114		$	2,384,136			108,350		$	1,148,434
Issued as reinvestment of dividends		3,033			43,205			4,100			45,198
Redeemed		(168,144	)		(2,170,437	)		(174,077	)		(1,856,340	)
Net increase (decrease)		20,003		$	256,904			(61,627	)	$	(662,708	)
Mid-Cap Value Fund Class N
Sold		978		$	12,116			1,304		$	13,799
Issued as reinvestment of dividends		26			367			58			635
Redeemed		(1,349	)		(18,160	)		(1,128	)		(11,959	)
Net increase (decrease)		(345	)	$	(5,677	)		234		$	2,475

298

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Small Cap Value Equity Fund Class S
Sold		1,473,132		$	19,295,976			3,979,111		$	39,091,802
Issued as reinvestment of dividends		42,727			617,830			96,617			1,012,546
Redeemed		(3,065,163	)		(39,648,458	)		(3,441,212	)		(34,763,002	)
Net increase (decrease)		(1,549,304	)	$	(19,734,652	)		634,516		$	5,341,346
Small Cap Value Equity Fund Class Y
Sold		231,781		$	2,820,930			216,445		$	2,119,939
Issued as reinvestment of dividends		1,274			18,436			2,415			25,312
Redeemed		(177,968	)		(2,290,165	)		(258,700	)		(2,598,123	)
Net increase (decrease)		55,087		$	549,201			(39,840	)	$	(452,872	)
Small Cap Value Equity Fund Class L
Sold		184,114		$	2,435,248			40,384		$	408,680
Issued as reinvestment of dividends		605			8,740			1,537			16,072
Redeemed		(130,783	)		(1,635,204	)		(41,286	)		(410,129	)
Net increase (decrease)		53,936		$	808,784			635		$	14,623
Small Cap Value Equity Fund Class A
Sold		174,215		$	2,206,629			152,142		$	1,510,837
Issued as reinvestment of dividends		164			2,362			1,929			20,157
Redeemed		(220,702	)		(2,904,973	)		(188,778	)		(1,875,735	)
Net increase (decrease)		(46,323	)	$	(695,982	)		(34,707	)	$	(344,741	)
Small Cap Value Equity Fund Class N*
Sold		-		$	-			40		$	383
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(10	)		(130	)		(2,098	)		(21,234	)
Net increase (decrease)		(10	)	$	(130	)		(2,058	)	$	(20,851	)
Small Company Value Fund Class Z
Sold		2,679,586		$	43,106,993			4,420,503		$	58,953,359
Issued as reinvestment of dividends		907,117			14,378,790			258,812			3,559,203
Redeemed		(1,221,342	)		(19,482,041	)		(2,874,643	)		(39,949,892	)
Net increase (decrease)		2,365,361		$	38,003,742			1,804,672		$	22,562,670
Small Company Value Fund Class S
Sold		1,571,627		$	24,849,547			2,927,865		$	40,313,584
Issued as reinvestment of dividends		1,828,521			29,066,765			732,905			10,100,364
Redeemed		(4,453,914	)		(71,881,915	)		(5,115,964	)		(68,929,197	)
Net increase (decrease)		(1,053,766	)	$	(17,965,603	)		(1,455,194	)	$	(18,515,249	)
Small Company Value Fund Class Y
Sold		577,677		$	9,000,768			351,226		$	4,827,689
Issued as reinvestment of dividends		318,590			5,047,913			105,601			1,450,916
Redeemed		(590,924	)		(9,601,171	)		(2,190,011	)		(30,295,056	)
Net increase (decrease)		305,343		$	4,447,510			(1,733,184	)	$	(24,016,451	)
Small Company Value Fund Class L
Sold		503,156		$	7,935,206			788,136		$	10,545,677
Issued as reinvestment of dividends		259,768			4,076,915			119,919			1,633,377
Redeemed		(1,163,936	)		(18,208,680	)		(1,106,779	)		(15,045,916	)
Net increase (decrease)		(401,012	)	$	(6,196,559	)		(198,724	)	$	(2,866,862	)

299

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Small Company Value Fund Class A
Sold		717,338		$	10,957,079			879,754		$	11,718,312
Issued as reinvestment of dividends		439,630			6,776,343			303,670			4,065,642
Redeemed		(4,793,082	)		(78,026,324	)		(1,879,188	)		(24,941,608	)
Net increase (decrease)		(3,636,114	)	$	(60,292,902	)		(695,764	)	$	(9,157,654	)
Small Company Value Fund Class N
Sold		720		$	10,869			12,207		$	160,669
Issued as reinvestment of dividends		1,498			22,321			375			4,881
Redeemed		(463	)		(7,302	)		(57,570	)		(707,633	)
Net increase (decrease)		1,755		$	25,888			(44,988	)	$	(542,083	)
S&P Mid Cap Index Fund Class Z##
Sold		3,626,503		$	47,323,245			11,706,073		$	120,401,870
Issued as reinvestment of dividends		1,128,317			13,624,924			63,122			690,555
Redeemed		(5,172,556	)		(71,590,283	)		(3,868,993	)		(41,651,846	)
Net increase (decrease)		(417,736	)	$	(10,642,114	)		7,900,202		$	79,440,579
S&P Mid Cap Index Fund Class I##
Sold		454,473		$	5,889,993			10,010		$	100,150
Issued as reinvestment of dividends		71,836			866,633			146			1,604
Redeemed		(63,549	)		(829,560	)		-			-
Net increase (decrease)		462,760		$	5,927,066			10,156		$	101,754
S&P Mid Cap Index Fund Class S##
Sold		228,781		$	3,134,419			20,131		$	210,517
Issued as reinvestment of dividends		38,283			460,630			292			3,191
Redeemed		(29,587	)		(409,114	)		(6	)		(70	)
Net increase (decrease)		237,477		$	3,185,935			20,417		$	213,638
S&P Mid Cap Index Fund Class Y##
Sold		837,661		$	10,704,922			75,447		$	778,528
Issued as reinvestment of dividends		150,904			1,816,197			1,101			12,023
Redeemed		(62,513	)		(822,277	)		(745	)		(8,184	)
Net increase (decrease)		926,052		$	11,698,842			75,803		$	782,367
S&P Mid Cap Index Fund Class L##
Sold		690,511		$	9,326,127			14,804		$	151,160
Issued as reinvestment of dividends		117,509			1,412,629			197			2,152
Redeemed		(38,709	)		(525,167	)		-			-
Net increase (decrease)		769,311		$	10,213,589			15,001		$	153,312
S&P Mid Cap Index Fund Class A##
Sold		695,254		$	8,906,174			10,010		$	100,150
Issued as reinvestment of dividends		106,038			1,276,101			123			1,347
Redeemed		(90,596	)		(1,211,505	)		-			-
Net increase (decrease)		710,696		$	8,970,770			10,133		$	101,497
Russell 2000 Small Cap Index Fund Class Z##
Sold		2,688,800		$	35,172,674			12,189,631		$	125,411,875
Issued as reinvestment of dividends		769,158			9,782,190			73,900			794,428
Redeemed		(4,449,855	)		(59,933,988	)		(4,344,552	)		(46,608,154	)
Net increase (decrease)		(991,897	)	$	(14,979,124	)		7,918,979		$	79,598,149

300

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Russell 2000 Small Cap Index Fund Class I##
Sold		925,327		$	12,168,221			10,010		$	100,149
Issued as reinvestment of dividends		126,651			1,607,287			154			1,658
Redeemed		(70,463	)		(951,307	)		-			-
Net increase (decrease)		981,515		$	12,824,201			10,164		$	101,807
Russell 2000 Small Cap Index Fund Class S##
Sold		756,333		$	10,527,755			11,614		$	117,079
Issued as reinvestment of dividends		108,326			1,371,512			173			1,860
Redeemed		(800,669	)		(10,529,474	)		-			-
Net increase (decrease)		63,990		$	1,369,793			11,787		$	118,939
Russell 2000 Small Cap Index Fund Class Y##
Sold		527,847		$	6,563,979			11,417		$	115,221
Issued as reinvestment of dividends		72,422			919,646			166			1,779
Redeemed		(38,270	)		(511,299	)		-			-
Net increase (decrease)		561,999		$	6,972,326			11,583		$	117,000
Russell 2000 Small Cap Index Fund Class L##
Sold		387,270		$	5,210,333			15,756		$	159,856
Issued as reinvestment of dividends		54,722			692,058			221			2,375
Redeemed		(20,068	)		(270,872	)		-			-
Net increase (decrease)		421,924		$	5,631,519			15,977		$	162,231
Russell 2000 Small Cap Index Fund Class A##
Sold		400,089		$	5,045,763			10,010		$	100,148
Issued as reinvestment of dividends		51,213			648,582			130			1,403
Redeemed		(39,610	)		(519,903	)		-			-
Net increase (decrease)		411,692		$	5,174,442			10,140		$	101,551
Mid Cap Growth Equity II Fund Class Z
Sold		4,445,998		$	77,333,692			5,811,158		$	89,263,622
Issued as reinvestment of dividends		1,620,418			28,897,423			1,090,347			16,353,319
Redeemed		(2,188,296	)		(38,659,382	)		(5,106,425	)		(79,545,549	)
Net increase (decrease)		3,878,120		$	67,571,733			1,795,080		$	26,071,392
Mid Cap Growth Equity II Fund Class S
Sold		4,206,849		$	74,898,543			4,650,664		$	72,241,904
Issued as reinvestment of dividends		3,186,422			56,638,118			2,490,846			37,267,088
Redeemed		(6,817,344	)		(118,841,020	)		(7,787,696	)		(119,837,459	)
Net increase (decrease)		575,927		$	12,695,641			(646,186	)	$	(10,328,467	)
Mid Cap Growth Equity II Fund Class Y
Sold		2,627,288		$	45,398,829			3,503,315		$	53,922,582
Issued as reinvestment of dividends		1,552,676			27,213,847			1,143,806			16,920,942
Redeemed		(3,374,592	)		(60,287,752	)		(3,634,469	)		(56,895,200	)
Net increase (decrease)		805,372		$	12,324,924			1,012,652		$	13,948,324
Mid Cap Growth Equity II Fund Class L
Sold		1,921,072		$	32,598,699			2,036,921		$	30,481,885
Issued as reinvestment of dividends		2,275,984			38,826,831			1,898,518			27,443,165
Redeemed		(4,600,136	)		(78,197,967	)		(5,559,987	)		(83,675,279	)
Net increase (decrease)		(403,080	)	$	(6,772,437	)		(1,624,548	)	$	(25,750,229	)

301

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Mid Cap Growth Equity II Fund Class A
Sold		1,331,338		$	21,542,129			2,225,702		$	32,513,736
Issued as reinvestment of dividends		2,187,780			35,689,859			2,158,780			30,060,774
Redeemed		(8,592,180	)		(143,642,525	)		(4,150,237	)		(60,740,668	)
Net increase (decrease)		(5,073,062	)	$	(86,410,537	)		234,245		$	1,833,842
Mid Cap Growth Equity II Fund Class N
Sold		18,065		$	284,395			22,739		$	323,952
Issued as reinvestment of dividends		14,897			231,834			13,026			174,480
Redeemed		(51,255	)		(825,131	)		(47,446	)		(668,951	)
Net increase (decrease)		(18,293	)	$	(308,902	)		(11,681	)	$	(170,519	)
Small Cap Growth Equity Fund Class Z
Sold		3,987,350		$	72,104,147			2,252,254		$	34,646,245
Issued as reinvestment of dividends		1,882,886			34,384,646			520,472			7,744,622
Redeemed		(2,383,876	)		(45,505,297	)		(2,238,568	)		(34,629,147	)
Net increase (decrease)		3,486,360		$	60,983,496			534,158		$	7,761,720
Small Cap Growth Equity Fund Class S
Sold		4,723,077		$	86,633,321			2,962,254		$	46,061,848
Issued as reinvestment of dividends		4,627,400			84,174,946			1,747,067			25,943,940
Redeemed		(9,165,858	)		(167,955,425	)		(4,982,724	)		(76,627,295	)
Net increase (decrease)		184,619		$	2,852,842			(273,403	)	$	(4,621,507	)
Small Cap Growth Equity Fund Class Y
Sold		954,284		$	17,058,243			612,749		$	9,451,156
Issued as reinvestment of dividends		675,316			11,953,451			232,886			3,383,837
Redeemed		(1,382,119	)		(25,084,607	)		(1,541,912	)		(23,772,530	)
Net increase (decrease)		247,481		$	3,927,087			(696,277	)	$	(10,937,537	)
Small Cap Growth Equity Fund Class L
Sold		494,669		$	8,538,545			726,728		$	10,796,704
Issued as reinvestment of dividends		382,194			6,568,617			212,957			3,019,731
Redeemed		(1,960,453	)		(35,193,089	)		(1,168,112	)		(17,315,741	)
Net increase (decrease)		(1,083,590	)	$	(20,085,927	)		(228,427	)	$	(3,499,306	)
Small Cap Growth Equity Fund Class A
Sold		701,267		$	11,723,841			576,240		$	8,226,157
Issued as reinvestment of dividends		706,736			11,526,808			277,602			3,778,165
Redeemed		(1,568,491	)		(26,157,725	)		(1,874,078	)		(26,814,151	)
Net increase (decrease)		(160,488	)	$	(2,907,076	)		(1,020,236	)	$	(14,809,829	)
Small Cap Growth Equity Fund Class N
Sold		13,566		$	212,148			13,900		$	195,883
Issued as reinvestment of dividends		6,210			95,810			2,326			30,326
Redeemed		(20,290	)		(308,976	)		(13,908	)		(188,880	)
Net increase (decrease)		(514	)	$	(1,018	)		2,318		$	37,329
Small Company Growth Fund Class S
Sold		870,306		$	11,065,960			2,017,508		$	21,224,140
Issued as reinvestment of dividends		551,874			6,616,967			-			-
Redeemed		(1,595,834	)		(20,870,800	)		(2,267,321	)		(24,299,385	)
Net increase (decrease)		(173,654	)	$	(3,187,873	)		(249,813	)	$	(3,075,245	)

302

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Small Company Growth Fund Class Y
Sold		13,309		$	179,643			30,725		$	336,127
Issued as reinvestment of dividends		37,214			443,586			-			-
Redeemed		(9,323	)		(126,553	)		(70,894	)		(791,292	)
Net increase (decrease)		41,200		$	496,676			(40,169	)	$	(455,165	)
Small Company Growth Fund Class L
Sold		87,787		$	1,105,663			198,054		$	2,058,822
Issued as reinvestment of dividends		69,848			814,425			-			-
Redeemed		(278,370	)		(3,271,502	)		(154,497	)		(1,572,055	)
Net increase (decrease)		(120,735	)	$	(1,351,414	)		43,557		$	486,767
Small Company Growth Fund Class A
Sold		102,985		$	1,259,026			112,135		$	1,137,411
Issued as reinvestment of dividends		138,248			1,551,144			-			-
Redeemed		(231,653	)		(2,838,603	)		(282,179	)		(2,868,673	)
Net increase (decrease)		9,580		$	(28,433	)		(170,044	)	$	(1,731,262	)
Small Company Growth Fund Class N***
Sold		-		$	-			-		$	-
Issued as reinvestment of dividends		-			-			-			-
Redeemed		(14,944	)		(180,354	)		(11,489	)		(105,362	)
Net increase (decrease)		(14,944	)	$	(180,354	)		(11,489	)	$	(105,362	)
Diversified International Fund Class S
Sold		4,191,134		$	29,641,386			6,207,201		$	37,254,486
Issued as reinvestment of dividends		495,046			3,639,926			687,327			4,392,023
Redeemed		(6,874,311	)		(47,840,472	)		(4,850,851	)		(29,899,232	)
Net increase (decrease)		(2,188,131	)	$	(14,559,160	)		2,043,677		$	11,747,277
Diversified International Fund Class Y
Sold		848		$	6,155			1,522		$	9,523
Issued as reinvestment of dividends		273			2,053			310			2,025
Redeemed		(2	)		(12	)		(2	)		(10	)
Net increase (decrease)		1,119		$	8,196			1,830		$	11,538
Diversified International Fund Class L
Sold		145		$	1,054			104,929		$	629,097
Issued as reinvestment of dividends		33			248			-			-
Redeemed		(1,257	)		(8,982	)		(467,443	)		(2,937,350	)
Net increase (decrease)		(1,079	)	$	(7,680	)		(362,514	)	$	(2,308,253	)
Diversified International Fund Class A
Sold		59,401		$	430,182			19,321		$	118,056
Issued as reinvestment of dividends		1,868			13,693			2,770			17,645
Redeemed		(70,214	)		(508,157	)		(67,567	)		(410,047	)
Net increase (decrease)		(8,945	)	$	(64,282	)		(45,476	)	$	(274,346	)
Diversified International Fund Class N**
Sold								-		$	-
Issued as reinvestment of dividends								-			-
Redeemed								(10,000	)		(58,616	)
Net increase (decrease)								(10,000	)	$	(58,616	)

303

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
MSCI EAFE International Index Fund Class Z#
Sold		5,788,938		$	74,798,065			19,584,280		$	207,417,447
Issued as reinvestment of dividends		842,008			10,874,483			122,857			1,430,052
Redeemed		(3,814,510	)		(51,137,996	)		(8,902,330	)		(99,572,527	)
Net increase (decrease)		2,816,436		$	34,534,552			10,804,807		$	109,274,972
MSCI EAFE International Index Fund Class I#
Sold		801,347		$	10,268,989			10,009		$	100,100
Issued as reinvestment of dividends		47,145			608,464			125			1,457
Redeemed		(87,008	)		(1,139,815	)		-			-
Net increase (decrease)		761,484		$	9,737,638			10,134		$	101,557
MSCI EAFE International Index Fund Class S#
Sold		22,370		$	296,697			11,499		$	117,023
Issued as reinvestment of dividends		1,717			22,144			138			1,607
Redeemed		(7,031	)		(96,882	)		-			-
Net increase (decrease)		17,056		$	221,959			11,637		$	118,630
MSCI EAFE International Index Fund Class Y#
Sold		361,389		$	4,519,137			11,324		$	115,227
Issued as reinvestment of dividends		19,448			250,948			114			1,330
Redeemed		(61,083	)		(803,182	)		(1,306	)		(15,225	)
Net increase (decrease)		319,754		$	3,966,903			10,132		$	101,332
MSCI EAFE International Index Fund Class L#
Sold		140,585		$	1,848,685			24,772		$	269,625
Issued as reinvestment of dividends		8,503			109,492			127			1,475
Redeemed		(11,859	)		(161,215	)		(14,242	)		(158,413	)
Net increase (decrease)		137,229		$	1,796,962			10,657		$	112,687
MSCI EAFE International Index Fund Class A#
Sold		245,455		$	3,122,914			10,010		$	100,100
Issued as reinvestment of dividends		13,863			178,634			102			1,189
Redeemed		(26,682	)		(349,998	)		-			-
Net increase (decrease)		232,636		$	2,951,550			10,112		$	101,289
Overseas Fund Class Z
Sold		5,154,282		$	42,836,489			7,358,197		$	49,478,990
Issued as reinvestment of dividends		764,562			6,192,954			728,952			4,927,715
Redeemed		(9,689,230	)		(80,115,652	)		(13,052,264	)		(90,382,945	)
Net increase (decrease)		(3,770,386	)	$	(31,086,209	)		(4,965,115	)	$	(35,976,240	)
Overseas Fund Class S
Sold		3,014,588		$	25,163,124			7,765,200		$	53,202,848
Issued as reinvestment of dividends		491,633			3,987,151			264,582			1,791,221
Redeemed		(2,970,552	)		(24,288,994	)		(3,368,839	)		(23,049,971	)
Net increase (decrease)		535,669		$	4,861,281			4,660,943		$	31,944,098
Overseas Fund Class Y
Sold		2,106,989		$	16,862,758			1,436,163		$	9,689,813
Issued as reinvestment of dividends		231,583			1,868,875			121,740			820,526
Redeemed		(1,855,019	)		(15,824,719	)		(4,865,443	)		(32,914,649	)
Net increase (decrease)		483,553		$	2,906,914			(3,307,540	)	$	(22,404,310	)

304

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Overseas Fund Class L
Sold		1,369,000		$	11,339,748			1,197,932		$	8,062,206
Issued as reinvestment of dividends		51,510			419,289			17,924			121,522
Redeemed		(2,117,812	)		(17,059,255	)		(1,812,526	)		(12,882,030	)
Net increase (decrease)		(697,302	)	$	(5,300,218	)		(596,670	)	$	(4,698,302	)
Overseas Fund Class A
Sold		1,086,852		$	8,887,577			1,394,424		$	9,214,961
Issued as reinvestment of dividends		151,696			1,207,500			79,745			531,101
Redeemed		(1,766,584	)		(14,600,220	)		(1,107,561	)		(7,381,044	)
Net increase (decrease)		(528,036	)	$	(4,505,143	)		366,608		$	2,365,018
Overseas Fund Class N
Sold		13,162		$	103,171			39,459		$	272,572
Issued as reinvestment of dividends		1,808			14,208			526			3,469
Redeemed		(5,949	)		(47,508	)		(4,409	)		(30,030	)
Net increase (decrease)		9,021		$	69,871			35,576		$	246,011

* Class N shares were eliminated as of June 18, 2013.

** Class N shares were eliminated as of January 19, 2012.

*** Class N shares were eliminated as of August 27, 2013.

# Fund commenced operations on July 25, 2012.

## Fund commenced operations on July 26, 2012.

Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the year ended December 31, 2013, no material amounts have been retained by the Distributor.

Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. Redemptions or exchanges of Class N shares made within eighteen months of purchase are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. Any contingent deferred sales charges imposed during the year ended December 31, 2013, were waived for any redemptions or exchanges subject to such a charge.

6. Federal Income Tax Information

At December 31, 2013, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund	$	2,011,343,764	$	40,722,012	$	(34,161,922	)	$	6,560,090
Strategic Bond Fund		178,861,442		4,390,676		(4,538,586	)		(147,910	)
Diversified Value Fund		281,271,533		106,107,215		(876,612	)		105,230,603
Fundamental Value Fund		987,136,070		459,022,446		(7,532,586	)		451,489,860
Large Cap Value Fund		397,871,920		88,904,982		(3,310,192	)		85,594,790
S&P 500 Index Fund		1,991,069,965		1,162,824,451		(50,536,058	)		1,112,288,393
Focused Value Fund		614,068,561		299,750,480		-			299,750,480

305

Notes to Financial Statements (Continued)

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Fundamental Growth Fund	$	99,758,229	$	29,723,427	$	(377,014	)	$	29,346,413
Blue Chip Growth Fund		735,058,329		417,354,169		(561,559	)		416,792,610
Growth Opportunities Fund		559,643,488		298,820,961		(1,660,645	)		297,160,316
Mid-Cap Value Fund		135,035,424		28,549,492		(1,791,045	)		26,758,447
Small Cap Value Equity Fund		107,018,430		48,592,896		(899,115	)		47,693,781
Small Company Value Fund		393,151,826		159,952,635		(8,082,200	)		151,870,435
S&P Mid Cap Index Fund		118,171,938		24,213,731		(1,558,289	)		22,655,442
Russell 2000 Small Cap Index Fund		114,012,950		26,670,627		(2,545,378	)		24,125,249
Mid Cap Growth Equity II Fund		1,309,897,744		634,400,951		(14,816,942	)		619,584,009
Small Cap Growth Equity Fund		861,658,514		246,306,166		(9,790,791	)		236,515,375
Small Company Growth Fund		63,344,539		7,560,514		(1,413,221	)		6,147,293
Diversified International Fund		140,836,392		28,590,884		(2,279,236	)		26,311,648
MSCI EAFE International Index Fund		170,001,907		43,089,560		(1,879,195	)		41,210,365
Overseas Fund		538,135,255		137,614,873		(8,711,415	)		128,903,458

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At December 31, 2013, the following Fund(s) had available, for federal income tax purposes, pre-enactment unused capital losses:

	Expiring 2016		Expiring 2017		Expiring 2018
Strategic Bond Fund	$	-	$	4,220,698	$	-
Diversified Value Fund		-		81,826,120		-
Mid-Cap Value Fund		-		13,105,064		-
Small Cap Value Equity Fund		-		17,916,362		-
Diversified International Fund		12,970,723		62,822,946		511,296
Overseas Fund		-		95,910,358		-

At December 31, 2013, the following Fund(s) had post-enactment accumulated capital loss carryforwards:

	Short Term Capital Loss Carryforward		Long term Capital Loss Carryforward
PIMCO Total Return Fund	$	2,258,225	$	-
Strategic Bond Fund		2,583,518		2,001,034
Diversified International Fund		2,601,255		-

Net capital loss carryforwards for the Funds shown in the above table are from post-enactment years and are, therefore, not subject to the eight-year carryforward period and possible expiration.

306

Notes to Financial Statements (Continued)

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2014, post-October capital losses:

	Post-October Loss
PIMCO Total Return Fund	$	8,829,013
Strategic Bond Fund		650,955
S&P 500 Index Fund		5,043,073
Diversified International Fund		2,909,269

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2014, late year ordinary losses:

	Amount
Diversified International Fund	$	168,951

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2013, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
PIMCO Total Return Fund	$	35,128,993	$	2,567,349	$	-
Strategic Bond Fund		5,681,025		-		-
Diversified Value Fund		4,218,771		-		-
Fundamental Value Fund		21,355,025		102,568,839		-
Large Cap Value Fund		33,877,314		396,559		-
S&P 500 Index Fund		52,292,203		22,416,099		-
Focused Value Fund		22,188,930		71,033,388		-
Fundamental Growth Fund		1,688,612		3,936,097		-
Blue Chip Growth Fund		303,436		68,579,450		-
Growth Opportunities Fund		68,924		59,054,791		-
Mid-Cap Value Fund		1,839,381		-		-
Small Cap Value Equity Fund		647,368		-		-
Small Company Value Fund		11,512,856		47,856,222		-
S&P Mid Cap Index Fund		4,150,699		15,356,819		-
Russell 2000 Small Cap Index Fund		7,329,705		9,585,552		-
Mid Cap Growth Equity II Fund		10,398,563		177,099,895		-
Small Cap Growth Equity Fund		59,219,448		89,484,835		-
Small Company Growth Fund		-		9,426,159		-
Diversified International Fund		3,650,196		-		5,725
MSCI EAFE International Index Fund		6,284,526		5,788,897		-
Overseas Fund		13,690,370		-		-

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2012, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
PIMCO Total Return Fund	$	65,092,340	$	3,968,335	$	-
Strategic Bond Fund		5,613,265		-		-
Diversified Value Fund		6,724,836		-		-

307

Notes to Financial Statements (Continued)

	Ordinary Income		Long Term Capital Gain		Return of Capital
Fundamental Value Fund	$	37,015,877	$	-	$	-
Large Cap Value Fund		6,689,783		139,858,959		-
S&P 500 Index Fund		50,952,630		-		-
Focused Value Fund		17,281,371		40,774,091		-
Fundamental Growth Fund		637,547		58,881		-
Blue Chip Growth Fund		1,398,451		-		-
Mid-Cap Value Fund		2,194,280		-		-
Small Cap Value Equity Fund		1,074,087		-		-
Small Company Value Fund		7,249,069		13,565,322		-
S&P Mid Cap Index Fund		1,263,014		38,734		-
Russell 2000 Small Cap Index Fund		1,327,669		5,042		-
Mid Cap Growth Equity II Fund		3,634,475		124,590,604		-
Small Cap Growth Equity Fund		-		43,900,621		-
Diversified International Fund		4,411,709		-		-
MSCI EAFE International Index Fund		1,578,651		16,555		-
Overseas Fund		8,195,701		-		-

The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2013:

	Amount
Diversified International Fund	$	140,395
MSCI EAFE International Index Fund		146,901
Overseas Fund		413,731

Capital accounts within financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2013, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.

At December 31, 2013, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund	$	1,315,390	$	(2,258,225	)	$	(9,224,376	)	$	21,536,414
Strategic Bond Fund		170,413		(8,805,249	)		(680,013	)		(150,064	)
Diversified Value Fund		1,120,983		(81,826,120	)		(94,049	)		105,230,603
Fundamental Value Fund		451,618		27,804,335			(297,497	)		451,497,458
Large Cap Value Fund		2,404,914		5,408,212			(219,202	)		85,608,098
S&P 500 Index Fund		-		-			(5,605,440	)		1,112,288,393
Focused Value Fund		-		17,723,068			(183,073	)		299,750,480
Fundamental Growth Fund		38,999		1,382,038			(17,906	)		29,346,413
Blue Chip Growth Fund		-		-			(219,355	)		416,794,723
Growth Opportunities Fund		-		12,019,436			(118,560	)		297,160,316
Mid-Cap Value Fund		149,204		(13,105,064	)		(33,469	)		26,758,447
Small Cap Value Equity Fund		20,806		(17,916,362	)		(27,282	)		47,693,781
Small Company Value Fund		253,019		5,170,681			(136,580	)		151,870,435
S&P Mid Cap Index Fund		280,924		492,921			(6,191	)		22,655,443

308

Notes to Financial Statements (Continued)

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
Russell 2000 Small Cap Index Fund	$	279,077	$	2,813,216		$	(5,552	)	$	24,125,247
Mid Cap Growth Equity II Fund		8,017,522		19,855,721			(365,849	)		619,583,870
Small Cap Growth Equity Fund		5,596,405		19,569,703			(182,809	)		236,515,376
Small Company Growth Fund		-		1,326,317			(21,959	)		6,147,293
Diversified International Fund		-		(78,906,220	)		(3,115,248	)		26,311,012
MSCI EAFE International Index Fund		63,545		177,931			(8,511	)		41,215,646
Overseas Fund		13,566,369		(95,910,358	)		(175,620	)		129,113,343

During the year ended December 31, 2013, the following amounts were reclassified due to permanent differences between book and tax accounting:

	Paid-in Capital			Accumulated Net Realized Gain (Loss) on Investments			Undistributed Net Investment Income (Loss)
PIMCO Total Return Fund	$	108		$	(11,830,087	)	$	11,829,979
Strategic Bond Fund		20			(1,225,718	)		1,225,698
Diversified Value Fund		35			4,243			(4,278	)
Fundamental Value Fund		(234,553	)		130,159			104,394
Large Cap Value Fund		79			123,188			(123,267	)
S&P 500 Index Fund		(4,669,088	)		(1,620,129	)		6,289,217
Focused Value Fund		71			(20,545	)		20,474
Fundamental Growth Fund		7			(160,852	)		160,845
Blue Chip Growth Fund		(2,764,601	)		1,562,718			1,201,883
Growth Opportunities Fund		(1,216,445	)		(524,308	)		1,740,753
Mid-Cap Value Fund		14			23,922			(23,936	)
Small Cap Value Equity Fund		(3,454	)		28,707			(25,253	)
Small Company Value Fund		53			(304,697	)		304,644
S&P Mid Cap Index Fund		3			(35	)		32
Russell 2000 Small Cap Index Fund		2			14,465			(14,467	)
Mid Cap Growth Equity II Fund		146			(10,008,373	)		10,008,227
Small Cap Growth Equity Fund		(266,875	)		(2,976,901	)		3,243,776
Small Company Growth Fund		(311,584	)		(32,567	)		344,151
Diversified International Fund		(5,710	)		282,208			(276,498	)
MSCI EAFE International Index Fund		4			(67,797	)		67,793
Overseas Fund		66			(5,270,665	)		5,270,599

The Funds did not have any unrecognized tax benefits at December 31, 2013, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2013, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

7. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are

309

Notes to Financial Statements (Continued)

indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

8. New Accounting Pronouncements

On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.

9. Legal Proceedings

On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.

The potential amounts sought to be recovered from the Diversified Value Fund and S&P 500 Index Fund, plus interest and the Official Committee’s court costs, are approximately $1,621,800 and $1,186,430, respectively.

In addition, on June 2, 2011, the Diversified Value Fund and S&P 500 Index Fund were named as defendants in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.

The Funds cannot predict the outcome of these proceedings. Accordingly, the Funds have not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Official Committee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Funds’ net asset values depending on the net assets of each applicable Fund at the time of such judgment or settlement.

10. Subsequent Events

In preparation of these financial statements management has evaluated the events and transactions subsequent to December 31, 2013, through the date when the financial statements were issued, and determined that there are no material events or transactions that would require adjustments to or disclosures in the Funds’ financial statements.

310

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of MassMutual Select Funds and Shareholders of MassMutual Select PIMCO Total Return Fund, MassMutual Select Strategic Bond Fund, MassMutual Select Diversified Value Fund, MassMutual Select Fundamental Value Fund, MassMutual Select Large Cap Value Fund, MM S&P 500 Index Fund, MassMutual Select Focused Value Fund, MassMutual Select Fundamental Growth Fund, MassMutual Select Blue Chip Growth Fund, MassMutual Select Growth Opportunities Fund, MassMutual Select Mid-Cap Value Fund, MassMutual Select Small Cap Value Equity Fund, MassMutual Select Small Company Value Fund, MM S&P^® Mid Cap Index Fund, MM Russell 2000^® Small Cap Index Fund, MassMutual Select Mid Cap Growth Equity II Fund, MassMutual Select Small Cap Growth Equity Fund, MassMutual Select Small Company Growth Fund, MassMutual Select Diversified International Fund, MM MSCI EAFE^® International Index Fund, and MassMutual Select Overseas Fund (collectively, the “Funds”):

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Funds as of December 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian, brokers, and agent banks; where replies were not received from brokers, and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

February 28, 2014

311

Trustees and Officers (Unaudited)

The following table lists the Trust’s Trustees and Officers as of December 31, 2013; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Select Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, CT 06082, Attention: Retirement Services Marketing.

Disinterested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Richard H. Ayers Age: 71	Chairman Trustee	Since 2010 Since 1996	Retired.	92	Director (2008-2011), Celera Corporation; Director (1996-2008), Applera Corporation; Chairman (since 2010), Trustee (since 1999), MML Series Investment Fund (open-end investment company); Chairman and Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairman and Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Allan W. Blair Age: 65	Trustee	Since 2003	President and Chief Executive Officer (since 1996), Economic Development Council of Western Massachusetts; President and Chief Executive Officer (since 1984), Westover Metropolitan Development Corporation.	92	Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Nabil N. El-Hage Age: 55	Trustee	Since 2012	Consultant (since 2010); Chairman (since 2011), Academy of Executive Education, LLC; Senior Associate Dean for External Relations (2009-2010), Thomas Henry Carroll Ford Foundation Adjunct Professor of Business Administration (2009-2010), Professor of Management Practice (2005-2009), Harvard Business School.	92	Director (2007-2010), Virtual Radiologic Corporation; Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company).
Maria D. Furman Age: 59	Trustee	Since 2012	Retired.	92	Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).

312

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
R. Alan Hunter, Jr. Age: 67	Trustee	Since 2003	Retired.	92	Director (since 2007), Actuant Corporation; Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
F. William Marshall, Jr. Age: 71	Trustee	Since 1996	Retired; Consultant (1999-2009).	131***	Trustee (since 2000), Denver Board - Oppenheimer Funds; Trustee (since 1996), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
C. Ann Merrifield Age: 62	Trustee	Since 2012	President and Chief Executive Officer (since 2012), PathoGenetix; Senior Vice President, Genzyme Business Excellence Initiative (2009-2011), President, Biosurgery (2003-2009), Genzyme Corporation.	92	Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
Susan B. Sweeney Age: 61	Trustee	Since 2009	Senior Vice President and Chief Investment Officer (since 2010), Selective Insurance Group (property and casualty company); Senior Managing Director (2008-2010), Ironwood Capital (private equity firm).	94^	Trustee (since 2012), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2012), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

313

Trustees and Officers (Unaudited) (Continued)

Interested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Robert E. Joyal^^ Age: 68	Trustee	Since 2003	Retired.	94^	Director (since 2013) Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc.; Director (since 2006), Jefferies Group, Inc. (investment bank); Director (2007-2011), Scottish Re Group Ltd.; Director (2003-2010), Alabama Aircraft Industries, Inc.; Trustee (since 2003), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2003), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Elaine A. Sarsynski^^^ Age: 58	Trustee	Since 2008	Executive Vice President (since 2008), MassMutual Retirement Services Division, MassMutual; Chairman (since 2006), MassMutual International LLC.	92	Director (since 2012), Horizon Technology Finance Management LLC; Trustee (since 2008), MML Series Investment Fund (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MML Series Investment Fund II (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MassMutual Premier Funds (open-end investment company).

Principal Officers who are Not Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Michael C. Eldredge Age: 49	Vice President	Since 2009	Vice President (since 2008), MassMutual; Vice President (2005-2008), ING; Vice President (since 2009), MML Series Investment Fund (open-end investment company); Vice President (since 2009), MML Series Investment Fund II (open-end investment company); Vice President (since 2009), MassMutual Premier Funds (open-end investment company).	92
Andrew M. Goldberg Age: 47	Vice President, Secretary, and Chief Legal Officer Assistant Secretary	Since 2008 (2001- 2008)	Assistant Vice President and Counsel (since 2004), MassMutual; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company).	92

314

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Nicholas H. Palmerino Age: 48	Chief Financial Officer and Treasurer	Since 2006	Assistant Vice President (since 2006), MassMutual; Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MassMutual Premier Funds (open-end investment company).	92
Philip S. Wellman Age: 49	Vice President and Chief Compliance Officer	Since 2007	Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (since 2008), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2007-2008), MassMutual; Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company).	92
Eric H. Wietsma Age: 47	President Vice President	Since 2008 (2006- 2008)	Senior Vice President (since 2010), Corporate Vice President (2007-2010), MassMutual; Vice President (since 2006), MML Series Investment Fund (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company); President (since 2008) Vice President (2006-2008), MassMutual Premier Funds (open-end investment company).	92

* The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield, CT 06082.

** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-two years.

The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified.

*** Denver Board – Oppenheimer Funds is deemed to be part of the Fund Complex because it is managed by OppenheimerFunds, Inc., an indirect subsidiary of MassMutual.

^ Babson Capital Participation Investors and Babson Capital Corporate Investors are deemed to be a part of the Fund Complex because they are managed by Babson Capital Management LLC, an indirect subsidiary of MassMutual.

^^ Mr. Joyal is an “Interested Person,” as that term is defined in the 1940 Act, through his position as a director of Jefferies Group, Inc., a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MassMutual or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MassMutual has brokerage placement discretion.

^^^ Ms. Sarsynski is an Interested Person through her employment with MassMutual.

# The President, Treasurer, and Secretary are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each other officer shall hold office at the pleasure of the Trustees.

315

Federal Tax Information (Unaudited)

For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2013, qualified for the dividends received deduction, as follows:

	Dividends Received Deductions
Diversified Value Fund		100.00%
Fundamental Value Fund		100.00%
Large Cap Value Fund		30.56%
S&P 500 Index® Fund		100.00%
Focused Value Fund		45.22%
Fundamental Growth Fund		100.00%
Blue Chip Growth Fund		100.00%
Growth Opportunities Fund		100.00%
Mid-Cap Value Fund		100.00%
Small Cap Value Equity Fund		100.00%
Small Company Value Fund		39.63%
S&P Mid Cap Index Fund		28.29%
Russell 2000 Small Cap Index Fund		12.41%
Mid Cap Growth Equity II Fund		78.56%
Small Cap Growth Equity Fund		4.18%

For the year ended December 31, 2013, the following Fund(s) earned the following foreign sources of income:

	Foreign Sources of Income
Diversified International Fund	$	2,801,705
MSCI EAFE International Index Fund		3,675,361
Overseas Fund		8,876,912

Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended December 31, 2013:

	Qualified Dividend Income
Diversified Value Fund	$	4,218,771
Fundamental Value Fund		21,355,025
Large Cap Value Fund		12,963,968
S&P 500 Index® Fund		54,224,091
Focused Value Fund		10,720,669
Fundamental Growth Fund		1,688,613
Blue Chip Growth Fund		303,436
Growth Opportunities Fund		68,924
Mid-Cap Value Fund		1,839,381
Small Cap Value Equity Fund		647,368
Small Company Value Fund		4,753,669
S&P Mid Cap Index Fund		1,192,842
Russell 2000 Small Cap Index Fund		934,763
Mid Cap Growth Equity II Fund		8,840,344
Small Cap Growth Equity Fund		2,598,600
Diversified International Fund		2,633,102
MSCI EAFE International Index Fund		3,240,521
Overseas Fund		8,217,513

316

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser and subadvisers use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s website at http://www.sec.gov.

Quarterly Reporting

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meeting in August 2013, the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MassMutual, or subadvisers (the “Independent Trustees”), approved a new subadvisory agreement (“New Subadvisory Agreement”) with Timberline Asset Management LLC (“Timberline”) for the Small Company Growth Fund (the “Fund”). In preparation for the meeting, the Trustees requested, and MassMutual provided in advance, certain materials relevant to the consideration of the New Subadvisory Agreement. In all of their deliberations, the Trustees were advised by independent counsel.

In reviewing the New Subadvisory Agreement, the Independent Trustees discussed with MassMutual and considered a wide range of information about, among other things: (i) Timberline and its respective personnel with responsibilities for providing services to the Fund; (ii) the terms of the New Subadvisory Agreement; (iii) the scope and quality of services that Timberline will provide under the New Subadvisory Agreement; (iv) the historical investment performance track record of Timberline; and (v) the fees payable to Timberline by MassMutual for the Fund and the effect of such fees on the profitability to MassMutual.

Prior to the votes being taken to approve the New Subadvisory Agreement, the Independent Trustees met separately in executive session to discuss the appropriateness of such contract. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

Based on the foregoing, the Trustees concluded that: (i) overall, they were satisfied with the nature, extent, and quality of services expected to be provided under the New Subadvisory Agreement; (ii) MassMutual’s projected levels of profitability due to the New Subadvisory Agreement were not excessive and the subadvisory fee amounts under the New Subadvisory Agreement are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of Timberline appear well suited to the Fund, given its investment objectives and policies; and (iv) the terms of the New Subadvisory Agreement are fair and reasonable with respect to the Fund and are in the best interests of the Fund’s shareholders. After carefully considering the information summarized above, the Trustees, including the Independent Trustees voting separately, unanimously voted to approve the New Subadvisory Agreement.

The New Subadvisory Agreement became effective on September 17, 2013.

At their meeting in November 2013, the Contract Committee (the “Committee”) and the Trustees, including the Independent Trustees, reviewed and approved a proposal to revise the management fee breakpoints of the Strategic Bond Fund, Fundamental Value Fund, Large Cap Value Fund, Growth Opportunities Fund, Mid Cap Growth Equity II Fund, Small Cap Growth Equity Fund, Diversified International Fund, and Overseas Fund (the “Funds”). In arriving at their decision, the Trustees considered materials provided by MassMutual, including revised profitability schedules for the Funds.

The amendments to the management agreements for the Funds are expected to become effective on April 1, 2014.

317

Other Information (Unaudited) (Continued)

Fund Expenses December 31, 2013

Expense Examples:

The following information is in regards to expenses for the six months ended December 31, 2013:

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2013.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
PIMCO Total Return Fund
Class Z	$	1,000		0.40	%	$	1,014.50	$	2.05	$	1,023.40	$	2.06
Class S		1,000		0.55	%		1,013.00		2.82		1,022.70		2.83
Class Y		1,000		0.67	%		1,012.90		3.44		1,022.10		3.45
Class L		1,000		0.75	%		1,012.20		3.85		1,021.70		3.86
Class A		1,000		0.85	%		1,012.20		4.36		1,021.10		4.38
Class N		1,000		1.10	%		1,010.50		5.63		1,019.90		5.66
Strategic Bond Fund
Class S		1,000		0.71	%		1,012.30		3.64		1,021.90		3.66
Class Y		1,000		0.75	%		1,011.80		3.84		1,021.70		3.86
Class L		1,000		0.93	%		1,010.10		4.76		1,020.70		4.79
Class A		1,000		1.16	%		1,009.50		5.94		1,019.60		5.97
Class N		1,000		1.46	%		1,007.20		7.47		1,018.00		7.51

318

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Diversified Value Fund
Class S	$	1,000		0.59	%	$	1,165.80	$	3.26	$	1,022.50	$	3.04
Class Y		1,000		0.69	%		1,165.60		3.81		1,022.00		3.55
Class L		1,000		0.80	%		1,165.10		4.41		1,021.40		4.12
Class A		1,000		1.09	%		1,163.30		6.01		1,019.90		5.61
Class N		1,000		1.40	%		1,161.30		7.71		1,018.30		7.20
Fundamental Value Fund
Class Z		1,000		0.59	%		1,134.70		3.21		1,022.50		3.04
Class S		1,000		0.79	%		1,133.60		4.29		1,021.50		4.07
Class Y		1,000		0.83	%		1,132.80		4.51		1,021.20		4.27
Class L		1,000		0.98	%		1,131.80		5.32		1,020.50		5.05
Class A		1,000		1.24	%		1,131.40		6.73		1,019.20		6.38
Class N		1,000		1.53	%		1,129.00		8.30		1,017.70		7.87
Large Cap Value Fund
Class S		1,000		0.75	%		1,141.60		4.09		1,021.70		3.86
Class Y		1,000		0.84	%		1,140.70		4.58		1,021.20		4.33
Class L		1,000		0.99	%		1,140.30		5.40		1,020.40		5.10
Class A		1,000		1.24	%		1,137.40		6.75		1,019.20		6.38
Class N		1,000		1.54	%		1,135.60		8.38		1,017.60		7.92
S&P 500 Index Fund
Class Z		1,000		0.08	%		1,163.00		0.44		1,025.10		0.41
Class I		1,000		0.20	%		1,161.30		1.10		1,024.50		1.03
Class S		1,000		0.42	%		1,160.90		2.31		1,023.30		2.17
Class Y		1,000		0.45	%		1,160.50		2.48		1,023.20		2.32
Class L		1,000		0.50	%		1,159.80		2.75		1,022.90		2.58
Class A		1,000		0.65	%		1,159.80		3.58		1,022.20		3.35
Class N		1,000		0.95	%		1,157.10		5.22		1,020.60		4.89
Focused Value Fund
Class Z		1,000		0.68	%		1,158.40		3.74		1,022.00		3.50
Class S		1,000		0.80	%		1,157.80		4.40		1,021.40		4.12
Class Y		1,000		0.90	%		1,157.20		4.95		1,020.90		4.63
Class L		1,000		1.05	%		1,156.70		5.77		1,020.10		5.40
Class A		1,000		1.30	%		1,154.80		7.14		1,018.90		6.69
Class N		1,000		1.60	%		1,153.00		8.78		1,017.30		8.22
Fundamental Growth Fund
Class S		1,000		0.81	%		1,173.50		4.49		1,021.40		4.17
Class Y		1,000		0.91	%		1,173.40		5.04		1,020.80		4.69
Class L		1,000		1.06	%		1,172.70		5.87		1,020.10		5.46
Class A		1,000		1.31	%		1,171.60		7.25		1,018.80		6.74
Class N		1,000		1.61	%		1,170.00		8.90		1,017.30		8.28
Blue Chip Growth Fund
Class S		1,000		0.76	%		1,261.70		4.38		1,021.60		3.91
Class Y		1,000		0.82	%		1,260.70		4.72		1,021.30		4.22
Class L		1,000		0.98	%		1,259.70		5.64		1,020.50		5.05
Class A		1,000		1.19	%		1,258.80		6.85		1,019.40		6.12
Class N		1,000		1.51	%		1,257.00		8.68		1,017.80		7.76

319

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Growth Opportunities Fund
Class Z	$	1,000		0.69	%	$	1,264.20	$	3.98	$	1,022.00	$	3.55
Class S		1,000		0.84	%		1,263.20		4.84		1,021.20		4.33
Class Y		1,000		0.94	%		1,262.60		5.42		1,020.70		4.84
Class L		1,000		1.09	%		1,261.20		6.28		1,019.90		5.61
Class A		1,000		1.34	%		1,259.30		7.71		1,018.70		6.89
Class N		1,000		1.64	%		1,257.40		9.43		1,017.10		8.43
Mid-Cap Value Fund
Class Z		1,000		0.75	%		1,175.90		4.16		1,021.70		3.86
Class S		1,000		0.85	%		1,175.60		4.71		1,021.10		4.38
Class Y		1,000		0.95	%		1,174.60		5.26		1,020.60		4.89
Class L		1,000		1.10	%		1,174.10		6.09		1,019.90		5.66
Class A		1,000		1.35	%		1,172.50		7.47		1,018.60		6.94
Class N		1,000		1.65	%		1,170.20		9.12		1,017.10		8.48
Small Cap Value Equity Fund
Class S		1,000		0.85	%		1,200.90		4.77		1,021.10		4.38
Class Y		1,000		0.95	%		1,199.70		5.32		1,020.60		4.89
Class L		1,000		1.10	%		1,199.80		6.17		1,019.90		5.66
Class A		1,000		1.35	%		1,197.70		7.56		1,018.60		6.94
Small Company Value Fund
Class Z		1,000		0.86	%		1,165.90		4.75		1,021.10		4.43
Class S		1,000		1.05	%		1,164.60		5.79		1,020.10		5.40
Class Y		1,000		1.09	%		1,164.80		6.01		1,019.90		5.61
Class L		1,000		1.24	%		1,163.80		6.84		1,019.20		6.38
Class A		1,000		1.49	%		1,162.10		8.21		1,017.90		7.66
Class N		1,000		1.79	%		1,160.10		9.85		1,016.40		9.20
S&P Mid Cap Index Fund
Class Z		1,000		0.19	%		1,163.40		1.05		1,024.50		0.98
Class I		1,000		0.29	%		1,163.30		1.60		1,024.00		1.50
Class S		1,000		0.44	%		1,161.80		2.42		1,023.20		2.27
Class Y		1,000		0.54	%		1,161.80		2.97		1,022.70		2.78
Class L		1,000		0.69	%		1,161.10		3.80		1,022.00		3.55
Class A		1,000		0.84	%		1,160.10		4.62		1,021.20		4.33
Russell 2000 Small Cap Index Fund
Class Z		1,000		0.19	%		1,195.80		1.06		1,024.50		0.98
Class I		1,000		0.29	%		1,195.90		1.62		1,024.00		1.50
Class S		1,000		0.44	%		1,194.50		2.46		1,023.20		2.27
Class Y		1,000		0.54	%		1,193.70		3.02		1,022.70		2.78
Class L		1,000		0.69	%		1,193.00		3.86		1,022.00		3.55
Class A		1,000		0.84	%		1,192.40		4.69		1,021.20		4.33
Mid Cap Growth Equity II Fund
Class Z		1,000		0.73	%		1,190.50		4.07		1,021.80		3.76
Class S		1,000		0.86	%		1,189.70		4.80		1,021.10		4.43
Class Y		1,000		0.95	%		1,189.10		5.30		1,020.60		4.89
Class L		1,000		1.10	%		1,188.20		6.13		1,019.90		5.66
Class A		1,000		1.34	%		1,186.90		7.47		1,018.70		6.89
Class N		1,000		1.65	%		1,184.90		9.19		1,017.10		8.48

320

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Small Cap Growth Equity Fund
Class Z	$	1,000		0.85	%	$	1,226.20	$	4.82	$	1,021.10	$	4.38
Class S		1,000		0.95	%		1,225.80		5.39		1,020.60		4.89
Class Y		1,000		1.09	%		1,224.70		6.18		1,019.90		5.61
Class L		1,000		1.24	%		1,223.40		7.02		1,019.20		6.38
Class A		1,000		1.49	%		1,222.30		8.44		1,017.90		7.66
Class N		1,000		1.79	%		1,219.80		10.12		1,016.40		9.20
Small Company Growth Fund
Class S		1,000		1.24	%		1,177.80		6.88		1,019.20		6.38
Class Y		1,000		1.27	%		1,176.90		7.04		1,019.00		6.53
Class L		1,000		1.43	%		1,176.00		7.93		1,018.20		7.35
Class A		1,000		1.67	%		1,174.00		9.25		1,017.00		8.58
Diversified International Fund
Class S		1,000		0.99	%		1,187.30		5.52		1,020.40		5.10
Class Y		1,000		1.09	%		1,188.00		6.08		1,019.90		5.61
Class L		1,000		1.17	%		1,186.80		6.52		1,019.50		6.02
Class A		1,000		1.42	%		1,185.40		7.91		1,018.20		7.30
MSCI EAFE International Index Fund
Class Z		1,000		0.23	%		1,180.70		1.28		1,024.30		1.19
Class I		1,000		0.33	%		1,179.50		1.83		1,023.80		1.70
Class S		1,000		0.48	%		1,179.10		2.67		1,023.00		2.47
Class Y		1,000		0.58	%		1,178.10		3.22		1,022.50		2.99
Class L		1,000		0.73	%		1,177.50		4.05		1,021.80		3.76
Class A		1,000		0.88	%		1,176.30		4.88		1,021.00		4.53
Overseas Fund
Class Z		1,000		0.85	%		1,181.20		4.72		1,021.10		4.38
Class S		1,000		1.13	%		1,180.30		6.28		1,019.70		5.82
Class Y		1,000		1.18	%		1,178.90		6.55		1,019.50		6.07
Class L		1,000		1.23	%		1,178.30		6.83		1,019.20		6.33
Class A		1,000		1.48	%		1,177.50		8.21		1,017.90		7.61
Class N		1,000		1.78	%		1,175.40		9.87		1,016.40		9.15

* Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2013, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise.

321

Distributor:

MML Distributors, LLC

1295 State Street

Springfield, MA 01111-0001

March 1, 2014

^©2014 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual
Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services is a division] and its affiliated companies and sales representatives. L4543    314 RS-33426-00

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Economic and Market Overview (Unaudited)	3
Portfolio Manager Report (Unaudited)	6
Portfolio of Investments
MassMutual RetireSMARTSM Conservative Fund	31
MassMutual RetireSMARTSM Moderate Fund	32
MassMutual RetireSMARTSM Moderate Growth Fund	33
MassMutual RetireSMARTSM Growth Fund	34
MassMutual RetireSMARTSM In Retirement Fund	35
MassMutual RetireSMARTSM 2010 Fund	36
MassMutual RetireSMARTSM 2015 Fund	37
MassMutual RetireSMARTSM 2020 Fund	38
MassMutual RetireSMARTSM 2025 Fund	39
MassMutual RetireSMARTSM 2030 Fund	40
MassMutual RetireSMARTSM 2035 Fund	41
MassMutual RetireSMARTSM 2040 Fund	42
MassMutual RetireSMARTSM 2045 Fund	43
MassMutual RetireSMARTSM 2050 Fund	44
MassMutual RetireSMARTSM 2055 Fund	45
Statements of Assets and Liabilities	46
Statements of Operations	54
Statements of Changes in Net Assets	58
Financial Highlights	66
Notes to Financial Statements	81
Report of Independent Registered Public Accounting Firm	115
Trustees and Officers (Unaudited)	116
Federal Tax Information (Unaudited)	120
Other Information (Unaudited)
Proxy Voting	122
Quarterly Reporting	122
Trustees’ Approval of Investment Advisory Contracts	122
Fund Expenses	124

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

MassMutual RetireSMART^SM Funds – President’s Letter to Shareholders (Unaudited)

To Our Shareholders

Eric Wietsma

“Whatever decisions you make with regard to your personal retirement plan, MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are.”

December 31, 2013

Stocks in 2013: Strong performance and record highs

I am pleased to present you with the Annual Report for the RetireSMART^SM Series of the MassMutual Select Funds, covering the year ended December 31, 2013. Investors drove U.S. stocks to their strongest annual performance since 1995, navigating political battles over the federal budget and U.S. debt ceiling and finding optimism in general economic improvement here and abroad, stronger corporate earnings, and the continuation of the Federal Reserve’s Quantitative Easing stimulus program. Many of the most widely followed U.S. stock indexes reached new highs in 2013, but domestic bonds – other than high-yield bonds – struggled, turning negative for the first year since 1999. Foreign stocks of developed markets also rewarded investors, with Japanese stocks rising sharply. In a turnabout from the general trend, stocks from emerging markets struggled.

After a strong year for stocks like 2013, MassMutual believes it is prudent to remind retirement investors to maintain perspective and have realistic expectations about the future performance of their investment accounts. Remember, the financial markets go up and down – and it is nearly impossible to predict their future direction. But while you cannot control the direction of the markets, adhering to certain investment guidelines, such as the ones below, can help you throughout the retirement planning process.

Investment guidelines to keep in mind

Keep your eye on the future and stay current with your long-term plan

One of the most important aspects of retirement planning is identifying your long-term financial goals. While much will happen over the course of your career, keeping your eye on your long-term income needs is one of the best ways to help yourself reach your objectives.

Diversify your retirement investing strategy

One of the greatest advantages you have when you diversify your investment choices among different stock, bond, and short-term/money market investments is that these three distinct investment types tend to behave differently under various economic conditions. Diversifying your retirement strategy allows you to participate in the performance of different investments while helping manage your portfolio’s overall exposure to any one or two investment types.*

A financial professional can help you along the way

If you work with a financial professional, this may be an excellent time to consult him or her so that together, you can monitor and evaluate your personal retirement investment strategy. He or she can help you consider, for example, whether or not you should rebalance your portfolio in view of stocks’ sizable 2013 gains. (Rebalancing is a way to help you ensure that one or more strong-performing asset classes do not occupy a larger portion of your portfolio than you intended.) Your financial professional can also help you identify any other adjustments that you may need to make based on your evolving, long-term financial objectives.

Save as much as you can

In retirement planning, as in life itself, there are so many things you cannot control. But you can control how often and how much you save. Contributing regularly and as much as you can to your retirement strategy, and increasing those contributions as you are able, may play an important role in helping you to keep your investment goals on track, regardless of how the financial markets perform.*

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

(Continued)

1

MassMutual RetireSMART^SM Funds – President’s Letter to Shareholders (Unaudited) (Continued)

Who Matters Most

MassMutual believes “Who Matters Most to You Says the Most About You.” Our customers matter most to us, and our primary focus is to help you take the necessary steps to plan appropriately for your retirement – one that you aspire to enjoy on your terms. The calendar page turning from one year to the next can be a good time for you to assess your financial situation, focus on your strategy for the future, and meet with your financial professional, if you work with one. Whatever decisions you make with regard to your personal retirement plan, MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are. Thank you for putting your trust in MassMutual.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

2

MassMutual RetireSMART^SM Funds – Economic and Market Overview (Unaudited)

December 31, 2013

Stock investors flourish amid central bank support

Investors drove many U.S. stock indexes to record highs in 2013 – and domestic bonds had a negative year for the first time since 1999 – in an environment that featured the continuation of the Federal Reserve’s (the “Fed”) Quantitative Easing program (“QE”) and brought multiple political standoffs over fiscal legislation, a partial government shutdown, improvement in economic indicators in the U.S., and varying degrees of economic and market strength in Europe and the Far East.

The Fed continued its ongoing effort to foster an environment accommodative to economic growth. The central bank helped keep short-term interest rates at historically low levels by maintaining the federal funds rate at 0.0% to 0.25% – the level the rate has occupied since December 2008. The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight. The Fed’s QE purchases of mortgage-backed securities and longer-dated Treasuries totaled $85 billion per month, which helped support the prices of bonds by helping keep demand high for much of the year and contributed to the positive environment for stocks.

The Fed kept QE in full force for the entire year and spurred considerable disruption in both the stock and bond markets when Fed Chairman Bernanke appeared before Congress on May 22 and indicated that the central bank was considering some near-term “tapering” or reduction of its bond purchases. The Fed’s policy announcement on September 18 offered a positive surprise to markets by indicating there would be no imminent changes to QE, as most observers had anticipated the implementation of at least a token decrease in the Fed’s monthly purchases. A market-moving event occurred on December 18, when the Fed unveiled its decision to reduce the monthly bond purchases in QE from $85 billion to $75 billion starting in January 2014. Although improving economic conditions had put the possibility of tapering QE on the front burner once again, many observers expected the central bank to postpone the move, as it had in September. The Fed’s proposed cutback of $10 billion per month was near the low end of expectations for the initial reduction, which helped soften the blow. The Fed also reiterated that short-term rates would remain at current levels, saying the central bank won’t raise short-term rates until well past the time that the unemployment rate declines below 6.5%. The Fed’s December 18 statement indicated Fed officials expect short-term rates to be lower than 1% through the end of 2015, which brought some clarity to the Fed’s near-term plans, and investors drove up stocks in response.

Oil started 2013 at nearly $92 per barrel, dipped to less than $85 in April, crested above $110 in early September, and closed the year at about $98. Gas prices rose substantially in the first quarter of 2013, but declined throughout the fourth quarter of 2013, giving consumers some relief at the pumps at the end of the year. The average price moved in a range between approximately $3.55 and $3.75 per gallon for much of the second and third quarters before dropping to around $3.40 by the end of the year. Gold lost much of its luster with investors who sought the higher returns generated by equities and other investments in the positive market environment. The precious metal led off the year at around $1,657 per ounce, headed downward until early July, staged a summer rally that lost steam as the third quarter drew to a close, and finished the year lower at $1,205.

Market performance

Equity markets rewarded investors substantially in 2013, with U.S. stocks showcasing their best performance since 1995. The NASDAQ Composite^® Index, the major technology stock benchmark, returned 40.12% for the year and was the leader among U.S. broad-market indexes. The Russell 2000^® Index, representing small-capitalization stocks, finished the year near the top of the pile with a 38.82% increase. The S&P 500^® Index of large-capitalization U.S. stocks posted a 32.39% advance, while the blue-chip Dow Jones Industrial Average^SM rose 29.65%. The Morgan Stanley Capital International (“MSCI^®”) Europe, Australasia, Far East (EAFE^®) Index, a barometer for foreign stocks in developed markets, gained 22.78%, benefiting from the strong performance of Japanese stocks, which rose 57% and had their best performance in 40 years. Stocks from developing economies did not fare as well, and the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, lost 2.60% during 2013.

Bonds largely struggled during the 12 months, with the Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. investment-grade bond markets, declining 2.02%. The yield of the 10-year U.S. Treasury note advanced (and its price declined) over the course of the year from 1.83% to 3.02%, taking a very choppy route to make the climb, as wary investors sold notes in reaction to signals from the Fed about the reduction of QE. The yield of the 10-year note is a key benchmark in determining mortgage rates, and its advance caused a slowdown in mortgage sales. Conversely, unrelenting low shorter-term interest rates

3

MassMutual RetireSMART^SM Funds – Economic and Market Overview (Unaudited) (Continued)

continued to take their toll, with shorter-term debt investments barely managing to stay in positive territory. In this environment, the Barclays U.S. 1-3 Year Government Bond Index, which measures the performance of short-term U.S. government bonds, returned just 0.37%; and Treasury bills, as measured by the Citigroup 3-Month Treasury Bill Index, gained only 0.05%. Fixed-income investors sought the higher returns offered by high-yield bonds, which helped the Barclays U.S. Corporate High-Yield Index, a measure of the performance of fixed-rate, non-investment-grade debt from corporate sectors, advance 7.44% for the year.*

First quarter 2013: stocks outperform bonds to start the year

Congressional votes to secure passage of a deal to avert the “fiscal cliff” were confirmed late on January 1, 2013. (The fiscal cliff was a large reduction of the federal budget deficit through significant tax increases and spending cuts, which were scheduled to become effective on January 1, 2013, unless Congress could strike an alternate plan.) In February, equity investors focused on the specter of sequestration – the automatic, across-the-board series of spending cuts to government agencies set to go into effect March 1, 2013. Ultimately, in March, Congress passed a stopgap spending bill to keep the federal government running through September 2013. Also in March, the Department of Labor reported that the U.S. unemployment rate fell to its lowest level since December 2008, and the Fed continued its commitment to keep the federal funds rate between 0% and 0.25% – announcing at the same time that it would maintain QE.

U.S. and foreign stocks rose in the first quarter of 2013, outperforming their fixed-income counterparts. Treasury yields traded in a relatively narrow range until mid-March, when they spiked higher on growing optimism about the U.S. economy. (Bond prices move in the opposite direction to interest rates [or yields]; when yields rise, the prices of existing bonds fall – and vice versa.)

Overseas, the Japanese Cabinet approved a ¥20 trillion (yen) ($224 billion) stimulus package in January 2013, which was expected to create 600,000 jobs and help repair tsunami-ravaged coastland. Evidence of a possible slowdown in China caused concern over the world’s second-largest economy, but Chinese lending reached a two-year high and aggregate financing increased substantially, which indicated improving conditions. In March, banks in Cyprus, experiencing hard times because of their investments in Greek sovereign debt, took a $10 billion bailout from the European Union and the International Monetary Fund to resolve the country’s banking crisis – although the deal restricted Cyprus’s financial industry and limited its status as an offshore tax haven.

Second quarter 2013: prospect of Fed tapering gives investors pause

While stock prices advanced during April and much of May, they gave up a significant portion of those gains following Ben Bernanke’s May 22 remarks to Congress about tapering QE. The Fed chairman stated that the central bank might begin tapering bond purchases in its QE program later in 2013 if warranted by U.S. economic data. Despite the jitters this announcement sent through the markets, U.S. stocks ultimately managed to move higher during the second quarter.

Interest rates rose in the wake of Bernanke’s QE comments when investors sold bonds on the belief that demand would decline if the Fed were to stop its bond purchases, and ensuing price declines drove interest rates higher. Interestingly, concern about the end of QE gave new life to investors’ “bad news is good news” response to economic data. For example, the Commerce Department’s third and final estimate of first-quarter economic growth, released on June 26, came in at 1.8%, well below the previous estimate of 2.4%. Under normal circumstances, weaker-than-expected economic growth would tend to drive down stock prices. However, the news helped shares advance, as investors were hopeful that the disappointing data might convince the Fed to continue with QE for a while longer.

Also weighing on U.S. stocks late in the period was a swoon in Japanese equity prices. Japan’s stock market had been on a tear since mid-November 2012, and when the Bank of Japan announced a massive QE program of its own in April, the rally in that nation’s stocks accelerated, only to reverse sharply along with U.S. shares following Bernanke’s congressional testimony. Emerging markets, including Brazil and China, struggled with lackluster economic growth.

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

4

MassMutual RetireSMART^SM Funds – Economic and Market Overview (Unaudited) (Continued)

Third quarter 2013: stocks on top; Fed comes to the rescue

U.S. stocks posted strong returns in the third quarter of 2013. Share prices moved higher in July, but backed off in August, as investors remained uncertain of the Fed’s tapering timetable. Disappointing quarterly news from companies regarded as bellwethers for the broader economy, including Wal-Mart Stores and Cisco Systems, weighed on the market in August, as did the growing likelihood of U.S. military strikes in Syria in retaliation for the Assad regime’s alleged use of chemical weapons there.

Stocks rebounded again in September in the midst of talk of a possible diplomatic solution to the crisis in Syria. The market also got a lift from news that former U.S. Treasury Secretary Larry Summers was withdrawing from consideration as a possible replacement for Fed Chairman Bernanke, who would step down in January 2014. Summers’ decision cleared the field for Fed Vice Chair Janet Yellen, a stronger proponent of QE. President Obama ultimately nominated Yellen for the post in early October.

On the heels of the big boost stocks and bonds got from the Fed’s September 18 announcement that QE would continue, the final week of the quarter brought stock-price declines attributable to investor concerns about two looming issues. The first was a federal government shutdown that ultimately came to pass on October 1 due to Congress’s inability to reach a funding agreement prior to the September 30 deadline, and the second was a political stalemate over the U.S. debt ceiling, which needed resolution by mid-October to prevent a default.

Fourth quarter 2013: stocks power ahead through government shutdown, possible Fed tapering

Investors largely stood their ground through the political fiscal wrangling and potential Fed actions, and U.S. stocks notched impressive gains in the fourth quarter of 2013 to cap a banner year that saw most of the popular equity benchmarks record a series of new all-time highs.

Sixteen days into the shutdown, Congress finally approved a measure on October 16 that provided funding for the government until mid-January, along with a temporary extension of the U.S. debt ceiling until February 7, 2014. President Obama signed the bill into law in the early hours of October 17, and most federal workers returned to work that same day. The move alleviated fears that the nation would not pay its bills and ended the shutdown, which had been in effect since October 1. The stock market responded with strong gains during the month of October, and the momentum carried over into November, bolstered by upward revisions to economic growth figures, improved consumer confidence, and a reduction in a key interest rate by the European Central Bank, which also sent European equities higher.

In December, equities rose, but the results did not come easily. The major equity market indexes experienced losses in the first two weeks of the month, reflecting investor concerns that the market might be overpriced and lingering questions about the Fed’s timeline for the tapering of QE. In fact, the S&P 500’s decline of 1.6% in the second week of December was its worst weekly performance since August. Sentiment improved in the third week of the month, as the market received clear communication from the Fed of its plans to reduce its bond purchases and, more importantly, its commitment to keep short-term rates very low as it does so.

Stocks in the U.S. also rose during the latter part of December following the passage of a two-year budget agreement that appeared to reduce the risk of another government shutdown, which represented a welcome departure from the political brinksmanship that has characterized most Congressional budget debates over the past few years. A sizable upward revision in the government’s December 20 release of estimated third-quarter economic growth to a healthy 4.1% from 3.6% was another positive catalyst.

As 2013 transitioned into 2014, stock investors focused on the factors likely to impact the markets in the year ahead, with the imminent reduction of QE at the top of the list. As we prepared this report in early January 2014, the Senate confirmed Janet L. Yellen as the first woman to lead the Federal Reserve. Ms. Yellen will succeed outgoing Chairman Ben Bernanke on February 1, 2014, coming in at a time when the Fed is looking to balance economic growth with the tapering of QE. Investors will also keep an eye out for improving economic growth here and abroad to help create a favorable environment for stocks and bonds. We believe these important issues and numerous others will come into play as investors navigate the world’s financial markets in the year ahead.

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

5

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Manager Report (Unaudited)

What are the investment approaches of the Funds that constitute the MassMutual RetireSMART^SM (risk-based) Series, and who is the Series’ investment adviser?

The MassMutual RetireSMART (risk-based) Series (the “Series”) comprises four Funds – each of which has a “fund of funds” structure. The four Funds are RetireSMART Conservative Fund, RetireSMART Moderate Fund, RetireSMART Moderate Growth Fund, and RetireSMART Growth Fund. All Funds in the Series seek to achieve as high a total rate of return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital.

Each Fund seeks to achieve its investment objective by investing in a combination of domestic and international mutual funds sponsored by MassMutual or its affiliates (“Underlying Funds”) using an asset allocation strategy. Underlying Funds can include MassMutual Select Funds and MassMutual Premier Funds, which are advised by Massachusetts Mutual Life Insurance Company (MassMutual), and OppenheimerFunds, which are advised by OFI Global Asset Management, Inc. (OFI Global), a majority owned, indirect subsidiary of MassMutual. Underlying Funds may invest in various asset classes, including equity securities, fixed income securities, and money market instruments. Underlying Funds may also invest some or all of their assets directly or indirectly in one or more commodities or commodities-related investments or may themselves invest using an asset allocation strategy among equity, fixed income, money market, commodity, and other investments. The Series’ investment adviser is MassMutual.

Each Fund’s assets are allocated among its Underlying Funds according to an asset allocation strategy, as follows:

• RetireSMART Conservative Fund: Assets are allocated among Underlying Funds using a conservative asset allocation strategy (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 30% of its assets invested in equity and similar funds and approximately 70% invested in fixed income funds, including money market funds.

• RetireSMART Moderate Fund: Assets are allocated among Underlying Funds using a moderate asset allocation strategy (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 60% of its assets invested in equity and similar funds and approximately 40% invested in fixed income funds, including money market funds.

• RetireSMART Moderate Growth Fund: Assets are allocated among Underlying Funds using an asset allocation strategy that emphasizes the potential for moderate growth (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 85% of its assets invested in equity and similar funds and approximately 15% invested in fixed income funds, including money market funds.

• RetireSMART Growth Fund: Assets are allocated among Underlying Funds using an asset allocation strategy that emphasizes the potential for growth (relative to the other risk-based MassMutual RetireSMART Funds), with approximately 97% of its assets invested in equity and similar funds and approximately 3% invested in fixed income funds, including money market funds.

6

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Manager Report (Unaudited) (Continued)

How did each Fund perform during the 12 months ended December 31, 2013?

The return of each Fund’s Class S shares is shown below. Also shown are the returns of each Fund’s Custom Index; the Lipper Balanced Fund Index, an unmanaged, equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category; the Barclays U.S. Aggregate Bond Index, an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index, and the Barclays U.S. Securitized Bond Index; and the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

	Fund’s Class S Shares Return	Custom Index Return	Lipper Balanced Fund Index Return	Barclays U.S. Aggregate Bond Index Return	S&P 500 Index Return
RetireSMART Conservative Fund	6.29%	7.16%	16.52%	-2.02%*	32.39%
RetireSMART Moderate Fund	14.56%	16.70%	16.52%	-2.02%	32.39%*
RetireSMART Moderate Growth Fund	21.91%	25.23%	16.52%	-2.02%	32.39%*
RetireSMART Growth Fund	25.93%	29.53%	16.52%	-2.02%	32.39%*

* Benchmark return

All of the RetireSMART Funds underperformed their respective custom indexes for the 12-month period, as well as the S&P 500 Index. Of the four RetireSMART Funds, only RetireSMART Moderate Growth and RetireSMART Growth Fund outperformed the Lipper Balanced Fund Index. All four Funds substantially outperformed Barclays U.S. Aggregate Bond Index for the year.

Custom RetireSMART Indexes:

• The Custom RetireSMART Conservative Index comprises the Morgan Stanley Capital International Europe, Australasia, Far East (MSCI^® EAFE^®) Index, the Dow Jones Wilshire 5000 (full cap) Index, the Barclays U.S. Aggregate Bond Index, and the Citigroup 3-Month U.S. Treasury Bill Index The weightings of each index are generally static but may be adjusted from time to time to reflect RetireSMART Conservative Fund’s target asset allocation.

• The Custom RetireSMART Moderate Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are generally static but may be adjusted from time to time to reflect RetireSMART Moderate Fund’s target asset allocation.

• The Custom RetireSMART Moderate Growth Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are generally static but may be adjusted from time to time to reflect RetireSMART Moderate Growth Fund’s target asset allocation.

• The Custom RetireSMART Growth Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are generally static but may be adjusted from time to time to reflect RetireSMART Growth Fund’s target asset allocation.

7

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Manager Report (Unaudited) (Continued)

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Investment adviser discussion of factors that contributed to the Funds’ performance

The largest impact on the Series’ performance during the period was the Underlying Funds’ allocation to fixed-income (bonds) versus equities (stocks). Equity markets delivered extraordinary gains during 2013, while U.S. Treasury bonds posted losses, as interest rates rose. As a result, the Funds with a higher equity (stock) allocation – such as RetireSMART Moderate Growth and RetireSMART Growth – experienced higher returns than those funds with a higher fixed income allocation – such as RetireSMART Conservative or RetireSMART Moderate.

The Barclays U.S. Treasury Index lost 2.42% versus the S&P 500 Index’s gain of 32.39%. Foreign developed markets, as measured by the MSCI EAFE Index, lagged the U.S., but still rewarded investors with a 22.78% return. In contrast to the strength in developed markets, emerging markets delivered a negative total return, with the MSCI Emerging Markets Index losing 2.60% for the year. Similarly, the Barclays U.S. Aggregate Bond Index lost 2.02%. Conversely, the Barclays U.S. Corporate High-Yield Bond Index rose 7.44%.

Exposure to high-yield bonds aided results, but other fixed-income sectors, such as Treasury Inflation-Protected Securities (“TIPS”) and international bonds, detracted from the Series’ performance. U.S. equities across the market capitalization spectrum were up sharply and the small-capitalization Russell 2000^® Index was a standout, with a total annual return of 38.82%. The Series had an impactful exposure to emerging-market equities, which was a drag on results in 2013. Commodity-related exposure was the single largest detractor from Series results for the second consecutive year, but limited positioning in the asset class reduced the negative impact.

Volatility in the markets was surprisingly low during most of 2013, with the biggest reaction coming in May from the Federal Reserve’s surprising signal that the central bank might soon begin to “taper” its bond-purchase program, known as Quantitative Easing (QE), which had lent much support to bond prices and helped keep interest rates low. Throughout the year, stocks rose on signs that U.S. gross domestic product (GDP) and employment were making steady progress. Stock prices held up through another Washington, D.C., debt showdown in the fall and then powered higher once it appeared that the federal government would reach a compromise. Fears of a Chinese economic “hard landing” remained as a nagging issue, which influenced lower commodity and emerging-market stock prices.

Within the Series, emphasizing overall positioning with a meaningful emphasis on reducing interest rate exposure was positive. A generally overweight allocation to equities was beneficial, but was offset somewhat by reducing the risk profile of the Series’ U.S. equity investments and adding a more substantial investment in emerging-market equities early in the fourth quarter. Changes to the Underlying Funds that constitute the Series included the removal of Premier International Bond Fund and the introduction of Oppenheimer International Bond Fund. We also added Oppenheimer Global REIT Fund to the Series’ Underlying Funds.

Investment adviser outlook

We remain cautiously optimistic about the economy and markets, but our assessment of underlying fundamentals has improved. Economic growth in the U.S. has increased along with signs of global growth. Meanwhile, we believe progress in Washington, D.C., will be a key factor in helping support the inconsistent, but steady, trend towards improving consumer, business and investor confidence. However, in our view, the sharp rise in the U.S. stock market means that prices and sentiment may be somewhat over-optimistic.

Our belief is that the long-term case for stocks versus bonds is solid, but that higher interest rates, higher equity prices, and modest inflation have improved the case for bonds. As a result, we have reduced the Series’ allocation towards shorter-maturity bonds. Although there are no guarantees, these factors favor maintaining a balanced mix of stocks and bonds to manage portfolio risk in the future.

8

MassMutual RetireSMART^SM (risk-based) Funds – Portfolio Manager Report (Unaudited) (Continued)

MassMutual RetireSMART Conservative Fund Asset Allocation (% of Net Assets) on 12/31/13
Fixed Income Funds	68.8	%
Equity Funds	31.3	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	59.9	%
Fixed Income Funds	40.2	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Moderate Growth Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	83.9	%
Fixed Income Funds	16.2	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART Growth Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	97.0	%
Fixed Income Funds	3.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

9

MassMutual RetireSMART^SM Conservative Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART Conservative Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the Barclays U.S. Aggregate Bond Index, the S&P 500 Index, the Lipper Balanced Fund Index, and the Custom RetireSMART Conservative Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 6/20/11 - 12/31/13
Class S		6.29%		6.17%
Class A		5.92%		5.79%
Class A (sales load deducted)*		-0.17%		3.34%
Class Y		6.29%		6.16%
Class L		6.22%		6.07%
Barclays U.S. Aggregate Bond Index#		-2.02%		2.55%
S&P 500 Index		32.39%		18.48%
Lipper Balanced Fund Index		16.52%		9.48%+
Custom RetireSMART Conservative Index		7.16%		6.42%+

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

+ From 7/1/11.

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

10

MassMutual RetireSMART^SM Moderate Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART Moderate Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART Moderate Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 6/20/11 - 12/31/13
Class S		14.56%		9.52%
Class A		14.21%		9.17%
Class A (sales load deducted)*		7.64%		6.65%
Class Y		14.53%		9.54%
Class L		14.44%		9.43%
S&P 500 Index#		32.39%		18.48%
Barclays U.S. Aggregate Bond Index		-2.02%		2.55%
Lipper Balanced Fund Index		16.52%		9.48%+
Custom RetireSMART Moderate Index		16.70%		9.90%+

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

+ From 7/1/11.

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

11

MassMutual RetireSMART^SM Moderate Growth Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART Moderate Growth Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART Moderate Growth Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 6/20/11 - 12/31/13
Class S		21.91%		12.26%
Class A		21.49%		11.89%
Class A (sales load deducted)*		14.51%		9.31%
Class Y		21.93%		12.26%
Class L		21.84%		12.15%
S&P 500 Index#		32.39%		18.48%
Barclays U.S. Aggregate Bond Index		-2.02%		2.55%
Lipper Balanced Fund Index		16.52%		9.48%+
Custom RetireSMART Moderate Growth Index		25.23%		12.69%+

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

+ From 7/1/11.

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

12

MassMutual RetireSMART^SM Growth Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART Growth Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART Growth Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 6/20/11 - 12/31/13
Class S		25.93%		13.73%
Class A		25.48%		13.32%
Class A (sales load deducted)*		18.26%		10.70%
Class Y		25.82%		13.69%
Class L		25.73%		13.61%
S&P 500 Index#		32.39%		18.48%
Barclays U.S. Aggregate Bond Index		-2.02%		2.55%
Lipper Balanced Fund Index		16.52%		9.48%+
Custom RetireSMART Growth Index		29.53%		13.98%+

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

+ From 7/1/11.

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

13

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Manager Report (Unaudited)

What are the investment approaches of the Funds that constitute the MassMutual RetireSMART^SM (target date) Series, and who is the Series’ investment adviser?

The MassMutual RetireSMART (target-date) Series (the “Series”) comprises 11 Funds – each of which has a “fund of funds” structure. The 11 Funds are RetireSMART In Retirement Fund, RetireSMART 2010 Fund, RetireSMART 2015 Fund, RetireSMART 2020 Fund, RetireSMART 2025 Fund, RetireSMART 2030 Fund, RetireSMART 2035 Fund, RetireSMART 2040 Fund, RetireSMART 2045 Fund, RetireSMART 2050 Fund, and RetireSMART 2055 Fund. RetireSMART In Retirement Fund seeks to achieve high current income and, as a secondary objective, capital appreciation. All other Funds in the Series seek to achieve as high a total rate of return on an annual basis as is considered consistent with prudent investment risk and the preservation of capital.

Each Fund invests in a combination of domestic and international mutual funds sponsored by MassMutual or its affiliates (“Underlying Funds”) using an asset allocation strategy designed for investors expecting to retire at age 65 around the year specified in the Fund name and likely stop making new investments in the Fund at or around that time (or designed for investors already in retirement for the In Retirement Fund). Underlying Funds can include MassMutual Select Funds and MassMutual Premier Funds, which are advised by Massachusetts Mutual Life Insurance Company (MassMutual), and OppenheimerFunds, which are advised by OFI Global Asset Management, Inc. (OFI Global), a majority owned, indirect subsidiary of MassMutual. The Underlying Funds may invest in various asset classes, including equity securities, fixed income securities, and money market instruments, as well as commodities or commodities-related investments. The Series’ investment adviser is MassMutual.

Each Fund’s assets are allocated to its Underlying Funds according to an asset allocation strategy, as follows:

• RetireSMART In Retirement Fund: Assets are allocated among Underlying Funds according to a target asset allocation strategy that emphasizes fixed income and money market funds, but also includes a smaller allocation to equity and certain other funds.

• RetireSMART 2010/2015/2020/2025/2030/2035/2040/2045/2050/2055 Funds: For each Fund, assets are allocated among Underlying Funds according to an asset allocation strategy that becomes increasingly conservative until it reaches approximately 35% in equity funds and similar funds and 65% in fixed income funds, including money market funds, approximately 15 years after the target retirement date.

14

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

How did each Fund perform during the 12 months ended December 31, 2013?

The return of each Fund’s Class S shares is shown below. Also shown are the returns of each Fund’s Custom Index; the Lipper Balanced Fund Index, an unmanaged, equally weighted index of the 30 largest mutual funds within the Lipper Balanced Category; the Barclays U.S. Aggregate Bond Index, an unmanaged index of fixed-rate investment-grade securities with at least one year to maturity, combining the Barclays U.S. Treasury Bond Index, the Barclays U.S. Government-Related Bond Index, the Barclays U.S. Corporate Bond Index and the Barclays U.S. Securitized Bond Index; and the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies.

	Fund’s Class S Shares Return	Custom Index Return	Lipper Balanced Fund Index Return	Barclays U.S. Aggregate Bond Index Return	S&P 500 Index Return
RetireSMART In Retirement Fund	6.93%	8.85%	16.52%	-2.02%*	32.39%
RetireSMART 2010 Fund	10.46%	12.86%	16.52%	-2.02%*	32.39%
RetireSMART 2015 Fund	13.87%	16.59%	16.52%	-2.02%*	32.39%
RetireSMART 2020 Fund	17.50%	20.84%	16.52%	-2.02%	32.39%*
RetireSMART 2025 Fund	20.38%	23.60%	16.52%	-2.02%	32.39%*
RetireSMART 2030 Fund	21.84%	25.63%	16.52%	-2.02%	32.39%*
RetireSMART 2035 Fund	22.88%	26.46%	16.52%	-2.02%	32.39%*
RetireSMART 2040 Fund	23.20%	26.79%	16.52%	-2.02%	32.39%*
RetireSMART 2045 Fund	25.33%	29.07%	16.52%	-2.02%	32.39%*
RetireSMART 2050 Fund	25.48%	29.15%	16.52%	-2.02%	32.39%*
RetireSMART 2055 Fund	7.56%**	13.21%***	8.66%***	0.38%**	8.73%^

* Benchmark return

** Return for the period 9/17/13-12/31/13

*** Return for the period 10/1/13-12/31/13

^ Benchmark return for the period 9/17/13-12/31/13

15

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

Each of the RetireSMART (target-date) Funds underperformed its respective Custom Index for the 12-month period. (Custom Indexes are defined below and on the following page.) Similarly, all 11 of the RetireSMART Funds lagged the S&P 500 Index. The RetireSMART In Retirement, RetireSMART 2010, RetireSMART 2015 and RetireSMART 2055 Funds underperformed the Lipper Balanced Fund Index. Finally, all of the Funds (each of which has a stock component) significantly outperformed the Barclays U.S. Aggregate Bond Index for the year.

Custom RetireSMART Indexes:

• The Custom RetireSMART In Retirement Index comprises the Morgan Stanley Capital International Europe, Australasia, Far East (MSCI^® EAFE^®) Index, the Dow Jones Wilshire 5000 (full cap) Index, the Barclays U.S. Aggregate Bond Index, and the Citigroup 3-Month U.S. Treasury Bill Index. The weightings of each index are generally static but may be adjusted from time to time to reflect RetireSMART In Retirement Fund’s target asset allocation.

• The Custom RetireSMART 2010 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, the Barclays U.S. Aggregate Bond Index, and the Citigroup 3-Month U.S. Treasury Bill Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2010 Fund’s target asset allocation.

• The Custom RetireSMART 2015 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, the Barclays U.S. Aggregate Bond Index, and the Citigroup 3-Month U.S. Treasury Bill Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2015 Fund’s target asset allocation.

• The Custom RetireSMART 2020 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2020 Fund’s target asset allocation.

• The Custom RetireSMART 2025 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2025 Fund’s target asset allocation.

• The Custom RetireSMART 2030 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2030 Fund’s target asset allocation.

• The Custom RetireSMART 2035 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2035 Fund’s target asset allocation.

• The Custom RetireSMART 2040 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2040 Fund’s target asset allocation.

• The Custom RetireSMART 2045 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2045 Fund’s target asset allocation.

• The Custom RetireSMART 2050 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2050 Fund’s target asset allocation.

• The Custom RetireSMART 2055 Index comprises the MSCI EAFE Index, the Dow Jones Wilshire 5000 (full cap) Index, and the Barclays U.S. Aggregate Bond Index. The weightings of each index are adjusted from time to time (generally quarterly) to reflect RetireSMART 2055 Fund’s target asset allocation.

16

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Investment adviser discussion of factors that contributed to the Funds’ performance

The largest impact on the Series’ performance during the period was the Underlying Funds’ allocation to fixed-income (bonds) versus equities (stocks). Equity markets delivered extraordinary gains during 2013, while U.S. Treasury bonds posted losses, as interest rates rose. As a result, the Funds with a higher equity (stock) allocation – such as RetireSMART 2020, 2025, 2030, 2035, 2040, 2045, 2050 and 2055 – experienced higher returns than those Funds with a higher fixed-income allocation – such as RetireSMART In Retirement, 2010, and 2015.

The Barclays U.S. Treasury Index lost 2.42% versus the S&P 500 Index’s gain of 32.39%. Foreign developed markets, as measured by the MSCI EAFE Index, lagged the U.S., but still rewarded investors with a 22.78% return. In contrast to the strength in developed markets, emerging markets delivered a negative total return, with the MSCI Emerging Markets Index losing 2.60% for the year. Similarly, the Barclays U.S. Aggregate Bond Index lost 2.02%. Conversely, the Barclays U.S. Corporate High-Yield Bond Index rose 7.44%.

Exposure to high-yield bonds aided results, but other fixed-income sectors, such as Treasury Inflation-Protected Securities (“TIPS”) and international bonds, detracted from the Series’ performance. U.S. equities across the market capitalization spectrum were up sharply and the small-capitalization Russell 2000^® Index was a standout, with a total annual return of 38.82%. The Series had an impactful exposure to emerging-market equities, which was a drag on results in 2013. Commodity-related exposure was the single largest detractor from Series results for the second consecutive year, but limited positioning in the asset class reduced the negative impact.

Volatility in the markets was surprisingly low during most of 2013, with the biggest reaction coming in May from the Federal Reserve’s surprising signal that the central bank might soon begin to “taper” its bond-purchase program, known as Quantitative Easing (QE), which had lent much support to bond prices and helped keep interest rates low. Throughout the year, stocks rose on signs that U.S. gross domestic product (GDP) and employment were making steady progress. Stock prices held up through another Washington, D.C., debt showdown in the fall and then powered higher once it appeared that the federal government would reach a compromise. Fears of a Chinese economic “hard landing” remained as a nagging issue, which influenced lower commodity and emerging-market stock prices.

Within the Series, emphasizing overall positioning with a meaningful emphasis on reducing interest rate exposure was positive. A generally overweight allocation to equities was beneficial, but was offset somewhat by reducing the risk profile of the Series’ U.S. equity investments and adding a more substantial investment in emerging-market equities early in the fourth quarter. Changes to the Underlying Funds that constitute the Series included the removal of Premier International Bond Fund and the introduction of Oppenheimer International Bond Fund. We also added Oppenheimer Global REIT Fund to the Series’ Underlying Funds.

Investment adviser outlook

We remain cautiously optimistic about the economy and markets, but our assessment of underlying fundamentals has improved. Economic growth in the U.S. has increased along with signs of global growth. Meanwhile, we believe progress in Washington, D.C., will be a key factor in helping support the inconsistent, but steady, trend towards improving consumer, business and investor confidence. However, in our view, the sharp rise in the U.S. stock market means that prices and sentiment may be somewhat over-optimistic.

Our belief is that the long-term case for stocks versus bonds is solid, but that higher interest rates, higher equity prices, and modest inflation have improved the case for bonds. As a result, we have reduced the Series’ allocation towards shorter-maturity bonds. Although there are no guarantees, these factors favor maintaining a balanced mix of stocks and bonds to manage portfolio risk in the future.

17

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

MassMutual RetireSMART In Retirement Fund Asset Allocation (% of Net Assets) on 12/31/13
Fixed Income Funds	63.4	%
Equity Funds	36.7	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2015 Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	57.4	%
Fixed Income Funds	42.8	%
Total Long-Term Investments	100.2	%
Other Assets & Liabilities	(0.2	)%
Net Assets	100.0	%

MassMutual RetireSMART 2025 Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	77.7	%
Fixed Income Funds	22.4	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2035 Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	86.6	%
Fixed Income Funds	13.5	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2010 Fund Asset Allocation (% of Net Assets) on 12/31/13)
Fixed Income Funds	53.0	%
Equity Funds	47.1	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2020 Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	69.7	%
Fixed Income Funds	30.4	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2030 Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	83.4	%
Fixed Income Funds	16.7	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2040 Fund Asset Allocation (% of Net Assets) on 12/31/13)
Equity Funds	87.7	%
Fixed Income Funds	12.4	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

18

MassMutual RetireSMART^SM (target-date) Funds – Portfolio Manager Report (Unaudited) (Continued)

MassMutual RetireSMART 2045 Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	94.5	%
Fixed Income Funds	5.8	%
Total Long-Term Investments	100.3	%
Other Assets & Liabilities	(0.3	)%
Net Assets	100.0	%

MassMutual RetireSMART 2050 Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	95.1	%
Fixed Income Funds	5.0	%
Total Long-Term Investments	100.1	%
Other Assets & Liabilities	(0.1	)%
Net Assets	100.0	%

MassMutual RetireSMART 2055 Fund Asset Allocation (% of Net Assets) on 12/31/13
Equity Funds	96.7	%
Fixed Income Funds	5.0	%
Total Long-Term Investments	101.7	%
Other Assets & Liabilities	(1.7	)%
Net Assets	100.0	%

19

MassMutual RetireSMART^SM In Retirement Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART In Retirement Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted), the Barclays U.S. Aggregate Bond Index, the S&P 500 Index, the Lipper Balanced Fund Index, and the Custom RetireSMART In Retirement Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		6.93%		9.74%		5.05%
Class A		6.52%		9.29%		4.64%
Class A (sales load deducted)*		0.39%		8.01%		4.03%
Class Y		6.83%		9.71%		5.02%
Class L		6.74%		9.57%		4.91%
Class N		6.13%		8.98%		4.33%
Class N (CDSC fees deducted)*		5.13%		8.98%		4.33%
Barclays U.S. Aggregate Bond Index#		-2.02%		4.44%		4.55%
S&P 500 Index		32.39%		17.94%		7.41%
Lipper Balanced Fund Index		16.52%		12.63%		6.19%
Custom RetireSMART In Retirement Index		8.85%		8.92%		5.58%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

* 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.

# Benchmark

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

20

MassMutual RetireSMART^SM 2010 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2010 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted), the Barclays U.S. Aggregate Bond Index, the S&P 500 Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2010 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		10.46%		11.68%		5.21%
Class A		9.99%		11.21%		4.78%
Class A (sales load deducted)*		3.67%		9.90%		4.16%
Class Y		10.36%		11.61%		5.14%
Class L		10.21%		11.50%		5.04%
Class N		9.65%		10.89%		4.47%
Class N (CDSC fees deducted)*		8.65%		10.89%		4.47%
Barclays U.S. Aggregate Bond Index#		-2.02%		4.44%		4.55%
S&P 500 Index		32.39%		17.94%		7.41%
Lipper Balanced Fund Index		16.52%		12.63%		6.19%
Custom RetireSMART 2010 Index		12.86%		11.21%		5.85%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

* 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.

# Benchmark

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

21

MassMutual RetireSMART^SM 2015 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2015 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the Barclays U.S. Aggregate Bond Index, the S&P 500 Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2015 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 4/1/10 - 12/31/13
Class S		13.87%		9.47%
Class A		13.48%		9.04%
Class A (sales load deducted)*		6.95%		7.34%
Class Y		13.84%		9.42%
Class L		13.74%		9.30%
Barclays U.S. Aggregate Bond Index#		-2.02%		3.86%
S&P 500 Index		32.39%		15.40%
Lipper Balanced Fund Index		16.52%		9.69%
Custom RetireSMART 2015 Index		16.59%		10.17%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

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 Barclays U.S. Aggregate Bond Index, the S&P 500 Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2015 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.

22

MassMutual RetireSMART^SM 2020 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2020 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted), the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2020 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		17.50%		14.50%		5.86%
Class A		17.08%		14.02%		5.43%
Class A (sales load deducted)*		10.35%		12.68%		4.81%
Class Y		17.47%		14.44%		5.80%
Class L		17.35%		14.32%		5.70%
Class N		16.66%		13.68%		5.12%
Class N (CDSC fees deducted)*		15.66%		13.68%		5.12%
S&P 500 Index#		32.39%		17.94%		7.41%
Barclays U.S. Aggregate Bond Index		-2.02%		4.44%		4.55%
Lipper Balanced Fund Index		16.52%		12.63%		6.19%
Custom RetireSMART 2020 Index		20.84%		14.28%		6.61%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

* 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.

# Benchmark

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

23

MassMutual RetireSMART^SM 2025 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2025 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2025 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 4/1/10 - 12/31/13
Class S		20.38%		11.09%
Class A		19.87%		10.65%
Class A (sales load deducted)*		12.98%		8.92%
Class Y		20.33%		11.04%
Class L		20.10%		10.91%
S&P 500 Index#		32.39%		15.40%
Barclays U.S. Aggregate Bond Index		-2.02%		3.86%
Lipper Balanced Fund Index		16.52%		9.69%
Custom RetireSMART 2025 Index		23.60%		12.12%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

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, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2025 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.

24

MassMutual RetireSMART^SM 2030 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2030 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted), the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2030 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		21.84%		15.89%		6.23%
Class A		21.31%		15.39%		5.79%
Class A (sales load deducted)*		14.34%		14.03%		5.17%
Class Y		21.77%		15.81%		6.16%
Class L		21.61%		15.68%		6.06%
Class N		20.98%		15.07%		5.48%
Class N (CDSC fees deducted)*		19.98%		15.07%		5.48%
S&P 500 Index#		32.39%		17.94%		7.41%
Barclays U.S. Aggregate Bond Index		-2.02%		4.44%		4.55%
Lipper Balanced Fund Index		16.52%		12.63%		6.19%
Custom RetireSMART 2030 Index		25.63%		15.79%		7.06%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

* 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.

# Benchmark

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

25

MassMutual RetireSMART^SM 2035 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2035 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2035 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 4/1/10 - 12/31/13
Class S		22.88%		11.67%
Class A		22.38%		11.22%
Class A (sales load deducted)*		15.35%		9.48%
Class Y		22.85%		11.62%
Class L		22.70%		11.50%
S&P 500 Index#		32.39%		15.40%
Barclays U.S. Aggregate Bond Index		-2.02%		3.86%
Lipper Balanced Fund Index		16.52%		9.69%
Custom RetireSMART 2035 Index		26.46%		12.84%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

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, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2035 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.

26

MassMutual RetireSMART^SM 2040 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2040 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted), the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2040 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Ten Year Average Annual 1/1/04 - 12/31/13
Class S		23.20%		16.24%		6.49%
Class A		22.60%		15.75%		6.06%
Class A (sales load deducted)*		15.55%		14.39%		5.43%
Class Y		23.07%		16.12%		6.43%
Class L		22.80%		16.03%		6.32%
Class N		22.20%		15.39%		5.74%
Class N (CDSC fees deducted)*		21.20%		15.39%		5.74%
S&P 500 Index#		32.39%		17.94%		7.41%
Barclays U.S. Aggregate Bond Index		-2.02%		4.44%		4.55%
Lipper Balanced Fund Index		16.52%		12.63%		6.19%
Custom RetireSMART 2040 Index		26.79%		16.16%		7.35%

GROWTH OF $10,000 INVESTMENT FOR THE PAST 10 YEARS

* 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.

# Benchmark

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

27

MassMutual RetireSMART^SM 2045 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2045 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2045 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 4/1/10 - 12/31/13
Class S		25.33%		12.31%
Class A		24.79%		11.86%
Class A (sales load deducted)*		17.61%		10.11%
Class Y		25.29%		12.26%
Class L		25.26%		12.16%
S&P 500 Index#		32.39%		15.40%
Barclays U.S. Aggregate Bond Index		-2.02%		3.86%
Lipper Balanced Fund Index		16.52%		9.69%
Custom RetireSMART 2045 Index		29.07%		13.44%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

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, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2045 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.

28

MassMutual RetireSMART^SM 2050 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2050 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, Class N, Class N (CDSC fees deducted), the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2050 Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Five Year Average Annual 1/1/09 - 12/31/13		Since Inception Average Annual 12/17/07 - 12/31/13
Class S		25.48%		16.79%		4.76%
Class A		24.92%		16.36%		4.38%
Class A (sales load deducted)*		17.74%		14.99%		3.36%
Class Y		25.42%		16.76%		4.73%
Class L		25.18%		16.61%		4.61%
Class N		24.60%		15.95%		4.02%
Class N (CDSC fees deducted)*		23.60%		15.95%		4.02%
S&P 500 Index#		32.39%		17.94%		6.21%
Barclays U.S. Aggregate Bond Index		-2.02%		4.44%		4.76%
Lipper Balanced Fund Index		16.52%		12.63%		4.97%+
Custom RetireSMART 2050 Index		29.15%		16.68%		5.36%+

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

+ From 1/2/08.

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, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2050 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges. The performance tables and charts do not reflect the deduction of taxes that a shareholder would pay on the Fund distributions or the redemption of the Fund shares.

29

MassMutual RetireSMART^SM 2055 Fund – Portfolio Manager Report (Unaudited)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual RetireSMART 2055 Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the S&P 500 Index, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2055 Index.

TOTAL RETURN	Since Inception 9/17/13 - 12/31/13
Class S		7.56%
Class A		7.47%
Class A (sales load deducted)*		1.29%
Class Y		7.58%
Class L		7.55%
S&P 500 Index#		8.73%
Barclays U.S. Aggregate Bond Index		0.38%
Lipper Balanced Fund Index		8.66%+
Custom RetireSMART 2055 Index		13.21%+

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

+ From 10/1/13.

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, the Barclays U.S. Aggregate Bond Index, the Lipper Balanced Fund Index, and the Custom RetireSMART 2055 Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these financial statements. Employee retirement benefit that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain 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.

30

MassMutual RetireSMART Conservative Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		5,084,410	$	55,420,072
MassMutual Premier Disciplined Growth Fund, Class S (a)		629,684		7,537,322
MassMutual Premier Disciplined Value Fund, Class S (a)		506,984		7,457,736
MassMutual Premier Focused International Fund, Class Z (a)		55,912		726,302
MassMutual Premier High Yield Fund, Class Z (a)		508,854		4,905,355
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,273,628		12,940,059
MassMutual Premier International Equity Fund, Class S (a)		112,338		1,721,016
MassMutual Premier Money Market Fund, Class S (a)		4,244,088		4,244,088
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		3,748,568		38,872,652
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		281,685		3,343,607
MassMutual Select Blue Chip Growth Fund, Class S (a)		81,920		1,387,723
MassMutual Select Diversified International Fund, Class S (a)		220,114		1,699,281
MassMutual Select Diversified Value Fund, Class S (a)		100,521		1,363,067
MassMutual Select Focused Value Fund, Class Z (a)		194,118		4,530,719
MassMutual Select Fundamental Growth Fund, Class S (a)		164,393		1,372,682
MassMutual Select Fundamental Value Fund, Class Z (a)		114,069		1,551,335
MassMutual Select Growth Opportunities Fund, Class Z (a)		103,063		1,178,008
MassMutual Select Large Cap Value Fund, Class S (a)		101,818		965,234
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		85,201		1,569,404
MassMutual Select Mid-Cap Value Fund, Class Z (a)		129,416		1,899,832
MassMutual Select Overseas Fund, Class Z (a)		552,761		5,002,491
MassMutual Select PIMCO Total Return Fund, Class Z (a)		1,082,668		10,956,600
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		45,473		864,889
MassMutual Select Small Cap Value Equity Fund, Class S (a)		105,686		1,577,895

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a)		44,975	$	564,885
MassMutual Select Small Company Value Fund, Class Z (a)		30,571		500,451
MassMutual Select Strategic Bond Fund, Class S (a)		896,830		8,806,872
MM MSCI EAFE International Index Fund, Class Z (a)		378,552		5,114,242
MM Russell 2000 Small Cap Index Fund, Class Z (a)		123,853		1,634,865
MM S&P Mid Cap Index Fund, Class Z (a)		184,887		2,305,542
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		1,096,584		3,300,719
Oppenheimer Developing Markets Fund, Class I (a)		75,702		2,844,129
Oppenheimer Global Real Estate Fund, Class I (a)		177,490		1,773,122
Oppenheimer International Bond Fund, Class I (a)		1,343,644		8,155,916
Oppenheimer Real Estate Fund, Class I (a)		74,192		1,728,662
				209,816,774
TOTAL MUTUAL FUNDS (Cost $207,816,504)				209,816,774
TOTAL LONG-TERM INVESTMENTS (Cost $207,816,504)				209,816,774
TOTAL INVESTMENTS — 100.1% (Cost $207,816,504) (c)				209,816,774
Other Assets/(Liabilities) — (0.1)%				(176,250	)
NET ASSETS — 100.0%			$	209,640,524

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

31

MassMutual RetireSMART Moderate Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		6,131,569	$	66,834,103
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,108,156		25,234,632
MassMutual Premier Disciplined Value Fund, Class S (a)		1,697,120		24,964,642
MassMutual Premier Focused International Fund, Class Z (a)		231,018		3,000,918
MassMutual Premier High Yield Fund, Class Z (a)		1,059,284		10,211,497
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		1,453,313		14,765,656
MassMutual Premier International Equity Fund, Class S (a)		464,286		7,112,864
MassMutual Premier Money Market Fund, Class S (a)		1,494,688		1,494,688
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		3,674,059		38,099,991
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		764,800		9,078,176
MassMutual Select Blue Chip Growth Fund, Class S (a)		446,792		7,568,653
MassMutual Select Diversified International Fund, Class S (a)		917,607		7,083,926
MassMutual Select Diversified Value Fund, Class S (a)		548,094		7,432,149
MassMutual Select Focused Value Fund, Class Z (a)		490,020		11,437,072
MassMutual Select Fundamental Growth Fund, Class S (a)		896,476		7,485,575
MassMutual Select Fundamental Value Fund, Class Z (a)		621,932		8,458,275
MassMutual Select Growth Opportunities Fund, Class Z (a)		562,046		6,424,182
MassMutual Select Large Cap Value Fund, Class S (a)		555,160		5,262,916
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		387,288		7,133,847
MassMutual Select Mid-Cap Value Fund, Class Z (a)		588,221		8,635,087
MassMutual Select Overseas Fund, Class Z (a)		2,283,933		20,669,596
MassMutual Select PIMCO Total Return Fund, Class Z (a)		1,313,627		13,293,907
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		199,832		3,800,804
MassMutual Select Small Cap Value Equity Fund, Class S (a)		433,078		6,465,856

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a)		197,652	$	2,482,505
MassMutual Select Small Company Value Fund, Class Z (a)		120,131		1,966,543
MassMutual Select Strategic Bond Fund, Class S (a)		1,088,190		10,686,025
MM MSCI EAFE International Index Fund, Class Z (a)		1,559,362		21,066,984
MM Russell 2000 Small Cap Index Fund, Class Z (a)		542,139		7,156,229
MM S&P Mid Cap Index Fund, Class Z (a)		840,293		10,478,451
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		3,038,670		9,146,398
Oppenheimer Developing Markets Fund, Class I (a)		237,688		8,929,935
Oppenheimer Global Real Estate Fund, Class I (a)		533,091		5,325,579
Oppenheimer International Bond Fund, Class I (a)		1,935,968		11,751,324
Oppenheimer Real Estate Fund, Class I (a)		221,523		5,161,490
				416,100,475
TOTAL MUTUAL FUNDS (Cost $385,648,403)				416,100,475
TOTAL LONG-TERM INVESTMENTS (Cost $385,648,403)				416,100,475
TOTAL INVESTMENTS — 100.1% (Cost $385,648,403) (c)				416,100,475
Other Assets/(Liabilities) — (0.1)%				(300,085	)
NET ASSETS — 100.0%			$	415,800,390

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

32

MassMutual RetireSMART Moderate Growth Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,381,427	$	15,057,550
MassMutual Premier Disciplined Growth Fund, Class S (a)		1,966,525		23,539,310
MassMutual Premier Disciplined Value Fund, Class S (a)		1,583,111		23,287,567
MassMutual Premier Focused International Fund, Class Z (a)		275,440		3,577,963
MassMutual Premier High Yield Fund, Class Z (a)		1,393,730		13,435,560
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		403,054		4,095,029
MassMutual Premier International Equity Fund, Class S (a)		553,517		8,479,883
MassMutual Premier Money Market Fund, Class S (a)		10,401		10,401
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		906,627		9,401,720
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		739,807		8,781,511
MassMutual Select Blue Chip Growth Fund, Class S (a)		644,177		10,912,355
MassMutual Select Diversified International Fund, Class S (a)		1,100,935		8,499,220
MassMutual Select Diversified Value Fund, Class S (a)		790,255		10,715,860
MassMutual Select Focused Value Fund, Class Z (a)		373,388		8,714,878
MassMutual Select Fundamental Growth Fund, Class S (a)		1,292,567		10,792,931
MassMutual Select Fundamental Value Fund, Class Z (a)		896,717		12,195,347
MassMutual Select Growth Opportunities Fund, Class Z (a)		810,402		9,262,896
MassMutual Select Large Cap Value Fund, Class S (a)		800,450		7,588,266
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		391,539		7,212,145
MassMutual Select Mid-Cap Value Fund, Class Z (a)		594,699		8,730,182
MassMutual Select Overseas Fund, Class Z (a)		2,723,014		24,643,279
MassMutual Select PIMCO Total Return Fund, Class Z (a)		299,768		3,033,648
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		264,597		5,032,637
MassMutual Select Small Cap Value Equity Fund, Class S (a)		555,582		8,294,846

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a)		261,720	$	3,287,204
MassMutual Select Small Company Value Fund, Class Z (a)		151,085		2,473,267
MassMutual Select Strategic Bond Fund, Class S (a)		248,318		2,438,482
MM MSCI EAFE International Index Fund, Class Z (a)		1,855,214		25,063,937
MM Russell 2000 Small Cap Index Fund, Class Z (a)		715,355		9,442,690
MM S&P Mid Cap Index Fund, Class Z (a)		849,540		10,593,765
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		3,113,037		9,370,240
Oppenheimer Developing Markets Fund, Class I (a)		286,974		10,781,629
Oppenheimer Global Real Estate Fund, Class I (a)		570,882		5,703,112
Oppenheimer International Bond Fund, Class I (a)		1,201,185		7,291,194
Oppenheimer Real Estate Fund, Class I (a)		237,942		5,544,041
				337,284,545
TOTAL MUTUAL FUNDS (Cost $296,147,027)				337,284,545
TOTAL LONG-TERM INVESTMENTS (Cost $296,147,027)				337,284,545
TOTAL INVESTMENTS — 100.1% (Cost $296,147,027) (c)				337,284,545
Other Assets/(Liabilities) — (0.1)%				(260,682	)
NET ASSETS — 100.0%			$	337,023,863

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

33

MassMutual RetireSMART Growth Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		71,325	$	777,438
MassMutual Premier Disciplined Growth Fund, Class S (a)		533,851		6,390,198
MassMutual Premier Disciplined Value Fund, Class S (a)		429,872		6,323,424
MassMutual Premier Focused International Fund, Class Z (a)		96,872		1,258,367
MassMutual Premier High Yield Fund, Class Z (a)		65,175		628,290
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		32,074		325,873
MassMutual Premier International Equity Fund, Class S (a)		194,591		2,981,135
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		59,380		615,772
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		270,085		3,205,909
MassMutual Select Blue Chip Growth Fund, Class S (a)		281,510		4,768,778
MassMutual Select Diversified International Fund, Class S (a)		388,627		3,000,199
MassMutual Select Diversified Value Fund, Class S (a)		345,516		4,685,195
MassMutual Select Focused Value Fund, Class Z (a)		125,292		2,924,318
MassMutual Select Fundamental Growth Fund, Class S (a)		565,047		4,718,143
MassMutual Select Fundamental Value Fund, Class Z (a)		392,133		5,333,004
MassMutual Select Growth Opportunities Fund, Class Z (a)		354,220		4,048,735
MassMutual Select Large Cap Value Fund, Class S (a)		350,031		3,318,292
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		140,948		2,596,264
MassMutual Select Mid-Cap Value Fund, Class Z (a)		214,122		3,143,313
MassMutual Select Overseas Fund, Class Z (a)		957,653		8,666,764
MassMutual Select PIMCO Total Return Fund, Class Z (a)		15,973		161,645
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		99,130		1,885,450
MassMutual Select Small Cap Value Equity Fund, Class S (a)		203,810		3,042,876
MassMutual Select Small Company Growth Fund, Class S (a)		98,135		1,232,571
MassMutual Select Small Company Value Fund, Class Z (a)		54,653		894,678

	Number of Shares		Value
MassMutual Select Strategic Bond Fund, Class S (a)		13,238	$	129,994
MM MSCI EAFE International Index Fund, Class Z (a)		651,689		8,804,323
MM Russell 2000 Small Cap Index Fund, Class Z (a)		267,358		3,529,130
MM S&P Mid Cap Index Fund, Class Z (a)		305,900		3,814,572
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		1,016,205		3,058,778
Oppenheimer Developing Markets Fund, Class I (a)		97,017		3,644,919
Oppenheimer Global Real Estate Fund, Class I (a)		190,523		1,903,320
Oppenheimer International Bond Fund, Class I (a)		90,468		549,140
Oppenheimer Real Estate Fund, Class I (a)		81,462		1,898,062
				104,258,869
TOTAL MUTUAL FUNDS (Cost $90,852,853)				104,258,869
TOTAL LONG-TERM INVESTMENTS (Cost $90,852,853)				104,258,869
TOTAL INVESTMENTS — 100.1% (Cost $90,852,853) (c)				104,258,869
Other Assets/(Liabilities) — (0.1)%				(91,968	)
NET ASSETS — 100.0%			$	104,166,901

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

34

MassMutual RetireSMART In Retirement Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,504,753	$	16,401,805
MassMutual Premier Disciplined Growth Fund, Class S (a)		303,088		3,627,962
MassMutual Premier Disciplined Value Fund, Class S (a)		243,997		3,589,189
MassMutual Premier Focused International Fund, Class Z (a)		25,515		331,434
MassMutual Premier High Yield Fund, Class Z (a)		167,690		1,616,528
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		960,880		9,762,541
MassMutual Premier International Equity Fund, Class S (a)		51,278		785,582
MassMutual Premier Money Market Fund, Class S (a)		1,845,460		1,845,460
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,453,523		15,073,037
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		140,033		1,662,190
MassMutual Select Blue Chip Growth Fund, Class S (a)		38,406		650,599
MassMutual Select Diversified International Fund, Class S (a)		100,445		775,433
MassMutual Select Diversified Value Fund, Class S (a)		47,114		638,865
MassMutual Select Focused Value Fund, Class Z (a)		97,737		2,281,178
MassMutual Select Fundamental Growth Fund, Class S (a)		77,063		643,477
MassMutual Select Fundamental Value Fund, Class Z (a)		53,463		727,100
MassMutual Select Growth Opportunities Fund, Class Z (a)		48,315		552,241
MassMutual Select Large Cap Value Fund, Class S (a)		47,722		452,405
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		36,649		675,077
MassMutual Select Mid-Cap Value Fund, Class Z (a)		55,659		817,081
MassMutual Select Overseas Fund, Class Z (a)		252,276		2,283,094
MassMutual Select PIMCO Total Return Fund, Class Z (a)		314,702		3,184,786
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		19,977		379,960
MassMutual Select Small Cap Value Equity Fund, Class S (a)		47,877		714,798

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a)		19,754	$	248,112
MassMutual Select Small Company Value Fund, Class Z (a)		14,094		230,711
MassMutual Select Strategic Bond Fund, Class S (a)		260,695		2,560,024
MM MSCI EAFE International Index Fund, Class Z (a)		172,763		2,334,034
MM Russell 2000 Small Cap Index Fund, Class Z (a)		54,446		718,693
MM S&P Mid Cap Index Fund, Class Z (a)		79,519		991,604
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		554,446		1,668,882
Oppenheimer Developing Markets Fund, Class I (a)		38,433		1,443,927
Oppenheimer Global Real Estate Fund, Class I (a)		89,284		891,951
Oppenheimer International Bond Fund, Class I (a)		493,454		2,995,266
Oppenheimer Real Estate Fund, Class I (a)		37,052		863,303
				84,418,329
TOTAL MUTUAL FUNDS (Cost $83,108,773)				84,418,329
TOTAL LONG-TERM INVESTMENTS (Cost $83,108,773)				84,418,329
TOTAL INVESTMENTS — 100.1% (Cost $83,108,773) (c)				84,418,329
Other Assets/(Liabilities) — (0.1)%				(101,597	)
NET ASSETS — 100.0%			$	84,316,732

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

35

MassMutual RetireSMART 2010 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,840,897	$	20,065,776
MassMutual Premier Disciplined Growth Fund, Class S (a)		463,417		5,547,098
MassMutual Premier Disciplined Value Fund, Class S (a)		373,027		5,487,224
MassMutual Premier Focused International Fund, Class Z (a)		47,303		614,466
MassMutual Premier High Yield Fund, Class Z (a)		262,539		2,530,878
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		948,817		9,639,979
MassMutual Premier International Equity Fund, Class S (a)		95,051		1,456,177
MassMutual Premier Money Market Fund, Class S (a)		885,953		885,953
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,298,730		13,467,825
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		172,595		2,048,697
MassMutual Select Blue Chip Growth Fund, Class S (a)		64,903		1,099,463
MassMutual Select Diversified International Fund, Class S (a)		186,425		1,439,203
MassMutual Select Diversified Value Fund, Class S (a)		79,602		1,079,404
MassMutual Select Focused Value Fund, Class Z (a)		123,685		2,886,798
MassMutual Select Fundamental Growth Fund, Class S (a)		130,204		1,087,207
MassMutual Select Fundamental Value Fund, Class Z (a)		90,315		1,228,279
MassMutual Select Growth Opportunities Fund, Class Z (a)		81,650		933,260
MassMutual Select Large Cap Value Fund, Class S (a)		80,623		764,306
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		82,186		1,513,875
MassMutual Select Mid-Cap Value Fund, Class Z (a)		124,795		1,831,988
MassMutual Select Overseas Fund, Class Z (a)		467,595		4,231,731
MassMutual Select PIMCO Total Return Fund, Class Z (a)		387,146		3,917,916
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		41,663		792,431
MassMutual Select Small Cap Value Equity Fund, Class S (a)		91,631		1,368,052

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a)		41,193	$	517,380
MassMutual Select Small Company Value Fund, Class Z (a)		25,571		418,602
MassMutual Select Strategic Bond Fund, Class S (a)		320,734		3,149,606
MM MSCI EAFE International Index Fund, Class Z (a)		320,070		4,324,141
MM Russell 2000 Small Cap Index Fund, Class Z (a)		114,317		1,508,990
MM S&P Mid Cap Index Fund, Class Z (a)		178,282		2,223,170
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		687,443		2,069,204
Oppenheimer Developing Markets Fund, Class I (a)		51,184		1,922,992
Oppenheimer Global Real Estate Fund, Class I (a)		115,656		1,155,400
Oppenheimer International Bond Fund, Class I (a)		555,786		3,373,620
Oppenheimer Real Estate Fund, Class I (a)		47,461		1,105,853
				107,686,944
TOTAL MUTUAL FUNDS (Cost $103,904,941)				107,686,944
TOTAL LONG-TERM INVESTMENTS (Cost $103,904,941)				107,686,944
TOTAL INVESTMENTS — 100.1% (Cost $103,904,941) (c)				107,686,944
Other Assets/(Liabilities) — (0.1)%				(106,342	)
NET ASSETS — 100.0%			$	107,580,602

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

36

MassMutual RetireSMART 2015 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.2%
Diversified Financial — 100.2%
MassMutual Premier Core Bond Fund, Class Z (a)		270,406	$	2,947,427
MassMutual Premier Disciplined Growth Fund, Class S (a)		101,313		1,212,722
MassMutual Premier Disciplined Value Fund, Class S (a)		81,565		1,199,827
MassMutual Premier Focused International Fund, Class Z (a)		10,968		142,477
MassMutual Premier High Yield Fund, Class Z (a)		49,948		481,498
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		147,425		1,497,839
MassMutual Premier International Equity Fund, Class S (a)		22,046		337,751
MassMutual Premier Money Market Fund, Class S (a)		86,429		86,429
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		191,120		1,981,918
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		39,249		465,882
MassMutual Select Blue Chip Growth Fund, Class S (a)		18,685		316,527
MassMutual Select Diversified International Fund, Class S (a)		43,559		336,273
MassMutual Select Diversified Value Fund, Class S (a)		22,924		310,853
MassMutual Select Focused Value Fund, Class Z (a)		24,417		569,904
MassMutual Select Fundamental Growth Fund, Class S (a)		37,489		313,030
MassMutual Select Fundamental Value Fund, Class Z (a)		26,015		353,808
MassMutual Select Growth Opportunities Fund, Class Z (a)		23,509		268,710
MassMutual Select Large Cap Value Fund, Class S (a)		23,215		220,080
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		18,886		347,878
MassMutual Select Mid-Cap Value Fund, Class Z (a)		28,697		421,267
MassMutual Select Overseas Fund, Class Z (a)		108,474		981,689
MassMutual Select PIMCO Total Return Fund, Class Z (a)		58,227		589,262
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		9,720		184,866
MassMutual Select Small Cap Value Equity Fund, Class S (a)		20,656		308,394
MassMutual Select Small Company Growth Fund, Class S (a)		9,622		120,847

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		5,649	$	92,476
MassMutual Select Strategic Bond Fund, Class S (a)		48,242		473,736
MM MSCI EAFE International Index Fund, Class Z (a)		74,083		1,000,864
MM Russell 2000 Small Cap Index Fund, Class Z (a)		26,443		349,054
MM S&P Mid Cap Index Fund, Class Z (a)		40,986		511,097
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		144,981		436,394
Oppenheimer Developing Markets Fund, Class I (a)		10,276		386,078
Oppenheimer Global Real Estate Fund, Class I (a)		24,303		242,792
Oppenheimer International Bond Fund, Class I (a)		108,097		656,151
Oppenheimer Real Estate Fund, Class I (a)		10,644		247,994
				20,393,794
TOTAL MUTUAL FUNDS (Cost $20,260,500)				20,393,794
TOTAL LONG-TERM INVESTMENTS (Cost $20,260,500)				20,393,794
TOTAL INVESTMENTS — 100.2% (Cost $20,260,500) (c)				20,393,794
Other Assets/(Liabilities) — (0.2)%				(31,752	)
NET ASSETS — 100.0%			$	20,362,042

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

37

MassMutual RetireSMART 2020 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		3,911,492	$	42,635,262
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,531,365		30,300,437
MassMutual Premier Disciplined Value Fund, Class S (a)		2,037,790		29,975,888
MassMutual Premier Focused International Fund, Class Z (a)		295,416		3,837,455
MassMutual Premier High Yield Fund, Class Z (a)		1,518,857		14,641,786
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		2,369,118		24,070,236
MassMutual Premier International Equity Fund, Class S (a)		593,642		9,094,596
MassMutual Premier Money Market Fund, Class S (a)		847,550		847,550
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		2,926,751		30,350,412
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		945,099		11,218,323
MassMutual Select Blue Chip Growth Fund, Class S (a)		673,916		11,416,131
MassMutual Select Diversified International Fund, Class S (a)		1,174,562		9,067,615
MassMutual Select Diversified Value Fund, Class S (a)		826,735		11,210,533
MassMutual Select Focused Value Fund, Class Z (a)		542,445		12,660,666
MassMutual Select Fundamental Growth Fund, Class S (a)		1,352,238		11,291,190
MassMutual Select Fundamental Value Fund, Class Z (a)		938,120		12,758,427
MassMutual Select Growth Opportunities Fund, Class Z (a)		847,857		9,691,010
MassMutual Select Large Cap Value Fund, Class S (a)		837,391		7,938,468
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		463,749		8,542,264
MassMutual Select Mid-Cap Value Fund, Class Z (a)		704,291		10,338,996
MassMutual Select Overseas Fund, Class Z (a)		2,920,569		26,431,146
MassMutual Select PIMCO Total Return Fund, Class Z (a)		814,671		8,244,475
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		253,477		4,821,138
MassMutual Select Small Cap Value Equity Fund, Class S (a)		556,925		8,314,897

	Number of Shares		Value
MassMutual Select Small Company Growth Fund, Class S (a)		250,743	$	3,149,327
MassMutual Select Small Company Value Fund, Class Z (a)		155,258		2,541,581
MassMutual Select Strategic Bond Fund, Class S (a)		674,875		6,627,269
MM MSCI EAFE International Index Fund, Class Z (a)		1,993,341		26,930,036
MM Russell 2000 Small Cap Index Fund, Class Z (a)		695,704		9,183,291
MM S&P Mid Cap Index Fund, Class Z (a)		1,006,168		12,546,918
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		3,764,596		11,331,435
Oppenheimer Developing Markets Fund, Class I (a)		305,537		11,479,039
Oppenheimer Global Real Estate Fund, Class I (a)		674,889		6,742,145
Oppenheimer International Bond Fund, Class I (a)		1,999,216		12,135,242
Oppenheimer Real Estate Fund, Class I (a)		280,913		6,545,268
				458,910,452
TOTAL MUTUAL FUNDS (Cost $419,285,324)				458,910,452
TOTAL LONG-TERM INVESTMENTS (Cost $419,285,324)				458,910,452
TOTAL INVESTMENTS — 100.1% (Cost $419,285,324) (c)				458,910,452
Other Assets/(Liabilities) — (0.1)%				(324,129	)
NET ASSETS — 100.0%			$	458,586,323

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

38

MassMutual RetireSMART 2025 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		130,056	$	1,417,605
MassMutual Premier Disciplined Growth Fund, Class S (a)		150,859		1,805,783
MassMutual Premier Disciplined Value Fund, Class S (a)		121,493		1,787,161
MassMutual Premier Focused International Fund, Class Z (a)		19,815		257,399
MassMutual Premier High Yield Fund, Class Z (a)		118,184		1,139,295
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		92,783		942,670
MassMutual Premier International Equity Fund, Class S (a)		39,758		609,099
MassMutual Premier Money Market Fund, Class S (a)		13,420		13,420
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		107,987		1,119,829
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		62,872		746,288
MassMutual Select Blue Chip Growth Fund, Class S (a)		45,821		776,213
MassMutual Select Diversified International Fund, Class S (a)		78,884		608,983
MassMutual Select Diversified Value Fund, Class S (a)		56,268		762,999
MassMutual Select Focused Value Fund, Class Z (a)		30,054		701,472
MassMutual Select Fundamental Growth Fund, Class S (a)		92,009		768,277
MassMutual Select Fundamental Value Fund, Class Z (a)		63,867		868,596
MassMutual Select Growth Opportunities Fund, Class Z (a)		57,662		659,076
MassMutual Select Large Cap Value Fund, Class S (a)		57,011		540,462
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		29,119		536,374
MassMutual Select Mid-Cap Value Fund, Class Z (a)		44,248		649,565
MassMutual Select Overseas Fund, Class Z (a)		195,788		1,771,880
MassMutual Select PIMCO Total Return Fund, Class Z (a)		28,924		292,709
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		18,706		355,792
MassMutual Select Small Cap Value Equity Fund, Class S (a)		37,960		566,740
MassMutual Select Small Company Growth Fund, Class S (a)		18,576		233,309

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		10,078	$	164,980
MassMutual Select Strategic Bond Fund, Class S (a)		23,953		235,221
MM MSCI EAFE International Index Fund, Class Z (a)		133,577		1,804,623
MM Russell 2000 Small Cap Index Fund, Class Z (a)		50,585		667,725
MM S&P Mid Cap Index Fund, Class Z (a)		63,213		788,269
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		235,202		707,959
Oppenheimer Developing Markets Fund, Class I (a)		18,640		700,315
Oppenheimer Global Real Estate Fund, Class I (a)		39,813		397,735
Oppenheimer International Bond Fund, Class I (a)		131,193		796,343
Oppenheimer Real Estate Fund, Class I (a)		18,623		433,906
				26,628,072
TOTAL MUTUAL FUNDS (Cost $26,046,705)				26,628,072
TOTAL LONG-TERM INVESTMENTS (Cost $26,046,705)				26,628,072
TOTAL INVESTMENTS — 100.1% (Cost $26,046,705) (c)				26,628,072
Other Assets/(Liabilities) — (0.1)%				(33,593	)
NET ASSETS — 100.0%			$	26,594,479

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

39

MassMutual RetireSMART 2030 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		1,413,036	$	15,402,096
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,302,719		27,563,544
MassMutual Premier Disciplined Value Fund, Class S (a)		1,853,755		27,268,741
MassMutual Premier Focused International Fund, Class Z (a)		334,336		4,343,021
MassMutual Premier High Yield Fund, Class Z (a)		1,728,327		16,661,075
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		947,568		9,627,291
MassMutual Premier International Equity Fund, Class S (a)		671,879		10,293,188
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,148,260		11,907,454
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		933,191		11,076,983
MassMutual Select Blue Chip Growth Fund, Class S (a)		807,264		13,675,057
MassMutual Select Diversified International Fund, Class S (a)		1,334,643		10,303,441
MassMutual Select Diversified Value Fund, Class S (a)		990,419		13,430,079
MassMutual Select Focused Value Fund, Class Z (a)		446,201		10,414,321
MassMutual Select Fundamental Growth Fund, Class S (a)		1,619,919		13,526,324
MassMutual Select Fundamental Value Fund, Class Z (a)		1,123,894		15,284,954
MassMutual Select Growth Opportunities Fund, Class Z (a)		1,015,629		11,608,645
MassMutual Select Large Cap Value Fund, Class S (a)		1,003,194		9,510,276
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		475,386		8,756,605
MassMutual Select Mid-Cap Value Fund, Class Z (a)		722,034		10,599,455
MassMutual Select Overseas Fund, Class Z (a)		3,305,355		29,913,459
MassMutual Select PIMCO Total Return Fund, Class Z (a)		299,482		3,030,759
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		324,133		6,165,008
MassMutual Select Small Cap Value Equity Fund, Class S (a)		679,289		10,141,781
MassMutual Select Small Company Growth Fund, Class S (a)		320,679		4,027,722

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		184,253	$	3,016,218
MassMutual Select Strategic Bond Fund, Class S (a)		248,090		2,436,248
MM MSCI EAFE International Index Fund, Class Z (a)		2,253,036		30,438,511
MM Russell 2000 Small Cap Index Fund, Class Z (a)		879,089		11,603,980
MM S&P Mid Cap Index Fund, Class Z (a)		1,031,496		12,862,757
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		3,733,670		11,238,346
Oppenheimer Developing Markets Fund, Class I (a)		335,450		12,602,853
Oppenheimer Global Real Estate Fund, Class I (a)		684,633		6,839,485
Oppenheimer International Bond Fund, Class I (a)		1,581,124		9,597,423
Oppenheimer Real Estate Fund, Class I (a)		287,200		6,691,767
				411,858,867
TOTAL MUTUAL FUNDS (Cost $365,580,352)				411,858,867
TOTAL LONG-TERM INVESTMENTS (Cost $365,580,352)				411,858,867
TOTAL INVESTMENTS — 100.1% (Cost $365,580,352) (c)				411,858,867
Other Assets/(Liabilities) — (0.1)%				(278,841	)
NET ASSETS — 100.0%			$	411,580,026

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

40

MassMutual RetireSMART 2035 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		61,817	$	673,806
MassMutual Premier Disciplined Growth Fund, Class S (a)		116,672		1,396,567
MassMutual Premier Disciplined Value Fund, Class S (a)		93,946		1,381,939
MassMutual Premier Focused International Fund, Class Z (a)		18,350		238,370
MassMutual Premier High Yield Fund, Class Z (a)		67,719		652,813
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		37,084		376,776
MassMutual Premier International Equity Fund, Class S (a)		36,862		564,733
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		51,729		536,431
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		54,851		651,081
MassMutual Select Blue Chip Growth Fund, Class S (a)		47,692		807,905
MassMutual Select Diversified International Fund, Class S (a)		73,240		565,412
MassMutual Select Diversified Value Fund, Class S (a)		58,545		793,864
MassMutual Select Focused Value Fund, Class Z (a)		24,182		564,411
MassMutual Select Fundamental Growth Fund, Class S (a)		95,738		799,415
MassMutual Select Fundamental Value Fund, Class Z (a)		66,450		903,714
MassMutual Select Growth Opportunities Fund, Class Z (a)		60,010		685,912
MassMutual Select Large Cap Value Fund, Class S (a)		59,310		562,257
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		26,310		484,626
MassMutual Select Mid-Cap Value Fund, Class Z (a)		39,978		586,872
MassMutual Select Overseas Fund, Class Z (a)		181,420		1,641,847
MassMutual Select PIMCO Total Return Fund, Class Z (a)		13,682		138,463
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		18,552		352,863
MassMutual Select Small Cap Value Equity Fund, Class S (a)		36,840		550,023
MassMutual Select Small Company Growth Fund, Class S (a)		18,419		231,348

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		9,642	$	157,833
MassMutual Select Strategic Bond Fund, Class S (a)		11,313		111,095
MM MSCI EAFE International Index Fund, Class Z (a)		123,686		1,670,994
MM Russell 2000 Small Cap Index Fund, Class Z (a)		49,860		658,150
MM S&P Mid Cap Index Fund, Class Z (a)		57,108		712,137
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		201,601		606,819
Oppenheimer Developing Markets Fund, Class I (a)		17,248		648,011
Oppenheimer Global Real Estate Fund, Class I (a)		35,442		354,064
Oppenheimer International Bond Fund, Class I (a)		78,099		474,064
Oppenheimer Real Estate Fund, Class I (a)		16,129		375,813
				21,910,428
TOTAL MUTUAL FUNDS (Cost $20,998,688)				21,910,428
TOTAL LONG-TERM INVESTMENTS (Cost $20,998,688)				21,910,428
TOTAL INVESTMENTS — 100.1% (Cost $20,998,688) (c)				21,910,428
Other Assets/(Liabilities) — (0.1)%				(32,001	)
NET ASSETS — 100.0%			$	21,878,427

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

41

MassMutual RetireSMART 2040 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		758,046	$	8,262,702
MassMutual Premier Disciplined Growth Fund, Class S (a)		1,316,429		15,757,658
MassMutual Premier Disciplined Value Fund, Class S (a)		1,059,808		15,589,775
MassMutual Premier Focused International Fund, Class Z (a)		225,627		2,930,899
MassMutual Premier High Yield Fund, Class Z (a)		712,003		6,863,706
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		358,205		3,639,367
MassMutual Premier International Equity Fund, Class S (a)		453,382		6,945,811
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		600,570		6,227,910
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		629,594		7,473,286
MassMutual Select Blue Chip Growth Fund, Class S (a)		630,132		10,674,433
MassMutual Select Diversified International Fund, Class S (a)		902,188		6,964,888
MassMutual Select Diversified Value Fund, Class S (a)		773,141		10,483,798
MassMutual Select Focused Value Fund, Class Z (a)		294,104		6,864,388
MassMutual Select Fundamental Growth Fund, Class S (a)		1,264,521		10,558,747
MassMutual Select Fundamental Value Fund, Class Z (a)		877,343		11,931,868
MassMutual Select Growth Opportunities Fund, Class Z (a)		792,789		9,061,583
MassMutual Select Large Cap Value Fund, Class S (a)		783,140		7,424,169
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		326,665		6,017,167
MassMutual Select Mid-Cap Value Fund, Class Z (a)		496,172		7,283,812
MassMutual Select Overseas Fund, Class Z (a)		2,230,600		20,186,931
MassMutual Select PIMCO Total Return Fund, Class Z (a)		160,556		1,624,826
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		227,858		4,333,864
MassMutual Select Small Cap Value Equity Fund, Class S (a)		471,391		7,037,862
MassMutual Select Small Company Growth Fund, Class S (a)		225,521		2,832,545

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		126,831	$	2,076,215
MassMutual Select Strategic Bond Fund, Class S (a)		132,997		1,306,034
MM MSCI EAFE International Index Fund, Class Z (a)		1,519,567		20,529,350
MM Russell 2000 Small Cap Index Fund, Class Z (a)		616,312		8,135,320
MM S&P Mid Cap Index Fund, Class Z (a)		708,833		8,839,145
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		2,404,436		7,237,354
Oppenheimer Developing Markets Fund, Class I (a)		225,876		8,486,158
Oppenheimer Global Real Estate Fund, Class I (a)		449,146		4,486,966
Oppenheimer International Bond Fund, Class I (a)		840,262		5,100,393
Oppenheimer Real Estate Fund, Class I (a)		189,922		4,425,180
				267,594,110
TOTAL MUTUAL FUNDS (Cost $236,171,563)				267,594,110
TOTAL LONG-TERM INVESTMENTS (Cost $236,171,563)				267,594,110
TOTAL INVESTMENTS — 100.1% (Cost $236,171,563) (c)				267,594,110
Other Assets/(Liabilities) — (0.1)%				(185,980	)
NET ASSETS — 100.0%			$	267,408,130

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

42

MassMutual RetireSMART 2045 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.3%
Diversified Financial — 100.3%
MassMutual Premier Core Bond Fund, Class Z (a)		14,415	$	157,126
MassMutual Premier Disciplined Growth Fund, Class S (a)		54,166		648,369
MassMutual Premier Disciplined Value Fund, Class S (a)		43,619		641,638
MassMutual Premier Focused International Fund, Class Z (a)		9,832		127,721
MassMutual Premier High Yield Fund, Class Z (a)		12,588		121,350
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		6,116		62,136
MassMutual Premier International Equity Fund, Class S (a)		19,756		302,654
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		11,671		121,030
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		28,744		341,193
MassMutual Select Blue Chip Growth Fund, Class S (a)		28,552		483,676
MassMutual Select Diversified International Fund, Class S (a)		39,334		303,661
MassMutual Select Diversified Value Fund, Class S (a)		35,056		475,354
MassMutual Select Focused Value Fund, Class Z (a)		12,716		296,789
MassMutual Select Fundamental Growth Fund, Class S (a)		57,330		478,707
MassMutual Select Fundamental Value Fund, Class Z (a)		39,799		541,273
MassMutual Select Growth Opportunities Fund, Class Z (a)		35,933		410,712
MassMutual Select Large Cap Value Fund, Class S (a)		35,527		336,799
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		14,304		263,476
MassMutual Select Mid-Cap Value Fund, Class Z (a)		21,739		319,135
MassMutual Select Overseas Fund, Class Z (a)		97,242		880,038
MassMutual Select PIMCO Total Return Fund, Class Z (a)		3,136		31,738
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		10,205		194,096
MassMutual Select Small Cap Value Equity Fund, Class S (a)		20,311		303,244
MassMutual Select Small Company Growth Fund, Class S (a)		10,134		127,284

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		5,322	$	87,116
MassMutual Select Strategic Bond Fund, Class S (a)		2,601		25,541
MM MSCI EAFE International Index Fund, Class Z (a)		66,251		895,051
MM Russell 2000 Small Cap Index Fund, Class Z (a)		27,437		362,173
MM S&P Mid Cap Index Fund, Class Z (a)		31,059		387,309
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		103,863		312,628
Oppenheimer Developing Markets Fund, Class I (a)		9,439		354,633
Oppenheimer Global Real Estate Fund, Class I (a)		18,632		186,133
Oppenheimer International Bond Fund, Class I (a)		17,790		107,984
Oppenheimer Real Estate Fund, Class I (a)		8,493		197,883
				10,885,650
TOTAL MUTUAL FUNDS (Cost $10,242,703)				10,885,650
TOTAL LONG-TERM INVESTMENTS (Cost $10,242,703)				10,885,650
TOTAL INVESTMENTS — 100.3% (Cost $10,242,703) (c)				10,885,650
Other Assets/(Liabilities) — (0.3)%				(27,742	)
NET ASSETS — 100.0%			$	10,857,908

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

43

MassMutual RetireSMART 2050 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Core Bond Fund, Class Z (a)		92,014	$	1,002,954
MassMutual Premier Disciplined Growth Fund, Class S (a)		405,364		4,852,209
MassMutual Premier Disciplined Value Fund, Class S (a)		326,414		4,801,555
MassMutual Premier Focused International Fund, Class Z (a)		73,559		955,533
MassMutual Premier High Yield Fund, Class Z (a)		82,166		792,077
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		40,662		413,127
MassMutual Premier International Equity Fund, Class S (a)		147,740		2,263,380
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		75,196		779,779
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		209,408		2,485,667
MassMutual Select Blue Chip Growth Fund, Class S (a)		213,749		3,620,914
MassMutual Select Diversified International Fund, Class S (a)		294,786		2,275,747
MassMutual Select Diversified Value Fund, Class S (a)		262,366		3,557,681
MassMutual Select Focused Value Fund, Class Z (a)		95,139		2,220,555
MassMutual Select Fundamental Growth Fund, Class S (a)		429,058		3,582,632
MassMutual Select Fundamental Value Fund, Class Z (a)		297,754		4,049,450
MassMutual Select Growth Opportunities Fund, Class Z (a)		269,039		3,075,115
MassMutual Select Large Cap Value Fund, Class S (a)		265,806		2,519,843
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		107,033		1,971,555
MassMutual Select Mid-Cap Value Fund, Class Z (a)		162,608		2,387,083
MassMutual Select Overseas Fund, Class Z (a)		727,265		6,581,752
MassMutual Select PIMCO Total Return Fund, Class Z (a)		20,235		204,778
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		75,628		1,438,442
MassMutual Select Small Cap Value Equity Fund, Class S (a)		153,874		2,297,338
MassMutual Select Small Company Growth Fund, Class S (a)		74,948		941,349

	Number of Shares		Value
MassMutual Select Small Company Value Fund, Class Z (a)		40,976	$	670,777
MassMutual Select Strategic Bond Fund, Class S (a)		16,766		164,641
MM MSCI EAFE International Index Fund, Class Z (a)		495,119		6,689,055
MM Russell 2000 Small Cap Index Fund, Class Z (a)		203,775		2,689,829
MM S&P Mid Cap Index Fund, Class Z (a)		232,336		2,897,232
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		773,281		2,327,577
Oppenheimer Developing Markets Fund, Class I (a)		72,315		2,716,886
Oppenheimer Global Real Estate Fund, Class I (a)		142,854		1,427,107
Oppenheimer International Bond Fund, Class I (a)		112,290		681,599
Oppenheimer Real Estate Fund, Class I (a)		62,398		1,453,879
				80,789,097
TOTAL MUTUAL FUNDS (Cost $73,233,049)				80,789,097
TOTAL LONG-TERM INVESTMENTS (Cost $73,233,049)				80,789,097
TOTAL INVESTMENTS — 100.1% (Cost $73,233,049) (c)				80,789,097
Other Assets/(Liabilities) — (0.1)%				(56,874	)
NET ASSETS — 100.0%			$	80,732,223

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

44

MassMutual RetireSMART 2055 Fund – Portfolio of Investments

December 31, 2013

	Number of Shares		Value
MUTUAL FUNDS — 101.7%
Diversified Financial — 101.7%
MassMutual Premier Core Bond Fund, Class Z (a)		1,313	$	14,316
MassMutual Premier Disciplined Growth Fund, Class S (a)		5,499		65,818
MassMutual Premier Disciplined Value Fund, Class S (a)		4,427		65,120
MassMutual Premier Focused International Fund, Class Z (a)		999		12,973
MassMutual Premier High Yield Fund, Class Z (a)		1,123		10,826
MassMutual Premier Inflation-Protected and Income Fund, Class Z (a)		552		5,611
MassMutual Premier International Equity Fund, Class S (a)		2,004		30,697
MassMutual Premier Short-Duration Bond Fund, Class Z (a)		1,015		10,524
MassMutual Premier Strategic Emerging Markets Fund, Class Z (a)		2,719		32,279
MassMutual Select Blue Chip Growth Fund, Class S (a)		2,897		49,071
MassMutual Select Diversified International Fund, Class S (a)		3,989		30,794
MassMutual Select Diversified Value Fund, Class S (a)		3,559		48,255
MassMutual Select Focused Value Fund, Class Z (a)		1,292		30,147
MassMutual Select Fundamental Growth Fund, Class S (a)		5,820		48,596
MassMutual Select Fundamental Value Fund, Class Z (a)		4,036		54,889
MassMutual Select Growth Opportunities Fund, Class Z (a)		3,648		41,702
MassMutual Select Large Cap Value Fund, Class S (a)		3,600		34,128
MassMutual Select Mid Cap Growth Equity II Fund, Class Z (a)		1,452		26,745
MassMutual Select Mid-Cap Value Fund, Class Z (a)		2,207		32,402
MassMutual Select Overseas Fund, Class Z (a)		9,855		89,192
MassMutual Select PIMCO Total Return Fund, Class Z (a)		275		2,787
MassMutual Select Small Cap Growth Equity Fund, Class Z (a)		1,018		19,363
MassMutual Select Small Cap Value Equity Fund, Class S (a)		2,105		31,433
MassMutual Select Small Company Growth Fund, Class S (a)		1,004		12,613
MassMutual Select Small Company Value Fund, Class Z (a)		566		9,265

	Number of Shares		Value
MassMutual Select Strategic Bond Fund, Class S (a)		232	$	2,275
MM MSCI EAFE International Index Fund, Class Z (a)		6,709		90,642
MM Russell 2000 Small Cap Index Fund, Class Z (a)		2,750		36,300
MM S&P Mid Cap Index Fund, Class Z (a)		3,145		39,214
Oppenheimer Commodity Strategy Total Return Fund, Class I (a) (b)		10,459		31,480
Oppenheimer Developing Markets Fund, Class I (a)		1,016		38,190
Oppenheimer Global Real Estate Fund, Class I (a)		1,979		19,768
Oppenheimer International Bond Fund, Class I (a)		1,331		8,082
Oppenheimer Real Estate Fund, Class I (a)		831		19,362
				1,094,859
TOTAL MUTUAL FUNDS (Cost $1,081,924)				1,094,859
TOTAL LONG-TERM INVESTMENTS (Cost $1,081,924)				1,094,859
TOTAL INVESTMENTS — 101.7% (Cost $1,081,924) (c)				1,094,859
Other Assets/(Liabilities) — (1.7)%				(18,427	)
NET ASSETS — 100.0%			$	1,076,432

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 7 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

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

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

45

MassMutual Select Funds – Financial Statements

Statements of Assets and Liabilities

December 31, 2013

	MassMutual RetireSMART Conservative Fund			MassMutual RetireSMART Moderate Fund
Assets:
Investments, at value — affiliated issuers (Note 2 & 7) (a)	$	209,816,774		$	416,100,475
Total investments		209,816,774			416,100,475
Receivables from:
Investments sold		115,871			-
Investment adviser		-			-
Fund shares sold		68,664			206,932
Interest and dividends		70			25
Total assets		210,001,379			416,307,432
Liabilities:
Payables for:
Investments purchased		70			96,361
Fund shares repurchased		183,273			108,094
Trustees’ fees and expenses (Note 3)		19,912			40,525
Affiliates (Note 3):
Investment management fees		9,070			17,993
Administration fees		31,030			70,564
Service fees		82,805			134,627
Distribution fees		-			-
Due to custodian		29			58
Accrued expense and other liabilities		34,666			38,820
Total liabilities		360,855			507,042
Net assets	$	209,640,524		$	415,800,390
Net assets consist of:
Paid-in capital	$	207,193,122		$	380,372,640
Undistributed (accumulated) net investment income (loss)		-			-
Distributions in excess of net investment income		(18,622	)		(37,946	)
Accumulated net realized gain (loss) on investments		465,754			5,013,624
Net unrealized appreciation (depreciation) on investments		2,000,270			30,452,072
Net assets	$	209,640,524		$	415,800,390
(a)        Cost of investments — affiliated issuers:	$	207,816,504		$	385,648,403

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

46

MassMutual RetireSMART Moderate Growth Fund			MassMutual RetireSMART Growth Fund			MassMutual RetireSMART In Retirement Fund			MassMutual RetireSMART 2010 Fund			MassMutual RetireSMART 2015 Fund			MassMutual RetireSMART 2020 Fund
$	337,284,545		$	104,258,869		$	84,418,329		$	107,686,944		$	20,393,794		$	458,910,452
	337,284,545			104,258,869			84,418,329			107,686,944			20,393,794			458,910,452
	-			-			149,879			84,707			-			1,064,601
	-			6,094			-			-			7,394			-
	98,144			937,049			11,523			30,895			12,177			565,606
	-			-			31			15			-			14
	337,382,689			105,202,012			84,579,762			107,802,561			20,413,365			460,540,673
	40,453			933,719			31			15			11,932			14
	57,933			2,733			160,891			114,947			19			1,627,477
	30,519			6,715			37,933			35,252			856			114,271
	14,471			4,378			3,682			4,700			874			19,834
	64,486			19,369			15,238			18,568			4,064			93,505
	114,201			36,331			13,073			15,374			2,991			59,332
	-			-			69			651			-			1,760
	46			14			12			15			3			63
	36,717			31,852			32,101			32,437			30,584			38,094
	358,826			1,035,111			263,030			221,959			51,323			1,954,350
$	337,023,863		$	104,166,901		$	84,316,732		$	107,580,602		$	20,362,042		$	458,586,323
$	289,190,788		$	88,245,360		$	102,885,901		$	128,091,401		$	19,773,088		$	469,677,720
	-			-			1,956,400			2,674,959			-			11,568,011
	(28,502	)		(6,178	)		-			-			(765	)		-
	6,724,059			2,521,703			(21,835,125	)		(26,967,761	)		456,425			(62,284,536	)
	41,137,518			13,406,016			1,309,556			3,782,003			133,294			39,625,128
$	337,023,863		$	104,166,901		$	84,316,732		$	107,580,602		$	20,362,042		$	458,586,323
$	296,147,027		$	90,852,853		$	83,108,773		$	103,904,941		$	20,260,500		$	419,285,324

47

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

December 31, 2013

	MassMutual RetireSMART Conservative Fund		MassMutual RetireSMART Moderate Fund
Class S shares:
Net assets	$	3,072,559	$	17,345,265
Shares outstanding (a)		306,222		1,635,064
Net asset value, offering price and redemption price per share	$	10.03	$	10.61
Class Y shares:
Net assets	$	12,812,350	$	31,676,777
Shares outstanding (a)		1,277,687		2,982,828
Net asset value, offering price and redemption price per share	$	10.03	$	10.62
Class L shares:
Net assets	$	61,816,782	$	150,710,229
Shares outstanding (a)		6,159,344		14,176,842
Net asset value, offering price and redemption price per share	$	10.04	$	10.63
Class A shares:
Net assets	$	131,938,833	$	216,068,119
Shares outstanding (a)		13,142,365		20,292,600
Net asset value and redemption price per share	$	10.04	$	10.65
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	10.65	$	11.30
Class N shares:
Net assets	$	-	$	-
Shares outstanding (a)		-		-
Net asset value, offering price and redemption price per share	$	-	$	-

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

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

48

MassMutual RetireSMART Moderate Growth Fund		MassMutual RetireSMART Growth Fund		MassMutual RetireSMART In Retirement Fund		MassMutual RetireSMART 2010 Fund		MassMutual RetireSMART 2015 Fund		MassMutual RetireSMART 2020 Fund
$	4,662,679	$	4,132,335	$	26,413,607	$	62,731,544	$	10,699,332	$	231,680,940
	412,290		340,935		2,428,526		5,393,870		918,908		19,051,579
$	11.31	$	12.12	$	10.88	$	11.63	$	11.64	$	12.16
$	18,053,031	$	3,545,274	$	17,285,942	$	10,809,096	$	261,391	$	42,620,650
	1,596,260		292,492		1,586,843		928,625		22,453		3,503,350
$	11.31	$	12.12	$	10.89	$	11.64	$	11.64	$	12.17
$	130,737,510	$	35,397,532	$	19,812,297	$	10,399,573	$	3,517,473	$	89,312,814
	11,547,383		2,918,870		1,818,806		895,599		302,905		7,344,786
$	11.32	$	12.13	$	10.89	$	11.61	$	11.61	$	12.16
$	183,570,643	$	61,091,760	$	20,693,408	$	22,595,441	$	5,883,846	$	92,034,124
	16,191,394		5,040,617		1,913,842		1,956,934		509,035		7,638,669
$	11.34	$	12.12	$	10.81	$	11.55	$	11.56	$	12.05
$	12.03	$	12.86	$	11.47	$	12.25	$	12.27	$	12.79
$	-	$	-	$	111,478	$	1,044,948	$	-	$	2,937,795
	-		-		10,328		91,116		-		246,829
$	-	$	-	$	10.79	$	11.47	$	-	$	11.90

49

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

December 31, 2013

	MassMutual RetireSMART 2025 Fund			MassMutual RetireSMART 2030 Fund
Assets:
Investments, at value — affiliated issuers (Note 2 & 7) (a)	$	26,628,072		$	411,858,867
Total investments		26,628,072			411,858,867
Receivables from:
Investments sold		-			1,916,903
Investment adviser		7,577			-
Fund shares sold		14,263			317,524
Total assets		26,649,912			414,093,294
Liabilities:
Payables for:
Investments purchased		4,383			-
Fund shares repurchased		9,746			2,231,999
Trustees’ fees and expenses (Note 3)		839			90,666
Affiliates (Note 3):
Investment management fees		1,108			17,709
Administration fees		5,587			83,764
Service fees		3,140			50,028
Distribution fees		-			2,128
Due to custodian		3			56
Accrued expense and other liabilities		30,627			36,918
Total liabilities		55,433			2,513,268
Net assets	$	26,594,479		$	411,580,026
Net assets consist of:
Paid-in capital	$	25,303,533		$	401,676,032
Undistributed (accumulated) net investment income (loss)		-			8,280,724
Distributions in excess of net investment income		(742	)		-
Accumulated net realized gain (loss) on investments		710,321			(44,655,245	)
Net unrealized appreciation (depreciation) on investments		581,367			46,278,515
Net assets	$	26,594,479		$	411,580,026
(a)        Cost of investments — affiliated issuers:	$	26,046,705		$	365,580,352

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

50

MassMutual RetireSMART 2035 Fund			MassMutual RetireSMART 2040 Fund			MassMutual RetireSMART 2045 Fund		MassMutual RetireSMART 2050 Fund			MassMutual RetireSMART 2055 Fund
$	21,910,428		$	267,594,110		$	10,885,650	$	80,789,097		$	1,094,859
	21,910,428			267,594,110			10,885,650		80,789,097			1,094,859
	-			268,642			-		-			6
	7,400			-			7,367		7,074			13,761
	14,348			200,462			30,316		136,509			-
	21,932,176			268,063,214			10,923,333		80,932,680			1,108,626
	14,237			-			30,261		136,059			-
	-			467,539			-		-			-
	689			55,076			413		6,908			64
	920			11,457			454		3,372			46
	4,572			53,052			2,233		13,966			184
	2,861			31,254			1,757		7,319			65
	-			2,107			-		1,456			-
	3			36			1		11			-
	30,467			34,563			30,306		31,366			31,835
	53,749			655,084			65,425		200,457			32,194
$	21,878,427		$	267,408,130		$	10,857,908	$	80,732,223		$	1,076,432
$	20,321,581		$	252,716,619		$	9,874,459	$	71,222,047		$	1,025,923
	-			4,094,608			20		-			34
	(611	)		-			-		(6,518	)		-
	645,717			(20,825,644	)		340,482		1,960,646			37,540
	911,740			31,422,547			642,947		7,556,048			12,935
$	21,878,427		$	267,408,130		$	10,857,908	$	80,732,223		$	1,076,432
$	20,998,688		$	236,171,563		$	10,242,703	$	73,233,049		$	1,081,924

51

MassMutual Select Funds – Financial Statements (Continued)

Statements of Assets and Liabilities

December 31, 2013

	MassMutual RetireSMART 2025 Fund		MassMutual RetireSMART 2030 Fund
Class S shares:
Net assets	$	11,732,084	$	209,823,561
Shares outstanding (a)		949,515		16,594,843
Net asset value, offering price and redemption price per share	$	12.36	$	12.64
Class Y shares:
Net assets	$	778,088	$	46,489,684
Shares outstanding (a)		62,971		3,677,359
Net asset value, offering price and redemption price per share	$	12.36	$	12.64
Class L shares:
Net assets	$	7,257,631	$	73,802,188
Shares outstanding (a)		588,614		5,825,807
Net asset value, offering price and redemption price per share	$	12.33	$	12.67
Class A shares:
Net assets	$	6,826,676	$	77,891,942
Shares outstanding (a)		556,053		6,195,476
Net asset value and redemption price per share	$	12.28	$	12.57
Offering price per share
(100/[100-maximum sales charge] of net asset value)	$	13.03	$	13.34
Class N shares:
Net assets	$	-	$	3,572,651
Shares outstanding		-		286,945
Net asset value, offering price and redemption price per share	$	-	$	12.45

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

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

52

MassMutual RetireSMART 2035 Fund		MassMutual RetireSMART 2040 Fund		MassMutual RetireSMART 2045 Fund		MassMutual RetireSMART 2050 Fund		MassMutual RetireSMART 2055 Fund
$	9,582,392	$	139,154,973	$	5,499,200	$	49,996,265	$	753,217
	746,867		10,866,639		428,509		5,107,882		71,715
$	12.83	$	12.81	$	12.83	$	9.79	$	10.50
$	1,214,505	$	27,837,709	$	321,573	$	9,647,502	$	107,679
	94,659		2,175,234		25,059		984,852		10,256
$	12.83	$	12.80	$	12.83	$	9.80	$	10.50
$	4,833,050	$	49,619,497	$	1,448,031	$	8,880,717	$	107,967
	377,327		3,869,200		113,066		909,185		10,283
$	12.81	$	12.82	$	12.81	$	9.77	$	10.50
$	6,248,480	$	47,265,124	$	3,589,104	$	9,720,973	$	107,569
	490,168		3,716,869		281,425		997,009		10,246
$	12.75	$	12.72	$	12.75	$	9.75	$	10.50
$	13.53	$	13.50	$	13.53	$	10.34	$	11.14
$	-	$	3,530,827	$	-	$	2,486,766	$	-
	-		280,310		-		255,662		-
$	-	$	12.60	$	-	$	9.73	$	-

53

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended December 31, 2013

	MassMutual RetireSMART Conservative Fund			MassMutual RetireSMART Moderate Fund
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	4,816,206		$	8,191,682
Total investment income		4,816,206			8,191,682
Expenses (Note 3):
Investment management fees		113,536			227,078
Custody fees		37,808			37,762
Audit fees		28,636			28,883
Legal fees		1,702			3,401
Proxy fees		1,028			1,028
Shareholder reporting fees		12,556			21,003
Trustees’ fees		18,343			36,439
		213,609			355,594
Administration fees:
Class S		1,164			6,777
Class Y		5,760			16,264
Class L		123,074			318,399
Class A		266,138			579,622
Class N		-			-
Distribution fees:
Class N		-			-
Service fees:
Class A		374,631			699,688
Class N		-			-
Total expenses		984,376			1,976,344
Expenses waived (Note 3):
Class S fees reimbursed by adviser		-			-
Class Y fees reimbursed by adviser		-			-
Class L fees reimbursed by adviser		-			-
Class A fees reimbursed by adviser		-			-
Class S administrative fees waived		-			-
Class Y administrative fees waived		-			-
Class L administrative fees waived		-			-
Class A administrative fees waived		-			-
Class N administrative fees waived		-			-
Net expenses		984,376			1,976,344
Net investment income (loss)		3,831,830			6,215,338
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		5,839,794			21,038,232
Realized gain distributions — affiliated issuers (Note 7)		3,993,052			13,672,862
Net realized gain (loss)		9,832,846			34,711,094
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		(652,975	)		19,979,641
Net change in unrealized appreciation (depreciation)		(652,975	)		19,979,641
Net realized gain (loss) and change in unrealized appreciation (depreciation)		9,179,871			54,690,735
Net increase (decrease) in net assets resulting from operations	$	13,011,701		$	60,906,073

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

54

MassMutual RetireSMART Moderate Growth Fund		MassMutual RetireSMART Growth Fund			MassMutual RetireSMART In Retirement Fund			MassMutual RetireSMART 2010 Fund			MassMutual RetireSMART 2015 Fund			MassMutual RetireSMART 2020 Fund
$	5,645,072	$	1,378,299		$	1,824,984		$	2,272,437		$	390,562		$	8,384,892
	5,645,072		1,378,299			1,824,984			2,272,437			390,562			8,384,892
	176,414		44,651			44,035			53,559			7,068			215,751
	37,392		37,007			37,765			37,844			36,568			37,834
	28,765		28,480			28,492			28,507			28,410			28,811
	2,554		602			646			758			88			3,003
	1,028		1,028			1,028			1,028			1,028			1,028
	17,016		7,050			7,209			7,642			4,124			19,280
	28,132		6,988			7,013			8,540			1,056			34,142
	291,301		125,806			126,188			137,878			78,342			339,849
	3,869		2,592			29,608			77,245			12,934			311,704
	10,769		1,950			28,231			21,615			429			84,511
	286,683		72,336			69,041			34,505			6,364			316,833
	495,534		123,258			59,173			76,765			9,897			314,078
	-		-			380			4,055			-			11,403
	-		-			289			2,764			-			7,310
	541,686		134,856			53,042			60,578			7,437			230,940
	-		-			289			2,764			-			7,310
	1,629,842		460,798			366,241			418,169			115,403			1,623,938
	-		(1,473	)		-			-			(46,637	)		-
	-		(820	)		-			-			(1,004	)		-
	-		(19,255	)		-			-			(10,065	)		-
	-		(32,816	)		-			-			(16,118	)		-
	-		-			(637	)		(1,485	)		-			(4,714	)
	-		-			(375	)		(233	)		-			(714	)
	-		-			(710	)		(295	)		-			(2,421	)
	-		-			(533	)		(615	)		-			(2,247	)
	-		-			(3	)		(32	)		-			(83	)
	1,629,842		406,434			363,983			415,509			41,579			1,613,759
	4,015,230		971,865			1,461,001			1,856,928			348,983			6,771,133
	18,863,771		2,919,015			3,777,120			4,889,357			706,062			22,988,697
	14,501,018		4,843,779			1,989,395			3,082,971			661,263			17,422,366
	33,364,789		7,762,794			5,766,515			7,972,328			1,367,325			40,411,063
	31,957,256		11,475,655			(1,511,299	)		547,814			88,061			21,612,146
	31,957,256		11,475,655			(1,511,299	)		547,814			88,061			21,612,146
	65,322,045		19,238,449			4,255,216			8,520,142			1,455,386			62,023,209
$	69,337,275	$	20,210,314		$	5,716,217		$	10,377,070		$	1,804,369		$	68,794,342

55

MassMutual Select Funds – Financial Statements (Continued)

Statements of Operations

For the Year Ended December 31, 2013

	MassMutual RetireSMART 2025 Fund			MassMutual RetireSMART 2030 Fund
Investment income (Note 2):
Dividends — affiliated issuers (Note 7)	$	441,536		$	6,858,219
Total investment income		441,536			6,858,219
Expenses (Note 3):
Investment management fees		7,450			189,384
Custody fees		36,873			37,296
Audit fees		28,410			28,755
Legal fees		82			2,612
Proxy fees		1,028			1,028
Shareholder reporting fees		4,460			16,971
Trustees’ fees		1,067			29,877
		79,370			305,923
Administration fees:
Class S		10,202			289,059
Class Y		960			92,845
Class L		14,246			254,035
Class A		11,191			259,181
Class N		-			12,919
Distribution fees:
Class N		-			8,203
Service fees:
Class A		8,304			188,522
Class N		-			8,203
Total expenses		124,273			1,418,890
Expenses waived (Note 3):
Class S fees reimbursed by adviser		(33,654	)		-
Class Y fees reimbursed by adviser		(2,106	)		-
Class L fees reimbursed by adviser		(21,703	)		-
Class A fees reimbursed by adviser		(17,457	)		-
Class N fees reimbursed by adviser		-			-
Class S administrative fees waived		-			(8,357	)
Class Y administrative fees waived		-			(1,535	)
Class L administrative fees waived		-			(3,831	)
Class A administrative fees waived		-			(3,605	)
Class N administrative fees waived		-			(163	)
Net expenses		49,353			1,401,399
Net investment income (loss)		392,183			5,456,820
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions — affiliated issuers (Note 7)		801,558			21,055,526
Realized gain distributions — affiliated issuers (Note 7)		1,069,418			17,711,456
Net realized gain (loss)		1,870,976			38,766,982
Net change in unrealized appreciation (depreciation) on:
Investment transactions — affiliated issuers		443,943			29,631,179
Net change in unrealized appreciation (depreciation)		443,943			29,631,179
Net realized gain (loss) and change in unrealized appreciation (depreciation)		2,314,919			68,398,161
Net increase (decrease) in net assets resulting from operations	$	2,707,102		$	73,854,981

+ Fund commenced operations on September 17, 2013.

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

56

MassMutual RetireSMART 2035 Fund			MassMutual RetireSMART 2040 Fund			MassMutual RetireSMART 2045 Fund			MassMutual RetireSMART 2050 Fund			MassMutual RetireSMART 2055 Fund+
$	324,702		$	4,124,287		$	143,127		$	1,082,491		$	12,702
	324,702			4,124,287			143,127			1,082,491			12,702
	6,007			122,365			3,273			31,917			150
	36,601			37,281			36,349			37,149			4,458
	28,408			28,626			28,405			28,454			28,400
	66			1,706			37			423			5,183
	1,028			1,028			1,028			1,028			-
	4,435			12,328			4,274			6,004			2,242
	852			19,345			476			4,913			65
	77,397			222,679			73,842			109,888			40,498
	7,986			190,196			5,293			57,663			315
	1,555			50,987			494			16,188			75
	9,818			157,098			3,157			17,011			106
	10,268			159,400			6,929			33,075			105
	-			12,138			-			8,028			-
	-			7,789			-			5,219			-
	7,604			117,344			5,023			24,712			75
	-			7,789			-			5,219			-
	114,628			925,420			94,738			277,003			41,174
	(32,066	)		-			(37,284	)		(53,619	)		(28,168	)
	(4,079	)		-			(2,278	)		(11,598	)		(4,042	)
	(18,470	)		-			(10,340	)		(8,381	)		(4,053	)
	(19,543	)		-			(22,808	)		(17,689	)		(4,040	)
	-			-			-			(3,689	)		-
	-			(5,785	)		-			-			-
	-			(800	)		-			-			-
	-			(2,348	)		-			-			-
	-			(2,252	)		-			-			-
	-			(147	)		-			-			-
	40,470			914,088			22,028			182,027			871
	284,232			3,210,199			121,099			900,464			11,831
	422,649			13,956,068			271,131			3,805,114			1,345
	942,736			11,728,313			492,574			3,662,875			49,621
	1,365,385			25,684,381			763,705			7,467,989			50,966
	802,422			21,499,837			570,954			5,917,052			12,935
	802,422			21,499,837			570,954			5,917,052			12,935
	2,167,807			47,184,218			1,334,659			13,385,041			63,901
$	2,452,039		$	50,394,417		$	1,455,758		$	14,285,505		$	75,732

57

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART Conservative Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	3,831,830		$	4,548,238
Net realized gain (loss) on investment transactions		9,832,846			3,420,780
Net change in unrealized appreciation (depreciation) on investments		(652,975	)		12,875,289
Net increase (decrease) in net assets resulting from operations		13,011,701			20,844,307
Distributions to shareholders (Note 2):
From net investment income:
Class S		(82,049	)		(70,837	)
Class Y		(343,965	)		(80,364	)
Class L		(1,554,532	)		(1,854,623	)
Class A		(2,980,876	)		(3,730,078	)
Total distributions from net investment income		(4,961,422	)		(5,735,902	)
From net realized gains:
Class S		(105,757	)		(45,856	)
Class Y		(439,437	)		(48,308	)
Class L		(2,681,551	)		(1,186,060	)
Class A		(5,616,192	)		(2,704,816	)
Total distributions from net realized gains		(8,842,937	)		(3,985,040	)
Net fund share transactions (Note 5):
Class S		335,607			2,663,570
Class Y		10,027,673			306,272
Class L		(11,715,533	)		(27,108,886	)
Class A		(31,488,367	)		(10,137,162	)
Increase (decrease) in net assets from fund share transactions		(32,840,620	)		(34,276,206	)
Total increase (decrease) in net assets		(33,633,278	)		(23,152,841	)
Net assets
Beginning of year		243,273,802			266,426,643
End of year	$	209,640,524		$	243,273,802
Distributions in excess of net investment income included in net assets at end of year	$	(18,622	)	$	(9,697	)

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

58

MassMutual RetireSMART Moderate Fund						MassMutual RetireSMART Moderate Growth Fund						MassMutual RetireSMART Growth Fund
Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012
$	6,215,338		$	7,724,107		$	4,015,230		$	4,991,608		$	971,865		$	798,305
	34,711,094			9,204,729			33,364,789			7,764,050			7,762,794			1,832,813
	19,979,641			41,238,451			31,957,256			38,477,117			11,475,655			7,318,957
	60,906,073			58,167,287			69,337,275			51,232,775			20,210,314			9,950,075
	(486,353	)		(58,949	)		(125,266	)		(129,741	)		(99,159	)		(24,553	)
	(880,643	)		(99,057	)		(494,392	)		(32,101	)		(79,854	)		(1,519	)
	(3,979,176	)		(3,119,520	)		(3,379,733	)		(1,991,652	)		(811,282	)		(348,554	)
	(4,865,456	)		(6,097,489	)		(4,106,965	)		(3,429,660	)		(1,250,595	)		(510,668	)
	(10,211,628	)		(9,375,015	)		(8,106,356	)		(5,583,154	)		(2,240,890	)		(885,294	)
	(962,364	)		(29,583	)		(269,576	)		(167,949	)		(150,098	)		(23,437	)
	(1,765,034	)		(82,524	)		(1,114,918	)		(42,098	)		(121,545	)		(3,015	)
	(10,510,073	)		(2,967,739	)		(9,738,356	)		(2,772,318	)		(1,553,728	)		(713,845	)
	(14,971,828	)		(6,689,386	)		(13,639,579	)		(5,932,011	)		(2,639,839	)		(1,252,406	)
	(28,209,299	)		(9,769,232	)		(24,762,429	)		(8,914,376	)		(4,465,210	)		(1,992,703	)
	14,832,555			2,468,743			(2,825,087	)		6,961,167			2,127,268			1,553,124
	27,586,997			854,061			16,223,995			(230,603	)		3,291,972			4,534
	(3,185,845	)		(7,734,399	)		1,745,485			(13,800,773	)		3,946,016			1,682,335
	(125,038,985	)		(70,180,909	)		(77,751,683	)		(39,901,312	)		5,640,609			3,770,333
	(85,805,278	)		(74,592,504	)		(62,607,290	)		(46,971,521	)		15,005,865			7,010,326
	(63,320,132	)		(35,569,464	)		(26,138,800	)		(10,236,276	)		28,510,079			14,082,404
	479,120,522			514,689,986			363,162,663			373,398,939			75,656,822			61,574,418
$	415,800,390		$	479,120,522		$	337,023,863		$	363,162,663		$	104,166,901		$	75,656,822
$	(37,946	)	$	(20,126	)	$	(28,502	)	$	(14,661	)	$	(6,178	)	$	(2,706	)

59

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART In Retirement Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	1,461,001		$	1,774,308
Net realized gain (loss) on investment transactions		5,766,515			4,033,960
Net change in unrealized appreciation (depreciation) on investments		(1,511,299	)		2,780,586
Net increase (decrease) in net assets resulting from operations		5,716,217			8,588,854
Distributions to shareholders (Note 2):
From net investment income:
Class S		(724,327	)		(729,752	)
Class Y		(420,977	)		(402,201	)
Class L		(525,072	)		(881,208	)
Class A		(459,269	)		(620,933	)
Class N		(2,112	)		(2,828	)
Total distributions from net investment income		(2,131,757	)		(2,636,922	)
From net realized gains:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class S		1,216,256			7,497,632
Class Y		2,935,887			(8,079,104	)
Class L		(10,129,021	)		(4,650,873	)
Class A		(5,181,559	)		(5,386,295	)
Class N		(17,026	)		4,977
Increase (decrease) in net assets from fund share transactions		(11,175,463	)		(10,613,663	)
Total increase (decrease) in net assets		(7,591,003	)		(4,661,731	)
Net assets
Beginning of year		91,907,735			96,569,466
End of year	$	84,316,732		$	91,907,735
Undistributed (accumulated) net investment income (loss) included in net assets at end of year	$	1,956,400		$	2,095,279
Distributions in excess of net investment income included in net assets at end of year	$	-		$	-

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

60

MassMutual RetireSMART 2010 Fund						MassMutual RetireSMART 2015 Fund
Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012
$	1,856,928		$	2,064,970		$	348,983		$	130,107
	7,972,328			4,934,019			1,367,325			318,170
	547,814			4,117,828			88,061			85,126
	10,377,070			11,116,817			1,804,369			533,403
	(1,509,627	)		(1,455,787	)		(285,305	)		(118,949	)
	(234,634	)		(190,868	)		(6,926	)		(2,529	)
	(217,057	)		(289,205	)		(93,587	)		(9,930	)
	(484,962	)		(534,506	)		(151,477	)		(19,809	)
	(16,040	)		(27,288	)		-			-
	(2,462,320	)		(2,497,654	)		(537,295	)		(151,217	)
	-			-			(471,732	)		(128,558	)
	-			-			(11,236	)		(3,334	)
	-			-			(153,103	)		(10,602	)
	-			-			(240,138	)		(26,167	)
	-			-			(876,209	)		(168,661	)
	292,785			19,828,200			4,370,904			3,542,504
	1,221,376			(19,905,370	)		132,345			(224,918	)
	(2,106,030	)		(585,814	)		3,156,300			215,644
	(5,102,147	)		(3,199,795	)		4,842,499			440,739
	(319,035	)		(39,881	)		-			-
	(6,013,051	)		(3,902,660	)		12,502,048			3,973,969
	1,901,699			4,716,503			12,892,913			4,187,494
	105,678,903			100,962,400			7,469,129			3,281,635
$	107,580,602		$	105,678,903		$	20,362,042		$	7,469,129
$	2,674,959		$	2,429,696		$	-		$	-
$	-		$	-		$	(765	)	$	(225	)

61

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2020 Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	6,771,133		$	6,703,932
Net realized gain (loss) on investment transactions		40,411,063			26,045,865
Net change in unrealized appreciation (depreciation) on investments		21,612,146			16,329,931
Net increase (decrease) in net assets resulting from operations		68,794,342			49,079,728
Distributions to shareholders (Note 2):
From net investment income:
Class S		(4,059,425	)		(3,509,924	)
Class Y		(684,063	)		(403,625	)
Class L		(1,415,977	)		(1,680,708	)
Class A		(1,384,527	)		(1,379,255	)
Class N		(30,442	)		(46,816	)
Total distributions from net investment income		(7,574,434	)		(7,020,328	)
From net realized gains:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class S		24,107,105			48,042,284
Class Y		10,330,971			(38,693,721	)
Class L		(18,586,638	)		(3,519,995	)
Class A		(10,450,270	)		(6,742,791	)
Class N		(685,538	)		303,156
Increase (decrease) in net assets from fund share transactions		4,715,630			(611,067	)
Total increase (decrease) in net assets		65,935,538			41,448,333
Net assets
Beginning of year		392,650,785			351,202,452
End of year	$	458,586,323		$	392,650,785
Undistributed (accumulated) net investment income (loss) included in net assets at end of year	$	11,568,011		$	7,472,949
Distributions in excess of net investment income included in net assets at end of year	$	-		$	-

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

62

MassMutual RetireSMART 2025 Fund						MassMutual RetireSMART 2030 Fund						MassMutual RetireSMART 2035 Fund
Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012
$	392,183		$	84,796		$	5,456,820		$	5,157,639		$	284,232		$	65,540
	1,870,976			139,516			38,766,982			24,624,191			1,365,385			115,576
	443,943			225,509			29,631,179			15,134,110			802,422			212,086
	2,707,102			449,821			73,854,981			44,915,940			2,452,039			393,202
	(310,650	)		(39,572	)		(4,421,015	)		(2,547,064	)		(241,928	)		(33,852	)
	(17,483	)		(3,629	)		(891,269	)		(362,031	)		(30,212	)		(3,954	)
	(190,179	)		(24,609	)		(1,207,014	)		(1,091,807	)		(118,249	)		(15,379	)
	(174,655	)		(25,649	)		(1,074,884	)		(890,590	)		(148,649	)		(18,900	)
	-			-			(29,910	)		(40,563	)		-			-
	(692,967	)		(93,459	)		(7,624,092	)		(4,932,055	)		(539,038	)		(72,085	)
	(396,941	)		(48,578	)		-			-			(218,997	)		(49,389	)
	(22,830	)		(5,047	)		-			-			(28,974	)		(6,835	)
	(254,251	)		(31,147	)		-			-			(113,956	)		(22,021	)
	(227,566	)		(36,884	)		-			-			(136,859	)		(31,555	)
	(901,588	)		(121,656	)		-			-			(498,786	)		(109,800	)
	9,032,587			1,190,093			22,293,097			43,228,771			6,896,333			1,013,707
	544,289			59,454			10,868,198			(29,439,057	)		889,940			69,911
	5,509,593			1,062,770			(13,307,297	)		(7,381,779	)		3,464,149			814,409
	5,027,993			818,216			(6,615,738	)		(3,629,152	)		4,582,317			656,896
	-			-			(127,870	)		(52,046	)		-			-
	20,114,462			3,130,533			13,110,390			2,726,737			15,832,739			2,554,923
	21,227,009			3,365,239			79,341,279			42,710,622			17,246,954			2,766,240
	5,367,470			2,002,231			332,238,747			289,528,125			4,631,473			1,865,233
$	26,594,479		$	5,367,470		$	411,580,026		$	332,238,747		$	21,878,427		$	4,631,473
$	-		$	-		$	8,280,724		$	5,573,291		$	-		$	-
$	(742	)	$	(197	)	$	-		$	-		$	(611	)	$	(178	)

63

MassMutual Select Funds – Financial Statements (Continued)

Statements of Changes in Net Assets

	MassMutual RetireSMART 2040 Fund
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	3,210,199		$	3,110,186
Net realized gain (loss) on investment transactions		25,684,381			16,566,107
Net change in unrealized appreciation (depreciation) on investments		21,499,837			8,878,450
Net increase (decrease) in net assets resulting from operations		50,394,417			28,554,743
Distributions to shareholders (Note 2):
From net investment income:
Class S		(3,258,254	)		(1,505,903	)
Class Y		(590,161	)		(139,876	)
Class L		(894,616	)		(569,031	)
Class A		(789,308	)		(468,972	)
Class N		(38,966	)		(30,005	)
Total distributions from net investment income		(5,571,305	)		(2,713,787	)
From net realized gains:
Class S		-			-
Class Y		-			-
Class L		-			-
Class A		-			-
Class N		-			-
Total distributions from net realized gains		-			-
Net fund share transactions (Note 5):
Class S		7,566,006			30,822,567
Class Y		9,759,515			(13,525,307	)
Class L		(3,817,810	)		(2,929,681	)
Class A		(6,748,893	)		(1,294,396	)
Class N		126,388			(20,211	)
Increase (decrease) in net assets from fund share transactions		6,885,206			13,052,972
Total increase (decrease) in net assets		51,708,318			38,893,928
Net assets
Beginning of year		215,699,812			176,805,884
End of year	$	267,408,130		$	215,699,812
Undistributed (accumulated) net investment income (loss) included in net assets at end of year	$	4,094,608		$	3,377,795
Distributions in excess of net investment income included in net assets at end of year	$	-		$	-

+ Fund commenced operations on September 17, 2013.

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

64

MassMutual RetireSMART 2045 Fund						MassMutual RetireSMART 2050 Fund						MassMutual RetireSMART 2055 Fund
Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012			Period Ended December 31, 2013+
$	121,099		$	32,992		$	900,464		$	632,129		$	11,831
	763,705			92,872			7,467,989			1,864,939			50,966
	570,954			143,031			5,917,052			3,667,456			12,935
	1,455,758			268,895			14,285,505			6,164,524			75,732
	(130,030	)		(20,367	)		(1,180,194	)		(483,142	)		(17,292	)
	(7,490	)		(1,714	)		(228,171	)		(57,630	)		(2,495	)
	(32,933	)		(5,233	)		(208,059	)		(34,981	)		(2,471	)
	(78,929	)		(8,898	)		(196,314	)		(100,361	)		(2,390	)
	-			-			(43,970	)		(16,367	)		-
	(249,382	)		(36,212	)		(1,856,708	)		(692,481	)		(24,648	)
	(160,387	)		(51,193	)		(2,599,507	)		(1,171,714	)		(402	)
	(9,485	)		(5,232	)		(499,923	)		(129,257	)		(58	)
	(43,332	)		(13,608	)		(409,502	)		(108,341	)		(57	)
	(102,348	)		(27,188	)		(578,561	)		(325,331	)		(58	)
	-			-			(130,988	)		(66,524	)		-
	(315,552	)		(97,221	)		(4,218,481	)		(1,801,167	)		(575	)
	3,612,942			591,559			14,976,696			8,764,959			717,794
	166,436			(5,452	)		4,841,218			(3,253,941	)		102,653
	914,201			151,184			5,712,491			350,650			102,928
	2,554,206			413,245			(324,626	)		2,435,387			102,548
	-			-			438,980			326,295			-
	7,247,785			1,150,536			25,644,759			8,623,350			1,025,923
	8,138,609			1,285,998			33,855,075			12,294,226			1,076,432
	2,719,299			1,433,301			46,877,148			34,582,922			-
$	10,857,908		$	2,719,299		$	80,732,223		$	46,877,148		$	1,076,432
$	20		$	-		$	-		$	-		$	34
$	-		$	(131	)	$	(6,518	)	$	(4,248	)	$	-

65

MassMutual RetireSMART Conservative Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.14	$	0.34	$	0.29		$	0.63	$	(0.29	)	$	(0.45	)	$	(0.74	)	$	10.03		6.29%		$	3,073		0.15%			3.23%
12/31/12		9.70		0.25		0.63			0.88		(0.27	)		(0.17	)		(0.44	)		10.14		9.14%			2,774		0.13%			2.46%
12/31/11g		10.00		0.24		(0.21	)		0.03		(0.31	)		(0.02	)		(0.33	)		9.70		0.33%	b		100		0.14%	a		4.44%	a
Class Y
12/31/13	$	10.14	$	0.49	$	0.14		$	0.63	$	(0.29	)	$	(0.45	)	$	(0.74	)	$	10.03		6.29%		$	12,812		0.19%			4.64%
12/31/12		9.69		0.23		0.66			0.89		(0.27	)		(0.17	)		(0.44	)		10.14		9.21%			3,110		0.17%			2.29%
12/31/11g		10.00		1.42		(1.40	)		0.02		(0.31	)		(0.02	)		(0.33	)		9.69		0.24%	b		2,684		0.18%	a		26.89%	a
Class L
12/31/13	$	10.14	$	0.18	$	0.44		$	0.62	$	(0.27	)	$	(0.45	)	$	(0.72	)	$	10.04		6.22%		$	61,817		0.27%			1.78%
12/31/12		9.70		0.21		0.66			0.87		(0.26	)		(0.17	)		(0.43	)		10.14		9.01%			73,765		0.25%			2.10%
12/31/11g		10.00		0.23		(0.21	)		0.02		(0.30	)		(0.02	)		(0.32	)		9.70		0.26%	b		97,539		0.26%	a		4.26%	a
Class A
12/31/13	$	10.14	$	0.16	$	0.43		$	0.59	$	(0.24	)	$	(0.45	)	$	(0.69	)	$	10.04		5.92%		$	131,939		0.52%			1.51%
12/31/12		9.70		0.18		0.67			0.85		(0.24	)		(0.17	)		(0.41	)		10.14		8.73%			163,625		0.50%			1.75%
12/31/11g		10.00		0.22		(0.21	)		0.01		(0.29	)		(0.02	)		(0.31	)		9.70		0.14%	b		166,103		0.51%	a		4.17%	a

	Year ended December 31
	2013			2012			2011
Portfolio turnover rate for all share classes		37	%		37	%		20	%b,q

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

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

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Securities received from subscriptions in-kind had no impact on portfolio turnover.

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

66

MassMutual RetireSMART Moderate Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.25	$	0.45	$	1.02		$	1.47		$	(0.32	)	$	(0.79	)	$	(1.11	)	$	10.61		14.56%		$	17,345		0.17%			4.07%
12/31/12		9.51		0.33		0.86			1.19			(0.24	)		(0.21	)		(0.45	)		10.25		12.48%			2,649		0.13%			3.22%
12/31/11g		10.00		0.20		(0.43	)		(0.23	)		(0.25	)		(0.01	)		(0.26	)		9.51		(2.28%	)b		98		0.13%	a		3.82%	a
Class Y
12/31/13	$	10.26	$	0.50	$	0.97		$	1.47		$	(0.32	)	$	(0.79	)	$	(1.11	)	$	10.62		14.53%		$	31,677		0.21%			4.47%
12/31/12		9.51		0.21		0.98			1.19			(0.23	)		(0.21	)		(0.44	)		10.26		12.53%			4,549		0.17%			2.10%
12/31/11g		10.00		0.83		(1.06	)		(0.23	)		(0.25	)		(0.01	)		(0.26	)		9.51		(2.26%	)b		3,395		0.17%	a		16.08%	a
Class L
12/31/13	$	10.26	$	0.18	$	1.28		$	1.46		$	(0.30	)	$	(0.79	)	$	(1.09	)	$	10.63		14.44%		$	150,710		0.29%			1.66%
12/31/12		9.51		0.18		1.00			1.18			(0.22	)		(0.21	)		(0.43	)		10.26		12.43%			147,873		0.25%			1.81%
12/31/11g		10.00		0.18		(0.42	)		(0.24	)		(0.24	)		(0.01	)		(0.25	)		9.51		(2.35%	)b		144,705		0.25%	a		3.53%	a
Class A
12/31/13	$	10.26	$	0.11	$	1.33		$	1.44		$	(0.26	)	$	(0.79	)	$	(1.05	)	$	10.65		14.21%		$	216,068		0.53%			0.99%
12/31/12		9.51		0.14		1.01			1.15			(0.19	)		(0.21	)		(0.40	)		10.26		12.13%			324,049		0.50%			1.42%
12/31/11g		10.00		0.18		(0.43	)		(0.25	)		(0.23	)		(0.01	)		(0.24	)		9.51		(2.47%	)b		366,492		0.50%	a		3.41%	a

	Year ended December 31
	2013			2012			2011
Portfolio turnover rate for all share classes		37	%		39	%		19	%b,q

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

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

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 21% including securities received from subscriptions in-kind.

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

67

MassMutual RetireSMART Moderate Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.33	$	0.21	$	2.01		$	2.22		$	(0.33	)	$	(0.91	)	$	(1.24	)	$	11.31		21.91%		$	4,663		0.19%			1.88%
12/31/12		9.36		0.21		1.21			1.42			(0.19	)		(0.26	)		(0.45	)		10.33		15.21%			7,085		0.14%			2.10%
12/31/11g		10.00		0.16		(0.62	)		(0.46	)		(0.18	)		-			(0.18	)		9.36		(4.55%	)b		96		0.14%	a		3.14%	a
Class Y
12/31/13	$	10.33	$	0.44	$	1.79		$	2.23		$	(0.34	)	$	(0.91	)	$	(1.25	)	$	11.31		21.93%		$	18,053		0.23%			3.78%
12/31/12		9.36		0.18		1.24			1.42			(0.19	)		(0.26	)		(0.45	)		10.33		15.17%			1,816		0.18%			1.75%
12/31/11g		10.00		0.80		(1.25	)		(0.45	)		(0.19	)		-			(0.19	)		9.36		(4.53%	)b		1,847		0.18%	a		15.80%	a
Class L
12/31/13	$	10.33	$	0.16	$	2.06		$	2.22		$	(0.32	)	$	(0.91	)	$	(1.23	)	$	11.32		21.84%		$	130,738		0.31%			1.44%
12/31/12		9.36		0.16		1.25			1.41			(0.18	)		(0.26	)		(0.44	)		10.33		15.07%			117,574		0.26%			1.61%
12/31/11g		10.00		0.15		(0.61	)		(0.46	)		(0.18	)		-			(0.18	)		9.36		(4.61%	)b		119,858		0.26%	a		2.96%	a
Class A
12/31/13	$	10.34	$	0.10	$	2.09		$	2.19		$	(0.28	)	$	(0.91	)	$	(1.19	)	$	11.34		21.49%		$	183,571		0.56%			0.86%
12/31/12		9.36		0.12		1.27			1.39			(0.15	)		(0.26	)		(0.41	)		10.34		14.88%			236,688		0.51%			1.23%
12/31/11g		10.00		0.14		(0.61	)		(0.47	)		(0.17	)		-			(0.17	)		9.36		(4.75%	)b		251,598		0.51%	a		2.71%	a

	Year ended December 31
	2013			2012			2011
Portfolio turnover rate for all share classes		36	%		49	%		13	%b,q

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

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

m Total return does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown.

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 15% including securities received from subscriptions in-kind.

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

68

MassMutual RetireSMART Growth Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.35	$	0.24	$	2.41		$	2.65		$	(0.31	)	$	(0.57	)	$	(0.88	)	$	12.12		25.93%		$	4,132		0.25%			0.19%			2.04%
12/31/12		9.28		0.30		1.21			1.51			(0.15	)		(0.29	)		(0.44	)		10.35		16.42%			1,698		0.23%			0.15%			2.97%
12/31/11g		10.00		0.14		(0.69	)		(0.55	)		(0.15	)		(0.02	)		(0.17	)		9.28		(5.51%	)b		95		0.27%	a		0.13%	a		2.75%	a
Class Y
12/31/13	$	10.36	$	0.36	$	2.28		$	2.64		$	(0.31	)	$	(0.57	)	$	(0.88	)	$	12.12		25.82%		$	3,545		0.29%			0.23%			3.01%
12/31/12		9.28		0.14		1.38			1.52			(0.15	)		(0.29	)		(0.44	)		10.36		16.46%			110		0.26%			0.18%			1.37%
12/31/11g		10.00		0.14		(0.69	)		(0.55	)		(0.15	)		(0.02	)		(0.17	)		9.28		(5.53%	)b		95		0.31%	a		0.17%	a		2.70%	a
Class L
12/31/13	$	10.36	$	0.14	$	2.49		$	2.63		$	(0.29	)	$	(0.57	)	$	(0.86	)	$	12.13		25.73%		$	35,398		0.37%			0.31%			1.19%
12/31/12		9.28		0.13		1.38			1.51			(0.14	)		(0.29	)		(0.43	)		10.36		16.38%			26,623		0.33%			0.26%			1.27%
12/31/11g		10.00		0.13		(0.69	)		(0.56	)		(0.14	)		(0.02	)		(0.16	)		9.28		(5.58%	)b		22,366		0.39%	a		0.25%	a		2.57%	a
Class A
12/31/13	$	10.35	$	0.11	$	2.50		$	2.61		$	(0.27	)	$	(0.57	)	$	(0.84	)	$	12.12		25.48%		$	61,092		0.62%			0.56%			0.94%
12/31/12		9.28		0.11		1.37			1.48			(0.12	)		(0.29	)		(0.41	)		10.35		16.01%			47,226		0.59%			0.51%			1.09%
12/31/11g		10.00		0.12		(0.69	)		(0.57	)		(0.13	)		(0.02	)		(0.15	)		9.28		(5.70%	)b		39,019		0.64%	a		0.50%	a		2.36%	a

	Year ended December 31
	2013			2012			2011
Portfolio turnover rate for all share classes		36	%		57	%		14	%b,q

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period June 20, 2011 (commencement of operations) through December 31, 2011.

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

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

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

q Portfolio turnover excludes securities received from subscriptions in-kind. Amount would be 15% including securities received from subscriptions in-kind.

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

69

MassMutual RetireSMART In Retirement Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from  investment operations						Less distributions to shareholders										Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m		Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.45	$	0.20	$	0.52	$	0.72	$	(0.29	)	$	(0.29	)	$	10.88		6.93%	$	26,414		0.26%		0.25%			1.91%
12/31/12		9.84		0.26		0.67		0.93		(0.32	)		(0.32	)		10.45		9.64%		24,199		0.17%		0.17%	k		2.55%
12/31/11		9.86		0.26		0.01		0.27		(0.29	)		(0.29	)		9.84		2.78%		15,610		0.15%		N/A			2.62%
12/31/10		9.22		0.18		0.73		0.91		(0.27	)		(0.27	)		9.86		10.04%		13,462		0.15%		N/A			1.92%
12/31/09		7.68		0.18		1.36		1.54		-			-			9.22		20.05%		14,963		0.15%		N/A			2.17%
Class Y
12/31/13	$	10.47	$	0.22	$	0.48	$	0.70	$	(0.28	)	$	(0.28	)	$	10.89		6.83%	$	17,286		0.32%		0.32%	k		2.06%
12/31/12		9.85		0.17		0.76		0.93		(0.31	)		(0.31	)		10.47		9.53%		13,720		0.23%		0.23%	k		1.63%
12/31/11		9.88		0.25		0.01		0.26		(0.29	)		(0.29	)		9.85		2.66%		20,601		0.20%		N/A			2.47%
12/31/10		9.23		0.24		0.67		0.91		(0.26	)		(0.26	)		9.88		10.09%		19,112		0.17%		N/A			2.51%
12/31/09		7.68		0.16		1.39		1.55		-			-			9.23		20.18%		18,370		0.17%		N/A			1.98%
Class L
12/31/13	$	10.46	$	0.14	$	0.55	$	0.69	$	(0.26	)	$	(0.26	)	$	10.89		6.74%	$	19,812		0.42%		0.42%	k		1.33%
12/31/12		9.84		0.18		0.74		0.92		(0.30	)		(0.30	)		10.46		9.45%		28,883		0.33%		0.33%	k		1.77%
12/31/11		9.87		0.20		0.04		0.24		(0.27	)		(0.27	)		9.84		2.52%		31,554		0.30%		N/A			1.98%
12/31/10		9.22		0.21		0.69		0.90		(0.25	)		(0.25	)		9.87		9.98%		37,663		0.27%		N/A			2.21%
12/31/09		7.69		0.17		1.36		1.53		-			-			9.22		19.90%		38,375		0.27%		N/A			2.05%
Class A
12/31/13	$	10.38	$	0.15	$	0.52	$	0.67	$	(0.24	)	$	(0.24	)	$	10.81		6.52%	$	20,693		0.67%		0.67%	k		1.44%
12/31/12		9.76		0.17		0.71		0.88		(0.26	)		(0.26	)		10.38		9.13%		24,982		0.58%		0.58%	k		1.65%
12/31/11		9.79		0.17		0.05		0.22		(0.25	)		(0.25	)		9.76		2.27%		28,693		0.55%		N/A			1.68%
12/31/10		9.15		0.19		0.68		0.87		(0.23	)		(0.23	)		9.79		9.67%		35,125		0.52%		N/A			1.99%
12/31/09		7.65		0.16		1.34		1.50		-			-			9.15		19.61%		34,104		0.52%		N/A			1.94%
Class N
12/31/13	$	10.37	$	0.12	$	0.51	$	0.63	$	(0.21	)	$	(0.21	)	$	10.79		6.13%	$	111		0.97%		0.97%	k		1.10%
12/31/12		9.76		0.15		0.71		0.86		(0.25	)		(0.25	)		10.37		8.89%		124		0.88%		0.88%	k		1.45%
12/31/11		9.80		0.17		0.02		0.19		(0.23	)		(0.23	)		9.76		1.95%		112		0.85%		N/A			1.68%
12/31/10		9.16		0.16		0.69		0.85		(0.21	)		(0.21	)		9.80		9.40%		104		0.82%		N/A			1.66%
12/31/09		7.68		0.16		1.32		1.48		-			-			9.16		19.27%		105		0.82%		N/A			1.98%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		41	%		40	%		111	%		32	%		36	%

c Per share amount calculated on the average shares method.

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

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

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

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

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

70

MassMutual RetireSMART 2010 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations							Less distributions to shareholders										Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations		From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m		Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.80	$	0.22	$	0.89		$	1.11	$	(0.28	)	$	(0.28	)	$	11.63		10.46%	$	62,732		0.26%		0.25%			1.91%
12/31/12		9.96		0.27		0.84			1.11		(0.27	)		(0.27	)		10.80		11.19%		57,999		0.16%		0.16%	k		2.54%
12/31/11		10.11		0.21		(0.12	)		0.09		(0.24	)		(0.24	)		9.96		0.98%		34,639		0.14%		N/A			2.08%
12/31/10		9.26		0.14		0.94			1.08		(0.23	)		(0.23	)		10.11		11.95%		33,281		0.14%		N/A			1.52%
12/31/09		7.40		0.17		1.69			1.86		-			-			9.26		25.14%		43,844		0.14%		N/A			2.07%
Class Y
12/31/13	$	10.80	$	0.22	$	0.88		$	1.10	$	(0.26	)	$	(0.26	)	$	11.64		10.36%	$	10,809		0.35%		0.34%			1.92%
12/31/12		9.94		0.10		1.00			1.10		(0.24	)		(0.24	)		10.80		11.10%		8,852		0.24%		0.24%	k		0.92%
12/31/11		10.10		0.21		(0.13	)		0.08		(0.24	)		(0.24	)		9.94		0.84%		26,949		0.22%		N/A			2.09%
12/31/10		9.25		0.20		0.88			1.08		(0.23	)		(0.23	)		10.10		11.89%		27,844		0.19%		N/A			2.14%
12/31/09		7.39		0.13		1.73			1.86		-			-			9.25		25.17%		27,126		0.19%		N/A			1.69%
Class L
12/31/13	$	10.78	$	0.18	$	0.90		$	1.08	$	(0.25	)	$	(0.25	)	$	11.61		10.21%	$	10,400		0.45%		0.44%			1.58%
12/31/12		9.94		0.19		0.90			1.09		(0.25	)		(0.25	)		10.78		11.01%		11,649		0.35%		0.35%	k		1.84%
12/31/11		10.09		0.18		(0.10	)		0.08		(0.23	)		(0.23	)		9.94		0.82%		11,270		0.32%		N/A			1.75%
12/31/10		9.24		0.18		0.88			1.06		(0.21	)		(0.21	)		10.09		11.74%		13,103		0.29%		N/A			1.84%
12/31/09		7.39		0.11		1.74			1.85		-			-			9.24		25.03%		13,710		0.29%		N/A			1.39%
Class A
12/31/13	$	10.72	$	0.15	$	0.91		$	1.06	$	(0.23	)	$	(0.23	)	$	11.55		9.99%	$	22,595		0.70%		0.69%			1.31%
12/31/12		9.88		0.16		0.89			1.05		(0.21	)		(0.21	)		10.72		10.74%		25,903		0.60%		0.60%	k		1.53%
12/31/11		10.02		0.16		(0.10	)		0.06		(0.20	)		(0.20	)		9.88		0.61%		26,892		0.57%		N/A			1.55%
12/31/10		9.18		0.15		0.88			1.03		(0.19	)		(0.19	)		10.02		11.45%		32,254		0.54%		N/A			1.57%
12/31/09		7.37		0.12		1.69			1.81		-			-			9.18		24.56%		35,657		0.54%		N/A			1.55%
Class N
12/31/13	$	10.63	$	0.11	$	0.90		$	1.01	$	(0.17	)	$	(0.17	)	$	11.47		9.65%	$	1,045		1.00%		0.99%			1.00%
12/31/12		9.82		0.13		0.89			1.02		(0.21	)		(0.21	)		10.63		10.47%		1,275		0.90%		0.90%	k		1.23%
12/31/11		10.02		0.21		(0.19	)		0.02		(0.22	)		(0.22	)		9.82		0.25%		1,212		0.87%		N/A			2.07%
12/31/10		9.18		0.12		0.88			1.00		(0.16	)		(0.16	)		10.02		11.03%		513		0.84%		N/A			1.29%
12/31/09		7.38		0.10		1.70			1.80		-			-			9.18		24.39%		553		0.84%		N/A			1.29%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		47	%		49	%		108	%		38	%		39	%

c Per share amount calculated on the average shares method.

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

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

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

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

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

71

MassMutual RetireSMART 2015 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	11.02	$	0.25	$	1.27		$	1.52		$	(0.34	)	$	(0.56	)	$	(0.90	)	$	11.64		13.87%		$	10,699		0.70%			0.18%			2.08%
12/31/12		10.25		0.37		0.95			1.32			(0.24	)		(0.31	)		(0.55	)		11.02		12.94%			5,926		1.70%			0.10%			3.36%
12/31/11		10.73		0.24		(0.27	)		(0.03	)		(0.17	)		(0.28	)		(0.45	)		10.25		(0.31%	)		2,255		3.80%			0.10%			2.24%
12/31/10g		10.00		0.20		0.75			0.95			(0.21	)		(0.01	)		(0.22	)		10.73		9.54%	b		767		4.82%	a		0.10%	a		2.60%	a
Class Y
12/31/13	$	11.02	$	0.29	$	1.22		$	1.51		$	(0.33	)	$	(0.56	)	$	(0.89	)	$	11.64		13.84%		$	261		0.79%			0.24%			2.48%
12/31/12		10.25		0.17		1.15			1.32			(0.24	)		(0.31	)		(0.55	)		11.02		12.86%			123		1.77%			0.15%			1.52%
12/31/11		10.73		0.27		(0.31	)		(0.04	)		(0.16	)		(0.28	)		(0.44	)		10.25		(0.35%	)		323		3.87%			0.15%			2.50%
12/31/10g		10.00		0.19		0.76			0.95			(0.21	)		(0.01	)		(0.22	)		10.73		9.52%	b		143		4.87%	a		0.15%	a		2.53%	a
Class L
12/31/13	$	11.00	$	0.38	$	1.12		$	1.50		$	(0.33	)	$	(0.56	)	$	(0.89	)	$	11.61		13.74%		$	3,517		0.89%			0.36%			3.20%
12/31/12		10.25		0.47		0.83			1.30			(0.24	)		(0.31	)		(0.55	)		11.00		12.67%			354		1.89%			0.25%			4.30%
12/31/11		10.73		0.25		(0.30	)		(0.05	)		(0.15	)		(0.28	)		(0.43	)		10.25		(0.45%	)		135		3.97%			0.25%			2.33%
12/31/10g		10.00		0.19		0.75			0.94			(0.20	)		(0.01	)		(0.21	)		10.73		9.43%	b		111		4.97%	a		0.25%	a		2.47%	a
Class A
12/31/13	$	10.97	$	0.37	$	1.10		$	1.47		$	(0.32	)	$	(0.56	)	$	(0.88	)	$	11.56		13.48%		$	5,884		1.14%			0.59%			3.17%
12/31/12		10.22		0.25		1.02			1.27			(0.21	)		(0.31	)		(0.52	)		10.97		12.46%			1,066		2.14%			0.50%			2.24%
12/31/11		10.71		0.31		(0.38	)		(0.07	)		(0.14	)		(0.28	)		(0.42	)		10.22		(0.67%	)		568		4.23%			0.50%			2.88%
12/31/10g		10.00		0.31		0.61			0.92			(0.20	)		(0.01	)		(0.21	)		10.71		9.17%	b		302		5.22%	a		0.50%	a		4.01%	a

	Year ended December 31
	2013			2012			2011			2010
Portfolio turnover rate for all share classes		67	%		82	%		82	%		12	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

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

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

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

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

72

MassMutual RetireSMART 2020 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.55	$	0.21	$	1.62		$	1.83		$	(0.22	)	$	(0.22	)	$	12.16		17.50%		$	231,681		0.23%		0.23%	k		1.80%
12/31/12		9.43		0.23		1.10			1.33			(0.21	)		(0.21	)		10.55		14.14%			178,323		0.13%		0.12%			2.23%
12/31/11		9.79		0.19		(0.37	)		(0.18	)		(0.18	)		(0.18	)		9.43		(1.78%	)		114,389		0.11%		N/A			1.96%
12/31/10		8.74		0.14		1.07			1.21			(0.16	)		(0.16	)		9.79		14.18%			104,532		0.11%		N/A			1.56%
12/31/09		6.68		0.11		1.95			2.06			-			-			8.74		30.84%			100,371		0.11%		N/A			1.49%
Class Y
12/31/13	$	10.55	$	0.22	$	1.60		$	1.82		$	(0.20	)	$	(0.20	)	$	12.17		17.47%		$	42,621		0.32%		0.32%	k		1.89%
12/31/12		9.41		0.11		1.21			1.32			(0.18	)		(0.18	)		10.55		14.09%			27,380		0.21%		0.20%			1.05%
12/31/11		9.77		0.17		(0.35	)		(0.18	)		(0.18	)		(0.18	)		9.41		(1.83%	)		60,388		0.18%		N/A			1.76%
12/31/10		8.73		0.15		1.05			1.20			(0.16	)		(0.16	)		9.77		14.01%			67,560		0.16%		N/A			1.72%
12/31/09		6.67		0.09		1.97			2.06			-			-			8.73		30.88%			63,845		0.16%		N/A			1.18%
Class L
12/31/13	$	10.54	$	0.15	$	1.66		$	1.81		$	(0.19	)	$	(0.19	)	$	12.16		17.35%		$	89,313		0.42%		0.42%	k		1.36%
12/31/12		9.42		0.17		1.14			1.31			(0.19	)		(0.19	)		10.54		13.94%			94,439		0.31%		0.31%	k		1.64%
12/31/11		9.78		0.15		(0.35	)		(0.20	)		(0.16	)		(0.16	)		9.42		(1.96%	)		87,577		0.28%		N/A			1.54%
12/31/10		8.74		0.13		1.06			1.19			(0.15	)		(0.15	)		9.78		13.86%			109,419		0.26%		N/A			1.46%
12/31/09		6.68		0.08		1.98			2.06			-			-			8.74		30.84%			114,640		0.26%		N/A			1.09%
Class A
12/31/13	$	10.45	$	0.13	$	1.64		$	1.77		$	(0.17	)	$	(0.17	)	$	12.05		17.08%		$	92,034		0.67%		0.67%	k		1.17%
12/31/12		9.34		0.14		1.13			1.27			(0.16	)		(0.16	)		10.45		13.66%			89,321		0.56%		0.56%	k		1.42%
12/31/11		9.70		0.14		(0.36	)		(0.22	)		(0.14	)		(0.14	)		9.34		(2.22%	)		86,264		0.53%		N/A			1.43%
12/31/10		8.67		0.11		1.05			1.16			(0.13	)		(0.13	)		9.70		13.61%			94,230		0.51%		N/A			1.25%
12/31/09		6.65		0.07		1.95			2.02			-			-			8.67		30.38%			94,170		0.51%		N/A			0.96%
Class N
12/31/13	$	10.32	$	0.09	$	1.62		$	1.71		$	(0.13	)	$	(0.13	)	$	11.90		16.66%		$	2,938		0.97%		0.97%	k		0.83%
12/31/12		9.26		0.13		1.10			1.23			(0.17	)		(0.17	)		10.32		13.31%			3,188		0.86%		0.86%	k		1.29%
12/31/11		9.67		0.26		(0.50	)		(0.24	)		(0.17	)		(0.17	)		9.26		(2.45%	)		2,584		0.84%		N/A			2.76%
12/31/10		8.64		0.08		1.05			1.13			(0.10	)		(0.10	)		9.67		13.31%			586		0.81%		N/A			0.94%
12/31/09		6.65		0.04		1.95			1.99			-			-			8.64		29.92%			554		0.82%		N/A			0.57%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		45	%		54	%		80	%		32	%		30	%

c Per share amount calculated on the average shares method.

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

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

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

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

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

73

MassMutual RetireSMART 2025 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.96	$	0.32	$	1.90		$	2.22		$	(0.36	)	$	(0.46	)	$	(0.82	)	$	12.36		20.38%		$	11,732		0.68%			0.20%			2.60%
12/31/12		9.97		0.27		1.22			1.49			(0.21	)		(0.29	)		(0.50	)		10.96		15.02%			2,165		2.05%			0.10%			2.47%
12/31/11		10.85		0.22		(0.53	)		(0.31	)		(0.21	)		(0.36	)		(0.57	)		9.97		(2.79%	)		885		4.29%			0.10%			2.02%
12/31/10g		10.00		0.16		0.86			1.02			(0.17	)		-			(0.17	)		10.85		10.25%	b		772		5.04%	a		0.10%	a		2.13%	a
Class Y
12/31/13	$	10.96	$	0.31	$	1.90		$	2.21		$	(0.35	)	$	(0.46	)	$	(0.81	)	$	12.36		20.33%		$	778		0.77%			0.25%			2.50%
12/31/12		9.97		0.23		1.26			1.49			(0.21	)		(0.29	)		(0.50	)		10.96		14.97%			198		2.13%			0.15%			2.08%
12/31/11		10.85		0.20		(0.51	)		(0.31	)		(0.21	)		(0.36	)		(0.57	)		9.97		(2.84%	)		125		4.36%			0.15%			1.86%
12/31/10g		10.00		0.16		0.86			1.02			(0.17	)		-			(0.17	)		10.85		10.21%	b		110		5.09%	a		0.15%	a		2.09%	a
Class L
12/31/13	$	10.95	$	0.31	$	1.87		$	2.18		$	(0.34	)	$	(0.46	)	$	(0.80	)	$	12.33		20.10%		$	7,258		0.87%			0.36%			2.56%
12/31/12		9.97		0.36		1.11			1.47			(0.20	)		(0.29	)		(0.49	)		10.95		14.84%			1,400		2.25%			0.25%			3.27%
12/31/11		10.85		0.31		(0.63	)		(0.32	)		(0.20	)		(0.36	)		(0.56	)		9.97		(2.89%	)		291		4.47%			0.25%			2.89%
12/31/10g		10.00		0.15		0.86			1.01			(0.16	)		-			(0.16	)		10.85		10.13%	b		110		5.19%	a		0.25%	a		1.98%	a
Class A
12/31/13	$	10.92	$	0.34	$	1.81		$	2.15		$	(0.33	)	$	(0.46	)	$	(0.79	)	$	12.28		19.87%		$	6,827		1.12%			0.59%			2.81%
12/31/12		9.95		0.22		1.22			1.44			(0.18	)		(0.29	)		(0.47	)		10.92		14.53%			1,604		2.49%			0.50%			2.04%
12/31/11		10.84		0.24		(0.59	)		(0.35	)		(0.18	)		(0.36	)		(0.54	)		9.95		(3.16%	)		701		4.71%			0.50%			2.19%
12/31/10g		10.00		0.24		0.76			1.00			(0.16	)		-			(0.16	)		10.84		9.98%	b		249		5.44%	a		0.50%	a		3.10%	a

	Year ended December 31
	2013			2012			2011			2010
Portfolio turnover rate for all share classes		55	%		55	%		66	%		11	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

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

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

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

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

74

MassMutual RetireSMART 2030 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.61	$	0.19	$	2.11		$	2.30		$	(0.27	)	$	(0.27	)	$	12.64		21.84%		$	209,824		0.23%		0.23%	k		1.61%
12/31/12		9.34		0.21		1.23			1.44			(0.17	)		(0.17	)		10.61		15.55%			155,213		0.13%		0.12%			2.05%
12/31/11		9.81		0.17		(0.50	)		(0.33	)		(0.14	)		(0.14	)		9.34		(3.32%	)		96,501		0.11%		N/A			1.75%
12/31/10		8.67		0.12		1.15			1.27			(0.13	)		(0.13	)		9.81		14.95%			86,541		0.11%		N/A			1.34%
12/31/09		6.49		0.08		2.10			2.18			-			-			8.67		33.59%			75,977		0.12%		N/A			1.09%
Class Y
12/31/13	$	10.60	$	0.20	$	2.09		$	2.29		$	(0.25	)	$	(0.25	)	$	12.64		21.77%		$	46,490		0.32%		0.32%	k		1.70%
12/31/12		9.32		0.11		1.32			1.43			(0.15	)		(0.15	)		10.60		15.44%			29,056		0.21%		0.21%	k		1.10%
12/31/11		9.80		0.15		(0.49	)		(0.34	)		(0.14	)		(0.14	)		9.32		(3.47%	)		52,742		0.18%		N/A			1.54%
12/31/10		8.65		0.12		1.16			1.28			(0.13	)		(0.13	)		9.80		15.03%			56,940		0.16%		N/A			1.40%
12/31/09		6.48		0.06		2.11			2.17			-			-			8.65		33.49%			54,828		0.17%		N/A			0.84%
Class L
12/31/13	$	10.61	$	0.15	$	2.12		$	2.27		$	(0.21	)	$	(0.21	)	$	12.67		21.61%		$	73,802		0.42%		0.42%	k		1.26%
12/31/12		9.34		0.15		1.27			1.42			(0.15	)		(0.15	)		10.61		15.32%			73,817		0.31%		0.31%	k		1.49%
12/31/11		9.81		0.14		(0.49	)		(0.35	)		(0.12	)		(0.12	)		9.34		(3.50%	)		71,616		0.28%		N/A			1.38%
12/31/10		8.66		0.10		1.17			1.27			(0.12	)		(0.12	)		9.81		14.86%			83,008		0.26%		N/A			1.14%
12/31/09		6.50		0.05		2.11			2.16			-			-			8.66		33.23%			91,974		0.27%		N/A			0.69%
Class A
12/31/13	$	10.51	$	0.12	$	2.10		$	2.22		$	(0.16	)	$	(0.16	)	$	12.57		21.31%		$	77,892		0.67%		0.67%	k		1.06%
12/31/12		9.26		0.13		1.25			1.38			(0.13	)		(0.13	)		10.51		14.96%			71,053		0.56%		0.56%	k		1.25%
12/31/11		9.72		0.12		(0.48	)		(0.36	)		(0.10	)		(0.10	)		9.26		(3.67%	)		65,876		0.53%		N/A			1.19%
12/31/10		8.58		0.08		1.16			1.24			(0.10	)		(0.10	)		9.72		14.62%			73,960		0.51%		N/A			0.95%
12/31/09		6.46		0.04		2.08			2.12			-			-			8.58		32.82%			71,661		0.52%		N/A			0.50%
Class N
12/31/13	$	10.39	$	0.09	$	2.08		$	2.17		$	(0.11	)	$	(0.11	)	$	12.45		20.98%		$	3,573		0.97%		0.97%	k		0.77%
12/31/12		9.19		0.10		1.24			1.34			(0.14	)		(0.14	)		10.39		14.64%			3,101		0.86%		0.86%	k		0.98%
12/31/11		9.71		0.25		(0.64	)		(0.39	)		(0.13	)		(0.13	)		9.19		(3.95%	)		2,793		0.84%		N/A			2.75%
12/31/10		8.58		0.06		1.14			1.20			(0.07	)		(0.07	)		9.71		14.18%			383		0.81%		N/A			0.65%
12/31/09		6.47		0.02		2.09			2.11			-			-			8.58		32.61%			387		0.82%		N/A			0.26%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		43	%		55	%		74	%		29	%		34	%

c Per share amount calculated on the average shares method.

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

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

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

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

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

75

MassMutual RetireSMART 2035 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	11.00	$	0.30	$	2.20		$	2.50		$	(0.34	)	$	(0.33	)	$	(0.67	)	$	12.83		22.88%		$	9,582		0.79%			0.20%			2.42%
12/31/12		9.96		0.26		1.29			1.55			(0.19	)		(0.32	)		(0.51	)		11.00		15.64%			2,042		2.42%			0.10%			2.41%
12/31/11		10.89		0.20		(0.60	)		(0.40	)		(0.19	)		(0.34	)		(0.53	)		9.96		(3.60%	)		936		4.17%			0.10%			1.81%
12/31/10g		10.00		0.14		0.91			1.05			(0.16	)		-			(0.16	)		10.89		10.46%	b		773		5.11%	a		0.10%	a		1.92%	a
Class Y
12/31/13	$	11.00	$	0.32	$	2.18		$	2.50		$	(0.34	)	$	(0.33	)	$	(0.67	)	$	12.83		22.85%		$	1,215		0.88%			0.26%			2.53%
12/31/12		9.96		0.19		1.35			1.54			(0.18	)		(0.32	)		(0.50	)		11.00		15.58%			245		2.51%			0.15%			1.79%
12/31/11		10.89		0.18		(0.58	)		(0.40	)		(0.19	)		(0.34	)		(0.53	)		9.96		(3.65%	)		155		4.24%			0.15%			1.63%
12/31/10g		10.00		0.14		0.90			1.04			(0.15	)		-			(0.15	)		10.89		10.42%	b		111		5.16%	a		0.15%	a		1.87%	a
Class L
12/31/13	$	10.99	$	0.27	$	2.21		$	2.48		$	(0.33	)	$	(0.33	)	$	(0.66	)	$	12.81		22.70%		$	4,833		0.98%			0.35%			2.15%
12/31/12		9.96		0.29		1.24			1.53			(0.18	)		(0.32	)		(0.50	)		10.99		15.45%			1,009		2.62%			0.25%			2.66%
12/31/11		10.89		0.19		(0.60	)		(0.41	)		(0.18	)		(0.34	)		(0.52	)		9.96		(3.73%	)		171		4.34%			0.25%			1.75%
12/31/10g		10.00		0.13		0.90			1.03			(0.14	)		-			(0.14	)		10.89		10.35%	b		112		5.26%	a		0.25%	a		1.78%	a
Class A
12/31/13	$	10.96	$	0.30	$	2.14		$	2.44		$	(0.32	)	$	(0.33	)	$	(0.65	)	$	12.75		22.38%		$	6,248		1.23%			0.59%			2.44%
12/31/12		9.94		0.21		1.29			1.50			(0.16	)		(0.32	)		(0.48	)		10.96		15.18%			1,335		2.86%			0.50%			1.97%
12/31/11		10.88		0.21		(0.65	)		(0.44	)		(0.16	)		(0.34	)		(0.50	)		9.94		(3.96%	)		603		4.59%			0.50%			1.93%
12/31/10g		10.00		0.13		0.88			1.01			(0.13	)		-			(0.13	)		10.88		10.10%	b		146		5.51%	a		0.50%	a		1.78%	a

	Year ended December 31
	2013			2012			2011			2010
Portfolio turnover rate for all share classes		36	%		52	%		63	%		10	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

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

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

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

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

76

MassMutual RetireSMART 2040 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders											Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.66	$	0.17	$	2.28		$	2.45		$	(0.30	)	$	(0.30	)	$	12.81		23.20%		$	139,155		0.24%		0.24%	k		1.44%
12/31/12		9.35		0.19		1.27			1.46			(0.15	)		(0.15	)		10.66		15.69%			108,556		0.13%		0.13%	k		1.91%
12/31/11		9.85		0.15		(0.53	)		(0.38	)		(0.12	)		(0.12	)		9.35		(3.79%	)		66,537		0.11%		N/A			1.55%
12/31/10		8.65		0.11		1.20			1.31			(0.11	)		(0.11	)		9.85		15.40%			61,781		0.11%		N/A			1.25%
12/31/09		6.45		0.07		2.13			2.20			-			-			8.65		34.11%			50,292		0.12%		N/A			0.93%
Class Y
12/31/13	$	10.65	$	0.20	$	2.24		$	2.44		$	(0.29	)	$	(0.29	)	$	12.80		23.07%		$	27,838		0.33%		0.33%	k		1.67%
12/31/12		9.33		0.11		1.34			1.45			(0.13	)		(0.13	)		10.65		15.60%			14,301		0.21%		0.21%	k		1.08%
12/31/11		9.84		0.14		(0.53	)		(0.39	)		(0.12	)		(0.12	)		9.33		(3.94%	)		24,981		0.18%		N/A			1.44%
12/31/10		8.64		0.11		1.19			1.30			(0.10	)		(0.10	)		9.84		15.33%			25,886		0.16%		N/A			1.23%
12/31/09		6.45		0.04		2.15			2.19			-			-			8.64		33.95%			24,096		0.17%		N/A			0.56%
Class L
12/31/13	$	10.66	$	0.15	$	2.26		$	2.41		$	(0.25	)	$	(0.25	)	$	12.82		22.80%		$	49,619		0.43%		0.43%	k		1.23%
12/31/12		9.34		0.14		1.31			1.45			(0.13	)		(0.13	)		10.66		15.59%			44,762		0.31%		0.31%	k		1.37%
12/31/11		9.84		0.11		(0.50	)		(0.39	)		(0.11	)		(0.11	)		9.34		(3.97%	)		41,791		0.28%		N/A			1.15%
12/31/10		8.64		0.09		1.20			1.29			(0.09	)		(0.09	)		9.84		15.18%			52,011		0.26%		N/A			0.98%
12/31/09		6.45		0.03		2.16			2.19			-			-			8.64		33.95%			56,485		0.27%		N/A			0.50%
Class A
12/31/13	$	10.55	$	0.11	$	2.26		$	2.37		$	(0.20	)	$	(0.20	)	$	12.72		22.60%		$	47,265		0.68%		0.68%	k		0.91%
12/31/12		9.25		0.12		1.29			1.41			(0.11	)		(0.11	)		10.55		15.28%			45,264		0.57%		0.56%			1.17%
12/31/11		9.75		0.10		(0.52	)		(0.42	)		(0.08	)		(0.08	)		9.25		(4.24%	)		40,995		0.53%		N/A			1.08%
12/31/10		8.57		0.07		1.19			1.26			(0.08	)		(0.08	)		9.75		14.86%			44,328		0.51%		N/A			0.80%
12/31/09		6.41		0.02		2.14			2.16			-			-			8.57		33.70%			40,898		0.52%		N/A			0.35%
Class N
12/31/13	$	10.44	$	0.09	$	2.21		$	2.30		$	(0.14	)	$	(0.14	)	$	12.60		22.20%		$	3,531		0.98%		0.98%	k		0.74%
12/31/12		9.19		0.09		1.28			1.37			(0.12	)		(0.12	)		10.44		14.91%			2,816		0.87%		0.86%			0.91%
12/31/11		9.74		0.23		(0.66	)		(0.43	)		(0.12	)		(0.12	)		9.19		(4.41%	)		2,502		0.85%		N/A			2.53%
12/31/08		8.57		0.05		1.18			1.23			(0.06	)		(0.06	)		9.74		14.52%			286		0.81%		N/A			0.55%
12/31/09		6.44		0.02		2.11			2.13			-			-			8.57		33.07%			257		0.82%		N/A			0.28%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		45	%		55	%		75	%		32	%		34	%

c Per share amount calculated on the average shares method.

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

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

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

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

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

77

MassMutual RetireSMART 2045 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13	$	10.85	$	0.24	$	2.48		$	2.72		$	(0.32	)	$	(0.42	)	$	(0.74	)	$	12.83		25.33%		$	5,499		1.28%			0.19%			1.92%
12/31/12		9.86		0.21		1.41			1.62			(0.16	)		(0.47	)		(0.63	)		10.85		16.48%			1,408		3.75%			0.10%			1.95%
12/31/11		10.96		0.15		(0.65	)		(0.50	)		(0.17	)		(0.43	)		(0.60	)		9.86		(4.53%	)		750		5.19%			0.10%			1.39%
12/31/10g		10.00		0.13		0.96			1.09			(0.13	)		-			(0.13	)		10.96		10.94%	b		777		5.15%	a		0.10%	a		1.69%	a
Class Y
12/31/13	$	10.85	$	0.23	$	2.49		$	2.72		$	(0.32	)	$	(0.42	)	$	(0.74	)	$	12.83		25.29%		$	322		1.37%			0.24%			1.86%
12/31/12		9.87		0.15		1.45			1.60			(0.15	)		(0.47	)		(0.62	)		10.85		16.30%			127		3.84%			0.15%			1.40%
12/31/11		10.96		0.15		(0.65	)		(0.50	)		(0.16	)		(0.43	)		(0.59	)		9.87		(4.48%	)		121		5.26%			0.15%			1.40%
12/31/10g		10.00		0.12		0.97			1.09			(0.13	)		-			(0.13	)		10.96		10.90%	b		111		5.20%	a		0.15%	a		1.64%	a
Class L
12/31/13	$	10.83	$	0.22	$	2.49		$	2.71		$	(0.31	)	$	(0.42	)	$	(0.73	)	$	12.81		25.26%		$	1,448		1.47%			0.34%			1.77%
12/31/12		9.86		0.20		1.39			1.59			(0.15	)		(0.47	)		(0.62	)		10.83		16.16%			405		3.94%			0.25%			1.82%
12/31/11		10.96		0.22		(0.73	)		(0.51	)		(0.16	)		(0.43	)		(0.59	)		9.86		(4.61%	)		231		5.37%			0.25%			2.01%
12/31/10g		10.00		0.12		0.96			1.08			(0.12	)		-			(0.12	)		10.96		10.82%	b		111		5.30%	a		0.25%	a		1.54%	a
Class A
12/31/13	$	10.81	$	0.22	$	2.44		$	2.66		$	(0.30	)	$	(0.42	)	$	(0.72	)	$	12.75		24.79%		$	3,589		1.72%			0.59%			1.77%
12/31/12		9.84		0.18		1.39			1.57			(0.13	)		(0.47	)		(0.60	)		10.81		16.02%			779		4.20%			0.50%			1.65%
12/31/11		10.95		0.19		(0.73	)		(0.54	)		(0.14	)		(0.43	)		(0.57	)		9.84		(4.86%	)		331		5.61%			0.50%			1.78%
12/31/10g		10.00		0.11		0.95			1.06			(0.11	)		-			(0.11	)		10.95		10.58%	b		139		5.55%	a		0.50%	a		1.51%	a

	Year ended December 31
	2013			2012			2011			2010
Portfolio turnover rate for all share classes		39	%		68	%		56	%		8	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period April 1, 2010 (commencement of operations) through December 31, 2010.

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

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

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

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

78

MassMutual RetireSMART 2050 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations								Less distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total Returnl,m			Net assets, end of the period (000’s)		Ratio of expenses to average daily net assets before expense waivers		Ratio of expenses to average daily net assets after expense waiversj		Net investment income (loss) to average daily net assets
Class S
12/31/13	$	8.48	$	0.14	$	1.99		$	2.13		$	(0.25	)	$	(0.57	)	$	(0.82	)	$	9.79		25.48%		$	49,996		0.32%		0.18%		1.49%
12/31/12		7.71		0.16		1.08			1.24			(0.13	)		(0.34	)		(0.47	)		8.48		16.22%			29,840		0.26%		0.10%		1.87%
12/31/11		8.67		0.13		(0.52	)		(0.39	)		(0.13	)		(0.44	)		(0.57	)		7.71		(4.47%	)		18,945		0.29%		0.10%		1.53%
12/31/10		7.69		0.10		1.12			1.22			(0.10	)		(0.14	)		(0.24	)		8.67		15.86%			14,974		0.30%		0.10%		1.25%
12/31/09		5.78		0.05		1.95			2.00			(0.09	)		-			(0.09	)		7.69		34.58%			11,442		0.57%		0.10%		0.84%
Class Y
12/31/13	$	8.49	$	0.16	$	1.97		$	2.13		$	(0.25	)	$	(0.57	)	$	(0.82	)	$	9.80		25.42%		$	9,648		0.41%		0.24%		1.64%
12/31/12		7.71		0.08		1.17			1.25			(0.13	)		(0.34	)		(0.47	)		8.49		16.27%			3,994		0.34%		0.15%		0.93%
12/31/11		8.67		0.13		(0.52	)		(0.39	)		(0.13	)		(0.44	)		(0.57	)		7.71		(4.51%	)		6,670		0.36%		0.15%		1.53%
12/31/10		7.69		0.11		1.11			1.22			(0.10	)		(0.14	)		(0.24	)		8.67		15.82%			4,816		0.35%		0.15%		1.35%
12/31/09		5.78		0.05		1.95			2.00			(0.09	)		-			(0.09	)		7.69		34.53%			3,035		0.62%		0.15%		0.83%
Class L
12/31/13	$	8.48	$	0.19	$	1.92		$	2.11		$	(0.25	)	$	(0.57	)	$	(0.82	)	$	9.77		25.18%		$	8,881		0.51%		0.34%		1.96%
12/31/12		7.70		0.10		1.14			1.24			(0.12	)		(0.34	)		(0.46	)		8.48		16.20%			2,632		0.44%		0.25%		1.24%
12/31/11		8.66		0.11		(0.51	)		(0.40	)		(0.12	)		(0.44	)		(0.56	)		7.70		(4.62%	)		2,047		0.46%		0.25%		1.27%
12/31/10		7.69		0.10		1.10			1.20			(0.09	)		(0.14	)		(0.23	)		8.66		15.60%			1,857		0.45%		0.25%		1.24%
12/31/09		5.78		0.05		1.94			1.99			(0.08	)		-			(0.08	)		7.69		34.44%			1,290		0.72%		0.25%		0.77%
Class A
12/31/13	$	8.45	$	0.08	$	2.00		$	2.08		$	(0.21	)	$	(0.57	)	$	(0.78	)	$	9.75		24.92%		$	9,721		0.76%		0.58%		0.80%
12/31/12		7.68		0.10		1.11			1.21			(0.10	)		(0.34	)		(0.44	)		8.45		15.74%			8,644		0.70%		0.50%		1.23%
12/31/11		8.65		0.13		(0.55	)		(0.42	)		(0.11	)		(0.44	)		(0.55	)		7.68		(4.75%	)		5,616		0.71%		0.50%		1.52%
12/31/10		7.69		0.08		1.09			1.17			(0.07	)		(0.14	)		(0.21	)		8.65		15.27%			2,879		0.70%		0.50%		1.04%
12/31/09		5.77		0.03		1.95			1.98			(0.06	)		-			(0.06	)		7.69		34.39%			1,507		0.97%		0.50%		0.44%
Class N
12/31/13	$	8.44	$	0.07	$	1.98		$	2.05		$	(0.19	)	$	(0.57	)	$	(0.76	)	$	9.73		24.60%		$	2,487		1.06%		0.88%		0.71%
12/31/12		7.68		0.08		1.10			1.18			(0.08	)		(0.34	)		(0.42	)		8.44		15.47%			1,767		1.00%		0.80%		0.93%
12/31/11		8.68		0.20		(0.66	)		(0.46	)		(0.10	)		(0.44	)		(0.54	)		7.68		(5.23%	)		1,306		1.02%		0.80%		2.52%
12/31/10		7.71		0.04		1.11			1.15			(0.04	)		(0.14	)		(0.18	)		8.68		14.97%			93		1.00%		0.80%		0.50%
12/31/09		5.80		0.01		1.94			1.95			(0.04	)		-			(0.04	)		7.71		33.68%			81		1.27%		0.80%		0.10%

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		45	%		87	%		80	%		41	%		51	%

c Per share amount calculated on the average shares method.

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

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

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

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

79

MassMutual RetireSMART 2055 Fund – Financial Statements (Continued)

Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations						Less Distributions to shareholders														Ratios / Supplemental Data
	Net asset value, beginning of the period		Net investment income (loss)c,j		Net realized and unrealized gain (loss) on investments		Total income (loss) from investment operations		From net investment income			From net realized gains			Total distributions			Net asset value, end of the period		Total returnl,m			Net assets, end of the period (000)’s		Ratio of expenses to average daily net assets before expense waivers			Ratio of expenses to average daily net assets after expense waiversj			Net investment income (loss) to average daily net assets
Class S
12/31/13g	$	10.00	$	0.12	$	0.64	$	0.76	$	(0.25	)	$	(0.01	)	$	(0.26	)	$	10.50		7.56%	b	$	753		13.64%	a		0.23%	a		4.00%	a
Class Y
12/31/13g	$	10.00	$	0.12	$	0.64	$	0.76	$	(0.25	)	$	(0.01	)	$	(0.26	)	$	10.50		7.58%	b	$	108		13.74%	a		0.28%	a		3.95%	a
Class L
12/31/13g	$	10.00	$	0.12	$	0.64	$	0.76	$	(0.25	)	$	(0.01	)	$	(0.26	)	$	10.50		7.55%	b	$	108		13.84%	a		0.38%	a		3.85%	a
Class A
12/31/13g	$	10.00	$	0.11	$	0.64	$	0.75	$	(0.24	)	$	(0.01	)	$	(0.25	)	$	10.50		7.47%	b	$	108		14.09%	a		0.63%	a		3.60%	a

	Year ended December 31, 2013
Portfolio turnover rate for all share classes		4	%b

a Annualized.

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

c Per share amount calculated on the average shares method.

g For the period September 17, 2013 (commencement of operations) through December 31, 2013.

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

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

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

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

80

Notes to Financial Statements

1. The Funds

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The following are 15 series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”):

MassMutual RetireSMART^SM Conservative Fund (“RetireSMART Conservative Fund”)

MassMutual RetireSMART^SM Moderate Fund (“RetireSMART Moderate Fund”)

MassMutual RetireSMART^SM Moderate Growth Fund (“RetireSMART Moderate Growth Fund”)

MassMutual RetireSMART^SM Growth Fund (“RetireSMART Growth Fund”)

MassMutual RetireSMART^SM In Retirement Fund (“RetireSMART In Retirement Fund”)

MassMutual RetireSMART^SM 2010 Fund (“RetireSMART 2010 Fund”)

MassMutual RetireSMART^SM 2015 Fund (“RetireSMART 2015 Fund”)

MassMutual RetireSMART^SM 2020 Fund (“RetireSMART 2020 Fund”)

MassMutual RetireSMART^SM 2025 Fund (“RetireSMART 2025 Fund”)

MassMutual RetireSMART^SM 2030 Fund (“RetireSMART 2030 Fund”)

MassMutual RetireSMART^SM 2035 Fund (“RetireSMART 2035 Fund”)

MassMutual RetireSMART^SM 2040 Fund (“RetireSMART 2040 Fund”)

MassMutual RetireSMART^SM 2045 Fund (“RetireSMART 2045 Fund”)

MassMutual RetireSMART^SM 2050 Fund (“RetireSMART 2050 Fund”)

MassMutual RetireSMART^SM 2055 Fund (“RetireSMART 2055 Fund”)

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

The Funds invest all of their investable assets in shares of various funds advised by MassMutual or a control affiliate of MassMutual. The financial statements included herein are those of the Funds. The financial statements of the applicable MassMutual Select Funds (“Select”), MassMutual Premier Funds (“Premier”) (which are advised by MassMutual), and Oppenheimer Funds (which are advised by OppenheimerFunds, Inc., a majority-owned, indirect subsidiary of MassMutual) are presented separately and can be obtained from the Securities and Exchange Commission’s (“SEC”) EDGAR database on its Internet site at www.sec.gov or by calling MassMutual at 1-888-309-3539. The assets of each Fund are diversified and a shareholder’s interest is limited to the Select, Premier, or Oppenheimer Funds in which the shares are invested.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange, on each day the New York Stock Exchange is open for trading (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

The net asset value of each Fund is based upon the net asset values of its corresponding underlying funds. Shares of the underlying funds are valued at their closing net asset values as reported on each business day.

81

Notes to Financial Statements (Continued)

Certain underlying funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the value of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day.

The Prospectuses and Statements of Additional Information (“SAIs”) for the underlying funds explain the valuation methods for the underlying funds, including the circumstances under which the underlying funds may use fair value pricing and the effects of doing so. Such Prospectuses and SAIs are available on the SEC EDGAR database on its Internet site at www.sec.gov.

Various inputs may be used to determine the value of the Funds’ investments. The Funds categorize the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as summarized below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Each Fund characterized all investments at Level 1, as of December 31, 2013. For each Fund, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The Funds had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the year ended December 31, 2013. The Funds recognize transfers between the Levels as of the beginning of the year.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.

In addition, each Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and each Fund may own different proportions of underlying funds at different times, the amount of fees and expenses indirectly incurred by each Fund will vary.

82

Notes to Financial Statements (Continued)

Foreign Securities

Certain underlying funds may invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Management Fees and Other Transactions

Investment Management Fees

Under agreements between Massachusetts Mutual Life Insurance Company (“MassMutual”) and the Trust on behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for these services, MassMutual receives advisory fees, based upon each Fund’s average daily net assets, at the following annual rates:

0.05% on the first $500 million; and

0.00% on any excess over $500 million

Administration Fees

Under separate administrative and shareholder services agreements between each Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Funds, at the following annual rates:

	Class S		Class Y		Class L		Class A		Class N
RetireSMART Conservative Fund		0.0576%		0.0976%		0.1776%		0.1776%		None
RetireSMART Moderate Fund		0.0871%		0.1271%		0.2071%		0.2071%		None
RetireSMART Moderate Growth Fund		0.1087%		0.1487%		0.2287%		0.2287%		None
RetireSMART Growth Fund		0.1085%		0.1485%		0.2285%		0.2285%		None
RetireSMART In Retirement Fund		0.1130%		0.1789%		0.2789%		0.2789%		0.3289%

83

Notes to Financial Statements (Continued)

	Class S		Class Y		Class L		Class A		Class N
RetireSMART 2010 Fund		0.1268%		0.2168%		0.3168%		0.3168%		0.3668%
RetireSMART 2015 Fund		0.1427%		0.2327%		0.3327%		0.3327%		None
RetireSMART 2020 Fund		0.1500%		0.2400%		0.3400%		0.3400%		0.3900%
RetireSMART 2025 Fund		0.1469%		0.2369%		0.3369%		0.3369%		None
RetireSMART 2030 Fund		0.1537%		0.2437%		0.3437%		0.3437%		0.3937%
RetireSMART 2035 Fund		0.1476%		0.2376%		0.3376%		0.3376%		None
RetireSMART 2040 Fund		0.1496%		0.2396%		0.3396%		0.3396%		0.3896%
RetireSMART 2045 Fund		0.1548%		0.2448%		0.3448%		0.3448%		None
RetireSMART 2050 Fund		0.1446%		0.2346%		0.3346%		0.3346%		0.3846%
RetireSMART 2055 Fund		0.1500%		0.2500%		0.3500%		0.3500%		None

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to separate 12b-1 Plans adopted by the Funds, Class A shares of each Fund pay an annual fee of 0.25% of the average daily net asset value of Class A shares to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Class A shares of the Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class A shareholders. Pursuant to separate 12b-1 Plans adopted by the Funds, Class N shares of each Fund pay an annual fee of 0.50% of the average daily net asset value of Class N shares as follows: 0.25% of the average daily net asset value of Class N shares to the Distributor for services provided and expenses incurred by it in connection with the distribution of Class N shares of the Fund; and 0.25% of the average daily net asset value of Class N shares to MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class N shareholders. The Distribution fee may be spent by the Distributor on any activities or expenses primarily intended to result in the sale of Class A or Class N shares of the Fund. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A or Class N shareholders of a Fund and/or maintenance of Class A or Class N shareholder accounts. The Distributor is a majority-owned subsidiary of MassMutual. For the period January 1, 2013 through May 31, 2013, OppenheimerFunds Distributor, Inc. acted as a sub-distributor to each Fund. OppenheimerFunds Distributor, Inc. is an affiliate of the Distributor and an indirect majority-owned subsidiary of MassMutual.

Expense Caps and Waivers

MassMutual agreed to cap the fees and expenses of the Funds noted below (other than extraordinary litigation and legal expenses, Acquired Fund fees and expenses^#, interest expense, short sale dividend and loan expense, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Funds, as follows:

Effective June 1, 2013, the expense caps were as follows:

	Class S		Class Y		Class L		Class A		Class N
RetireSMART 2015 Fund*		0.23%		0.28%		0.38%		0.63%		None
RetireSMART 2025 Fund*		0.23%		0.28%		0.38%		0.63%		None
RetireSMART 2035 Fund*		0.23%		0.28%		0.38%		0.63%		None
RetireSMART 2045 Fund*		0.23%		0.28%		0.38%		0.63%		None
RetireSMART 2050 Fund*		0.23%		0.28%		0.38%		0.63%		0.93%
RetireSMART 2055 Fund**		0.23%		0.28%		0.38%		0.63%		None

# Acquired Fund fees and expenses are expenses borne indirectly by a Fund through investments in other pooled investment vehicles.

* Expense caps effective June 1, 2013 through March 31, 2014.

** Fund commenced operations on September 17, 2013. Expense cap in effect through March 31, 2015.

84

Notes to Financial Statements (Continued)

Prior to June 1, 2013, the expense caps were as follows:

	Class S		Class Y		Class L		Class A		Class N
RetireSMART 2015 Fund		0.10%		0.15%		0.25%		0.50%		None
RetireSMART 2025 Fund		0.10%		0.15%		0.25%		0.50%		None
RetireSMART 2035 Fund		0.10%		0.15%		0.25%		0.50%		None
RetireSMART 2045 Fund		0.10%		0.15%		0.25%		0.50%		None
RetireSMART 2050 Fund		0.10%		0.15%		0.25%		0.50%		0.80%

MassMutual has agreed to bear the expenses of the RetireSMART Growth Fund (other than the management, Rule 12b-1 and administrative fees, interest, taxes, brokerage commissions, extraordinary litigation and legal expenses, Acquired Fund fees and expenses, short sale dividend and loan expense, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of Class S, Class Y, Class L, and Class A of the Fund in excess of 0.03% through March 31, 2014.

For the period January 1, 2013 through March 31, 2013, MassMutual had voluntarily agreed to waive administrative and shareholder service fees of each class of RetireSMART In Retirement, 2010, 2020, 2030, and 2040 Funds to the extent that Acquired Fund fees and expenses would otherwise exceed 0.56%, 0.58%, 0.64%, 0.67%, and 0.68%, respectively.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Statements of Operations.

Deferred Compensation

Trustees of the Funds who are not employees of MassMutual or its subsidiaries may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Funds’ books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Statements of Assets and Liabilities.

Other

Certain officers and trustees of the Funds are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Funds.

The following table shows beneficial ownership of Funds’ shares by affiliated parties at December 31, 2013:

	Total % of Ownership by Related Party
RetireSMART Conservative Fund		92.7%
RetireSMART Moderate Fund		89.5%
RetireSMART Moderate Growth Fund		94.0%
RetireSMART Growth Fund		88.3%
RetireSMART In Retirement Fund		60.7%
RetireSMART 2010 Fund		73.7%
RetireSMART 2015 Fund		76.4%
RetireSMART 2020 Fund		79.0%
RetireSMART 2025 Fund		67.3%
RetireSMART 2030 Fund		79.0%
RetireSMART 2035 Fund		68.8%
RetireSMART 2040 Fund		80.8%
RetireSMART 2045 Fund		72.4%
RetireSMART 2050 Fund		81.8%
RetireSMART 2055 Fund		100.0%

85

Notes to Financial Statements (Continued)

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended December 31, 2013, were as follows:

	Purchases				Sales
	Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
RetireSMART Conservative Fund	$	-	$	84,657,900	$	-	$	123,645,922
RetireSMART Moderate Fund		-		169,980,812		-		274,578,790
RetireSMART Moderate Growth Fund		-		128,089,203		-		205,185,667
RetireSMART Growth Fund		-		45,958,422		-		31,829,759
RetireSMART In Retirement Fund		-		36,300,382		-		46,213,038
RetireSMART 2010 Fund		-		50,016,183		-		53,609,369
RetireSMART 2015 Fund		-		21,458,809		-		9,358,997
RetireSMART 2020 Fund		-		212,467,971		-		191,287,885
RetireSMART 2025 Fund		-		28,242,089		-		8,257,740
RetireSMART 2030 Fund		-		190,525,226		-		161,964,059
RetireSMART 2035 Fund		-		20,374,004		-		4,348,658
RetireSMART 2040 Fund		-		124,637,402		-		108,426,754
RetireSMART 2045 Fund		-		9,829,048		-		2,529,621
RetireSMART 2050 Fund		-		52,742,133		-		28,599,638
RetireSMART 2055 Fund		-		1,125,925		-		45,482

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART Conservative Fund Class S
Sold		326,665		$	3,389,556			354,137		$	3,586,850
Issued as reinvestment of dividends		18,738			187,806			11,476			116,693
Redeemed		(312,808	)		(3,241,755	)		(102,340	)		(1,039,973	)
Net increase (decrease)		32,595		$	335,607			263,273		$	2,663,570
RetireSMART Conservative Fund Class Y
Sold		1,032,260		$	10,694,715			88,854		$	904,157
Issued as reinvestment of dividends		78,249			783,402			12,656			128,672
Redeemed		(139,555	)		(1,450,444	)		(71,709	)		(726,557	)
Net increase (decrease)		970,954		$	10,027,673			29,801		$	306,272
RetireSMART Conservative Fund Class L
Sold		1,099,365		$	11,403,156			1,492,776		$	15,181,488
Issued as reinvestment of dividends		421,839			4,236,083			299,133			3,040,683
Redeemed		(2,636,207	)		(27,354,772	)		(4,577,599	)		(45,331,057	)
Net increase (decrease)		(1,115,003	)	$	(11,715,533	)		(2,785,690	)	$	(27,108,886	)

86

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART Conservative Fund Class A
Sold		2,108,882		$	21,802,944			1,608,720		$	16,179,958
Issued as reinvestment of dividends		856,382			8,597,068			633,131			6,434,894
Redeemed		(5,957,286	)		(61,888,379	)		(3,239,815	)		(32,752,014	)
Net increase (decrease)		(2,992,022	)	$	(31,488,367	)		(997,964	)	$	(10,137,162	)
RetireSMART Moderate Fund Class S
Sold		1,320,908		$	14,288,483			311,599		$	3,123,661
Issued as reinvestment of dividends		137,362			1,448,717			8,618			88,532
Redeemed		(81,677	)		(904,645	)		(72,032	)		(743,450	)
Net increase (decrease)		1,376,593		$	14,832,555			248,185		$	2,468,743
RetireSMART Moderate Fund Class Y
Sold		2,616,784		$	28,514,103			279,334		$	2,827,227
Issued as reinvestment of dividends		250,601			2,645,677			17,692			181,581
Redeemed		(327,868	)		(3,572,783	)		(210,575	)		(2,154,747	)
Net increase (decrease)		2,539,517		$	27,586,997			86,451		$	854,061
RetireSMART Moderate Fund Class L
Sold		3,397,126		$	36,877,376			2,524,232		$	25,473,075
Issued as reinvestment of dividends		1,369,323			14,489,249			593,359			6,087,259
Redeemed		(5,001,109	)		(54,552,470	)		(3,918,068	)		(39,294,733	)
Net increase (decrease)		(234,660	)	$	(3,185,845	)		(800,477	)	$	(7,734,399	)
RetireSMART Moderate Fund Class A
Sold		1,743,271		$	19,003,971			2,313,288		$	23,048,531
Issued as reinvestment of dividends		1,872,499			19,837,284			1,247,678			12,786,875
Redeemed		(14,897,958	)		(163,880,240	)		(10,514,004	)		(106,016,315	)
Net increase (decrease)		(11,282,188	)	$	(125,038,985	)		(6,953,038	)	$	(70,180,909	)
RetireSMART Moderate Growth Fund Class S
Sold		445,549		$	5,091,243			744,185		$	7,650,672
Issued as reinvestment of dividends		35,279			394,842			28,903			297,690
Redeemed		(754,508	)		(8,311,172	)		(97,326	)		(987,195	)
Net increase (decrease)		(273,680	)	$	(2,825,087	)		675,762		$	6,961,167
RetireSMART Moderate Growth Fund Class Y
Sold		1,366,509		$	15,654,312			63,705		$	641,939
Issued as reinvestment of dividends		143,855			1,609,310			7,206			74,199
Redeemed		(89,899	)		(1,039,627	)		(92,532	)		(946,741	)
Net increase (decrease)		1,420,465		$	16,223,995			(21,621	)	$	(230,603	)
RetireSMART Moderate Growth Fund Class L
Sold		1,712,701		$	19,547,582			1,932,476		$	19,446,495
Issued as reinvestment of dividends		1,173,502			13,118,089			462,543			4,763,970
Redeemed		(2,716,104	)		(30,920,186	)		(3,820,837	)		(38,011,238	)
Net increase (decrease)		170,099		$	1,745,485			(1,425,818	)	$	(13,800,773	)
RetireSMART Moderate Growth Fund Class A
Sold		989,596		$	11,207,183			1,736,446		$	17,281,202
Issued as reinvestment of dividends		1,585,777			17,746,544			910,242			9,361,671
Redeemed		(9,283,105	)		(106,705,410	)		(6,621,101	)		(66,544,185	)
Net increase (decrease)		(6,707,732	)	$	(77,751,683	)		(3,974,413	)	$	(39,901,312	)

87

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART Growth Fund Class S
Sold		189,012		$	2,269,188			164,685		$	1,663,833
Issued as reinvestment of dividends		20,991			249,257			4,620			47,990
Redeemed		(33,043	)		(391,177	)		(15,522	)		(158,699	)
Net increase (decrease)		176,960		$	2,127,268			153,783		$	1,553,124
RetireSMART Growth Fund Class Y
Sold		295,835		$	3,460,807			-		$	-
Issued as reinvestment of dividends		16,965			201,399			440			4,534
Redeemed		(30,938	)		(370,234	)		-			-
Net increase (decrease)		281,862		$	3,291,972			440		$	4,534
RetireSMART Growth Fund Class L
Sold		912,978		$	10,489,642			767,221		$	7,759,992
Issued as reinvestment of dividends		200,118			2,365,010			103,209			1,062,399
Redeemed		(764,645	)		(8,908,636	)		(709,698	)		(7,140,056	)
Net increase (decrease)		348,451		$	3,946,016			160,732		$	1,682,335
RetireSMART Growth Fund Class A
Sold		1,077,408		$	12,405,320			1,060,743		$	10,801,657
Issued as reinvestment of dividends		329,740			3,890,434			171,533			1,763,074
Redeemed		(927,565	)		(10,655,145	)		(875,016	)		(8,794,398	)
Net increase (decrease)		479,583		$	5,640,609			357,260		$	3,770,333
RetireSMART In Retirement Fund Class S
Sold		1,089,095		$	11,645,424			1,476,999		$	15,212,190
Issued as reinvestment of dividends		69,848			724,327			71,614			729,752
Redeemed		(1,045,069	)		(11,153,495	)		(820,640	)		(8,444,310	)
Net increase (decrease)		113,874		$	1,216,256			727,973		$	7,497,632
RetireSMART In Retirement Fund Class Y
Sold		363,206		$	3,880,479			254,884		$	2,608,974
Issued as reinvestment of dividends		40,517			420,977			39,432			402,201
Redeemed		(127,378	)		(1,365,569	)		(1,075,297	)		(11,090,279	)
Net increase (decrease)		276,345		$	2,935,887			(780,981	)	$	(8,079,104	)
RetireSMART In Retirement Fund Class L
Sold		362,149		$	3,879,482			402,605		$	4,114,849
Issued as reinvestment of dividends		50,536			525,072			86,393			881,208
Redeemed		(1,355,256	)		(14,533,575	)		(933,709	)		(9,646,930	)
Net increase (decrease)		(942,571	)	$	(10,129,021	)		(444,711	)	$	(4,650,873	)
RetireSMART In Retirement Fund Class A
Sold		188,839		$	2,010,636			250,496		$	2,551,378
Issued as reinvestment of dividends		44,503			459,269			61,296			620,933
Redeemed		(725,237	)		(7,651,464	)		(845,524	)		(8,558,606	)
Net increase (decrease)		(491,895	)	$	(5,181,559	)		(533,732	)	$	(5,386,295	)
RetireSMART In Retirement Fund Class N
Sold		214		$	2,271			1,228		$	12,558
Issued as reinvestment of dividends		4			45			30			306
Redeemed		(1,803	)		(19,342	)		(764	)		(7,887	)
Net increase (decrease)		(1,585	)	$	(17,026	)		494		$	4,977

88

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART 2010 Fund Class S
Sold		1,512,093		$	17,046,008			3,292,122		$	34,776,009
Issued as reinvestment of dividends		137,991			1,509,627			139,044			1,455,787
Redeemed		(1,624,280	)		(18,262,850	)		(1,542,623	)		(16,403,596	)
Net increase (decrease)		25,804		$	292,785			1,888,543		$	19,828,200
RetireSMART 2010 Fund Class Y
Sold		273,389		$	3,073,360			392,845		$	4,123,079
Issued as reinvestment of dividends		21,428			234,634			18,230			190,868
Redeemed		(185,527	)		(2,086,618	)		(2,302,563	)		(24,219,317	)
Net increase (decrease)		109,290		$	1,221,376			(1,891,488	)	$	(19,905,370	)
RetireSMART 2010 Fund Class L
Sold		432,264		$	4,863,875			388,778		$	4,056,883
Issued as reinvestment of dividends		19,859			217,057			27,675			289,205
Redeemed		(637,104	)		(7,186,962	)		(470,208	)		(4,931,902	)
Net increase (decrease)		(184,981	)	$	(2,106,030	)		(53,755	)	$	(585,814	)
RetireSMART 2010 Fund Class A
Sold		506,921		$	5,704,156			347,843		$	3,601,294
Issued as reinvestment of dividends		44,615			484,962			51,395			534,506
Redeemed		(1,010,368	)		(11,291,265	)		(705,859	)		(7,335,595	)
Net increase (decrease)		(458,832	)	$	(5,102,147	)		(306,621	)	$	(3,199,795	)
RetireSMART 2010 Fund Class N
Sold		7,037		$	77,766			24,670		$	257,250
Issued as reinvestment of dividends		1,484			16,040			2,642			27,288
Redeemed		(37,319	)		(412,841	)		(30,813	)		(324,419	)
Net increase (decrease)		(28,798	)	$	(319,035	)		(3,501	)	$	(39,881	)
RetireSMART 2015 Fund Class S
Sold		571,596		$	6,658,740			398,546		$	4,440,036
Issued as reinvestment of dividends		65,472			757,037			22,377			247,507
Redeemed		(256,039	)		(3,044,873	)		(102,943	)		(1,145,039	)
Net increase (decrease)		381,029		$	4,370,904			317,980		$	3,542,504
RetireSMART 2015 Fund Class Y
Sold		11,820		$	139,868			11,282		$	120,054
Issued as reinvestment of dividends		1,571			18,162			530			5,863
Redeemed		(2,126	)		(25,685	)		(32,127	)		(350,835	)
Net increase (decrease)		11,265		$	132,345			(20,315	)	$	(224,918	)
RetireSMART 2015 Fund Class L
Sold		378,076		$	4,430,340			30,439		$	342,337
Issued as reinvestment of dividends		21,389			246,690			1,860			20,532
Redeemed		(128,696	)		(1,520,730	)		(13,373	)		(147,225	)
Net increase (decrease)		270,769		$	3,156,300			18,926		$	215,644
RetireSMART 2015 Fund Class A
Sold		509,450		$	6,004,592			134,036		$	1,475,988
Issued as reinvestment of dividends		34,097			391,615			4,176			45,976
Redeemed		(131,678	)		(1,553,708	)		(96,651	)		(1,081,225	)
Net increase (decrease)		411,869		$	4,842,499			41,561		$	440,739

89

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART 2020 Fund Class S
Sold		5,398,027		$	61,560,831			7,532,408		$	76,514,676
Issued as reinvestment of dividends		365,056			4,059,425			346,488			3,509,924
Redeemed		(3,622,020	)		(41,513,151	)		(3,100,563	)		(31,982,316	)
Net increase (decrease)		2,141,063		$	24,107,105			4,778,333		$	48,042,284
RetireSMART 2020 Fund Class Y
Sold		1,484,327		$	16,861,583			1,424,319		$	14,392,175
Issued as reinvestment of dividends		61,461			684,063			39,844			403,625
Redeemed		(638,687	)		(7,214,675	)		(5,285,235	)		(53,489,521	)
Net increase (decrease)		907,101		$	10,330,971			(3,821,072	)	$	(38,693,721	)
RetireSMART 2020 Fund Class L
Sold		2,262,464		$	25,808,455			1,702,872		$	17,206,054
Issued as reinvestment of dividends		127,222			1,415,977			165,914			1,680,708
Redeemed		(4,004,387	)		(45,811,070	)		(2,203,095	)		(22,406,757	)
Net increase (decrease)		(1,614,701	)	$	(18,586,638	)		(334,309	)	$	(3,519,995	)
RetireSMART 2020 Fund Class A
Sold		1,749,071		$	19,759,535			1,352,728		$	13,508,711
Issued as reinvestment of dividends		125,524			1,384,527			137,240			1,379,255
Redeemed		(2,782,481	)		(31,594,332	)		(2,175,730	)		(21,630,757	)
Net increase (decrease)		(907,886	)	$	(10,450,270	)		(685,762	)	$	(6,742,791	)
RetireSMART 2020 Fund Class N
Sold		37,873		$	422,334			65,371		$	654,268
Issued as reinvestment of dividends		2,790			30,442			4,710			46,816
Redeemed		(102,753	)		(1,138,314	)		(40,158	)		(397,928	)
Net increase (decrease)		(62,090	)	$	(685,538	)		29,923		$	303,156
RetireSMART 2025 Fund Class S
Sold		952,286		$	11,490,506			106,114		$	1,162,429
Issued as reinvestment of dividends		57,917			707,591			8,019			88,150
Redeemed		(258,204	)		(3,165,510	)		(5,418	)		(60,486	)
Net increase (decrease)		751,999		$	9,032,587			108,715		$	1,190,093
RetireSMART 2025 Fund Class Y
Sold		42,777		$	518,554			6,772		$	72,234
Issued as reinvestment of dividends		3,300			40,313			789			8,676
Redeemed		(1,174	)		(14,578	)		(1,992	)		(21,456	)
Net increase (decrease)		44,903		$	544,289			5,569		$	59,454
RetireSMART 2025 Fund Class L
Sold		503,564		$	6,030,057			124,649		$	1,340,725
Issued as reinvestment of dividends		36,446			444,430			5,080			55,756
Redeemed		(79,296	)		(964,894	)		(31,043	)		(333,711	)
Net increase (decrease)		460,714		$	5,509,593			98,686		$	1,062,770
RetireSMART 2025 Fund Class A
Sold		434,971		$	5,334,536			97,512		$	1,050,422
Issued as reinvestment of dividends		33,090			402,221			5,711			62,533
Redeemed		(58,882	)		(708,764	)		(26,834	)		(294,739	)
Net increase (decrease)		409,179		$	5,027,993			76,389		$	818,216

90

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART 2030 Fund Class S
Sold		5,187,213		$	60,540,778			6,716,484		$	68,243,752
Issued as reinvestment of dividends		377,127			4,421,015			251,190			2,547,064
Redeemed		(3,598,071	)		(42,668,696	)		(2,666,285	)		(27,562,045	)
Net increase (decrease)		1,966,269		$	22,293,097			4,301,389		$	43,228,771
RetireSMART 2030 Fund Class Y
Sold		1,351,470		$	15,708,677			1,310,119		$	13,327,355
Issued as reinvestment of dividends		76,044			891,269			35,739			362,031
Redeemed		(490,600	)		(5,731,748	)		(4,261,636	)		(43,128,443	)
Net increase (decrease)		936,914		$	10,868,198			(2,915,778	)	$	(29,439,057	)
RetireSMART 2030 Fund Class L
Sold		2,025,061		$	23,803,451			1,472,552		$	14,910,491
Issued as reinvestment of dividends		103,148			1,207,014			107,673			1,091,807
Redeemed		(3,262,762	)		(38,317,762	)		(2,287,431	)		(23,384,077	)
Net increase (decrease)		(1,134,553	)	$	(13,307,297	)		(707,206	)	$	(7,381,779	)
RetireSMART 2030 Fund Class A
Sold		1,336,915		$	15,613,440			1,331,591		$	13,249,708
Issued as reinvestment of dividends		93,671			1,074,884			88,528			890,590
Redeemed		(1,995,845	)		(23,304,062	)		(1,775,111	)		(17,769,450	)
Net increase (decrease)		(565,259	)	$	(6,615,738	)		(354,992	)	$	(3,629,152	)
RetireSMART 2030 Fund Class N
Sold		51,036		$	590,481			80,261		$	805,175
Issued as reinvestment of dividends		2,666			29,910			4,077			40,563
Redeemed		(65,167	)		(748,261	)		(89,803	)		(897,784	)
Net increase (decrease)		(11,465	)	$	(127,870	)		(5,465	)	$	(52,046	)
RetireSMART 2035 Fund Class S
Sold		582,993		$	7,157,906			89,403		$	988,815
Issued as reinvestment of dividends		36,460			460,925			7,558			83,241
Redeemed		(58,182	)		(722,498	)		(5,303	)		(58,349	)
Net increase (decrease)		561,271		$	6,896,333			91,658		$	1,013,707
RetireSMART 2035 Fund Class Y
Sold		68,833		$	845,240			11,776		$	124,696
Issued as reinvestment of dividends		4,687			59,186			980			10,789
Redeemed		(1,158	)		(14,486	)		(6,054	)		(65,574	)
Net increase (decrease)		72,362		$	889,940			6,702		$	69,911
RetireSMART 2035 Fund Class L
Sold		373,503		$	4,528,925			86,484		$	945,576
Issued as reinvestment of dividends		18,410			232,205			3,397			37,400
Redeemed		(106,427	)		(1,296,981	)		(15,240	)		(168,567	)
Net increase (decrease)		285,486		$	3,464,149			74,641		$	814,409
RetireSMART 2035 Fund Class A
Sold		378,806		$	4,694,089			82,054		$	885,954
Issued as reinvestment of dividends		22,700			285,508			4,599			50,455
Redeemed		(33,114	)		(397,280	)		(25,538	)		(279,513	)
Net increase (decrease)		368,392		$	4,582,317			61,115		$	656,896

91

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART 2040 Fund Class S
Sold		3,248,551		$	38,199,771			4,632,587		$	47,178,853
Issued as reinvestment of dividends		272,123			3,258,254			147,928			1,505,903
Redeemed		(2,833,961	)		(33,892,019	)		(1,717,494	)		(17,862,189	)
Net increase (decrease)		686,713		$	7,566,006			3,063,021		$	30,822,567
RetireSMART 2040 Fund Class Y
Sold		1,031,227		$	12,046,446			864,684		$	8,850,980
Issued as reinvestment of dividends		49,228			590,161			13,754			139,876
Redeemed		(247,611	)		(2,877,092	)		(2,212,181	)		(22,516,163	)
Net increase (decrease)		832,844		$	9,759,515			(1,333,743	)	$	(13,525,307	)
RetireSMART 2040 Fund Class L
Sold		1,589,709		$	18,788,398			773,635		$	7,849,725
Issued as reinvestment of dividends		74,511			894,616			55,897			569,031
Redeemed		(1,995,455	)		(23,500,824	)		(1,101,743	)		(11,348,437	)
Net increase (decrease)		(331,235	)	$	(3,817,810	)		(272,211	)	$	(2,929,681	)
RetireSMART 2040 Fund Class A
Sold		934,372		$	10,917,279			1,114,046		$	11,212,471
Issued as reinvestment of dividends		67,080			789,308			46,479			468,972
Redeemed		(1,575,269	)		(18,455,480	)		(1,299,995	)		(12,975,839	)
Net increase (decrease)		(573,817	)	$	(6,748,893	)		(139,470	)	$	(1,294,396	)
RetireSMART 2040 Fund Class N
Sold		45,064		$	521,952			47,024		$	470,751
Issued as reinvestment of dividends		3,361			38,966			3,003			30,005
Redeemed		(37,967	)		(434,530	)		(52,493	)		(520,967	)
Net increase (decrease)		10,458		$	126,388			(2,466	)	$	(20,211	)
RetireSMART 2045 Fund Class S
Sold		349,014		$	4,202,775			57,163		$	626,691
Issued as reinvestment of dividends		23,035			290,417			6,580			71,560
Redeemed		(73,282	)		(880,250	)		(10,029	)		(106,692	)
Net increase (decrease)		298,767		$	3,612,942			53,714		$	591,559
RetireSMART 2045 Fund Class Y
Sold		16,356		$	201,183			1,693		$	17,991
Issued as reinvestment of dividends		1,347			16,975			640			6,946
Redeemed		(4,342	)		(51,722	)		(2,890	)		(30,389	)
Net increase (decrease)		13,361		$	166,436			(557	)	$	(5,452	)
RetireSMART 2045 Fund Class L
Sold		87,156		$	1,051,714			33,990		$	367,702
Issued as reinvestment of dividends		6,069			76,265			1,735			18,841
Redeemed		(17,566	)		(213,778	)		(21,798	)		(235,359	)
Net increase (decrease)		75,659		$	914,201			13,927		$	151,184
RetireSMART 2045 Fund Class A
Sold		222,247		$	2,701,883			55,364		$	598,674
Issued as reinvestment of dividends		14,455			181,277			3,334			36,086
Redeemed		(27,413	)		(328,954	)		(20,189	)		(221,515	)
Net increase (decrease)		209,289		$	2,554,206			38,509		$	413,245

92

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
RetireSMART 2050 Fund Class S
Sold		2,558,676		$	24,389,855			3,300,842		$	27,823,243
Issued as reinvestment of dividends		394,340			3,779,701			194,786			1,654,856
Redeemed		(1,362,170	)		(13,192,860	)		(2,436,161	)		(20,713,140	)
Net increase (decrease)		1,590,846		$	14,976,696			1,059,467		$	8,764,959
RetireSMART 2050 Fund Class Y
Sold		534,622		$	5,021,439			583,087		$	4,925,771
Issued as reinvestment of dividends		75,853			728,094			21,973			186,887
Redeemed		(95,945	)		(908,315	)		(1,000,254	)		(8,366,599	)
Net increase (decrease)		514,530		$	4,841,218			(395,194	)	$	(3,253,941	)
RetireSMART 2050 Fund Class L
Sold		731,061		$	6,981,354			239,053		$	2,001,311
Issued as reinvestment of dividends		64,343			617,561			16,920			143,322
Redeemed		(196,692	)		(1,886,424	)		(211,218	)		(1,793,983	)
Net increase (decrease)		598,712		$	5,712,491			44,755		$	350,650
RetireSMART 2050 Fund Class A
Sold		541,018		$	5,065,840			445,063		$	3,703,248
Issued as reinvestment of dividends		81,480			774,875			50,398			425,692
Redeemed		(648,423	)		(6,165,341	)		(203,260	)		(1,693,553	)
Net increase (decrease)		(25,925	)	$	(324,626	)		292,201		$	2,435,387
RetireSMART 2050 Fund Class N
Sold		49,507		$	465,497			52,830		$	441,151
Issued as reinvestment of dividends		18,405			174,958			9,823			82,891
Redeemed		(21,595	)		(201,475	)		(23,286	)		(197,747	)
Net increase (decrease)		46,317		$	438,980			39,367		$	326,295
RetireSMART 2055 Fund Class S*
Sold		70,010		$	700,100
Issued as reinvestment of dividends		1,705			17,694
Redeemed		-			-
Net increase (decrease)		71,715		$	717,794
RetireSMART 2055 Fund Class Y*
Sold		10,010		$	100,100
Issued as reinvestment of dividends		246			2,553
Redeemed		-			-
Net increase (decrease)		10,256		$	102,653
RetireSMART 2055 Fund Class L*
Sold		10,040		$	100,400
Issued as reinvestment of dividends		243			2,528
Redeemed		-			-
Net increase (decrease)		10,283		$	102,928

93

Notes to Financial Statements (Continued)

	Year Ended December 31, 2013
	Shares		Amount
RetireSMART 2055 Fund Class A*
Sold		10,010	$	100,100
Issued as reinvestment of dividends		236		2,448
Redeemed		-		-
Net increase (decrease)		10,246	$	102,548

* Fund commenced operations on September 17, 2013.

Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the year ended December 31, 2013, no material amounts have been retained by the Distributor.

Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. Redemptions or exchanges of Class N shares made within eighteen months of purchase are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. There were no contingent deferred sales charges imposed during the year ended December 31, 2013.

6. Federal Income Tax Information

At December 31, 2013, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
RetireSMART Conservative Fund	$	209,842,407	$	7,310,378	$	(7,336,011	)	$	(25,633	)
RetireSMART Moderate Fund		390,622,687		34,777,272		(9,299,484	)		25,477,788
RetireSMART Moderate Growth Fund		300,517,597		41,153,946		(4,386,998	)		36,766,948
RetireSMART Growth Fund		92,145,409		12,988,641		(875,181	)		12,113,460
RetireSMART In Retirement Fund		84,859,468		2,645,398		(3,086,537	)		(441,139	)
RetireSMART 2010 Fund		107,013,473		3,986,594		(3,313,123	)		673,471
RetireSMART 2015 Fund		20,401,935		428,060		(436,201	)		(8,141	)
RetireSMART 2020 Fund		435,827,081		32,223,229		(9,139,858	)		23,083,371
RetireSMART 2025 Fund		26,152,100		850,322		(374,350	)		475,972
RetireSMART 2030 Fund		380,178,059		36,992,854		(5,312,046	)		31,680,808
RetireSMART 2035 Fund		21,080,914		1,041,913		(212,399	)		829,514
RetireSMART 2040 Fund		245,527,735		24,935,745		(2,869,370	)		22,066,375
RetireSMART 2045 Fund		10,291,278		659,397		(65,025	)		594,372
RetireSMART 2050 Fund		74,676,538		6,466,496		(353,937	)		6,112,559
RetireSMART 2055 Fund		1,081,954		28,920		(16,015	)		12,905

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

94

Notes to Financial Statements (Continued)

At December 31, 2013, the following Fund(s) had available, for federal income tax purposes, pre-enactment unused capital losses:

	Expiring 2017		Expiring 2018
RetireSMART In Retirement Fund	$	20,057,099	$	-
RetireSMART 2010 Fund		22,954,791		865,289
RetireSMART 2020 Fund		34,382,752		11,128,973
RetireSMART 2030 Fund		17,163,850		12,679,147
RetireSMART 2040 Fund		6,714,697		4,612,337

Net capital loss carryforwards for the Funds shown in the above table are from pre-enactment years and are, therefore, subject to the eight-year carryforward period and possible expiration.

The following Fund(s) elected to defer to the fiscal year beginning January 1, 2014, post-October capital losses:

	Post-October Loss
RetireSMART Moderate Growth Fund	$	172,062
RetireSMART In Retirement Fund		27,332
RetireSMART 2010 Fund		39,149
RetireSMART 2020 Fund		231,058
RetireSMART 2030 Fund		214,541
RetireSMART 2040 Fund		142,439

Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2013, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
RetireSMART Conservative Fund	$	6,508,557	$	7,295,802	$	-
RetireSMART Moderate Fund		15,006,812		23,414,115		-
RetireSMART Moderate Growth Fund		12,383,999		20,484,786		-
RetireSMART Growth Fund		2,943,034		3,763,066		-
RetireSMART In Retirement Fund		2,131,757		-		-
RetireSMART 2010 Fund		2,462,320		-		-
RetireSMART 2015 Fund		1,200,418		213,086		-
RetireSMART 2020 Fund		7,574,434		-		-
RetireSMART 2025 Fund		1,119,465		475,090		-
RetireSMART 2030 Fund		7,624,092		-		-
RetireSMART 2035 Fund		654,669		383,155		-
RetireSMART 2040 Fund		5,571,305		-		-
RetireSMART 2045 Fund		322,144		242,790		-
RetireSMART 2050 Fund		2,633,779		3,441,410		-
RetireSMART 2055 Fund		25,223		-		-

95

Notes to Financial Statements (Continued)

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2012, was as follows:

	Ordinary Income		Long Term Capital Gain		Return of Capital
RetireSMART Conservative Fund	$	5,980,502	$	3,740,440	$	-
RetireSMART Moderate Fund		9,640,143		9,504,104		-
RetireSMART Moderate Growth Fund		5,582,791		8,914,739		-
RetireSMART Growth Fund		976,288		1,901,709		-
RetireSMART In Retirement Fund		2,636,922		-		-
RetireSMART 2010 Fund		2,497,654		-		-
RetireSMART 2015 Fund		210,419		109,459		-
RetireSMART 2020 Fund		7,020,328		-		-
RetireSMART 2025 Fund		95,085		120,030		-
RetireSMART 2030 Fund		4,932,055		-		-
RetireSMART 2035 Fund		75,322		106,563		-
RetireSMART 2040 Fund		2,713,787		-		-
RetireSMART 2045 Fund		36,217		97,216		-
RetireSMART 2050 Fund		693,360		1,800,288		-

The following Fund(s) have elected to pass through the foreign tax credit for the year ended December 31, 2013:

	Amount
RetireSMART Conservative Fund	$	18,048
RetireSMART Moderate Fund		62,853
RetireSMART Moderate Growth Fund		69,756
RetireSMART Growth Fund		24,164
RetireSMART In Retirement Fund		8,751
RetireSMART 2010 Fund		13,500
RetireSMART 2015 Fund		2,958
RetireSMART 2020 Fund		80,048
RetireSMART 2025 Fund		4,978
RetireSMART 2030 Fund		86,194
RetireSMART 2035 Fund		4,445
RetireSMART 2040 Fund		57,834
RetireSMART 2045 Fund		2,372
RetireSMART 2050 Fund		18,245
RetireSMART 2055 Fund		196

Capital accounts within financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2013, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.

96

Notes to Financial Statements (Continued)

At December 31, 2013, the components of distributable earnings on a tax basis were as follows:

	Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)			Other Temporary Differences			Unrealized Appreciation (Depreciation)
RetireSMART Conservative Fund	$	-	$	2,491,658		$	(18,623	)	$	(25,633	)
RetireSMART Moderate Fund		-		9,987,908			(37,946	)		25,477,788
RetireSMART Moderate Growth Fund		-		11,266,692			(200,565	)		36,766,948
RetireSMART Growth Fund		-		3,814,257			(6,178	)		12,113,462
RetireSMART In Retirement Fund		1,993,825		(20,057,099	)		(64,756	)		(441,139	)
RetireSMART 2010 Fund		2,709,588		23,820,080			73,778			673,471
RetireSMART 2015 Fund		120,494		477,366			(765	)		(8,141	)
RetireSMART 2020 Fund		11,679,732		(45,511,725	)		(342,775	)		23,083,371
RetireSMART 2025 Fund		50,460		765,257			(743	)		475,972
RetireSMART 2030 Fund		8,369,139		(29,842,997	)		(302,956	)		31,680,808
RetireSMART 2035 Fund		1,538		726,405			(611	)		829,514
RetireSMART 2040 Fund		4,148,226		(11,327,034	)		(196,056	)		22,066,375
RetireSMART 2045 Fund		1,374		388,075			(372	)		594,372
RetireSMART 2050 Fund		-		3,404,135			(6,518	)		6,112,559
RetireSMART 2055 Fund		877		36,770			(43	)		12,905

During the year ended December 31, 2013, the following amounts were reclassified due to permanent differences between book and tax accounting:

	Paid-in Capital		Accumulated Net Realized Gain (Loss) on Investments			Undistributed Net Investment Income (Loss)
RetireSMART Conservative Fund	$	10	$	(1,120,677	)	$	1,120,667
RetireSMART Moderate Fund		21		(3,978,491	)		3,978,470
RetireSMART Moderate Growth Fund		16		(4,077,301	)		4,077,285
RetireSMART Growth Fund		3		(1,265,556	)		1,265,553
RetireSMART In Retirement Fund		14		(531,891	)		531,877
RetireSMART 2010 Fund		13		(850,668	)		850,655
RetireSMART 2015 Fund		-		(187,772	)		187,772
RetireSMART 2020 Fund		43		(4,898,406	)		4,898,363
RetireSMART 2025 Fund		-		(300,239	)		300,239
RetireSMART 2030 Fund		34		(4,874,739	)		4,874,705
RetireSMART 2035 Fund		-		(254,373	)		254,373
RetireSMART 2040 Fund		21		(3,077,940	)		3,077,919
RetireSMART 2045 Fund		-		(128,434	)		128,434
RetireSMART 2050 Fund		3		(953,977	)		953,974
RetireSMART 2055 Fund		-		(12,851	)		12,851

The Funds did not have any unrecognized tax benefits at December 31, 2013, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statements of Operations. During the year ended December 31, 2013, the Funds did not incur any such interest or penalties. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years, or the returns filed to date for Funds in existence less than three years. Foreign taxes are provided for based on the Funds’ understanding of the tax rules and rates that exist in the foreign markets in which they invest.

97

Notes to Financial Statements (Continued)

7. Investment in Affiliated Issuers

A summary of the Funds’ transactions in the securities of affiliated issuers during the year ended December 31, 2013, was as follows:

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Conservative Fund
MassMutual Premier Core Bond Fund, Class Z		5,643,795		1,211,230		1,770,615		5,084,410	$	55,420,072	$	1,842,202	$	-	$	(135,428	)
MassMutual Premier Disciplined Growth Fund, Class S		796,457		232,421		399,194		629,684		7,537,322		81,457		1,294,396		1,240,641
MassMutual Premier Disciplined Value Fund, Class S		775,096		106,766		374,878		506,984		7,457,736		128,022		-		1,157,220
MassMutual Premier Focused International Fund, Class Z		89,486		23,330		56,904		55,912		726,302		11,736		-		47,270
MassMutual Premier High Yield Fund, Class Z		653,388		176,668		321,202		508,854		4,905,355		312,993		81,081		342,106
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,533,585		334,270		594,227		1,273,628		12,940,059		305,647		431,045		44,789
MassMutual Premier International Bond Fund, Class S		1,070,888		71,314		1,142,202		-		-		-		120,832		(839,573	)
MassMutual Premier International Equity Fund, Class S		186,673		42,437		116,772		112,338		1,721,016		18,943		135,420		101,308
MassMutual Premier Money Market Fund, Class S		1,069,861		4,073,734		899,507		4,244,088		4,244,088		206		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		3,776,335		1,359,951		1,387,718		3,748,568		38,872,652		846,744		-		(348,630	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		335,971		49,660		103,946		281,685		3,343,607		41,488		-		(431,003	)
MassMutual Select Blue Chip Growth Fund, Class S		126,969		21,323		66,372		81,920		1,387,723		394		81,896		210,317
MassMutual Select Diversified International Fund, Class S		401,189		48,000		229,075		220,114		1,699,281		38,265		-		94,337
MassMutual Select Diversified Value Fund, Class S		158,602		20,646		78,727		100,521		1,363,067		15,441		-		223,321
MassMutual Select Focused Value Fund, Class Z		289,335		47,838		143,055		194,118		4,530,719		25,359		440,731		714,970
MassMutual Select Fundamental Growth Fund, Class S		244,515		41,292		121,414		164,393		1,372,682		11,640		49,104		155,380
MassMutual Select Fundamental Value Fund, Class Z		163,012		30,967		79,910		114,069		1,551,335		27,295		109,250		291,094
MassMutual Select Growth Opportunities Fund, Class Z		156,589		26,162		79,688		103,063		1,178,008		661		80,481		132,558
MassMutual Select Large Cap Value Fund, Class S		147,508		26,826		72,516		101,818		965,234		23,060		47,985		(122,285	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		140,627		29,768		85,194		85,201		1,569,404		-		152,830		157,183
MassMutual Select Mid-Cap Value Fund, Class Z		282,145		69,040		221,769		129,416		1,899,832		22,608		-		414,792
MassMutual Select Overseas Fund, Class Z		882,172		113,839		443,250		552,761		5,002,491		115,408		-		325,390
MassMutual Select PIMCO Total Return Fund, Class Z		1,281,906		202,394		401,632		1,082,668		10,956,600		276,247		16,541		82,920
MassMutual Select Small Cap Growth Equity Fund, Class Z		78,309		15,414		48,250		45,473		864,889		-		125,986		170,431
MassMutual Select Small Cap Value Equity Fund, Class S		153,764		27,110		75,188		105,686		1,577,895		7,040		-		306,871
MassMutual Select Small Company Growth Fund, Class S		77,061		17,568		49,654		44,975		564,885		-		82,705		155,832
MassMutual Select Small Company Value Fund, Class Z		33,957		20,590		23,976		30,571		500,451		3,871		51,586		61,218
MassMutual Select Strategic Bond Fund, Class S		1,125,921		174,472		403,563		896,830		8,806,872		313,455		-		117,147
MM MSCI EAFE International Index Fund, Class Z		391,572		194,954		207,974		378,552		5,114,242		141,420		161,006		380,164
MM Russell 2000 Small Cap Index Fund, Class Z		173,997		49,810		99,954		123,853		1,634,865		20,436		183,277		201,767
MM S&P Mid Cap Index Fund, Class Z		175,245		130,863		121,221		184,887		2,305,542		27,444		310,146		292,379
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		1,702,102		605,518		1,096,584		3,300,719		-		-		(91,801	)

98

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Conservative Fund (Continued)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		1,504,579		171,373		1,675,952		-	$	-	$	-	$	-	$	(485,834	)
Oppenheimer Developing Markets Fund, Class I*		-		114,113		38,411		75,702		2,844,129		15,803		13,301		20,478
Oppenheimer Developing Markets Fund, Class Y*		64,548		6,413		70,961		-		-		-		-		256,076
Oppenheimer Global Real Estate Fund, Class I*		-		199,672		22,182		177,490		1,773,122		25,007		-		(14,364	)
Oppenheimer International Bond Fund, Class I*		-		1,467,433		123,789		1,343,644		8,155,916		67,035		23,218		(50,337	)
Oppenheimer Real Estate Fund, Class I*		-		163,315		89,123		74,192		1,728,662		39,337		235		(128,593	)
Oppenheimer Real Estate Fund, Class Y*		166,004		1,527		167,531		-		-		9,542		-		789,683
									$	209,816,774	$	4,816,206	$	3,993,052	$	5,839,794
RetireSMART Moderate Fund
MassMutual Premier Core Bond Fund, Class Z		6,760,846		1,648,930		2,278,207		6,131,569	$	66,834,103	$	2,230,548	$	-	$	(248,216	)
MassMutual Premier Disciplined Growth Fund, Class S		2,583,457		623,954		1,099,255		2,108,156		25,234,632		273,810		4,350,985		3,674,256
MassMutual Premier Disciplined Value Fund, Class S		2,515,149		219,773		1,037,802		1,697,120		24,964,642		430,292		-		3,484,333
MassMutual Premier Focused International Fund, Class Z		366,860		52,834		188,676		231,018		3,000,918		48,692		-		101,865
MassMutual Premier High Yield Fund, Class Z		1,293,402		448,112		682,230		1,059,284		10,211,497		653,962		169,409		757,408
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,710,939		637,945		895,571		1,453,313		14,765,656		350,281		493,991		41,683
MassMutual Premier International Bond Fund, Class S		1,422,424		52,924		1,475,348		-		-		-		145,351		(1,107,121	)
MassMutual Premier International Equity Fund, Class S		765,900		103,679		405,293		464,286		7,112,864		78,609		561,962		(13,328	)
MassMutual Premier Money Market Fund, Class S		310,902		1,754,926		571,140		1,494,688		1,494,688		101		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		3,174,746		2,089,848		1,590,535		3,674,059		38,099,991		833,351		-		(392,023	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		974,626		108,424		318,250		764,800		9,078,176		113,053		-		(1,341,632	)
MassMutual Select Blue Chip Growth Fund, Class S		664,012		100,591		317,811		446,792		7,568,653		2,132		449,078		1,461,933
MassMutual Select Diversified International Fund, Class S		1,647,934		131,329		861,656		917,607		7,083,926		160,176		-		327,407
MassMutual Select Diversified Value Fund, Class S		828,923		76,490		357,319		548,094		7,432,149		84,658		-		1,164,752
MassMutual Select Focused Value Fund, Class Z		702,405		131,235		343,620		490,020		11,437,072		64,365		1,116,506		1,940,998
MassMutual Select Fundamental Growth Fund, Class S		1,278,767		180,055		562,346		896,476		7,485,575		63,821		269,249		813,949
MassMutual Select Fundamental Value Fund, Class Z		852,424		134,786		365,278		621,932		8,458,275		149,647		598,976		1,112,234
MassMutual Select Growth Opportunities Fund, Class Z		818,530		116,825		373,309		562,046		6,424,182		3,577		440,753		675,270
MassMutual Select Large Cap Value Fund, Class S		771,308		115,124		331,272		555,160		5,262,916		126,421		263,041		(470,205	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		604,535		81,049		298,296		387,288		7,133,847		-		697,924		399,577
MassMutual Select Mid-Cap Value Fund, Class Z		1,225,032		82,187		718,998		588,221		8,635,087		103,284		-		1,426,025
MassMutual Select Overseas Fund, Class Z		3,568,619		326,498		1,611,184		2,283,933		20,669,596		473,346		-		1,354,941
MassMutual Select PIMCO Total Return Fund, Class Z		1,504,454		314,088		504,915		1,313,627		13,293,907		337,085		19,927		(3,092	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		340,306		63,380		203,854		199,832		3,800,804		-		555,912		727,589
MassMutual Select Small Cap Value Equity Fund, Class S		676,357		82,034		325,313		433,078		6,465,856		28,981		-		1,095,657
MassMutual Select Small Company Growth Fund, Class S		333,712		57,823		193,883		197,652		2,482,505		-		365,768		560,201
MassMutual Select Small Company Value Fund, Class Z		148,406		87,659		115,934		120,131		1,966,543		15,278		204,610		224,584

99

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Moderate Fund (Continued)
MassMutual Select Strategic Bond Fund, Class S		1,348,762		219,282		479,854		1,088,190	$	10,686,025	$	382,491	$	-	$	129,288
MM MSCI EAFE International Index Fund, Class Z		1,656,999		513,159		610,796		1,559,362		21,066,984		585,765		666,771		1,214,126
MM Russell 2000 Small Cap Index Fund, Class Z		761,554		163,642		383,057		542,139		7,156,229		89,939		805,764		837,298
MM S&P Mid Cap Index Fund, Class Z		797,682		378,855		336,244		840,293		10,478,451		125,415		1,417,309		830,576
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		4,735,187		1,696,517		3,038,670		9,146,398		-		-		(296,882	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		4,330,812		218,991		4,549,803		-		-		-		-		(1,773,021	)
Oppenheimer Developing Markets Fund, Class I*		-		351,351		113,663		237,688		8,929,935		50,550		42,547		59,935
Oppenheimer Developing Markets Fund, Class Y*		187,494		14,476		201,970		-		-		-		-		605,407
Oppenheimer Global Real Estate Fund, Class I*		-		645,160		112,069		533,091		5,325,579		75,842		-		(80,316	)
Oppenheimer International Bond Fund, Class I*		-		2,152,800		216,832		1,935,968		11,751,324		104,133		36,318		(92,873	)
Oppenheimer Real Estate Fund, Class I*		-		510,373		288,850		221,523		5,161,490		122,982		711		(476,455	)
Oppenheimer Real Estate Fund, Class Y*		480,678		3,962		484,640		-		-		29,095.00		-		2,312,104
									$	416,100,475	$	8,191,682	$	13,672,862	$	21,038,232
RetireSMART Moderate Growth Fund
MassMutual Premier Core Bond Fund, Class Z		1,334,931		530,077		483,581		1,381,427	$	15,057,550	$	503,087	$	-	$	(44,458	)
MassMutual Premier Disciplined Growth Fund, Class S		2,265,878		563,286		862,639		1,966,525		23,539,310		255,693		4,063,081		2,816,062
MassMutual Premier Disciplined Value Fund, Class S		2,206,633		187,085		810,607		1,583,111		23,287,567		401,822		-		2,684,619
MassMutual Premier Focused International Fund, Class Z		407,077		55,179		186,816		275,440		3,577,963		58,120		-		68,178
MassMutual Premier High Yield Fund, Class Z		1,505,410		570,596		682,276		1,393,730		13,435,560		861,286		223,116		624,936
MassMutual Premier Inflation-Protected and Income Fund, Class Z		411,889		203,895		212,730		403,054		4,095,029		97,259		137,162		(12,138	)
MassMutual Premier International Bond Fund, Class S		719,034		85,700		804,734		-		-		-		85,066		(532,651	)
MassMutual Premier International Equity Fund, Class S		849,679		112,278		408,440		553,517		8,479,883		93,821		670,711		(79,348	)
MassMutual Premier Money Market Fund, Class S		4,400		15,701		9,700		10,401		10,401		1		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		764,870		697,679		555,922		906,627		9,401,720		205,868		-		(114,782	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		981,635		68,881		310,709		739,807		8,781,511		109,483		-		(1,311,482	)
MassMutual Select Blue Chip Growth Fund, Class S		889,078		112,135		357,036		644,177		10,912,355		3,053		648,011		1,608,121
MassMutual Select Diversified International Fund, Class S		1,826,841		109,549		835,455		1,100,935		8,499,220		192,156		-		101,625
MassMutual Select Diversified Value Fund, Class S		1,109,228		86,125		405,098		790,255		10,715,860		122,162		-		1,216,980
MassMutual Select Focused Value Fund, Class Z		500,996		114,586		242,194		373,388		8,714,878		49,086		850,511		1,339,805
MassMutual Select Fundamental Growth Fund, Class S		1,712,291		193,817		613,541		1,292,567		10,792,931		92,096		388,540		845,503
MassMutual Select Fundamental Value Fund, Class Z		1,141,567		170,250		415,100		896,717		12,195,347		215,949		864,354		1,232,047
MassMutual Select Growth Opportunities Fund, Class Z		1,096,096		133,302		418,996		810,402		9,262,896		5,122		635,586		731,795
MassMutual Select Large Cap Value Fund, Class S		1,034,048		134,396		367,994		800,450		7,588,266		182,421		379,539		(552,909	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		559,051		61,850		229,362		391,539		7,212,145		-		705,864		299,501
MassMutual Select Mid-Cap Value Fund, Class Z		1,139,874		46,204		591,379		594,699		8,730,182		104,486		-		1,194,774
MassMutual Select Overseas Fund, Class Z		3,912,737		276,798		1,466,521		2,723,014		24,643,279		560,278		-		1,175,440
MassMutual Select PIMCO Total Return Fund, Class Z		310,992		87,229		98,453		299,768		3,033,648		76,989		4,525		(563	)

100

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Moderate Growth Fund (Continued)
MassMutual Select Small Cap Growth Equity Fund, Class Z		416,719		67,548		219,670		264,597	$	5,032,637	$	-	$	736,021	$	721,462
MassMutual Select Small Cap Value Equity Fund, Class S		804,167		83,113		331,698		555,582		8,294,846		37,206		-		1,080,773
MassMutual Select Small Company Growth Fund, Class S		404,980		54,728		197,988		261,720		3,287,204		-		484,786		573,122
MassMutual Select Small Company Value Fund, Class Z		179,847		82,486		111,248		151,085		2,473,267		19,233		258,158		231,656
MassMutual Select Strategic Bond Fund, Class S		266,354		95,281		113,317		248,318		2,438,482		87,359		-		36,100
MM MSCI EAFE International Index Fund, Class Z		1,815,220		578,755		538,761		1,855,214		25,063,937		697,443		793,801		1,063,950
MM Russell 2000 Small Cap Index Fund, Class Z		917,289		201,198		403,132		715,355		9,442,690		118,746		1,063,348		866,052
MM S&P Mid Cap Index Fund, Class Z		746,751		365,084		262,295		849,540		10,593,765		126,899		1,434,060		645,287
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		4,650,263		1,537,226		3,113,037		9,370,240		-		-		(275,330	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		4,332,541		285,681		4,618,222		-		-		-		-		(1,630,521	)
Oppenheimer Developing Markets Fund, Class I*		-		378,522		91,548		286,974		10,781,629		60,609		51,014		33,063
Oppenheimer Developing Markets Fund, Class Y*		188,534		12,199		200,733		-		-		-		-		630,785
Oppenheimer Global Real Estate Fund, Class I*		-		653,321		82,439		570,882		5,703,112		81,577		-		(54,305	)
Oppenheimer International Bond Fund, Class I*		-		1,313,076		111,891		1,201,185		7,291,194		65,650		23,002		(47,829	)
Oppenheimer Real Estate Fund, Class I*		-		465,425		227,483		237,942		5,544,041		132,658		762		(431,348	)
Oppenheimer Real Estate Fund, Class Y*		454,863		3,247		458,110		-		-		27,454		-		2,129,799
									$	337,284,545	$	5,645,072	$	14,501,018	$	18,863,771
RetireSMART Growth Fund
MassMutual Premier Core Bond Fund, Class Z		50,214		52,085		30,974		71,325	$	777,438	$	25,502	$	-	$	(7,114	)
MassMutual Premier Disciplined Growth Fund, Class S		414,343		219,839		100,331		533,851		6,390,198		68,192		1,083,609		331,571
MassMutual Premier Disciplined Value Fund, Class S		403,639		120,942		94,709		429,872		6,323,424		107,173		-		306,371
MassMutual Premier Focused International Fund, Class Z		95,798		33,072		31,998		96,872		1,258,367		20,072		-		7,888
MassMutual Premier High Yield Fund, Class Z		45,855		63,073		43,753		65,175		628,290		39,615		10,262		38,037
MassMutual Premier Inflation-Protected and Income Fund, Class Z		21,008		35,428		24,362		32,074		325,873		7,591		10,706		(11,020	)
MassMutual Premier International Bond Fund, Class S		33,135		4,060		37,195		-		-		-		3,073		(17,537	)
MassMutual Premier International Equity Fund, Class S		199,626		70,352		75,387		194,591		2,981,135		32,398		231,607		(18,079	)
MassMutual Premier Short-Duration Bond Fund, Class Z		23,779		96,179		60,578		59,380		615,772		13,238		-		(4,851	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		242,862		63,636		36,413		270,085		3,205,909		39,236		-		(146,462	)
MassMutual Select Blue Chip Growth Fund, Class S		262,882		86,467		67,839		281,510		4,768,778		1,263		277,922		307,199
MassMutual Select Diversified International Fund, Class S		428,456		109,317		149,146		388,627		3,000,199		66,349		-		19,486
MassMutual Select Diversified Value Fund, Class S		326,881		88,243		69,608		345,516		4,685,195		52,394		-		204,570
MassMutual Select Focused Value Fund, Class Z		112,349		46,984		34,041		125,292		2,924,318		16,161		278,622		169,893
MassMutual Select Fundamental Growth Fund, Class S		506,237		159,155		100,345		565,047		4,718,143		39,500		166,655		138,160
MassMutual Select Fundamental Value Fund, Class Z		337,576		127,992		73,435		392,133		5,333,004		92,637		370,785		208,077
MassMutual Select Growth Opportunities Fund, Class Z		324,030		106,198		76,008		354,220		4,048,735		2,119		271,689		137,243

101

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART Growth Fund (Continued)
MassMutual Select Large Cap Value Fund, Class S		307,264		105,700		62,933		350,031	$	3,318,292	$	78,224	$	162,712	$	(80,907	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		134,596		43,482		37,130		140,948		2,596,264		-		248,815		21,878
MassMutual Select Mid-Cap Value Fund, Class Z		274,773		56,568		117,219		214,122		3,143,313		36,870		-		231,385
MassMutual Select Overseas Fund, Class Z		918,135		248,492		208,974		957,653		8,666,764		186,285		-		152,519
MassMutual Select PIMCO Total Return Fund, Class Z		11,736		11,009		6,772		15,973		161,645		4,022		228		755
MassMutual Select Small Cap Growth Equity Fund, Class Z		102,634		38,740		42,244		99,130		1,885,450		-		269,647		113,861
MassMutual Select Small Cap Value Equity Fund, Class S		184,805		72,015		53,010		203,810		3,042,876		13,421		-		182,945
MassMutual Select Small Company Growth Fund, Class S		93,956		37,958		33,779		98,135		1,232,571		-		178,014		99,661
MassMutual Select Small Company Value Fund, Class Z		44,353		32,824		22,524		54,653		894,678		6,857		91,929		55,104
MassMutual Select Strategic Bond Fund, Class S		10,036		13,040		9,838		13,238		129,994		4,565		-		3,369
MM MSCI EAFE International Index Fund, Class Z		424,995		272,588		45,894		651,689		8,804,323		240,053		273,006		104,339
MM Russell 2000 Small Cap Index Fund, Class Z		223,862		112,922		69,426		267,358		3,529,130		43,467		388,853		139,611
MM S&P Mid Cap Index Fund, Class Z		180,091		153,774		27,965		305,900		3,814,572		44,816		506,431		62,041
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		1,192,952		176,747		1,016,205		3,058,778		-		-		(24,562	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		918,623		121,265		1,039,888		-		-		-		-		(340,842	)
Oppenheimer Developing Markets Fund, Class I*		-		107,827		10,810		97,017		3,644,919		20,077		16,898		10,447
Oppenheimer Developing Markets Fund, Class Y*		46,892		5,592		52,484		-		-		-		-		153,872
Oppenheimer Global Real Estate Fund, Class I*		-		197,515		6,992		190,523		1,903,320		25,839		-		(5,082	)
Oppenheimer International Bond Fund, Class I*		-		92,041		1,573		90,468		549,140		5,422		2,062		(705	)
Oppenheimer Real Estate Fund, Class I*		-		132,398		50,936		81,462		1,898,062		37,933		254		(99,947	)
Oppenheimer Real Estate Fund, Class Y*		101,851		8,514		110,365		-		-		7,008		-		475,841
									$	104,258,869	$	1,378,299	$	4,843,779	$	2,919,015
RetireSMART In Retirement Fund
MassMutual Premier Core Bond Fund, Class Z		1,510,480		421,465		427,192		1,504,753	$	16,401,805	$	550,818	$	-	$	(31,405	)
MassMutual Premier Disciplined Growth Fund, Class S		359,720		117,504		174,136		303,088		3,627,962		39,614		629,480		1,004,752
MassMutual Premier Disciplined Value Fund, Class S		350,114		56,967		163,084		243,997		3,589,189		62,257		-		881,218
MassMutual Premier Focused International Fund, Class Z		38,186		10,380		23,051		25,515		331,434		5,413		-		14,848
MassMutual Premier High Yield Fund, Class Z		205,242		68,821		106,373		167,690		1,616,528		104,125		26,974		113,188
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,073,227		273,414		385,761		960,880		9,762,541		233,181		328,847		36,841
MassMutual Premier International Bond Fund, Class S		368,091		22,717		390,808		-		-		-		43,403		(199,132	)
MassMutual Premier International Equity Fund, Class S		79,719		15,909		44,350		51,278		785,582		8,737		62,461		53,437
MassMutual Premier Money Market Fund, Class S		450,062		1,656,932		261,534		1,845,460		1,845,460		109		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		1,405,960		514,791		467,228		1,453,523		15,073,037		331,839		-		(120,540	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		156,961		28,187		45,115		140,033		1,662,190		20,819		-		(191,427	)
MassMutual Select Blue Chip Growth Fund, Class S		55,813		11,321		28,728		38,406		650,599		197		38,866		91,000
MassMutual Select Diversified International Fund, Class S		171,232		23,808		94,595		100,445		775,433		17,754		-		54,082

102

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART In Retirement Fund (Continued)
MassMutual Select Diversified Value Fund, Class S		69,590		10,529		33,005		47,114	$	638,865	$	7,329	$	-	$	92,392
MassMutual Select Focused Value Fund, Class Z		136,517		25,439		64,219		97,737		2,281,178		12,927		226,347		332,633
MassMutual Select Fundamental Growth Fund, Class S		107,486		21,966		52,389		77,063		643,477		5,525		23,305		67,162
MassMutual Select Fundamental Value Fund, Class Z		71,641		15,555		33,733		53,463		727,100		12,955		51,854		123,790
MassMutual Select Growth Opportunities Fund, Class Z		68,805		13,251		33,741		48,315		552,241		330		38,387		56,666
MassMutual Select Large Cap Value Fund, Class S		64,956		13,581		30,815		47,722		452,405		10,949		22,792		(56,778	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		55,998		11,744		31,093		36,649		675,077		-		66,751		65,144
MassMutual Select Mid-Cap Value Fund, Class Z		112,819		14,842		72,002		55,659		817,081		9,859		-		132,923
MassMutual Select Overseas Fund, Class Z		373,422		57,017		178,163		252,276		2,283,094		56,105		-		179,597
MassMutual Select PIMCO Total Return Fund, Class Z		342,162		69,885		97,345		314,702		3,184,786		81,341		5,136		(938	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		32,873		6,771		19,667		19,977		379,960		-		56,307		53,148
MassMutual Select Small Cap Value Equity Fund, Class S		64,172		13,468		29,763		47,877		714,798		3,222		-		96,775
MassMutual Select Small Company Growth Fund, Class S		32,059		7,994		20,299		19,754		248,112		-		36,863		63,850
MassMutual Select Small Company Value Fund, Class Z		14,312		9,116		9,334		14,094		230,711		1,799		24,014		26,154
MassMutual Select Strategic Bond Fund, Class S		301,352		58,251		98,908		260,695		2,560,024		92,295		-		114,980
MM MSCI EAFE International Index Fund, Class Z		168,187		83,272		78,696		172,763		2,334,034		65,446		74,598		147,708
MM Russell 2000 Small Cap Index Fund, Class Z		73,379		19,373		38,306		54,446		718,693		9,120		81,919		82,211
MM S&P Mid Cap Index Fund, Class Z		72,019		37,528		30,028		79,519		991,604		11,956		135,121		68,277
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		864,243		309,797		554,446		1,668,882		-		-		(38,970	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		706,422		109,161		815,583		-		-		-		-		(112,201	)
Oppenheimer Developing Markets Fund, Class I*		-		55,284		16,851		38,433		1,443,927		8,117		6,832		15,470
Oppenheimer Developing Markets Fund, Class Y*		29,977		3,666		33,643		-		-		-		-		114,740
Oppenheimer Global Real Estate Fund, Class I*		-		96,935		7,651		89,284		891,951		12,536		-		(4,391	)
Oppenheimer International Bond Fund, Class I*		-		529,413		35,959		493,454		2,995,266		25,359		9,019		(16,087	)
Oppenheimer Real Estate Fund, Class I*		-		80,720		43,668		37,052		863,303		18,515		119		(60,903	)
Oppenheimer Real Estate Fund, Class Y*		77,805		1,563		79,368		-		-		4,436		-		526,906
									$	84,418,329	$	1,824,984	$	1,989,395	$	3,777,120
RetireSMART 2010 Fund
MassMutual Premier Core Bond Fund, Class Z		1,623,647		643,260		426,010		1,840,897		20,065,776		670,263		-		(39,899	)
MassMutual Premier Disciplined Growth Fund, Class S		495,858		174,374		206,815		463,417		5,547,098		60,239		957,225		1,082,939
MassMutual Premier Disciplined Value Fund, Class S		482,805		84,269		194,047		373,027		5,487,224		94,657		-		950,596
MassMutual Premier Focused International Fund, Class Z		65,733		15,410		33,840		47,303		614,466		9,978		-		13,398
MassMutual Premier High Yield Fund, Class Z		273,166		107,586		118,213		262,539		2,530,878		162,209		42,020		130,526
MassMutual Premier Inflation-Protected and Income Fund, Class Z		970,021		306,805		328,009		948,817		9,639,979		228,904		322,817		13,383
MassMutual Premier International Bond Fund, Class S		361,546		45,204		406,750		-		-		-		47,956		(244,178	)
MassMutual Premier International Equity Fund, Class S		137,351		31,754		74,054		95,051		1,456,177		16,106		115,141		92,312
MassMutual Premier Money Market Fund, Class S		136,776		883,870		134,693		885,953		885,953		56		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		972,616		669,088		342,974		1,298,730		13,467,825		294,840		-		(85,335	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		179,232		42,719		49,356		172,595		2,048,697		25,534		-		(208,572	)
MassMutual Select Blue Chip Growth Fund, Class S		85,444		21,359		41,900		64,903		1,099,463		326		65,294		162,355

103

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2010 Fund (Continued)
MassMutual Select Diversified International Fund, Class S		295,072		50,537		159,184		186,425	$	1,439,203	$	32,712	$	-	$	65,268
MassMutual Select Diversified Value Fund, Class S		106,373		21,473		48,244		79,602		1,079,404		12,308		-		142,835
MassMutual Select Focused Value Fund, Class Z		153,069		37,415		66,799		123,685		2,886,798		16,261		283,869		349,529
MassMutual Select Fundamental Growth Fund, Class S		164,530		39,343		73,669		130,204		1,087,207		9,279		39,141		98,939
MassMutual Select Fundamental Value Fund, Class Z		109,689		30,504		49,878		90,315		1,228,279		21,751		87,060		169,754
MassMutual Select Growth Opportunities Fund, Class Z		105,347		26,599		50,296		81,650		933,260		546		64,392		89,568
MassMutual Select Large Cap Value Fund, Class S		99,612		26,847		45,836		80,623		764,306		18,384		38,265		(88,894	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		114,082		27,658		59,554		82,186		1,513,875		-		148,703		126,187
MassMutual Select Mid-Cap Value Fund, Class Z		230,894		36,635		142,734		124,795		1,831,988		21,965		-		266,711
MassMutual Select Overseas Fund, Class Z		640,864		119,486		292,755		467,595		4,231,731		102,097		-		266,675
MassMutual Select PIMCO Total Return Fund, Class Z		370,078		118,024		100,956		387,146		3,917,916		99,442		6,120		(2,954	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		61,559		16,064		35,960		41,663		792,431		-		116,342		112,712
MassMutual Select Small Cap Value Equity Fund, Class S		119,790		26,260		54,419		91,631		1,368,052		6,137		-		200,643
MassMutual Select Small Company Growth Fund, Class S		59,084		19,373		37,264		41,193		517,380		-		76,308		95,408
MassMutual Select Small Company Value Fund, Class Z		26,815		17,098		18,342		25,571		418,602		3,255		43,744		40,525
MassMutual Select Strategic Bond Fund, Class S		323,921		91,367		94,554		320,734		3,149,606		112,846		-		65,507
MM MSCI EAFE International Index Fund, Class Z		308,804		145,536		134,270		320,070		4,324,141		120,466		137,276		253,719
MM Russell 2000 Small Cap Index Fund, Class Z		143,449		42,547		71,679		114,317		1,508,990		18,998		170,418		145,517
MM S&P Mid Cap Index Fund, Class Z		157,144		94,541		73,403		178,282		2,223,170		26,641		301,090		165,451
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		971,023		283,580		687,443		2,069,204		-		-		(39,388	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		810,587		80,859		891,446		-		-		-		-		(111,336	)
Oppenheimer Developing Markets Fund, Class I*		-		68,229		17,045		51,184		1,922,992		10,901		9,175		20,535
Oppenheimer Developing Markets Fund, Class Y*		34,377		4,909		39,286		-		-		-		-		129,351
Oppenheimer Global Real Estate Fund, Class I*		-		126,368		10,712		115,656		1,155,400		16,080		-		(6,253	)
Oppenheimer International Bond Fund, Class I*		-		604,686		48,900		555,786		3,373,620		29,510		10,461		(22,031	)
Oppenheimer Real Estate Fund, Class I*		-		100,531		53,070		47,461		1,105,853		24,103		154		(78,145	)
Oppenheimer Real Estate Fund, Class Y*		88,711		2,933		91,644		-		-		5,643		-		565,999
									$	107,686,944	$	2,272,437	$	3,082,971	$	4,889,357
RetireSMART 2015 Fund
MassMutual Premier Core Bond Fund, Class Z		87,063		267,873		84,530		270,406	$	2,947,427	$	97,123	$	-	$	(32,979	)
MassMutual Premier Disciplined Growth Fund, Class S		40,678		100,935		40,300		101,313		1,212,722		12,994		206,485		99,703
MassMutual Premier Disciplined Value Fund, Class S		39,584		79,281		37,300		81,565		1,199,827		20,419		-		105,035
MassMutual Premier Focused International Fund, Class Z		5,796		12,420		7,248		10,968		142,477		2,282		-		5,224
MassMutual Premier High Yield Fund, Class Z		18,703		46,069		14,824		49,948		481,498		30,477		7,895		7,020
MassMutual Premier Inflation-Protected and Income Fund, Class Z		50,158		140,088		42,821		147,425		1,497,839		35,047		49,425		(40,707	)
MassMutual Premier International Bond Fund, Class S		22,481		19,012		41,493		-		-		-		4,045		(17,432	)
MassMutual Premier International Equity Fund, Class S		12,057		25,058		15,069		22,046		337,751		3,686		26,347		27,145
MassMutual Premier Money Market Fund, Class S		3,799		98,481		15,851		86,429		86,429		1		-		-

104

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2015 Fund (Continued)
MassMutual Premier Short-Duration Bond Fund, Class Z		50,899		198,496		58,275		191,120	$	1,981,918	$	42,792	$	-	$	(5,802	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		15,135		34,647		10,533		39,249		465,882		5,737		-		(794	)
MassMutual Select Blue Chip Growth Fund, Class S		10,190		20,256		11,761		18,685		316,527		79		18,546		34,294
MassMutual Select Diversified International Fund, Class S		25,592		49,452		31,485		43,559		336,273		7,441		-		28,270
MassMutual Select Diversified Value Fund, Class S		12,420		23,903		13,399		22,924		310,853		3,495		-		32,074
MassMutual Select Focused Value Fund, Class Z		11,060		24,591		11,234		24,417		569,904		3,167		53,905		47,314
MassMutual Select Fundamental Growth Fund, Class S		19,614		39,352		21,477		37,489		313,030		2,635		11,117		25,350
MassMutual Select Fundamental Value Fund, Class Z		13,056		27,164		14,205		26,015		353,808		6,180		24,735		33,980
MassMutual Select Growth Opportunities Fund, Class Z		12,541		25,300		14,332		23,509		268,710		133		18,030		26,784
MassMutual Select Large Cap Value Fund, Class S		12,192		24,924		13,901		23,215		220,080		5,215		10,843		(5,799	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		9,414		19,366		9,894		18,886		347,878		-		33,361		23,190
MassMutual Select Mid-Cap Value Fund, Class Z		19,118		33,435		23,856		28,697		421,267		4,957		-		49,386
MassMutual Select Overseas Fund, Class Z		55,335		110,475		57,336		108,474		981,689		19,461		-		79,657
MassMutual Select PIMCO Total Return Fund, Class Z		19,659		56,354		17,786		58,227		589,262		14,745		743		(3,786	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		5,531		11,219		7,030		9,720		184,866		-		26,507		24,497
MassMutual Select Small Cap Value Equity Fund, Class S		10,446		19,811		9,601		20,656		308,394		1,367		-		27,662
MassMutual Select Small Company Growth Fund, Class S		5,263		11,328		6,969		9,622		120,847		-		17,554		15,287
MassMutual Select Small Company Value Fund, Class Z		2,474		6,473		3,298		5,649		92,476		711		9,444		6,156
MassMutual Select Strategic Bond Fund, Class S		17,365		48,525		17,648		48,242		473,736		16,734		-		(3,688	)
MM MSCI EAFE International Index Fund, Class Z		27,735		69,789		23,441		74,083		1,000,864		27,394		31,095		52,156
MM Russell 2000 Small Cap Index Fund, Class Z		12,921		26,496		12,974		26,443		349,054		4,318		38,561		33,573
MM S&P Mid Cap Index Fund, Class Z		13,620		39,114		11,748		40,986		511,097		6,035		68,187		30,345
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		189,332		44,351		144,981		436,394		-		-		(7,183	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		63,549		38,578		102,127		-		-		-		-		(9,774	)
Oppenheimer Developing Markets Fund, Class I*		-		14,873		4,597		10,276		386,078		2,176		1,831		6,529
Oppenheimer Developing Markets Fund, Class Y*		2,922		1,865		4,787		-		-		-		-		6,913
Oppenheimer Global Real Estate Fund, Class I*		-		26,970		2,667		24,303		242,792		3,105		-		(1,436	)
Oppenheimer International Bond Fund, Class I*		-		122,833		14,736		108,097		656,151		6,211		2,573		(5,304	)
Oppenheimer Real Estate Fund, Class I*		-		19,516		8,872		10,644		247,994		3,786		34		(15,308	)
Oppenheimer Real Estate Fund, Class Y*		7,036		3,884		10,920		-		-		659		-		28,510
									$	20,393,794	$	390,562	$	661,263	$	706,062
RetireSMART 2020 Fund
MassMutual Premier Core Bond Fund, Class Z		2,741,093		1,722,442		552,043		3,911,492		42,635,262		1,426,442		-		(54,048	)
MassMutual Premier Disciplined Growth Fund, Class S		2,314,177		919,019		701,831		2,531,365		30,300,437		329,575		5,237,103		4,789,661
MassMutual Premier Disciplined Value Fund, Class S		2,252,881		430,793		645,884		2,037,790		29,975,888		517,937		-		3,126,460
MassMutual Premier Focused International Fund, Class Z		357,786		85,753		148,123		295,416		3,837,455		62,417		-		8,086
MassMutual Premier High Yield Fund, Class Z		1,471,892		691,786		644,821		1,518,857		14,641,786		939,837		243,464		688,237
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,837,709		1,131,963		600,554		2,369,118		24,070,236		572,608		807,532		204

105

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2020 Fund (Continued)
MassMutual Premier International Bond Fund, Class S		1,037,370		135,150		1,172,520		-	$	-	$	-	$	144,538	$	(633,013	)
MassMutual Premier International Equity Fund, Class S		746,990		181,214		334,562		593,642		9,094,596		100,752		720,259		605,048
MassMutual Premier Money Market Fund, Class S		118,547		939,326		210,323		847,550		847,550		39		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		1,727,543		1,861,988		662,780		2,926,751		30,350,412		665,560		-		(164,449	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		943,097		192,635		190,633		945,099		11,218,323		140,043		-		(816,619	)
MassMutual Select Blue Chip Growth Fund, Class S		766,518		183,643		276,245		673,916		11,416,131		3,321		678,163		1,458,916
MassMutual Select Diversified International Fund, Class S		1,605,140		282,800		713,378		1,174,562		9,067,615		205,697		-		938,606
MassMutual Select Diversified Value Fund, Class S		953,727		177,761		304,753		826,735		11,210,533		127,861		-		1,145,278
MassMutual Select Focused Value Fund, Class Z		569,957		197,335		224,847		542,445		12,660,666		71,337		1,241,215		1,254,292
MassMutual Select Fundamental Growth Fund, Class S		1,476,060		339,487		463,309		1,352,238		11,291,190		96,386		406,611		672,441
MassMutual Select Fundamental Value Fund, Class Z		984,289		265,005		311,174		938,120		12,758,427		225,994		904,561		910,759
MassMutual Select Growth Opportunities Fund, Class Z		945,048		223,612		320,803		847,857		9,691,010		5,571		667,642		609,358
MassMutual Select Large Cap Value Fund, Class S		894,901		232,378		289,888		837,391		7,938,468		190,971		397,436		(506,404	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		546,742		137,173		220,166		463,749		8,542,264		-		837,998		237,635
MassMutual Select Mid-Cap Value Fund, Class Z		1,108,062		176,612		580,383		704,291		10,338,996		123,907		-		1,122,506
MassMutual Select Overseas Fund, Class Z		3,477,755		639,974		1,197,160		2,920,569		26,431,146		624,321		-		888,411
MassMutual Select PIMCO Total Return Fund, Class Z		619,155		318,690		123,174		814,671		8,244,475		209,334		12,361		(6,127	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		344,383		99,635		190,541		253,477		4,821,138		-		707,405		638,184
MassMutual Select Small Cap Value Equity Fund, Class S		664,956		148,478		256,509		556,925		8,314,897		37,307		-		806,497
MassMutual Select Small Company Growth Fund, Class S		339,104		100,091		188,452		250,743		3,149,327		-		464,632		505,269
MassMutual Select Small Company Value Fund, Class Z		147,959		105,550		98,251		155,258		2,541,581		19,768		265,234		191,839
MassMutual Select Strategic Bond Fund, Class S		546,648		286,045		157,818		674,875		6,627,269		237,533		-		196,055
MM MSCI EAFE International Index Fund, Class Z		1,660,061		753,708		420,428		1,993,341		26,930,036		750,143		854,465		872,803
MM Russell 2000 Small Cap Index Fund, Class Z		783,868		251,933		340,097		695,704		9,183,291		115,617		1,036,587		689,945
MM S&P Mid Cap Index Fund, Class Z		740,035		499,889		233,756		1,006,168		12,546,918		150,374		1,699,442		528,592
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		5,039,095		1,274,499		3,764,596		11,331,435		-		-		(168,698	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		4,078,818		326,668		4,405,486		-		-		-		-		(782,725	)
Oppenheimer Developing Markets Fund, Class I*		-		377,213		71,676		305,537		11,479,039		64,153		53,997		95,307
Oppenheimer Developing Markets Fund, Class Y*		182,156		16,132		198,288		-		-		-		-		622,841
Oppenheimer Global Real Estate Fund, Class I*		-		718,904		44,015		674,889		6,742,145		93,610		-		(28,235	)
Oppenheimer International Bond Fund, Class I*		-		2,160,157		160,941		1,999,216		12,135,242		110,434		40,823		(46,772	)
Oppenheimer Real Estate Fund, Class I*		-		514,203		233,290		280,913		6,545,268		137,788		898		(403,354	)
Oppenheimer Real Estate Fund, Class Y*		447,492		12,322		459,814		-		-		28,255		-		2,995,911
									$	458,910,452	$	8,384,892	$	17,422,366	$	22,988,697
RetireSMART 2025 Fund
MassMutual Premier Core Bond Fund, Class Z		21,908		149,922		41,774		130,056	$	1,417,605	$	46,527	$	-	$	(9,608	)
MassMutual Premier Disciplined Growth Fund, Class S		32,706		152,150		33,997		150,859		1,805,783		19,283		306,409		92,595

106

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2025 Fund (Continued)
MassMutual Premier Disciplined Value Fund, Class S		31,853		120,821		31,181		121,493	$	1,787,161	$	30,310	$	-	$	96,998
MassMutual Premier Focused International Fund, Class Z		5,676		22,325		8,186		19,815		257,399		4,109		-		6,385
MassMutual Premier High Yield Fund, Class Z		25,481		114,212		21,509		118,184		1,139,295		71,865		18,617		12,659
MassMutual Premier Inflation-Protected and Income Fund, Class Z		16,215		92,232		15,664		92,783		942,670		21,971		30,984		(14,785	)
MassMutual Premier International Bond Fund, Class S		13,544		20,771		34,315		-		-		-		3,267		(11,901	)
MassMutual Premier International Equity Fund, Class S		11,811		44,992		17,045		39,758		609,099		6,624		47,355		34,970
MassMutual Premier Money Market Fund, Class S		300		14,702		1,582		13,420		13,420		-		-		-
MassMutual Premier Short-Duration Bond Fund, Class Z		15,570		149,364		56,947		107,987		1,119,829		24,091		-		(722	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		14,006		58,704		9,838		62,872		746,288		9,154		-		(2,394	)
MassMutual Select Blue Chip Growth Fund, Class S		12,318		47,446		13,943		45,821		776,213		168		45,447		46,440
MassMutual Select Diversified International Fund, Class S		25,229		89,348		35,693		78,884		608,983		13,368		-		32,324
MassMutual Select Diversified Value Fund, Class S		15,183		56,126		15,041		56,268		762,999		8,568		-		42,033
MassMutual Select Focused Value Fund, Class Z		7,413		32,110		9,469		30,054		701,472		3,895		65,337		43,514
MassMutual Select Fundamental Growth Fund, Class S		23,720		91,765		23,476		92,009		768,277		6,460		27,265		30,476
MassMutual Select Fundamental Value Fund, Class Z		15,818		63,753		15,704		63,867		868,596		15,160		60,681		42,328
MassMutual Select Growth Opportunities Fund, Class Z		15,182		59,744		17,264		57,662		659,076		282		43,679		33,149
MassMutual Select Large Cap Value Fund, Class S		14,585		58,419		15,993		57,011		540,462		12,782		26,555		(8,554	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		8,034		30,341		9,256		29,119		536,374		-		51,113		23,356
MassMutual Select Mid-Cap Value Fund, Class Z		16,304		52,169		24,225		44,248		649,565		7,618		-		47,876
MassMutual Select Overseas Fund, Class Z		54,523		200,160		58,895		195,788		1,771,880		31,037		-		89,118
MassMutual Select PIMCO Total Return Fund, Class Z		4,959		31,076		7,111		28,924		292,709		7,317		330		(1,126	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		5,749		21,630		8,673		18,706		355,792		-		50,745		31,268
MassMutual Select Small Cap Value Equity Fund, Class S		10,903		37,733		10,676		37,960		566,740		2,510		-		33,193
MassMutual Select Small Company Growth Fund, Class S		5,532		20,827		7,783		18,576		233,309		-		33,873		18,811
MassMutual Select Small Company Value Fund, Class Z		2,521		11,708		4,151		10,078		164,980		1,266		16,750		8,655
MassMutual Select Strategic Bond Fund, Class S		4,370		26,820		7,237		23,953		235,221		8,301		-		(690	)
MM MSCI EAFE International Index Fund, Class Z		24,637		125,921		16,981		133,577		1,804,623		49,255		55,782		39,908
MM Russell 2000 Small Cap Index Fund, Class Z		12,244		51,956		13,615		50,585		667,725		8,243		73,416		35,796
MM S&P Mid Cap Index Fund, Class Z		10,387		60,339		7,513		63,213		788,269		9,297		105,024		19,375
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		279,543		44,341		235,202		707,959		-		-		(7,219	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		60,266		48,473		108,739		-		-		-		-		(16,839	)
Oppenheimer Developing Markets Fund, Class I*		-		22,318		3,678		18,640		700,315		3,720		3,131		5,066
Oppenheimer Developing Markets Fund, Class Y*		2,708		2,193		4,901		-		-		-		-		7,200
Oppenheimer Global Real Estate Fund, Class I*		-		42,219		2,406		39,813		397,735		4,829		-		(1,393	)
Oppenheimer International Bond Fund, Class I*		-		142,513		11,320		131,193		796,343		7,611		3,601		(4,429	)
Oppenheimer Real Estate Fund, Class I*		-		28,816		10,193		18,623		433,906		5,263		57		(20,450	)
Oppenheimer Real Estate Fund, Class Y*		6,383		4,009		10,392		-		-		652		-		28,175
									$	26,628,072	$	441,536	$	1,069,418	$	801,558
RetireSMART 2030 Fund
MassMutual Premier Core Bond Fund, Class Z		950,791		772,771		310,526		1,413,036	$	15,402,096	$	514,540	$	-	$	(106,940	)
MassMutual Premier Disciplined Growth Fund, Class S		1,963,987		896,043		557,311		2,302,719		27,563,544		299,348		4,756,787		3,813,625
MassMutual Premier Disciplined Value Fund, Class S		1,912,297		458,147		516,689		1,853,755		27,268,741		470,433		-		2,730,921

107

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2030 Fund (Continued)
MassMutual Premier Focused International Fund, Class Z		371,846		107,187		144,697		334,336	$	4,343,021	$	70,530	$	-	$	7,616
MassMutual Premier High Yield Fund, Class Z		1,311,730		920,735		504,138		1,728,327		16,661,075		1,067,945		276,651		604,912
MassMutual Premier Inflation-Protected and Income Fund, Class Z		669,803		578,805		301,040		947,568		9,627,291		228,634		322,435		(42,263	)
MassMutual Premier International Bond Fund, Class S		682,403		127,824		810,227		-		-		-		100,030		(477,407	)
MassMutual Premier International Equity Fund, Class S		776,565		224,390		329,076		671,879		10,293,188		113,853		813,913		290,880
MassMutual Premier Short-Duration Bond Fund, Class Z		659,504		965,577		476,821		1,148,260		11,907,454		260,708		-		(65,088	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		910,052		202,414		179,275		933,191		11,076,983		138,070		-		(775,330	)
MassMutual Select Blue Chip Growth Fund, Class S		856,512		226,318		275,566		807,264		13,675,057		3,950		810,557		2,408,724
MassMutual Select Diversified International Fund, Class S		1,668,557		333,903		667,817		1,334,643		10,303,441		232,993		-		582,699
MassMutual Select Diversified Value Fund, Class S		1,065,676		222,547		297,804		990,419		13,430,079		152,828		-		1,377,068
MassMutual Select Focused Value Fund, Class Z		447,119		172,392		173,310		446,201		10,414,321		58,548		1,018,783		964,561
MassMutual Select Fundamental Growth Fund, Class S		1,649,367		406,786		436,234		1,619,919		13,526,324		115,206		486,010		667,932
MassMutual Select Fundamental Value Fund, Class Z		1,099,761		328,974		304,841		1,123,894		15,284,954		270,134		1,081,232		908,388
MassMutual Select Growth Opportunities Fund, Class Z		1,055,959		280,936		321,266		1,015,629		11,608,645		6,628		797,602		629,769
MassMutual Select Large Cap Value Fund, Class S		999,734		283,687		280,227		1,003,194		9,510,276		228,255		475,012		(352,975	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		515,660		136,857		177,131		475,386		8,756,605		-		856,877		170,915
MassMutual Select Mid-Cap Value Fund, Class Z		1,048,912		176,473		503,351		722,034		10,599,455		126,724		-		1,023,524
MassMutual Select Overseas Fund, Class Z		3,592,536		763,310		1,050,491		3,305,355		29,913,459		699,344		-		803,894
MassMutual Select PIMCO Total Return Fund, Class Z		208,559		134,796		43,873		299,482		3,030,759		76,775		4,588		(3,094	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		386,293		122,325		184,485		324,133		6,165,008		-		900,963		713,730
MassMutual Select Small Cap Value Equity Fund, Class S		736,159		191,296		248,166		679,289		10,141,781		45,415		-		808,028
MassMutual Select Small Company Growth Fund, Class S		371,257		112,043		162,621		320,679		4,027,722		-		592,723		467,013
MassMutual Select Small Company Value Fund, Class Z		165,938		110,523		92,208		184,253		3,016,218		23,432		315,410		200,236
MassMutual Select Strategic Bond Fund, Class S		189,688		147,195		88,793		248,090		2,436,248		87,118		-		48,334
MM MSCI EAFE International Index Fund, Class Z		1,711,125		821,570		279,659		2,253,036		30,438,511		845,790		963,278		659,776
MM Russell 2000 Small Cap Index Fund, Class Z		876,785		318,991		316,687		879,089		11,603,980		145,690		1,305,498		678,497
MM S&P Mid Cap Index Fund, Class Z		705,629		481,174		155,307		1,031,496		12,862,757		153,806		1,738,230		368,600
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		4,994,372		1,260,702		3,733,670		11,238,346		-		-		(168,124	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		3,842,209		498,067		4,340,276		-		-		-		-		(768,443	)
Oppenheimer Developing Markets Fund, Class I*		-		400,026		64,576		335,450		12,602,853		70,561		59,392		81,291
Oppenheimer Developing Markets Fund, Class Y*		175,580		16,122		191,702		-		-		-		-		611,960
Oppenheimer Global Real Estate Fund, Class I*		-		732,804		48,171		684,633		6,839,485		94,738		-		(30,003	)
Oppenheimer International Bond Fund, Class I*		-		1,681,244		100,120		1,581,124		9,597,423		90,067		34,570		(37,748	)
Oppenheimer Real Estate Fund, Class I*		-		502,620		215,420		287,200		6,691,767		139,551		915		(414,038	)
Oppenheimer Real Estate Fund, Class Y*		406,842		10,563		417,405		-		-		26,605		-		2,674,086
									$	411,858,867	$	6,858,219	$	17,711,456	$	21,055,526

108

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2035 Fund
MassMutual Premier Core Bond Fund, Class Z		12,565		61,900		12,648		61,817	$	673,806	$	22,235	$	-	$	(3,982	)
MassMutual Premier Disciplined Growth Fund, Class S		26,157		104,731		14,216		116,672		1,396,567		14,989		238,178		46,653
MassMutual Premier Disciplined Value Fund, Class S		25,465		80,922		12,441		93,946		1,381,939		23,558		-		44,212
MassMutual Premier Focused International Fund, Class Z		5,411		17,709		4,770		18,350		238,370		3,825		-		4,019
MassMutual Premier High Yield Fund, Class Z		14,584		61,051		7,916		67,719		652,813		41,378		10,719		4,983
MassMutual Premier Inflation-Protected and Income Fund, Class Z		7,036		33,672		3,624		37,084		376,776		8,832		12,455		(2,724	)
MassMutual Premier International Bond Fund, Class S		9,057		11,041		20,098		-		-		-		2,437		(7,376	)
MassMutual Premier International Equity Fund, Class S		11,248		36,098		10,484		36,862		564,733		6,173		44,125		21,613
MassMutual Premier Short-Duration Bond Fund, Class Z		7,177		68,975		24,423		51,729		536,431		11,602		-		(487	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		13,119		45,031		3,299		54,851		651,081		8,022		-		(5,790	)
MassMutual Select Blue Chip Growth Fund, Class S		13,292		42,659		8,259		47,692		807,905		157		47,482		31,824
MassMutual Select Diversified International Fund, Class S		23,806		70,648		21,214		73,240		565,412		12,385		-		19,103
MassMutual Select Diversified Value Fund, Class S		16,088		49,952		7,495		58,545		793,864		8,945		-		23,633
MassMutual Select Focused Value Fund, Class Z		6,351		22,124		4,293		24,182		564,411		3,146		52,180		20,963
MassMutual Select Fundamental Growth Fund, Class S		25,569		82,375		12,206		95,738		799,415		6,746		28,478		16,795
MassMutual Select Fundamental Value Fund, Class Z		17,057		57,770		8,377		66,450		903,714		15,833		63,375		25,417
MassMutual Select Growth Opportunities Fund, Class Z		16,365		53,667		10,022		60,010		685,912		263		45,273		19,300
MassMutual Select Large Cap Value Fund, Class S		16,094		52,949		9,733		59,310		562,257		13,340		27,698		(18,301	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		7,424		23,737		4,851		26,310		484,626		-		46,145		11,150
MassMutual Select Mid-Cap Value Fund, Class Z		15,113		39,958		15,093		39,978		586,872		6,894		-		32,017
MassMutual Select Overseas Fund, Class Z		51,170		159,191		28,941		181,420		1,641,847		25,787		-		41,790
MassMutual Select PIMCO Total Return Fund, Class Z		2,780		12,705		1,803		13,682		138,463		3,475		144		41
MassMutual Select Small Cap Growth Equity Fund, Class Z		5,703		18,487		5,638		18,552		352,863		-		50,338		20,298
MassMutual Select Small Cap Value Equity Fund, Class S		10,712		32,005		5,877		36,840		550,023		2,444		-		19,010
MassMutual Select Small Company Growth Fund, Class S		5,418		17,601		4,600		18,419		231,348		-		33,733		12,770
MassMutual Select Small Company Value Fund, Class Z		2,505		10,037		2,900		9,642		157,833		1,214		15,964		6,004
MassMutual Select Strategic Bond Fund, Class S		2,500		11,148		2,335		11,313		111,095		3,937		-		21
MM MSCI EAFE International Index Fund, Class Z		23,211		106,600		6,125		123,686		1,670,994		45,701		51,660		14,052
MM Russell 2000 Small Cap Index Fund, Class Z		12,114		45,840		8,094		49,860		658,150		8,146		72,403		18,614
MM S&P Mid Cap Index Fund, Class Z		9,776		50,642		3,310		57,108		712,137		8,428		95,192		7,438
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		219,287		17,686		201,601		606,819		-		-		(2,520	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		53,902		46,589		100,491		-		-		-		-		(16,457	)
Oppenheimer Developing Markets Fund, Class I*		-		18,578		1,330		17,248		648,011		3,485		2,934		1,946
Oppenheimer Developing Markets Fund, Class Y*		2,534		2,297		4,831		-		-		-		-		6,668
Oppenheimer Global Real Estate Fund, Class I*		-		36,420		978		35,442		354,064		4,274		-		(753	)
Oppenheimer International Bond Fund, Class I*		-		84,542		6,443		78,099		474,064		4,298		1,773		(1,367	)
Oppenheimer Real Estate Fund, Class I*		-		23,242		7,113		16,129		375,813		4,624		50		(15,406	)
Oppenheimer Real Estate Fund, Class Y*		5,749		4,191		9,940		-		-		566		-		27,478
									$	21,910,428	$	324,702	$	942,736	$	422,649
RetireSMART 2040 Fund
MassMutual Premier Core Bond Fund, Class Z		578,478		366,936		187,368		758,046	$	8,262,702	$	275,230	$	-	$	(20,686	)
MassMutual Premier Disciplined Growth Fund, Class S		1,109,210		561,880		354,661		1,316,429		15,757,658		170,639		2,711,539		2,076,115
MassMutual Premier Disciplined Value Fund, Class S		1,080,147		309,016		329,355		1,059,808		15,589,775		268,166		-		2,039,809

109

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2040 Fund (Continued)
MassMutual Premier Focused International Fund, Class Z		248,000		77,965		100,338		225,627	$	2,930,899	$	47,458	$	-	$	6,046
MassMutual Premier High Yield Fund, Class Z		560,891		417,713		266,601		712,003		6,863,706		438,768		113,663		258,928
MassMutual Premier Inflation-Protected and Income Fund, Class Z		263,701		212,119		117,615		358,205		3,639,367		86,151		121,495		(88,935	)
MassMutual Premier International Bond Fund, Class S		386,026		51,887		437,913		-		-		-		50,267		(276,278	)
MassMutual Premier International Equity Fund, Class S		517,923		158,865		223,406		453,382		6,945,811		76,606		547,641		137,520
MassMutual Premier Short-Duration Bond Fund, Class Z		286,953		553,298		239,681		600,570		6,227,910		135,948		-		(41,871	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		624,485		152,054		146,945		629,594		7,473,286		92,872		-		(628,840	)
MassMutual Select Blue Chip Growth Fund, Class S		660,911		195,238		226,017		630,132		10,674,433		3,028		632,019		1,809,848
MassMutual Select Diversified International Fund, Class S		1,112,175		250,605		460,592		902,188		6,964,888		157,125		-		96,326
MassMutual Select Diversified Value Fund, Class S		821,469		194,065		242,393		773,141		10,483,798		119,163		-		1,191,395
MassMutual Select Focused Value Fund, Class Z		291,773		107,646		105,315		294,104		6,864,388		38,548		669,176		564,066
MassMutual Select Fundamental Growth Fund, Class S		1,272,673		356,565		364,717		1,264,521		10,558,747		89,830		378,971		532,835
MassMutual Select Fundamental Value Fund, Class Z		848,611		278,993		250,261		877,343		11,931,868		210,643		843,118		727,150
MassMutual Select Growth Opportunities Fund, Class Z		814,630		239,889		261,730		792,789		9,061,583		5,081		620,908		489,830
MassMutual Select Large Cap Value Fund, Class S		772,482		236,958		226,300		783,140		7,424,169		177,961		370,304		(317,076	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		347,844		101,553		122,732		326,665		6,017,167		-		587,604		141,629
MassMutual Select Mid-Cap Value Fund, Class Z		709,134		134,298		347,260		496,172		7,283,812		86,946		-		702,283
MassMutual Select Overseas Fund, Class Z		2,385,278		593,596		748,274		2,230,600		20,186,931		463,606		-		569,809
MassMutual Select PIMCO Total Return Fund, Class Z		127,015		69,481		35,940		160,556		1,624,826		41,110		2,441		2,140
MassMutual Select Small Cap Growth Equity Fund, Class Z		263,268		91,109		126,519		227,858		4,333,864		-		631,992		509,293
MassMutual Select Small Cap Value Equity Fund, Class S		502,739		148,436		179,784		471,391		7,037,862		31,485		-		582,608
MassMutual Select Small Company Growth Fund, Class S		255,212		83,912		113,603		225,521		2,832,545		-		416,352		309,419
MassMutual Select Small Company Value Fund, Class Z		113,260		77,587		64,016		126,831		2,076,215		16,116		216,888		153,749
MassMutual Select Strategic Bond Fund, Class S		115,413		73,566		55,982		132,997		1,306,034		46,647		-		29,671
MM MSCI EAFE International Index Fund, Class Z		1,148,797		572,922		202,152		1,519,567		20,529,350		569,625		648,510		454,965
MM Russell 2000 Small Cap Index Fund, Class Z		598,620		245,717		228,025		616,312		8,135,320		101,991		913,468		479,664
MM S&P Mid Cap Index Fund, Class Z		481,310		335,722		108,199		708,833		8,839,145		105,568		1,193,032		248,108
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		3,174,508		770,072		2,404,436		7,237,354		-		-		(107,071	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		2,393,707		360,696		2,754,403		-		-		-		-		(475,477	)
Oppenheimer Developing Markets Fund, Class I*		-		269,383		43,507		225,876		8,486,158		47,370		39,871		52,444
Oppenheimer Developing Markets Fund, Class Y*		120,147		13,647		133,794		-		-		-		-		398,858
Oppenheimer Global Real Estate Fund, Class I*		-		480,057		30,911		449,146		4,486,966		62,247		-		(17,065	)
Oppenheimer International Bond Fund, Class I*		-		870,975		30,713		840,262		5,100,393		47,835		18,452		(13,635	)
Oppenheimer Real Estate Fund, Class I*		-		340,553		150,631		189,922		4,425,180		92,446		602		(266,286	)
Oppenheimer Real Estate Fund, Class Y*		264,049		22,421		286,470		-		-		18,078		-		1,644,780
									$	267,594,110	$	4,124,287	$	11,728,313	$	13,956,068

110

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2045 Fund
MassMutual Premier Core Bond Fund, Class Z		3,105		14,074		2,764		14,415	$	157,126	$	5,153	$	-	$	(779	)
MassMutual Premier Disciplined Growth Fund, Class S		14,739		48,290		8,863		54,166		648,369		6,920		109,956		27,005
MassMutual Premier Disciplined Value Fund, Class S		14,353		37,321		8,055		43,619		641,638		10,876		-		27,403
MassMutual Premier Focused International Fund, Class Z		3,427		9,303		2,898		9,832		127,721		2,038		-		2,446
MassMutual Premier High Yield Fund, Class Z		2,758		12,066		2,236		12,588		121,350		7,650		1,982		660
MassMutual Premier Inflation-Protected and Income Fund, Class Z		1,252		6,166		1,302		6,116		62,136		1,447		2,040		(898	)
MassMutual Premier International Bond Fund, Class S		2,111		2834		4,945		-		-		-		506		(1,786	)
MassMutual Premier International Equity Fund, Class S		7,133		19,109		6,486		19,756		302,654		3,289		23,514		12,939
MassMutual Premier Short-Duration Bond Fund, Class Z		1,465		14,964		4,758		11,671		121,030		2,602		-		(68	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		8,556		23,321		3,133		28,744		341,193		4,179		-		(4,250	)
MassMutual Select Blue Chip Growth Fund, Class S		9,334		25,090		5,872		28,552		483,676		98		28,268		21,753
MassMutual Select Diversified International Fund, Class S		15,184		37,101		12,951		39,334		303,661		6,632		-		11,639
MassMutual Select Diversified Value Fund, Class S		11,423		29,311		5,678		35,056		475,354		5,327		-		17,309
MassMutual Select Focused Value Fund, Class Z		3,986		11,307		2,577		12,716		296,789		1,645		27,446		11,408
MassMutual Select Fundamental Growth Fund, Class S		17,959		48,265		8,894		57,330		478,707		4,017		16,957		11,658
MassMutual Select Fundamental Value Fund, Class Z		11,985		34,058		6,244		39,799		541,273		9,429		37,742		18,332
MassMutual Select Growth Opportunities Fund, Class Z		11,501		31,336		6,904		35,933		410,712		165		27,054		12,258
MassMutual Select Large Cap Value Fund, Class S		11,149		31,335		6,957		35,527		336,799		7,947		16,505		(13,774	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		4,782		12,669		3,147		14,304		263,476		-		25,003		6,620
MassMutual Select Mid-Cap Value Fund, Class Z		9,752		21,486		9,499		21,739		319,135		3,731		-		19,396
MassMutual Select Overseas Fund, Class Z		32,534		82,923		18,215		97,242		880,038		14,531		-		25,673
MassMutual Select PIMCO Total Return Fund, Class Z		726		2,993		583		3,136		31,738		793		33		(51	)
MassMutual Select Small Cap Growth Equity Fund, Class Z		3,682		10,146		3,623		10,205		194,096		-		27,569		12,366
MassMutual Select Small Cap Value Equity Fund, Class S		6,729		17,711		4,129		20,311		303,244		1,340		-		12,476
MassMutual Select Small Company Growth Fund, Class S		3,414		9,613		2,893		10,134		127,284		-		18,445		7,586
MassMutual Select Small Company Value Fund, Class Z		1,618		5,618		1,914		5,322		87,116		667		8,806		3,898
MassMutual Select Strategic Bond Fund, Class S		618		3,019		1,036		2,601		25,541		900		-		45
MM MSCI EAFE International Index Fund, Class Z		15,195		55,935		4,879		66,251		895,051		24,359		27,560		9,587
MM Russell 2000 Small Cap Index Fund, Class Z		7,977		25,183		5,723		27,437		362,173		4,459		39,669		11,504
MM S&P Mid Cap Index Fund, Class Z		6,452		27,356		2,749		31,059		387,309		4,558		51,489		5,279
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		118,414		14,551		103,863		312,628		-		-		(1,569	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		31,931		30,410		62,341		-		-		-		-		(10,618	)
Oppenheimer Developing Markets Fund, Class I*		-		10,446		1,007		9,439		354,633		1,921		1,617		1,090
Oppenheimer Developing Markets Fund, Class Y*		1,650		1,557		3,207		-		-		-		-		4,231
Oppenheimer Global Real Estate Fund, Class I*		-		18,969		337		18,632		186,133		2,309		-		(215	)
Oppenheimer International Bond Fund, Class I*		-		18,185		395		17,790		107,984		988		387		(182	)
Oppenheimer Real Estate Fund, Class I*		-		12,697		4,204		8,493		197,883		2,750		26		(7,749	)
Oppenheimer Real Estate Fund, Class Y*		3,518		3,100		6,618		-		-		407		-		18,509
									$	10,885,650	$	143,127	$	492,574	$	271,131
RetireSMART 2050 Fund
MassMutual Premier Core Bond Fund, Class Z		52,655		70,814		31,455		92,014	$	1,002,954	$	32,627	$	-	$	(4,591	)
MassMutual Premier Disciplined Growth Fund, Class S		247,804		253,686		96,126		405,364		4,852,209		51,379		816,430		346,819
MassMutual Premier Disciplined Value Fund, Class S		241,377		175,674		90,637		326,414		4,801,555		80,743		-		350,495
MassMutual Premier Focused International Fund, Class Z		57,439		44,681		28,561		73,559		955,533		15,121		-		33,403

111

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2050 Fund (Continued)
MassMutual Premier High Yield Fund, Class Z		47,307		73,105		38,246		82,166	$	792,077	$	49,586	$	12,845	$	9,431
MassMutual Premier Inflation-Protected and Income Fund, Class Z		21,695		36,878		17,911		40,662		413,127		9,542		13,456		(17,055	)
MassMutual Premier International Bond Fund, Class S		35,052		9,925		44,977		-		-		-		4,318		(22,932	)
MassMutual Premier International Equity Fund, Class S		119,994		88,674		60,928		147,740		2,263,380		24,403		174,456		177,788
MassMutual Premier Short-Duration Bond Fund, Class Z		24,733		90,300		39,837		75,196		779,779		16,633		-		(2,058	)
MassMutual Premier Strategic Emerging Markets Fund, Class Z		145,462		105,073		41,127		209,408		2,485,667		30,189		-		(15,712	)
MassMutual Select Blue Chip Growth Fund, Class S		157,302		120,893		64,446		213,749		3,620,914		930		209,433		280,273
MassMutual Select Diversified International Fund, Class S		257,405		173,528		136,147		294,786		2,275,747		49,865		-		161,554
MassMutual Select Diversified Value Fund, Class S		194,907		134,868		67,409		262,366		3,557,681		39,476		-		240,532
MassMutual Select Focused Value Fund, Class Z		67,319		56,324		28,504		95,139		2,220,555		12,178		209,321		157,830
MassMutual Select Fundamental Growth Fund, Class S		302,908		229,558		103,408		429,058		3,582,632		29,763		125,578		159,915
MassMutual Select Fundamental Value Fund, Class Z		202,005		167,211		71,462		297,754		4,049,450		69,798		279,372		246,756
MassMutual Select Growth Opportunities Fund, Class Z		193,869		150,219		75,049		269,039		3,075,115		1,561		204,359		156,572
MassMutual Select Large Cap Value Fund, Class S		184,810		145,170		64,174		265,806		2,519,843		58,933		122,567		(109,940	)
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		80,294		60,973		34,234		107,033		1,971,555		-		187,275		98,736
MassMutual Select Mid-Cap Value Fund, Class Z		164,097		94,340		95,829		162,608		2,387,083		27,768		-		210,296
MassMutual Select Overseas Fund, Class Z		551,517		389,890		214,142		727,265		6,581,752		137,273		-		367,612
MassMutual Select PIMCO Total Return Fund, Class Z		12,329		15,000		7,094		20,235		204,778		5,056		281		673
MassMutual Select Small Cap Growth Equity Fund, Class Z		61,538		49,093		35,003		75,628		1,438,442		-		203,828		140,470
MassMutual Select Small Cap Value Equity Fund, Class S		112,758		88,221		47,105		153,874		2,297,338		10,062		-		153,880
MassMutual Select Small Company Growth Fund, Class S		57,201		47,182		29,435		74,948		941,349		-		134,813		85,840
MassMutual Select Small Company Value Fund, Class Z		26,708		32,338		18,070		40,976		670,777		5,109		68,435		47,558
MassMutual Select Strategic Bond Fund, Class S		10,533		17,898		11,665		16,766		164,641		5,738		-		72
MM MSCI EAFE International Index Fund, Class Z		283,322		284,874		73,077		495,119		6,689,055		180,849		205,573		160,326
MM Russell 2000 Small Cap Index Fund, Class Z		149,600		121,352		67,177		203,775		2,689,829		32,851		293,715		145,942
MM S&P Mid Cap Index Fund, Class Z		120,915		151,161		39,740		232,336		2,897,232		33,770		381,599		94,597
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		978,052		204,771		773,281		2,327,577		-		-		(36,136	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y*		542,646		148,475		691,121		-		-		-		-		(77,482	)
Oppenheimer Developing Markets Fund, Class I*		-		85,890		13,575		72,315		2,716,886		14,746		12,412		16,978
Oppenheimer Developing Markets Fund, Class Y*		27,979		6,559		34,538		-		-		-		-		95,720
Oppenheimer Global Real Estate Fund, Class I*		-		155,158		12,304		142,854		1,427,107		18,787		-		(7,262	)
Oppenheimer International Bond Fund, Class I*		-		119,536		7,246		112,290		681,599		6,613		2,618		(3,264	)
Oppenheimer Real Estate Fund, Class I*		-		105,809		43,411		62,398		1,453,879		26,571		191		(85,784	)
Oppenheimer Real Estate Fund, Class Y*		60,307		13,020		73,327		-		-		4,571		-		247,262
									$	80,789,097	$	1,082,491	$	3,662,875	$	3,805,114
RetireSMART 2055**
MassMutual Premier Core Bond Fund, Class Z		-		1,340		27		1,313	$	14,316	$	478	$	-	$	6
MassMutual Premier Disciplined Growth Fund, Class S		-		5,687		188		5,499		65,818		714		11,351		157
MassMutual Premier Disciplined Value Fund, Class S		-		4,569		142		4,427		65,120		1,123		-		93

112

Notes to Financial Statements (Continued)

	Number of Shares Held as of 12/31/12		Purchases		Sales		Number of Shares Held as of 12/31/13		Value as of 12/31/13		Dividend Income		Realized Gains Distributions		Net Realized Gain (Loss)
RetireSMART 2055** (Continued)
MassMutual Premier Focused International Fund, Class Z		-		1,006		7		999	$	12,973	$	211	$	-	$	2
MassMutual Premier High Yield Fund, Class Z		-		1,130		7		1,123		10,826		693		180		2
MassMutual Premier Inflation-Protected and Income Fund, Class Z		-		565		13		552		5,611		133		188		2
MassMutual Premier International Bond Fund, Class S		-		697		697		-		-		-		108		134
MassMutual Premier International Equity Fund, Class S		-		2,023		19		2,004		30,697		339		2,426		4
MassMutual Premier Short-Duration Bond Fund, Class Z		-		1,182		167		1,015		10,524		230		-		5
MassMutual Premier Strategic Emerging Markets Fund, Class Z		-		2,739		20		2,719		32,279		402		-		1
MassMutual Select Blue Chip Growth Fund, Class S		-		2,999		102		2,897		49,071		-		2,911		107
MassMutual Select Diversified International Fund, Class S		-		4,069		80		3,989		30,794		648		-		24
MassMutual Select Diversified Value Fund, Class S		-		3,667		108		3,559		48,255		548		-		75
MassMutual Select Focused Value Fund, Class Z		-		1,304		12		1,292		30,147		170		2,522		11
MassMutual Select Fundamental Growth Fund, Class S		-		5,931		111		5,820		48,596		413		1,748		43
MassMutual Select Fundamental Value Fund, Class Z		-		4,124		88		4,036		54,889		971		3,886		46
MassMutual Select Growth Opportunities Fund, Class Z		-		3,796		148		3,648		41,702		-		2,590		99
MassMutual Select Large Cap Value Fund, Class S		-		3,694		94		3,600		34,128		812		1,679		47
MassMutual Select Mid Cap Growth Equity II Fund, Class Z		-		1,466		14		1,452		26,745		-		2,469		10
MassMutual Select Mid-Cap Value Fund, Class Z		-		2,244		37		2,207		32,402		377		-		22
MassMutual Select Overseas Fund, Class Z		-		10,031		176		9,855		89,192		-		-		30
MassMutual Select PIMCO Total Return Fund, Class Z		-		277		2		275		2,787		71		-		1
MassMutual Select Small Cap Growth Equity Fund, Class Z		-		1,110		92		1,018		19,363		-		2,707		83
MassMutual Select Small Cap Value Equity Fund, Class S		-		2,119		14		2,105		31,433		141		-		12
MassMutual Select Small Company Growth Fund, Class S		-		1,095		91		1,004		12,613		-		1,858		43
MassMutual Select Small Company Value Fund, Class Z		-		569		3		566		9,265		71		878		2
MassMutual Select Strategic Bond Fund, Class S		-		233		1		232		2,275		81		-		-
MM MSCI EAFE International Index Fund, Class Z		-		6,876		167		6,709		90,642		2,466		2,742		96
MM Russell 2000 Small Cap Index Fund, Class Z		-		2,955		205		2,750		36,300		449		3,923		165
MM S&P Mid Cap Index Fund, Class Z		-		3,199		54		3,145		39,214		467		5,267		36
Oppenheimer Commodity Strategy Total Return Fund, Class I*		-		10,961		502		10,459		31,480		-		-		(8	)
Oppenheimer Developing Markets Fund, Class I*		-		1,034		18		1,016		38,190		213		179		18
Oppenheimer Global Real Estate Fund, Class I*		-		1,987		8		1,979		19,768		231		-		-
Oppenheimer International Bond Fund, Class I*		-		1,341		10		1,331		8,082		60		6		1
Oppenheimer Real Estate Fund, Class I*		-		1,169		338		831		19,362		190		3		(24	)
									$	1,094,859	$	12,702	$	49,621	$	1,345

* Fund advised by OFI Global Asset Management, Inc.

** Fund commenced operations on September 17, 2013.

8. Indemnifications

Under the Funds’ organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Funds, and shareholders are indemnified against personal liability for obligations of the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

113

Notes to Financial Statements (Continued)

9. New Accounting Pronouncements

On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the financial statements.

10. Subsequent Events

In preparation of these financial statements management has evaluated the events and transactions subsequent to December 31, 2013, through the date when the financial statements were issued, and determined that there are no material events or transactions that would require adjustments to or disclosures in the Funds’ financial statements.

114

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of the MassMutual Select Funds and Shareholders of MassMutual RetireSMART Conservative Fund, MassMutual RetireSMART Moderate Fund, MassMutual RetireSMART Moderate Growth Fund, MassMutual RetireSMART Growth Fund, MassMutual RetireSMART In Retirement Fund, MassMutual RetireSMART 2010 Fund, MassMutual RetireSMART 2015 Fund, MassMutual RetireSMART 2020 Fund, MassMutual RetireSMART 2025 Fund, MassMutual RetireSMART 2030 Fund, MassMutual RetireSMART 2035 Fund, MassMutual RetireSMART 2040 Fund, MassMutual RetireSMART 2045 Fund, MassMutual RetireSMART 2050 Fund, and MassMutual RetireSMART 2055 Fund (collectively, the “Funds”):

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Funds as of December 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the transfer agents; where replies were not received from transfer agents, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

February 28, 2014

115

Trustees and Officers (Unaudited)

The following table lists the Trust’s Trustees and Officers as of December 31, 2013; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Select Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, CT 06082, Attention: Retirement Services Marketing.

Disinterested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Richard H. Ayers Age: 71	Chairman Trustee	Since 2010 Since 1996	Retired.	92	Director (2008-2011), Celera Corporation; Director (1996-2008), Applera Corporation; Chairman (since 2010), Trustee (since 1999), MML Series Investment Fund (open-end investment company); Chairman and Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairman and Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Allan W. Blair Age: 65	Trustee	Since 2003	President and Chief Executive Officer (since 1996), Economic Development Council of Western Massachusetts; President and Chief Executive Officer (since 1984), Westover Metropolitan Development Corporation.	92	Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Nabil N. El-Hage Age: 55	Trustee	Since 2012	Consultant (since 2010); Chairman (since 2011), Academy of Executive Education, LLC; Senior Associate Dean for External Relations (2009-2010), Thomas Henry Carroll Ford Foundation Adjunct Professor of Business Administration (2009-2010), Professor of Management Practice (2005-2009), Harvard Business School.	92	Director (2007-2010), Virtual Radiologic Corporation; Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company).
Maria D. Furman Age: 59	Trustee	Since 2012	Retired.	92	Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).

116

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
R. Alan Hunter, Jr. Age: 67	Trustee	Since 2003	Retired.	92	Director (since 2007), Actuant Corporation; Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
F. William Marshall, Jr. Age: 71	Trustee	Since 1996	Retired; Consultant (1999-2009).	131***	Trustee (since 2000), Denver Board – Oppenheimer Funds; Trustee (since 1996), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
C. Ann Merrifield Age: 62	Trustee	Since 2012	President and Chief Executive Officer (since 2012), PathoGenetix; Senior Vice President, Genzyme Business Excellence Initiative (2009-2011), President, Biosurgery (2003-2009), Genzyme Corporation.	92	Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
Susan B. Sweeney Age: 61	Trustee	Since 2009	Senior Vice President and Chief Investment Officer (since 2010), Selective Insurance Group (property and casualty company); Senior Managing Director (2008-2010), Ironwood Capital (private equity firm).	94^	Trustee (since 2012), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2012), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

117

Trustees and Officers (Unaudited) (Continued)

Interested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Robert E. Joyal^^ Age: 68	Trustee	Since 2003	Retired.	94^	Director (since 2013) Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc.; Director (since 2006), Jefferies Group, Inc. (investment bank); Director (2007-2011), Scottish Re Group Ltd.; Director (2003-2010), Alabama Aircraft Industries, Inc.; Trustee (since 2003), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2003), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Elaine A. Sarsynski^^^ Age: 58	Trustee	Since 2008	Executive Vice President (since 2008), MassMutual Retirement Services Division, MassMutual; Chairman (since 2006), MassMutual International LLC.	92	Director (since 2012), Horizon Technology Finance Management LLC; Trustee (since 2008), MML Series Investment Fund (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MML Series Investment Fund II (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MassMutual Premier Funds (open-end investment company).

118

Trustees and Officers (Unaudited) (Continued)

Principal Officers who are Not Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Michael C. Eldredge Age: 49	Vice President	Since 2009	Vice President (since 2008), MassMutual; Vice President (2005-2008), ING; Vice President (since 2009), MML Series Investment Fund (open-end investment company); Vice President (since 2009), MML Series Investment Fund II (open-end investment company); Vice President (since 2009), MassMutual Premier Funds (open-end investment company).	92
Andrew M. Goldberg Age: 47	Vice President, Secretary, and Chief Legal Officer Assistant Secretary	Since 2008 (2001- 2008)	Assistant Vice President and Counsel (since 2004), MassMutual; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company).	92
Nicholas H. Palmerino Age: 48	Chief Financial Officer and Treasurer	Since 2006	Assistant Vice President (since 2006), MassMutual; Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MassMutual Premier Funds (open-end investment company).	92
Philip S. Wellman Age: 49	Vice President and Chief Compliance Officer	Since 2007	Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (since 2008), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2007-2008), MassMutual; Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company).	92
Eric H. Wietsma Age: 47	President	Since 2008	Senior Vice President (since 2010), Corporate Vice President (2007-2010), MassMutual; Vice President (since 2006), MML Series Investment Fund (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company); President (since 2008) Vice President (2006-2008), MassMutual Premier Funds (open-end investment company).	92
	Vice President	(2006- 2008)

* The address of each Trustee and Principal Officer is the same as that for the Trust; 100 Bright Meadow Blvd., Enfield CT 06082.

** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-two years.

The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified.

*** Denver Board – Oppenheimer Funds is deemed to be part of the Fund Complex because it is managed by OppenheimerFunds, Inc., an indirect subsidiary of MassMutual.

^ Babson Capital Participation Investors and Babson Capital Corporate Investors are deemed to be a part of the Fund Complex because they are managed by Babson Capital Management LLC, an indirect subsidiary of MassMutual.

^^ Mr. Joyal is an “Interested Person,” as that term is defined in the 1940 Act, through his position as a director of Jefferies Group, Inc., a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MassMutual or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MassMutual has brokerage placement discretion.

^^^ Ms. Sarsynski is an Interested Person through her employment with MassMutual.

# The President, Treasurer, and Secretary are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each other officer shall hold office at the pleasure of the Trustees.

119

Federal Tax Information (Unaudited)

For corporate shareholders, a portion of the ordinary dividends paid during the Fund(s)’ year ended December 31, 2013, qualified for the dividends received deduction, as follows:

	Dividends Received Deductions
RetireSMART Conservative Fund		18.78%
RetireSMART Moderate Fund		34.01%
RetireSMART Moderate Growth Fund		48.02%
RetireSMART Growth Fund		75.99%
RetireSMART In Retirement Fund		27.26%
RetireSMART 2010 Fund		39.33%
RetireSMART 2015 Fund		19.16%
RetireSMART 2020 Fund		88.95%
RetireSMART 2025 Fund		38.11%
RetireSMART 2030 Fund		95.08%
RetireSMART 2035 Fund		61.69%
RetireSMART 2040 Fund		93.28%
RetireSMART 2045 Fund		70.17%
RetireSMART 2050 Fund		64.02%
RetireSMART 2055 Fund		90.29%

For the year ended December 31, 2013, the following Fund(s) earned the following foreign sources of income:

	Amount
RetireSMART Conservative Fund	$	320,259
RetireSMART Moderate Fund		1,215,907
RetireSMART Moderate Growth Fund		1,400,749
RetireSMART Growth Fund		481,755
RetireSMART In Retirement Fund		152,724
RetireSMART 2010 Fund		265,673
RetireSMART 2015 Fund		56,164
RetireSMART 2020 Fund		1,559,310
RetireSMART 2025 Fund		96,558
RetireSMART 2030 Fund		1,720,082
RetireSMART 2035 Fund		87,050
RetireSMART 2040 Fund		1,154,000
RetireSMART 2045 Fund		46,687
RetireSMART 2050 Fund		362,260
RetireSMART 2055 Fund		3,849

120

Federal Tax Information (Unaudited) (Continued)

Under Section 854(b)(2) of the Code, the Fund(s) hereby designate the following maximum amounts as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended December 31, 2013:

	Qualified Dividend Income
RetireSMART Conservative Fund		1,699,298
RetireSMART Moderate Fund		7,006,568
RetireSMART Moderate Growth Fund		8,166,438
RetireSMART Growth Fund		2,967,198
RetireSMART In Retirement Fund		806,437
RetireSMART 2010 Fund		1,366,060
RetireSMART 2015 Fund		317,343
RetireSMART 2020 Fund		7,654,482
RetireSMART 2025 Fund		579,559
RetireSMART 2030 Fund		7,710,286
RetireSMART 2035 Fund		544,149
RetireSMART 2040 Fund		5,629,139
RetireSMART 2045 Fund		301,472
RetireSMART 2050 Fund		2,262,677
RetireSMART 2055 Fund		25,419

121

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that each Fund’s investment adviser use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission’s SEC’s website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s website at http://www.sec.gov.

Quarterly Reporting

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meeting in August 2013, the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust or MassMutual (the “Independent Trustees”), approved the advisory agreement for one new series of the Trust, the RetireSMART 2055 Fund (the “New Fund”), subject to approval by the shareholders of the New Fund of the advisory agreement. In preparation for the meeting, the Trustees requested, and MassMutual provided in advance, certain materials relevant to the consideration of the advisory agreement (the “Materials”). In all of their deliberations, the Trustees were advised by independent counsel.

In reviewing and approving the advisory agreement, the Trustees considered the Materials and information discussed with representatives of MassMutual at the meeting relating to MassMutual and the nature, scope, and quality of services MassMutual would provide to the New Fund. The Trustees considered a number of factors they believed to be relevant to the interests of shareholders of the New Fund including: (i) the financial condition, stability, and business strategy of MassMutual; (ii) the capabilities of MassMutual with respect to regulatory compliance and its ability to monitor compliance with the investment policies of the New Fund; (iii) MassMutual’s ability to provide investment oversight and administrative and shareholder services to the New Fund; (iv) the experience and qualifications of the personnel of MassMutual that perform, or oversee the performance of, the services provided to the New Fund and the needs of the New Fund for administrative and shareholder services; and (v) the proposed advisory fee for the New Fund and comparative information regarding fees paid by peer funds.

The Trustees also reviewed and considered information included in the Materials, or discussed at the meeting, concerning possible economies of scale and potential profitability of MassMutual’s advisory relationship with the New Fund. The discussions included consideration of the intangible benefits derived by MassMutual and its affiliates resulting from their relationships with the New Fund and the so-called “fallout benefits” to MassMutual, such as any reputational value derived from serving as investment adviser to the New Fund.

Prior to the votes being taken to approve the advisory agreement, the Independent Trustees met separately in executive session to discuss the appropriateness of the contract. The Independent Trustees weighed the foregoing matters in light of the advice given to them by their independent legal counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent Trustees, did not identify any single matter as all-important or controlling. The foregoing summary does not detail all of the matters considered.

Based on the foregoing, the Trustees concluded that: (i) overall, they were satisfied with the nature, extent, and quality of services expected to be provided under the advisory agreement, including the anticipated level of MassMutual’s oversight of the New Fund; (ii) MassMutual’s projected level of profitability from its relationship with the New Fund was not excessive and the advisory fee amount under the advisory agreement and the New Fund’s total expenses are fair and reasonable; (iii) the investment processes, research capabilities, and philosophies of MassMutual would be well suited to the New Fund given its investment objective and

122

Other Information (Unaudited) (Continued)

policies; and (iv) the terms of the advisory agreement were fair and reasonable with respect to the New Fund and were in the best interests of the New Fund’s shareholders.

The advisory agreement became effective on September 16, 2013.

At their meeting in November 2013, the Contract Committee (the “Committee”) and the Trustees, including the Independent Trustees, reviewed and approved a proposal to eliminate the management fee for each Fund. In arriving at their decision, the Trustees considered materials provided by MassMutual, including revised profitability schedules for each Fund.

The amendments to the management agreements for each Fund are expected to become effective on April 1, 2014.

123

Other Information (Unaudited) (Continued)

Fund Expenses December 31, 2013

Expense Examples:

The following information is in regards to expenses for the six months ended December 31, 2013:

As a shareholder of the Funds, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2013.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
RetireSMART Conservative Fund
Class S	$	1,000		0.16	%	$	1,053.50	$	0.84	$	1,024.70	$	0.83
Class Y		1,000		0.19	%		1,053.50		0.99		1,024.50		0.98
Class L		1,000		0.28	%		1,053.90		1.47		1,024.10		1.44
Class A		1,000		0.53	%		1,051.90		2.77		1,022.80		2.73
RetireSMART Moderate Fund
Class S		1,000		0.17	%		1,099.50		0.91		1,024.60		0.88
Class Y		1,000		0.21	%		1,099.20		1.12		1,024.40		1.08
Class L		1,000		0.29	%		1,098.40		1.55		1,024.00		1.50
Class A		1,000		0.54	%		1,097.20		2.89		1,022.70		2.78

124

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
RetireSMART Moderate Growth Fund
Class S	$	1,000		0.20	%	$	1,139.60	$	1.09	$	1,024.50	$	1.03
Class Y		1,000		0.23	%		1,139.90		1.25		1,024.30		1.19
Class L		1,000		0.31	%		1,139.00		1.69		1,023.90		1.60
Class A		1,000		0.57	%		1,137.90		3.10		1,022.60		2.94
RetireSMART Growth Fund
Class S		1,000		0.19	%		1,160.70		1.05		1,024.50		0.98
Class Y		1,000		0.23	%		1,160.70		1.27		1,024.30		1.19
Class L		1,000		0.31	%		1,159.90		1.71		1,023.90		1.60
Class A		1,000		0.56	%		1,158.50		3.08		1,022.60		2.89
RetireSMART In Retirement Fund
Class S		1,000		0.26	%		1,059.10		1.36		1,024.20		1.34
Class Y		1,000		0.33	%		1,058.20		1.73		1,023.80		1.70
Class L		1,000		0.43	%		1,057.30		2.25		1,023.30		2.22
Class A		1,000		0.68	%		1,056.00		3.56		1,022.00		3.50
Class N		1,000		0.98	%		1,054.20		5.13		1,020.50		5.05
RetireSMART 2010 Fund
Class S		1,000		0.26	%		1,077.70		1.38		1,024.20		1.34
Class Y		1,000		0.35	%		1,076.70		1.85		1,023.70		1.80
Class L		1,000		0.45	%		1,076.10		2.38		1,023.20		2.32
Class A		1,000		0.70	%		1,075.90		3.70		1,021.90		3.61
Class N		1,000		1.00	%		1,073.20		5.28		1,020.40		5.15
RetireSMART 2015 Fund
Class S		1,000		0.23	%		1,094.90		1.23		1,024.30		1.19
Class Y		1,000		0.28	%		1,094.70		1.49		1,024.10		1.44
Class L		1,000		0.38	%		1,093.70		2.03		1,023.50		1.96
Class A		1,000		0.63	%		1,092.90		3.36		1,022.30		3.25
RetireSMART 2020 Fund
Class S		1,000		0.23	%		1,115.80		1.24		1,024.30		1.19
Class Y		1,000		0.32	%		1,115.50		1.72		1,023.80		1.65
Class L		1,000		0.42	%		1,114.30		2.26		1,023.30		2.17
Class A		1,000		0.67	%		1,113.20		3.61		1,022.10		3.45
Class N		1,000		0.97	%		1,110.60		5.22		1,020.50		4.99
RetireSMART 2025 Fund
Class S		1,000		0.23	%		1,130.50		1.25		1,024.30		1.19
Class Y		1,000		0.28	%		1,130.10		1.52		1,024.10		1.44
Class L		1,000		0.38	%		1,128.80		2.06		1,023.50		1.96
Class A		1,000		0.63	%		1,128.50		3.42		1,022.30		3.25
RetireSMART 2030 Fund
Class S		1,000		0.24	%		1,139.00		1.31		1,024.30		1.24
Class Y		1,000		0.33	%		1,138.30		1.80		1,023.80		1.70
Class L		1,000		0.43	%		1,138.80		2.34		1,023.30		2.22
Class A		1,000		0.68	%		1,136.40		3.70		1,022.00		3.50
Class N		1,000		0.98	%		1,135.50		5.33		1,020.50		5.05
RetireSMART 2035 Fund
Class S		1,000		0.23	%		1,144.60		1.26		1,024.30		1.19
Class Y		1,000		0.28	%		1,144.20		1.53		1,024.10		1.44
Class L		1,000		0.38	%		1,143.80		2.08		1,023.50		1.96
Class A		1,000		0.63	%		1,142.50		3.44		1,022.30		3.25

125

Other Information (Unaudited) (Continued)

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
RetireSMART 2040 Fund
Class S	$	1,000		0.24	%	$	1,147.00	$	1.31	$	1,024.30	$	1.24
Class Y		1,000		0.33	%		1,145.80		1.80		1,023.80		1.70
Class L		1,000		0.43	%		1,145.30		2.35		1,023.30		2.22
Class A		1,000		0.68	%		1,143.60		3.71		1,022.00		3.50
Class N		1,000		0.98	%		1,142.10		5.35		1,020.50		5.05
RetireSMART 2045 Fund
Class S		1,000		0.23	%		1,157.30		1.26		1,024.30		1.19
Class Y		1,000		0.28	%		1,156.90		1.54		1,024.10		1.44
Class L		1,000		0.38	%		1,156.50		2.09		1,023.50		1.96
Class A		1,000		0.63	%		1,154.90		3.46		1,022.30		3.25
RetireSMART 2050 Fund
Class S		1,000		0.23	%		1,157.90		1.26		1,024.30		1.19
Class Y		1,000		0.28	%		1,157.40		1.54		1,024.10		1.44
Class L		1,000		0.38	%		1,156.30		2.09		1,023.50		1.96
Class A		1,000		0.63	%		1,154.90		3.46		1,022.30		3.25
Class N		1,000		0.93	%		1,154.40		5.11		1,020.70		4.79
RetireSMART 2055 Fund **
Class S		1,000		0.23	%		1,075.60		0.69		1,013.90		0.67
Class Y		1,000		0.28	%		1,075.80		0.84		1,013.70		0.82
Class L		1,000		0.38	%		1,075.50		1.15		1,013.40		1.11
Class A		1,000		0.63	%		1,074.70		1.90		1,012.70		1.84

* Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2013, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise.

** Actual expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period from inception of the Fund on September 17, 2013, through December 31, 2013, multiplied by the number of days in the inception period divided by the number of days in the year. Hypothetical expenses are calculated using the annualized expense ratio for the six months ended December 31, 2013, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year.

126

Distributor MML Distributors, LLC 1295 State Street Springfield, MA 01111-0001   March 1, 2014

^© 2014 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual
Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services
is a division] and its affiliated companies and sales representatives. L4543     214 RS-33427-00

Table of Contents

President’s Letter to Shareholders (Unaudited)	1
Economic and Market Overview (Unaudited)	3
Portfolio Manager Report (Unaudited)	6
Consolidated Portfolio of Investments	10
Consolidated Statement of Assets and Liabilities	26
Consolidated Statement of Operations	28
Consolidated Statements of Changes in Net Assets	29
Consolidated Financial Highlights	30
Notes to Consolidated Financial Statements	32
Report of Independent Registered Public Accounting Firm	55
Trustees and Officers (Unaudited)	56
Federal Tax Information (Unaudited)	60
Other Information (Unaudited)
Proxy Voting	61
Quarterly Reporting	61
Trustees’ Approval of Investments Advisory Contracts	61
Fund Expenses	62

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

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholders (Unaudited)

To Our Shareholders

Eric Wietsma

“Whatever decisions you make with regard to your personal retirement plan, MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are.”

December 31, 2013

Stocks in 2013: Strong performance and record highs

I am pleased to present you with the MassMutual Select BlackRock Global Allocation Fund Annual Report, covering the year ended December 31, 2013. Investors drove U.S. stocks to their strongest annual performance since 1995, navigating political battles over the federal budget and U.S. debt ceiling and finding optimism in general economic improvement here and abroad, stronger corporate earnings, and the continuation of the Federal Reserve’s Quantitative Easing stimulus program. Many of the most widely followed U.S. stock indexes reached new highs in 2013, but domestic bonds – other than high-yield bonds – struggled, turning negative for the first year since 1999. Foreign stocks of developed markets also rewarded investors, with Japanese stocks rising sharply. In a turnabout from the general trend, stocks from emerging markets struggled.

After a strong year for stocks like 2013, MassMutual believes it is prudent to remind retirement investors to maintain perspective and have realistic expectations about the future performance of their investment accounts. Remember, the financial markets go up and down – and it is nearly impossible to predict their future direction. But while you cannot control the direction of the markets, adhering to certain investment guidelines, such as the ones below, can help you throughout the retirement planning process.

Investment guidelines to keep in mind

Keep your eye on the future and stay current with your long-term plan

One of the most important aspects of retirement planning is identifying your long-term financial goals. While much will happen over the course of your career, keeping your eye on your long-term income needs is one of the best ways to help yourself reach your objectives.

Diversify your retirement investing strategy

One of the greatest advantages you have when you diversify your investment choices among different stock, bond, and short-term/money market investments is that these three distinct investment types tend to behave differently under various economic conditions. Diversifying your retirement strategy allows you to participate in the performance of different investments while helping manage your portfolio’s overall exposure to any one or two investment types.*

A financial professional can help you along the way

If you work with a financial professional, this may be an excellent time to consult him or her so that together, you can monitor and evaluate your personal retirement investment strategy. He or she can help you consider, for example, whether or not you should rebalance your portfolio in view of stocks’ sizable 2013 gains. (Rebalancing is a way to help you ensure that one or more strong-performing asset classes do not occupy a larger portion of your portfolio than you intended.) Your financial professional can also help you identify any other adjustments that you may need to make based on your evolving, long-term financial objectives.

Save as much as you can

In retirement planning, as in life itself, there are so many things you cannot control. But you can control how often and how much you save. Contributing regularly and as much as you can to your retirement strategy, and increasing those contributions as you are able, may play an important role in helping you to keep your investment goals on track, regardless of how the financial markets perform.*

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

(Continued)

1

MassMutual Select BlackRock Global Allocation Fund – President’s Letter to Shareholders (Unaudited) (Continued)

Who Matters Most

MassMutual believes “Who Matters Most to You Says the Most About You.” Our customers matter most to us, and our primary focus is to help you take the necessary steps to plan appropriately for your retirement – one that you aspire to enjoy on your terms. The calendar page turning from one year to the next can be a good time for you to assess your financial situation, focus on your strategy for the future, and meet with your financial professional, if you work with one. Whatever decisions you make with regard to your personal retirement plan, MassMutual believes you are wise to maintain a strategy that is suited to how comfortable you are with the markets’ ups and downs, how long you have to save and invest, and what your specific financial goals are. Thank you for putting your trust in MassMutual.

Sincerely,

Eric Wietsma

President

The information provided is the opinion of MassMutual Retirement Services Investments Marketing as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

2

MassMutual Select BlackRock Global Allocation Fund – Economic and Market Overview (Unaudited)

December 31, 2013

Stock investors flourish amid central bank support

Investors drove many U.S. stock indexes to record highs in 2013 – and domestic bonds had a negative year for the first time since 1999 – in an environment that featured the continuation of the Federal Reserve’s (the “Fed”) Quantitative Easing program (“QE”) and brought multiple political standoffs over fiscal legislation, a partial government shutdown, improvement in economic indicators in the U.S., and varying degrees of economic and market strength in Europe and the Far East.

The Fed continued its ongoing effort to foster an environment accommodative to economic growth. The central bank helped keep short-term interest rates at historically low levels by maintaining the federal funds rate at 0.0% to 0.25% – the level the rate has occupied since December 2008. The federal funds rate is the interest rate that banks and other financial institutions charge each other for borrowing funds overnight. The Fed’s QE purchases of mortgage-backed securities and longer-dated Treasuries totaled $85 billion per month, which helped support the prices of bonds by helping keep demand high for much of the year and contributed to the positive environment for stocks.

The Fed kept QE in full force for the entire year and spurred considerable disruption in both the stock and bond markets when Fed Chairman Bernanke appeared before Congress on May 22 and indicated that the central bank was considering some near-term “tapering” or reduction of its bond purchases. The Fed’s policy announcement on September 18 offered a positive surprise to markets by indicating there would be no imminent changes to QE, as most observers had anticipated the implementation of at least a token decrease in the Fed’s monthly purchases. A market-moving event occurred on December 18, when the Fed unveiled its decision to reduce the monthly bond purchases in QE from $85 billion to $75 billion starting in January 2014. Although improving economic conditions had put the possibility of tapering QE on the front burner once again, many observers expected the central bank to postpone the move, as it had in September. The Fed’s proposed cutback of $10 billion per month was near the low end of expectations for the initial reduction, which helped soften the blow. The Fed also reiterated that short-term rates would remain at current levels, saying the central bank won’t raise short-term rates until well past the time that the unemployment rate declines below 6.5%. The Fed’s December 18 statement indicated Fed officials expect short-term rates to be lower than 1% through the end of 2015, which brought some clarity to the Fed’s near-term plans, and investors drove up stocks in response.

Oil started 2013 at nearly $92 per barrel, dipped to less than $85 in April, crested above $110 in early September, and closed the year at about $98. Gas prices rose substantially in the first quarter of 2013, but declined throughout the fourth quarter of 2013, giving consumers some relief at the pumps at the end of the year. The average price moved in a range between approximately $3.55 and $3.75 per gallon for much of the second and third quarters before dropping to around $3.40 by the end of the year. Gold lost much of its luster with investors who sought the higher returns generated by equities and other investments in the positive market environment. The precious metal led off the year at around $1,657 per ounce, headed downward until early July, staged a summer rally that lost steam as the third quarter drew to a close, and finished the year lower at $1,205.

Market performance

Equity markets rewarded investors substantially in 2013, with U.S. stocks showcasing their best performance since 1995. The NASDAQ Composite^® Index, the major technology stock benchmark, returned 40.12% for the year and was the leader among U.S. broad-market indexes. The Russell 2000^® Index, representing small-capitalization stocks, finished the year near the top of the pile with a 38.82% increase. The S&P 500^® Index of large-capitalization U.S. stocks posted a 32.39% advance, while the blue-chip Dow Jones Industrial Average^SM rose 29.65%. The Morgan Stanley Capital International (“MSCI^®”) Europe, Australasia, Far East (EAFE^®) Index, a barometer for foreign stocks in developed markets, gained 22.78%, benefiting from the strong performance of Japanese stocks, which rose 57% and had their best performance in 40 years. Stocks from developing economies did not fare as well, and the MSCI Emerging Markets Index, a measure of the performance of emerging stock markets throughout the world, lost 2.60% during 2013.

Bonds largely struggled during the 12 months, with the Barclays U.S. Aggregate Bond Index, a broad measure of the U.S. investment-grade bond markets, declining 2.02%. The yield of the 10-year U.S. Treasury note advanced (and its price declined) over the course of the year from 1.83% to 3.02%, taking a very choppy route to make the climb, as wary investors sold notes in reaction to signals from the Fed about the reduction of QE. The yield of the 10-year note is a key benchmark in determining mortgage rates, and its advance caused a slowdown in mortgage sales. Conversely, unrelenting low shorter-term interest rates

3

MassMutual Select BlackRock Global Allocation Fund – Economic and Market Overview (Unaudited) (Continued)

continued to take their toll, with shorter-term debt investments barely managing to stay in positive territory. In this environment, the Barclays U.S. 1-3 Year Government Bond Index, which measures the performance of short-term U.S. government bonds, returned just 0.37%; and Treasury bills, as measured by the Citigroup 3-Month Treasury Bill Index, gained only 0.05%. Fixed-income investors sought the higher returns offered by high-yield bonds, which helped the Barclays U.S. Corporate High-Yield Index, a measure of the performance of fixed-rate, non-investment-grade debt from corporate sectors, advance 7.44% for the year.*

First quarter 2013: stocks outperform bonds to start the year

Congressional votes to secure passage of a deal to avert the “fiscal cliff” were confirmed late on January 1, 2013. (The fiscal cliff was a large reduction of the federal budget deficit through significant tax increases and spending cuts, which were scheduled to become effective on January 1, 2013, unless Congress could strike an alternate plan.) In February, equity investors focused on the specter of sequestration – the automatic, across-the-board series of spending cuts to government agencies set to go into effect March 1, 2013. Ultimately, in March, Congress passed a stopgap spending bill to keep the federal government running through September 2013. Also in March, the Department of Labor reported that the U.S. unemployment rate fell to its lowest level since December 2008, and the Fed continued its commitment to keep the federal funds rate between 0% and 0.25% – announcing at the same time that it would maintain QE.

U.S. and foreign stocks rose in the first quarter of 2013, outperforming their fixed-income counterparts. Treasury yields traded in a relatively narrow range until mid-March, when they spiked higher on growing optimism about the U.S. economy. (Bond prices move in the opposite direction to interest rates [or yields]; when yields rise, the prices of existing bonds fall – and vice versa.)

Overseas, the Japanese Cabinet approved a ¥20 trillion (yen) ($224 billion) stimulus package in January 2013, which was expected to create 600,000 jobs and help repair tsunami-ravaged coastland. Evidence of a possible slowdown in China caused concern over the world’s second-largest economy, but Chinese lending reached a two-year high and aggregate financing increased substantially, which indicated improving conditions. In March, banks in Cyprus, experiencing hard times because of their investments in Greek sovereign debt, took a $10 billion bailout from the European Union and the International Monetary Fund to resolve the country’s banking crisis – although the deal restricted Cyprus’s financial industry and limited its status as an offshore tax haven.

Second quarter 2013: prospect of Fed tapering gives investors pause

While stock prices advanced during April and much of May, they gave up a significant portion of those gains following Ben Bernanke’s May 22 remarks to Congress about tapering QE. The Fed chairman stated that the central bank might begin tapering bond purchases in its QE program later in 2013 if warranted by U.S. economic data. Despite the jitters this announcement sent through the markets, U.S. stocks ultimately managed to move higher during the second quarter.

Interest rates rose in the wake of Bernanke’s QE comments when investors sold bonds on the belief that demand would decline if the Fed were to stop its bond purchases, and ensuing price declines drove interest rates higher. Interestingly, concern about the end of QE gave new life to investors’ “bad news is good news” response to economic data. For example, the Commerce Department’s third and final estimate of first-quarter economic growth, released on June 26, came in at 1.8%, well below the previous estimate of 2.4%. Under normal circumstances, weaker-than-expected economic growth would tend to drive down stock prices. However, the news helped shares advance, as investors were hopeful that the disappointing data might convince the Fed to continue with QE for a while longer.

Also weighing on U.S. stocks late in the period was a swoon in Japanese equity prices. Japan’s stock market had been on a tear since mid-November 2012, and when the Bank of Japan announced a massive QE program of its own in April, the rally in that nation’s stocks accelerated, only to reverse sharply along with U.S. shares following Bernanke’s congressional testimony. Emerging markets, including Brazil and China, struggled with lackluster economic growth.

Third quarter 2013: stocks on top; Fed comes to the rescue

U.S. stocks posted strong returns in the third quarter of 2013. Share prices moved higher in July, but backed off in August, as investors remained uncertain of the Fed’s tapering timetable. Disappointing quarterly news from companies regarded as bellwethers for the broader economy, including Wal-Mart Stores and Cisco Systems, weighed on the market in August, as did the growing likelihood of U.S. military strikes in Syria in retaliation for the Assad regime’s alleged use of chemical weapons there.

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

4

MassMutual Select BlackRock Global Allocation Fund – Economic and Market Overview (Unaudited) (Continued)

Stocks rebounded again in September in the midst of talk of a possible diplomatic solution to the crisis in Syria. The market also got a lift from news that former U.S. Treasury Secretary Larry Summers was withdrawing from consideration as a possible replacement for Fed Chairman Bernanke, who would step down in January 2014. Summers’ decision cleared the field for Fed Vice Chair Janet Yellen, a stronger proponent of QE. President Obama ultimately nominated Yellen for the post in early October.

On the heels of the big boost stocks and bonds got from the Fed’s September 18 announcement that QE would continue, the final week of the quarter brought stock-price declines attributable to investor concerns about two looming issues. The first was a federal government shutdown that ultimately came to pass on October 1 due to Congress’s inability to reach a funding agreement prior to the September 30 deadline, and the second was a political stalemate over the U.S. debt ceiling, which needed resolution by mid-October to prevent a default.

Fourth quarter 2013: stocks power ahead through government shutdown, possible Fed tapering

Investors largely stood their ground through the political fiscal wrangling and potential Fed actions, and U.S. stocks notched impressive gains in the fourth quarter of 2013 to cap a banner year that saw most of the popular equity benchmarks record a series of new all-time highs.

Sixteen days into the shutdown, Congress finally approved a measure on October 16 that provided funding for the government until mid-January, along with a temporary extension of the U.S. debt ceiling until February 7, 2014. President Obama signed the bill into law in the early hours of October 17, and most federal workers returned to work that same day. The move alleviated fears that the nation would not pay its bills and ended the shutdown, which had been in effect since October 1. The stock market responded with strong gains during the month of October, and the momentum carried over into November, bolstered by upward revisions to economic growth figures, improved consumer confidence, and a reduction in a key interest rate by the European Central Bank, which also sent European equities higher.

In December, equities rose, but the results did not come easily. The major equity market indexes experienced losses in the first two weeks of the month, reflecting investor concerns that the market might be overpriced and lingering questions about the Fed’s timeline for the tapering of QE. In fact, the S&P 500’s decline of 1.6% in the second week of December was its worst weekly performance since August. Sentiment improved in the third week of the month, as the market received clear communication from the Fed of its plans to reduce its bond purchases and, more importantly, its commitment to keep short-term rates very low as it does so.

Stocks in the U.S. also rose during the latter part of December following the passage of a two-year budget agreement that appeared to reduce the risk of another government shutdown, which represented a welcome departure from the political brinksmanship that has characterized most Congressional budget debates over the past few years. A sizable upward revision in the government’s December 20 release of estimated third-quarter economic growth to a healthy 4.1% from 3.6% was another positive catalyst.

As 2013 transitioned into 2014, stock investors focused on the factors likely to impact the markets in the year ahead, with the imminent reduction of QE at the top of the list. As we prepared this report in early January 2014, the Senate confirmed Janet L. Yellen as the first woman to lead the Federal Reserve. Ms. Yellen will succeed outgoing Chairman Ben Bernanke on February 1, 2014, coming in at a time when the Fed is looking to balance economic growth with the tapering of QE. Investors will also keep an eye out for improving economic growth here and abroad to help create a favorable environment for stocks and bonds. We believe these important issues and numerous others will come into play as investors navigate the world’s financial markets in the year ahead.

The information provided is the opinion of MassMutual Retirement Services Investment Services as of 1/1/14 and is subject to change without notice. It is not to be construed as tax, legal or investment advice. Of course, past performance does not guarantee future results.

5

MassMutual Select BlackRock Global Allocation Fund – Portfolio Manager Report (Unaudited)

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

The Fund seeks long-term total return by investing in both equity and debt securities, including money market securities and other short-term debt obligations, of issuers located around the world, including emerging markets, without limitation on the percentage of assets the Fund can invest in a particular type of security. The Fund seeks to reduce volatility by allocating its assets broadly across markets, industries, and issuers, and without geographic or market capitalization limits. The Fund’s subadviser is BlackRock Investment Management, LLC (BlackRock).

How did the Fund perform during the 12 months ended December 31, 2013?

The Fund’s Class S shares returned 14.65%, significantly underperforming 24.67% return of the Financial Times Stock Exchange (FTSE) World Index (the “benchmark”), a broad-based capitalization-weighted index comprising 2,432 equities from 35 countries in four regions, including the United States, but outperforming the -4.00% return of the Citigroup World Government Bond Index, a widely recognized, unmanaged market capitalization-weighted index of debt securities of major foreign government bond markets. The Fund also outpaced the 13.67% return of the Custom Global Allocation Index, which comprises the S&P 500^® Index, a widely recognized, unmanaged index representative of common stocks of larger capitalized U.S. companies; the FTSE World Index (ex-U.S.), an unmanaged capitalization-weighted index comprising 1,817 companies in 34 countries, excluding the United States; the BofA Merrill Lynch Current 5-Year U.S. Treasury Index, an unmanaged index designed to track the total return of the current coupon five-year U.S. Treasury bond; and the Citigroup Non-USD World Government Bond Index, a widely recognized, unmanaged market- capitalization-weighted index of debt securities of major foreign government bond markets excluding the U.S. The weightings of the component indexes are 36%, 24%, 24%, and 16%, respectively.

For a discussion on the economic and market environment during the 12-month period ended December 31, 2013, please see the Economic and Market Review, beginning on page 3.

Subadviser discussion of factors that contributed to the Fund’s performance

The Fund is managed to be highly diversified and invests across multiple asset classes, regions, sectors, currencies, and individual securities, so the performance of any individual security is not intended to have a particularly significant impact on the Fund’s overall return. Given the diversified composition of the Fund, the discussion below reflects the general themes impacting Fund performance during the year.

Stock selection and an overweight position, relative to the benchmark, in materials (primarily led by gold-related securities) – and stock selection and an underweight stake in the United States detracted from the Fund’s performance within the equity segment of the Fund in 2013. Conversely, an overweight position and stock selection in Japan and Europe, and an underweight stake and stock selection in Hong Kong contributed to performance for the year. In individual sectors, stock selection in the information technology, industrials, energy, and telecommunications services sectors benefited performance, as did an underweight stake in consumer staples and an overweight position in health care.

From a broader asset allocation perspective, an underweight position in fixed-income securities contributed to the Fund’s performance over the year. Within the fixed-income segment of the Fund, an overweight position in convertible and corporate bonds positively impacted performance, whereas an overweight allocation to Brazilian government bonds detracted. From a currency perspective, an underweight allocation to both the Japanese yen and the Australian dollar was beneficial for performance.

Over the 12-month period, the Fund’s cash position helped mitigate portfolio volatility and served as a source of funds for new investments. In addition, the Fund’s cash position helped keep the Fund’s overall duration (sensitivity to interest rates) relatively low, although the Fund’s overweight position in cash during the year did dampen results in the strong environment for equities.

The Fund uses derivatives – which may include options, futures, indexed securities, inverse securities, swaps, and forward contracts – both to seek to increase the return of the Fund and to hedge (or protect) the value of the assets against adverse movements in currency exchange rates, interest rates, and movements in the securities markets. Derivatives are securities that derive their value from the performance of one or more other investments and take the form of a contract between two or more parties. Most derivatives are used for hedging, speculation, or both. The use of options, futures, indexed securities, inverse securities, swaps, and forward contracts can be effective in protecting or enhancing the value of the Fund’s assets and the Fund will not engage in certain strategies that are considered highly risky and speculative. Overall, the Fund’s use of derivatives was beneficial to returns in 2013.

6

MassMutual Select BlackRock Global Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)

Subadviser outlook

Although we do not expect equity markets to repeat their especially strong 2013 performance, we believe relative valuations are likely to remain in favor of equities over fixed income in 2014. As 2014 began, the Fund remained well diversified with positioning across all of the Fund’s investment types, reflecting our outlook for the immediate future and in consideration of our concern that the Federal Reserve’s tapering of its asset purchases will increase interest rates and equity market volatility.

MassMutual Select BlackRock Global Allocation Fund Portfolio Characteristics (% of Net Assets) on 12/31/13
Equities	67.8	%
Bonds & Notes	20.1	%
Mutual Funds	1.2	%
Purchased Options	0.5	%
Warrants	0.0	%
Total Long-Term Investments	89.6	%
Short-Term Investments and Other Assets and Liabilities	10.4	%
Net Assets	100.0	%

MassMutual Select BlackRock Global Allocation Fund Largest Holdings (% of Net Assets) on 12/31/13
U.S. Treasury Note 1.250% 10/31/18	1.2	%
United Kingdom Gilt 1.250% 7/22/18	1.1	%
Google, Inc. Class A	1.0	%
Republic of Germany 4.250% 7/04/17	1.0	%
General Electric Co.	0.9	%
MasterCard, Inc. Class A	0.8	%
U.S. Treasury Note 1.000% 5/31/18	0.8	%
U.S. Treasury Note 1.375% 7/31/18	0.8	%
Bundesrepublik Deutschland 3.500% 7/04/19	0.8	%
Pfizer, Inc.	0.7	%
	9.1	%

7

MassMutual Select BlackRock Global Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)

MassMutual Select BlackRock Global Allocation Fund Country Weightings (% of Net Assets) on 12/31/13
United States	46.2	%
Japan	8.8	%
United Kingdom	6.3	%
Germany	4.2	%
France	3.8	%
Switzerland	2.4	%
Netherlands	2.1	%
Canada	2.1	%
Australia	1.8	%
Brazil	1.5	%
Italy	1.3	%
Republic of Korea	1.1	%
Ireland	0.8	%
Singapore	0.8	%
Cayman Islands	0.7	%
Hong Kong	0.6	%
United Arab Emirates	0.5	%
Malaysia	0.5	%
Sweden	0.4	%
Bermuda	0.4	%
Netherlands Antilles	0.3	%
Luxembourg	0.3	%
Mexico	0.3	%
Norway	0.3	%
Spain	0.3	%
Chile	0.2	%
Belgium	0.2	%
Channel Islands	0.2	%
India	0.2	%
Taiwan	0.2	%
China	0.1	%
Russia	0.1	%
Thailand	0.1	%
Kazakhstan	0.1	%
Marshall Islands	0.1	%
Denmark	0.1	%
South Africa	0.1	%
Portugal	0.1	%
Finland	0.0	%
Indonesia	0.0	%
British Virgin Islands	0.0	%
Austria	0.0	%
Colombia	0.0	%
Israel	0.0	%
Argentina	0.0	%
Total Long-Term Investments	89.6	%
Short-Term Investments and Other Assets and Liabilities	10.4	%
Net Assets	100.0	%

8

MassMutual Select BlackRock Global Allocation Fund – Portfolio Manager Report (Unaudited) (Continued)

Growth of a $10,000 Investment

Hypothetical Investments in MassMutual Select BlackRock Global Allocation Fund Class S, Class A, Class A (sales load deducted), Class Y, Class L, the FTSE World Index, the Citigroup World Government Bond Index, and the Custom Global Allocation Index.

TOTAL RETURN	One Year 1/1/13 - 12/31/13		Since Inception Average Annual 12/1/09 - 12/31/13
Class S		14.65%		7.03%
Class A		14.13%		6.51%
Class A (sales load deducted)*		7.57%		4.98%
Class Y		14.48%		6.94%
Class L		14.36%		6.85%
FTSE World Index#		24.67%		11.65%
Citigroup World Government Bond Index		-4.00%		0.88%
Custom Global Allocation Index		13.67%		8.67%

GROWTH OF $10,000 INVESTMENT SINCE INCEPTION

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

# Benchmark

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 FTSE World Index, the Citigroup World Government Bond Index, and the Custom Global Allocation Index are unmanaged, do not incur expenses, and cannot be purchased directly by investors. Investors should read the Fund’s prospectus with regard to the Fund’s investment objective, risks, and charges and expenses in conjunction with these consolidated 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

MassMutual Select BlackRock Global Allocation Fund – Consolidated Portfolio of Investments

December 31, 2013

	Number of Shares		Value
EQUITIES — 67.8%
COMMON STOCK — 66.0%
Basic Materials — 4.5%
Chemicals — 2.1%
Agrium, Inc.		10,679	$	976,916
Akzo Nobel NV		13,872		1,076,305
Arkema		7,396		866,275
Asahi Kasei Corp.		71,000		556,487
CF Industries Holdings, Inc.		491		114,423
China BlueChemical Ltd.		235,700		148,822
Eastman Chemical Co.		1,600		129,120
FMC Corp.		15,619		1,178,610
Hitachi Chemical Co. Ltd.		35,700		569,814
JSR Corp.		38,900		754,280
Koninklijke DSM NV		12,674		998,881
Lanxess AG		5,197		347,201
Linde AG		4,365		914,193
Nitto Denko Corp.		16,400		694,282
PPG Industries, Inc.		902		171,073
PTT Global Chemical PCL		53,060		127,564
Shin-Etsu Chemical Co. Ltd.		22,088		1,291,557
Sigma-Aldrich Corp.		1,315		123,623
Syngenta AG		5,031		2,005,541
Ube Industries Ltd.		156,600		335,251
				13,380,218
Forest Products & Paper — 0.0%
International Paper Co.		2,503		122,722
Iron & Steel — 0.2%
Fortescue Metals Group Ltd.		210,415		1,098,012
Machinery – Construction & Mining — 0.4%
Rio Tinto PLC		50,632		2,857,139
Mining — 1.8%
Anglo Platinum Ltd. (a)		1		38
Antofagasta PLC		110,110		1,510,804
BHP Billiton Ltd.		5,320		180,923
BHP Billiton PLC		75,750		2,348,676
Boliden AB		19,861		305,384
Cameco Corp.		33,673		699,388
Eldorado Gold Corp.		96,304		546,682
First Quantum Minerals Ltd.		42,330		762,717
Freeport-McMoRan Copper & Gold, Inc.		46,273		1,746,343
Goldcorp, Inc.		73,471		1,592,117
Platinum Group Metals Ltd. (a)		310,967		371,784
Polyus Gold International Ltd. GDR (Russia)		39,636		131,006
Silver Wheaton Corp.		23,636		477,211
Southern Copper Corp.		12,728		365,421
Teck Resources Ltd. Class B		26,399		686,638
				11,725,132
				29,183,223

	Number of Shares		Value
Communications — 6.2%
Internet — 1.7%
Amazon.com, Inc. (a)		2,123	$	846,631
eBay, Inc. (a)		23,829		1,307,974
Google, Inc. Class A (a)		5,819		6,521,411
SINA Corp. (a)		8,906		750,331
Symantec Corp.		4,190		98,800
TIBCO Software, Inc. (a)		42,817		962,526
Twitter, Inc. (a)		6,817		433,902
				10,921,575
Media — 1.2%
Charter Communications, Inc. Class A (a)		4,739		648,106
Comcast Corp. Class A		43,118		2,240,627
DISH Network Corp. Class A (a)		2,876		166,578
Grupo Televisa SAB		55,900		336,517
Liberty Media Corp. Class A (a)		8,303		1,215,974
Mediaset SpA (a)		116,647		563,414
Rogers Communications, Inc. Class B		7,321		331,275
RTL Group (a)		6,553		846,899
Shaw Communications, Inc.		32,152		782,423
Time Warner Cable, Inc.		1,022		138,481
Viacom, Inc. Class B		1,325		115,726
Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA		51,057		379,457
				7,765,477
Telecommunications — 3.3%
Amdocs Ltd.		2,789		115,018
America Movil SAB de C.V. Sponsored ADR (Mexico)		15,088		352,607
Axiata Group		356,812		751,524
BT Group PLC		163,868		1,031,773
Cisco Systems, Inc.		106,211		2,384,437
Crown Castle International Corp. (a)		9,615		706,029
Deutsche Telekom AG		84,130		1,438,892
Ei Towers SpA		2,316		106,832
Far EasTone Telecommunications Co. Ltd.		138,087		303,780
Harris Corp.		1,667		116,373
KDDI Corp.		27,300		1,683,716
Koninklijke KPN NV (a)		134,796		436,052
KT Corp. Sponsored ADR (Republic of Korea) (a)		10,966		163,064
Motorola Solutions, Inc.		1,773		119,678
Nippon Telegraph & Telephone Corp.		8,770		472,057
QUALCOMM, Inc.		44,131		3,276,727
Singapore Telecommunications Ltd.		300,228		872,644
Swisscom AG		932		492,850
Taiwan Mobile Co. Ltd.		98,000		316,803

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

10

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

	Number of Shares		Value
TDC A/S		41,050	$	398,264
Telecom Italia SpA		538,363		535,729
Telecom Italia SpA- RSP		54,481		42,783
Telefonica Deutschland Holding AG		45,374		375,142
Telefonica SA		33,839		552,408
Telefonica SA Sponsored ADR (Spain)		10,697		174,789
Telekom Malaysia		205,924		348,947
Verizon Communications, Inc.		42,172		2,072,332
Vodafone Group PLC		229,518		902,253
Vodafone Group PLC Sponsored ADR (United Kingdom)		28,975		1,139,007
				21,682,510
				40,369,562
Consumer, Cyclical — 7.3%
Airlines — 0.2%
Japan Airlines Co. Ltd.		20,500		1,011,417
Auto Manufacturers — 2.7%
Bayerische Motoren Werke AG		8,309		974,427
Daihatsu Motor Co. Ltd.		9,550		161,999
Dongfeng Motor Group Co. Ltd. Class H		97,500		152,964
Fiat Industrial SpA (b)		176,277		2,013,173
Ford Motor Co.		113,354		1,749,052
Fuji Heavy Industries Ltd.		117,630		3,379,027
General Motors Co. (a)		58,079		2,373,694
Hino Motors Ltd.		23,000		362,483
Honda Motor Co. Ltd.		40,960		1,689,305
Hyundai Motor Co.		3,647		826,250
Paccar, Inc.		10,112		598,327
Renault SA		4,292		346,525
Suzuki Motor Corp.		72,837		1,961,897
Toyota Motor Corp.		18,000		1,095,344
Yulon Motor Co. Ltd.		150,000		271,982
				17,956,449
Automotive & Parts — 1.4%
Aisin Seiki Co. Ltd.		19,240		782,932
BorgWarner, Inc.		10,597		592,478
Bridgestone Corp.		35,800		1,357,193
Cheng Shin Rubber Industry Co. Ltd.		127,211		333,176
Cie Generale des Etablissements Michelin Class B		3,306		352,798
Delphi Automotive PLC		9,177		551,813
Denso Corp.		25,270		1,336,100
Futaba Industrial Co. Ltd. (a)		21,010		80,940
Hyundai Wia Corp.		719		129,625
Johnson Controls, Inc.		16,469		844,860
Lear Corp.		1,818		147,204
Sumitomo Electric Industries Ltd.		41,200		688,499
Toyota Industries Corp.		30,521		1,379,468
TRW Automotive Holdings Corp. (a)		7,986		594,079
				9,171,165

	Number of Shares		Value
Distribution & Wholesale — 0.9%
Fastenal Co.		25,146	$	1,194,686
Mitsubishi Corp.		69,720		1,338,122
Mitsui & Co. Ltd.		196,852		2,744,970
Sumitomo Corp.		56,900		715,707
				5,993,485
Entertainment — 0.1%
Delta Topco Ltd. (b)		800,425		469,299
International Game Technology		8,320		151,091
Manchester United PLC Class A (a)		19,011		295,241
				915,631
Home Builders — 0.3%
Barratt Developments PLC		128,648		744,157
MRV Engenharia e Participacoes SA		84,760		303,059
Taylor Wimpey PLC		387,702		718,759
				1,765,975
Home Furnishing — 0.0%
Electrolux AB Class B		5,939		156,352
Lodging — 0.2%
Extended Stay America, Inc. (a)		8,500		223,210
Hilton Worldwide Holdings, Inc. (a)		30,600		680,850
Wyndham Worldwide Corp.		1,700		125,273
				1,029,333
Retail — 1.2%
American Eagle Outfitters, Inc.		11,940		171,936
Coach, Inc.		24,679		1,385,232
CVS Caremark Corp.		6,488		464,346
Macy’s, Inc.		1,900		101,460
McDonald’s Corp.		16,525		1,603,421
Nitori Holdings Co. Ltd.		7,300		692,245
Ross Stores, Inc.		1,200		89,916
Ryohin Keikaku Co. Ltd.		4,900		529,878
Wal-Mart Stores, Inc.		17,372		1,367,003
Williams-Sonoma, Inc.		6,594		384,298
Yamada Denki Co. Ltd.		231,500		757,489
Zhongsheng Group Holdings Ltd.		213,850		295,312
				7,842,536
Textiles — 0.1%
Guinness Peat Group PLC (a)		111,362		53,970
Kuraray Co. Ltd.		61,010		727,887
				781,857
Toys, Games & Hobbies — 0.2%
Mattel, Inc.		15,767		750,194
Nintendo Co. Ltd.		4,800		641,843
				1,392,037
				48,016,237

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

11

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

	Number of Shares		Value
Consumer, Non-cyclical — 14.2%
Agriculture — 0.1%
Chaoda Modern Agriculture Holdings Ltd. (a) (b)		1,265,139	$	145,491
SLC Agricola SA		25,087		216,900
				362,391
Beverages — 1.1%
The Coca-Cola Co.		77,787		3,213,381
Constellation Brands, Inc. Class A (a)		1,646		115,846
Diageo PLC		5,913		195,314
Diageo PLC Sponsored ADR (United Kingdom)		7,390		978,584
Fomento Economico Mexicano SAB de CV Series B Sponsored ADR (Mexico)		3,030		296,546
InBev NV		10,786		1,150,046
SABMiller PLC		15,794		813,364
Suntory Beverage & Food Ltd.		16,700		532,445
				7,295,526
Biotechnology — 0.6%
Amgen, Inc.		9,135		1,042,852
Biogen Idec, Inc. (a)		3,753		1,049,902
Celgene Corp. (a)		8,569		1,447,818
Mesoblast Ltd. (a)		56,372		294,639
Vertex Pharmaceuticals, Inc. (a)		6,234		463,186
				4,298,397
Commercial Services — 2.0%
Alliance Data Systems Corp. (a)		781		205,348
Benesse Holdings, Inc.		9,000		361,508
Cielo SA		24,354		678,076
MasterCard, Inc. Class A		6,594		5,509,023
McKesson Corp.		8,968		1,447,435
Qualicorp SA (a)		38,457		367,109
Visa, Inc. Class A		20,408		4,544,454
				13,112,953
Cosmetics & Personal Care — 0.8%
Beiersdorf AG		4,225		428,943
Colgate-Palmolive Co.		13,156		857,903
Kao Corp.		9,300		292,904
The Procter & Gamble Co.		45,176		3,677,778
				5,257,528
Foods — 1.6%
Ajinomoto Co., Inc.		50,000		724,527
Casino Guichard-Perrachon SA		5,553		641,881
Cosan Ltd. Class A		38,428		527,232
Danone SA		5,424		391,291
The Fresh Market, Inc. (a)		2,339		94,730
General Mills, Inc.		9,471		472,698
Hillshire Brands Co.		22,610		756,078
The Kroger Co.		2,958		116,930

	Number of Shares		Value
Nestle SA		47,282	$	3,470,874
Tesco PLC		73,367		406,324
Unilever NV		40,477		1,634,271
Unilever NV NY Shares		4,221		169,811
Unilever PLC		15,390		631,271
Unilever PLC Sponsored ADR (United Kingdom)		4,666		192,239
				10,230,157
Health Care – Products — 0.9%
Baxter International, Inc.		19,285		1,341,272
Becton, Dickinson & Co.		952		105,186
Boston Scientific Corp. (a)		21,227		255,149
Covidien PLC		19,875		1,353,487
Fresenius SE & Co. KGaA		6,576		1,009,826
Getinge AB		6,954		238,521
Intuitive Surgical, Inc. (a)		590		226,607
Medtronic, Inc.		15,059		864,236
Mindray Medical International Ltd. ADR (Cayman Islands)		12,018		436,974
Stryker Corp.		1,408		105,797
				5,937,055
Health Care – Services — 2.1%
Aetna, Inc.		21,873		1,500,269
Al Noor Hospitals Group PLC (a)		32,300		481,205
Bangkok Dusit Medical Services PCL		150,600		538,512
Bumrungrad Hospital PCL		79,300		211,764
DaVita, Inc. (a)		9,632		610,380
Envision Healthcare Holdings, Inc. (a)		12,355		438,850
HCA Holdings, Inc. (a)		28,521		1,360,737
HEALTHSOUTH Corp.		12,623		420,598
Humana, Inc.		13,278		1,370,555
IHH Healthcare Bhd (a)		910,300		1,073,530
Life Healthcare Group Holdings Ltd.		95,173		379,864
NMC Health PLC		54,443		395,244
Raffles Medical Group Ltd.		92,600		228,413
Siloam International Hospitals Tbk PT (a)		340,880		266,303
Tenet Healthcare Corp. (a)		11,178		470,817
UnitedHealth Group, Inc.		30,753		2,315,701
Universal Health Services, Inc. Class B		20,242		1,644,865
WellPoint, Inc.		1,280		118,259
				13,825,866
Household Products — 0.3%
Avery Dennison Corp.		7,303		366,538
Beam, Inc.		2,912		198,191
Church & Dwight Co., Inc.		5,114		338,956
Hypermarcas SA		51,608		387,622
Kimberly-Clark Corp.		7,537		787,315
				2,078,622

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

12

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

	Number of Shares		Value
Pharmaceuticals — 4.7%
AbbVie, Inc.		50,502	$	2,667,011
Allergan, Inc.		7,130		792,000
AmerisourceBergen Corp.		1,661		116,785
Astellas Pharma, Inc.		10,270		608,522
AstraZeneca PLC		25,687		1,523,651
Bristol-Myers Squibb Co.		19,634		1,043,547
Cardinal Health, Inc.		33,200		2,218,092
Cubist Pharmaceuticals, Inc. (a)		6,693		460,947
Express Scripts Holding Co. (a)		21,236		1,491,617
Gilead Sciences, Inc. (a)		20,871		1,568,456
Mead Johnson Nutrition Co. Class A		8,085		677,200
Novartis AG		22,508		1,801,325
Otsuka Holdings Co. Ltd.		24,000		693,126
Perrigo Co. PLC		4,197		644,072
Pfizer, Inc. (c)		156,213		4,784,804
Roche Holding AG		14,891		4,174,200
Sanofi		30,328		3,228,293
Sanofi ADR (France)		1,546		82,912
Ship Healthcare Holdings, Inc.		8,100		314,557
Shire Ltd.		27,986		1,318,748
Sino Biopharmaceutical Ltd.		260,000		206,906
Sinopharm Group Co.		132,800		383,044
				30,799,815
				93,198,310
Diversified — 0.1%
Holding Company – Diversified — 0.1%
LVMH Moet Hennessy Louis Vuitton SA		3,264		597,511
Energy — 6.3%
Coal — 0.6%
Project Eagle Shell (b)		34,701		1,987,847
Project Eagle Shell Class A (b)		400		22,914
Project Eagle Shell Series D (b)		36,254		2,076,810
				4,087,571
Oil & Gas — 4.8%
Anadarko Petroleum Corp.		6,647		527,240
Athabasca Oil Corp. (a)		78,142		476,686
BG Group PLC		86,605		1,866,360
BP PLC		59,213		479,671
BP PLC Sponsored ADR (United Kingdom)		15,949		775,281
Canadian Natural Resources Ltd.		23,037		779,572
Chevron Corp.		7,843		979,669
Cobalt International Energy, Inc. (a)		28,792		473,628
Devon Energy Corp.		9,169		567,286
Diamond Offshore Drilling, Inc.		1,274		72,516
Eni SpA		95,519		2,309,611
EOG Resources, Inc.		5,288		887,538
Helmerich & Payne, Inc.		1,557		130,913
Inpex Corp.		97,200		1,246,256

	Number of Shares		Value
KazMunaiGas Exploration Production GDR (Kazakhstan) (d)		35,419	$	556,964
Kunlun Energy Co. Ltd		328,000		579,273
Lundin Petroleum AB (a)		40,653		793,516
Marathon Oil Corp.		78,846		2,783,264
Marathon Petroleum Corp.		38,157		3,500,142
Murphy Oil Corp.		1,471		95,438
Occidental Petroleum Corp.		14,489		1,377,904
Petroleo Brasileiro SA Sponsored ADR (Brazil)		46,204		636,691
Phillips 66		23,905		1,843,793
Royal Dutch Shell PLC ADR (United Kingdom)		30,493		2,173,236
Royal Dutch Shell PLC Class A		9,908		353,156
Statoil ASA		72,026		1,749,504
Suncor Energy, Inc.		14,171		496,802
Suncor Energy, Inc.		2,608		91,410
Total SA Sponsored ADR (France)		19,062		1,167,929
Total SA		15,486		949,278
Valero Energy Corp.		3,147		158,609
Vallares PLC (a)		18,952		338,162
Whiting Petroleum Corp. (a)		6,783		419,664
				31,636,962
Oil & Gas Services — 0.9%
Dresser-Rand Group, Inc. (a)		17,900		1,067,377
National Oilwell Varco, Inc.		16,777		1,334,275
Schlumberger Ltd.		23,192		2,089,831
Technip SA		13,765		1,325,836
				5,817,319
				41,541,852
Financial — 12.1%
Banks — 4.8%
Banco Bilbao Vizcaya Argentaria SA		74,091		918,016
Banco Santander Chile Sponsored ADR (Chile)		17,161		404,485
Banco Santander SA ADS (Brazil)		48,916		298,388
Bank of America Corp.		170,259		2,650,933
Bank of New York Mellon Corp.		20,460		714,872
Bank of Nova Scotia		8,884		555,579
BB&T Corp.		27,843		1,039,101
BNP Paribas		35,998		2,818,741
Capital One Financial Corp.		14,707		1,126,703
Commonwealth Bank of Australia		9,329		650,021
Deutsche Bank AG		29,682		1,416,236
HSBC Holdings PLC		234,655		2,573,671
Intesa Sanpaolo		399,965		992,898
KB Financial Group, Inc.		5,161		207,763
Lloyds Banking Group PLC (a)		1,078,051		1,409,091
Mitsubishi UFJ Financial Group, Inc.		104,100		688,315
National Australia Bank Ltd.		22,002		686,855
Oversea-Chinese Banking Corp. Ltd.		62,900		509,187
Sberbank of Russian Federation		210,912		661,821

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

13

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

	Number of Shares		Value
Societe Generale		16,867	$	984,990
State Street Corp.		12,095		887,652
Sumitomo Mitsui Financial Group, Inc.		39,330		2,031,061
Svenska Handelsbanken AB		20,859		1,030,377
U.S. Bancorp		24,908		1,006,283
UniCredit SpA		126,866		944,682
Wells Fargo & Co.		87,273		3,962,194
Westpac Banking Corp.		10,031		291,311
				31,461,226
Diversified Financial — 2.3%
American Express Co.		19,973		1,812,150
Ameriprise Financial, Inc.		1,130		130,006
Citigroup, Inc. (c)		63,030		3,284,493
Credit Suisse Group		15,680		481,405
Deutsche Boerse AG		8,499		705,748
Discover Financial Services		22,006		1,231,236
The Goldman Sachs Group, Inc.		7,180		1,272,727
Hana Financial Group, Inc.		13,230		550,947
JPMorgan Chase & Co.		74,067		4,331,438
Morgan Stanley		16,060		503,642
UBS AG		51,759		986,026
				15,289,818
Insurance — 3.4%
ACE Ltd.		19,526		2,021,527
Aflac, Inc.		13,300		888,440
Allianz SE		6,991		1,254,000
Allstate Corp.		10,593		577,742
American International Group, Inc.		14,362		733,180
Arch Capital Group Ltd. (a)		4,947		295,287
Aviva PLC		48,657		362,537
AXA SA		52,940		1,476,665
Axis Capital Holdings Ltd.		2,304		109,601
Berkshire Hathaway, Inc. Class B (a)		10,744		1,273,809
The Chubb Corp.		8,857		855,852
CNA Financial Corp.		2,951		126,568
ING Groep NV (a)		100,628		1,407,147
Lincoln National Corp.		3,763		194,246
Marsh & McLennan Cos., Inc.		1,460		70,606
MetLife, Inc.		27,370		1,475,790
Millea Holdings, Inc.		71,475		2,394,203
Mitsui Sumitomo Insurance Group Holdings, Inc.		12,566		338,063
NKSJ Holdings, Inc.		11,400		317,985
The Progressive Corp.		16,597		452,600
Prudential Financial, Inc.		13,074		1,205,684
QBE Insurance Group Ltd.		34,436		354,587
Reinsurance Group of America, Inc. Class A		1,552		120,140
RenaissanceRe Holdings Ltd.		3,065		298,347
Sony Financial Holdings, Inc.		33,800		615,730

	Number of Shares		Value
Torchmark Corp.		1,550	$	121,133
The Travelers Cos., Inc.		13,630		1,234,060
Unum Group		3,512		123,201
Xl Group PLC		40,501		1,289,552
				21,988,282
Investment Companies — 0.0%
RHJ International (a) (e)		46,200		234,488
RHJ International Deposit Shares (a)		11,800		59,999
				294,487
Real Estate — 0.9%
BR Malls Participacoes SA		45,611		331,235
Brookfield Asset Management, Inc. Class A		10,659		413,889
Capitaland Ltd.		298,500		718,668
Cyrela Brazil Realty SA		49,498		302,609
Daito Trust Construction Co. Ltd.		6,300		588,972
Sun Hung Kai Properties Ltd.		110,000		1,402,232
The St. Joe Co. (a)		105,745		2,029,247
				5,786,852
Real Estate Investment Trusts (REITS) — 0.7%
American Capital Agency Corp.		15,660		302,081
American Tower Corp.		11,172		891,749
Equity Residential		22,701		1,177,501
Fibra Uno Administracion SA de CV		107,660		347,227
The Link REIT		136,733		667,033
Simon Property Group, Inc.		4,745		721,999
TF Administradora Industrial S de RL de CV		192,100		345,755
				4,453,345
				79,274,010
Industrial — 9.5%
Aerospace & Defense — 1.7%
European Aeronautic Defence and Space Co.		35,793		2,758,849
General Dynamics Corp.		1,267		121,062
L-3 Communications Holdings, Inc.		1,199		128,125
Northrop Grumman Corp.		1,364		156,328
Raytheon Co.		1,708		154,916
Safran SA		60,146		4,182,633
United Technologies Corp.		30,339		3,452,578
				10,954,491
Biotechnology — 0.1%
Daikin Industries Ltd.		10,600		661,477
Building Materials — 0.4%
Compagnie de Saint-Gobain		31,976		1,767,369
HeidelbergCement AG		4,589		348,265
Rinnai Corp.		5,000		389,687
Yuanda China Holdings Ltd.		1,389,132		122,164
				2,627,485

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

14

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

	Number of Shares		Value
Electrical Components & Equipment — 0.3%
Energizer Holdings, Inc.		971	$	105,101
Hitachi Ltd.		179,600		1,361,682
Mitsubishi Electric Corp.		60,000		754,577
				2,221,360
Electronics — 0.9%
Agilent Technologies, Inc.		21,657		1,238,564
Avnet, Inc.		2,758		121,655
Fanuc Ltd.		2,350		430,935
Hoya Corp.		37,120		1,033,123
Keyence Corp.		300		128,476
Kyocera Corp.		7,800		390,154
Mettler-Toledo, Inc. (a)		1,860		451,218
Murata Manufacturing Co. Ltd.		8,970		797,397
Omron Corp.		3,400		150,484
PerkinElmer, Inc.		12,275		506,098
Rexel Promesses		6,319		166,438
TE Connectivity Ltd.		2,500		137,775
Waters Corp. (a)		6,717		671,700
				6,224,017
Engineering & Construction — 0.3%
JGC Corp.		35,030		1,375,883
KBR, Inc.		5,224		166,593
Okumura Corp.		69,230		320,776
Toda Corp.		88,200		306,925
				2,170,177
Hand & Machine Tools — 0.2%
SMC Corp.		800		202,078
Stanley Black & Decker, Inc.		12,669		1,022,262
				1,224,340
Health Care – Services — 0.2%
Thermo Fisher Scientific, Inc.		13,417		1,493,983
Machinery – Diversified — 0.9%
Andritz AG		3,851		241,891
CNH Industrial NV (a)		396		4,523
CNH Industrial NV (a)		8,334		94,586
Cummins India Ltd.		68,544		528,888
Cummins, Inc.		6,143		865,979
Haitian International Holdings Ltd.		110,171		251,316
IHI Corp.		77,000		332,945
Kubota Corp.		60,220		998,391
Metso OYJ		6,899		295,290
Mitsubishi Heavy Industries Ltd.		62,000		384,291
Rockwell Automation, Inc.		15,278		1,805,248
				5,803,348
Manufacturing — 2.2%
3M Co.		8,381		1,175,435
Cheil Industries, Inc.		3,171		266,333
Danaher Corp.		9,916		765,515
Dover Corp.		1,238		119,516

	Number of Shares		Value
Eaton Corp. PLC		16,803	$	1,279,044
General Electric Co.		204,192		5,723,502
Invensys PLC		63,372		534,735
Parker Hannifin Corp.		995		127,997
Siemens AG		27,367		3,739,260
Textron, Inc.		10,943		402,265
				14,133,602
Metal Fabricate & Hardware — 0.3%
Jiangxi Copper Co. Ltd.		159,000		288,937
Precision Castparts Corp.		5,042		1,357,810
Valmont Industries, Inc.		691		103,042
				1,749,789
Packaging & Containers — 0.2%
Crown Holdings, Inc. (a)		14,386		641,184
Sealed Air Corp.		23,435		797,962
				1,439,146
Shipbuilding — 0.1%
Samsung Heavy Industries Co. Ltd.		11,958		432,337
Transportation — 1.7%
Asciano Group		101,468		524,213
Canadian National Railway Co.		11,884		677,626
East Japan Railway		21,253		1,696,125
FedEx Corp.		6,302		906,039
J.B. Hunt Transport Services, Inc.		8,583		663,466
Novorossiysk Commercial Sea Port GDR (Russia) (d)		20,236		126,475
Union Pacific Corp.		15,166		2,547,888
United Continental Holdings, Inc. (a)		59,803		2,262,347
United Parcel Service, Inc. Class B		9,923		1,042,709
West Japan Railway Co.		14,300		620,604
				11,067,492
				62,203,044
Technology — 3.5%
Computers — 1.0%
Accenture PLC Class A		1,349		110,915
Apple, Inc.		160		89,778
Atos Origin SA		18,918		1,717,743
Cap Gemini SA		1,503		101,918
Computer Sciences Corp.		2,624		146,629
EMC Corp.		157,723		3,966,734
Western Digital Corp.		2,190		183,741
				6,317,458
Internet — 0.0%
Check Point Software Technologies Ltd. (a)		1,836		118,459
Semiconductors — 0.9%
Freescale Semiconductor Holdings I Ltd. (a)		40,643		652,320
KLA-Tencor Corp.		1,500		96,690
Rohm Co. Ltd.		13,460		656,390

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

15

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

	Number of Shares		Value
Samsung Electronics Co. Ltd.		3,224	$	4,213,753
				5,619,153
Software — 1.6%
Adobe Systems, Inc. (a)		2,043		122,335
CA, Inc.		2,959		99,570
Citrix Systems, Inc. (a)		22,330		1,412,372
Electronic Arts, Inc. (a)		49,291		1,130,736
Fidelity National Information Services, Inc.		2,745		147,352
Intuit, Inc.		1,560		119,059
Microsoft Corp.		12,195		456,459
Oracle Corp.		115,345		4,413,100
Red Hat, Inc. (a)		16,435		921,017
Ubisoft Entertainment (a)		38,375		544,122
Veeva Systems, Inc. Class A (a)		14,627		469,527
VMware, Inc. Class A (a)		9,202		825,511
				10,661,160
				22,716,230
Utilities — 2.3%
Electric — 1.6%
The AES Corp.		83,831		1,216,388
American Electric Power Co., Inc.		16,379		765,555
Calpine Corp. (a)		39,455		769,767
CenterPoint Energy, Inc.		20,550		476,349
Chubu Electric Power Co., Inc.		17,700		228,783
CMS Energy Corp.		15,940		426,714
Dominion Resources, Inc.		19,713		1,275,234
Duke Energy Corp.		10,745		741,512
National Grid PLC		99,820		1,304,289
NextEra Energy, Inc.		20,255		1,734,233
PPL Corp.		28,916		870,082
Scottish & Southern Energy PLC		38,329		871,623
				10,680,529
Gas — 0.6%
Beijing Enterprises Holdings Ltd.		166,422		1,645,841
Sempra Energy		6,500		583,440
Tokyo Gas Co. Ltd.		295,988		1,458,487
				3,687,768
Water — 0.1%
American Water Works Co., Inc.		15,005		634,111
				15,002,408
TOTAL COMMON STOCK (Cost $338,476,038)				432,102,387
CONVERTIBLE PREFERRED STOCK — 0.1%
Financial — 0.1%
Savings & Loans — 0.1%
Omnicare Capital Trust II 4.000%		4,900		363,678
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $163,536)				363,678

	Number of Shares		Value
PREFERRED STOCK — 1.7%
Basic Materials — 0.0%
Iron & Steel — 0.0%
Cliffs Natural Resources, Inc. 7.000%		13,542	$	310,924
Communications — 0.1%
Telecommunications — 0.1%
Crown Castle International Corp. 4.500%		5,543		554,522
Consumer, Cyclical — 0.5%
Airlines — 0.0%
Continental Airlines Finance Trust II 6.000%		1,150		55,775
Auto Manufacturers — 0.4%
Volkswagen AG 1.580%		8,632		2,425,169
Automotive & Parts — 0.1%
Mobileye NV (a) (b)		16,175		629,046
				3,109,990
Consumer, Non-cyclical — 0.1%
Foods — 0.1%
Cia Brasileira de Distribuicao Grupo Pao de Acucar Class A 1.110%		12,817		572,482
Financial — 0.7%
Banks — 0.3%
HSBC Holdings PLC 8.000%		15,000		404,100
Itau Unibanco Holding SA 3.000%		33,432		452,906
Royal Bank of Scotland Group PLC, Series M 6.400%		9,275		193,848
Royal Bank of Scotland Group PLC, Series Q 6.750%		5,175		112,142
Royal Bank of Scotland Group PLC, Series T 7.250%		13,724		329,376
US Bancorp, Series F 6.500% VRN		13,364		351,473
US Bancorp, Series G 6.000% VRN		6,837		187,129
Wells Fargo & Co. 7.500%		240		265,200
				2,296,174
Diversified Financial — 0.1%
Citigroup Capital XIII VRN 7.875%		24,692		672,857
RBS Capital Funding Trust VII, Series G 6.080%		12,621		264,789
				937,646
Real Estate — 0.1%
Forestar Group, Inc. 6.000%		13,600		380,800
Real Estate Investment Trusts (REITS) — 0.1%
Health Care REIT, Inc. 6.500%		7,500		384,450
Savings & Loans — 0.1%
GMAC Capital Trust I 8.125% VRN		30,000		802,200
				4,801,270

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

16

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

	Number of Shares		Value
Government — 0.1%
U.S. Government Agencies — 0.1%
Federal National Mortgage Association, Series S 8.250% VRN		43,210	$	378,087
Industrial — 0.1%
Aerospace & Defense — 0.1%
United Technologies Corp. 7.500%		4,500		294,615
Hand & Machine Tools — 0.0%
Stanley Black & Decker, Inc. 6.250%		1,807		186,482
				481,097
Technology — 0.0%
Semiconductors — 0.0%
Samsung Electronics Co. Ltd 1.530%.		148		142,450
Utilities — 0.1%
Electric — 0.1%
NextEra Energy, Inc. 5.599%		8,579		493,292
PPL Corp. 8.750%		7,075		374,126
				867,418
TOTAL PREFERRED STOCK (Cost $9,308,038)				11,218,240
TOTAL EQUITIES (Cost $347,947,612)				443,684,305
	Principal Amount
BONDS & NOTES — 20.1%
BANK LOANS — 1.3%
Engineering & Construction — 0.1%
Autobahn Tank & Rast GmbH, New Term Loan A EUR (f) 0.000% 12/04/18	$	315,357		433,477
Autobahn Tank & Rast GmbH, Term Loan B EUR (f) 0.000% 12/04/19		127,160		176,076
				609,553
Entertainment — 0.3%
Delta Debtco Ltd., Term Loan 9.250% 10/30/19		1,063,000		1,106,849
Univision Communications, Inc., Refi Term Loan C2 4.500% 3/01/20		688,795		692,487
				1,799,336
Iron & Steel — 0.1%
Constellium Holdco B.V., Term Loan B 6.000% 3/25/20		173,092		177,203

	Principal Amount		Value
Constellium Holdco B.V., Term Loan EUR (f) 6.500% 3/25/20	$	172,695	$	240,843
Essar Steel Algoma, Inc., ABL Term Loan 9.250% 9/19/14		208,007		209,047
				627,093
Lodging — 0.2%
Hilton Worldwide Finance LLC, Term Loan B2 3.750% 10/26/20		1,689,474		1,702,145
Oil & Gas — 0.3%
Drillships Financing Holding, Inc., Term Loan B2 5.000% 7/15/16		172,174		174,399
Drillships Financing Holding, Inc., Term Loan B1 5.500% 3/31/21		344,349		351,236
Fieldwood Energy LLC, 2nd Lien Term Loan 8.375% 9/30/20		471,533		480,964
Obsidian Natural Gas Trust, Term Loan 7.000% 11/02/15		450,683		455,190
Sheridan Investment Partners II LP, Term Loan A 1.000% 12/11/20		98,667		99,037
Sheridan Investment Partners II LP, Term Loan B 1.000% 12/16/20		709,467		712,127
Sheridan Investment Partners II LP, Term Loan M 1.000% 12/16/20		36,800		36,938
				2,309,891
Oil & Gas Services — 0.1%
GNL Quintero SA, Term Loan 1.250% 6/20/23		423,402		353,964
Pharmaceuticals — 0.1%
Valeant Pharmaceuticals International, Inc., Term Loan E 4.500% 8/05/20		469,453		472,288
Telecommunications — 0.1%
Cricket Communications, Inc., Term Loan C 4.750% 3/09/20		432,825		434,266
TOTAL BANK LOANS (Cost $8,129,703)				8,308,536
CORPORATE DEBT — 7.2%
Agriculture — 0.1%
BAT International Finance PLC (e) 2.125% 6/07/17		336,000		339,768

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

17

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

	Principal Amount		Value
Auto Manufacturers — 0.3%
Daimler Finance NA LLC FRN (e) 0.843% 1/09/15	$	528,000	$	529,768
Daimler Finance NA LLC (e) 1.300% 7/31/15		180,000		181,056
Volkswagen International Finance NV EUR (e) (f) 5.500% 11/09/15		800,000		1,361,392
				2,072,216
Banks — 1.2%
Banco Bradesco SA/Cayman Islands (e) 4.500% 1/12/17		400,000		423,000
Banco Santander Chile FRN (e) 2.117% 6/07/18		460,000		461,380
Bank of America Corp. FRN 1.316% 3/22/18		264,000		267,506
Bank of America Corp. 1.350% 11/21/16		282,000		281,884
Bank of America Corp. 2.000% 1/11/18		492,000		491,127
BNP Paribas SA 2.400% 12/12/18		1,033,000		1,033,657
CIT Group, Inc. (e) 4.750% 2/15/15		395,000		409,319
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands 3.950% 11/09/22		251,000		243,217
Deutsche Bank Capital Funding Trust VII VRN (e) 5.628% 12/31/49		83,000		85,490
Export-Import Bank of Korea 1.250% 11/20/15		211,000		211,650
HSBC USA, Inc. 1.625% 1/16/18		366,000		360,897
Intesa Sanpaolo SpA 3.125% 1/15/16		540,000		550,293
Intesa Sanpaolo SpA 3.875% 1/16/18		200,000		204,796
Lloyds Bank PLC 2.300% 11/27/18		200,000		199,481
Lloyds TSB Bank PLC VRN GBP (f) 13.000% 12/31/49		565,000		1,486,219
Nordea Bank AB (e) 3.125% 3/20/17		280,000		292,791
UBS AG 5.875% 12/20/17		200,000		229,505
USB Capital IX VRN 3.500% 10/29/49		497,000		385,175
				7,617,387
Beverages — 0.0%
Anheuser-Busch InBev Worldwide, Inc. 1.375% 7/15/17		264,000		263,446

	Principal Amount		Value
Biotechnology — 0.4%
Cubist Pharmaceuticals, Inc., Convertible 2.500% 11/01/17	$	218,000	$	530,285
Gilead Sciences, Inc., Convertible 1.625% 5/01/16		640,000		2,110,800
				2,641,085
Building Materials — 0.1%
Building Materials Corp. of America (e) 6.875% 8/15/18		114,000		121,125
Texas Industries, Inc. 9.250% 8/15/20		220,000		245,025
				366,150
Chemicals — 0.0%
Phibro Animal Health Corp. (e) 9.250% 7/01/18		54,000		57,510
Coal — 0.1%
Bumi Investment Pte Ltd. (e) 10.750% 10/06/17		251,000		170,680
Consol Energy, Inc. 8.000% 4/01/17		550,000		579,562
				750,242
Computers — 0.2%
Apple, Inc. 1.000% 5/03/18		828,000		800,632
SanDisk Corp., Convertible (e) 0.500% 10/15/20		105,000		103,950
SunGard Data Systems, Inc. 7.375% 11/15/18		285,000		301,744
				1,206,326
Diversified Financial — 0.8%
Ally Financial, Inc. 2.750% 1/30/17		518,000		519,943
Ally Financial, Inc. 3.500% 7/18/16		359,000		370,432
Ally Financial, Inc. 4.500% 2/11/14		256,000		256,960
Capital One Bank USA NA 2.150% 11/21/18		360,000		358,074
Citigroup, Inc. VRN 5.950% 12/31/49		267,000		247,069
Credit Suisse Group Guernsey I Ltd. VRN (d) 7.875% 2/24/41		310,000		337,125
Ford Motor Credit Co. LLC 2.375% 1/16/18		366,000		369,645
General Electric Capital Corp. 5.550% 5/04/20		245,000		281,928
General Electric Capital Corp. VRN 6.250% 12/31/49		500,000		516,250
General Electric Capital Corp. VRN 6.375% 11/15/67		103,000		111,755

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

18

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

	Principal Amount		Value
Hyundai Capital America (e) 2.125% 10/02/17	$	223,000	$	221,475
JPMorgan Chase & Co. VRN 5.150% 12/31/49		664,000		595,940
JPMorgan Chase & Co. 6.125% 6/27/17		256,000		290,769
Merrill Lynch & Co., Inc. 6.875% 4/25/18		325,000		384,270
Morgan Stanley 7.300% 5/13/19		216,000		262,312
				5,123,947
Electric — 0.0%
Empresa Distribuidora Y Comercializadora Norte (e) 9.750% 10/25/22		80,000		54,200
Electrical Components & Equipment — 0.1%
Suzlon Energy Ltd., Convertible (g) 0.000% 10/11/12		341,000		208,010
Suzlon Energy Ltd., Convertible 0.000% 7/25/14		465,000		269,700
				477,710
Engineering & Construction — 0.1%
Odebrecht Finance Ltd. (e) 5.125% 6/26/22		200,000		195,750
Odebrecht Offshore Drilling Finance Ltd. (e) 6.750% 10/01/22		489,346		500,846
				696,596
Entertainment — 0.1%
Delta Topco Ltd. (b) 10.000% 11/24/60		661,798		641,831
Foods — 0.1%
Olam International Ltd., Convertible (d) 6.000% 10/15/16		500,000		493,750
Forest Products & Paper — 0.1%
International Paper Co. 7.950% 6/15/18		258,000		313,390
TFS Corp. Ltd. (Acquired 6/21/11, Cost $600,000) (e) (h) 11.000% 7/15/18		600,000		570,000
				883,390
Health Care – Services — 0.2%
Bio City Development Co. B.V. (Acquired 7/06/11, Cost $1,400,000) (e) (h) 8.000% 7/06/18		1,400,000		1,190,000
Brookdale Senior Living, Inc., Convertible 2.750% 6/15/18		73,000		86,687

	Principal Amount		Value
DaVita, Inc. 6.375% 11/01/18	$	101,000	$	106,050
				1,382,737
Holding Company – Diversified — 0.1%
Hutchison Whampoa International 11 Ltd. (e) 3.500% 1/13/17		348,000		363,197
REI Agro Ltd., Convertible (Acquired 12/02/09, Cost $614,910) (e) (h) 5.500% 11/13/14		618,000		310,545
Wharf Finance 2014 Ltd. HKD (f) 2.300% 6/07/14		2,000,000		258,566
				932,308
Internet — 0.0%
SINA Corp/China, Convertible (e) 1.000% 12/01/18		208,000		211,250
Media — 0.2%
Cablevision Systems Corp. 5.875% 9/15/22		223,000		213,523
Nara Cable Funding Ltd. EUR (e) (f) 8.875% 12/01/18		300,000		447,410
NBCUniversal Enterprise, Inc. (e) 5.250% 12/31/49		300,000		297,000
Ono Finance II PLC (e) 10.875% 7/15/19		153,000		167,535
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (e) 5.500% 1/15/23		202,000		195,940
				1,321,408
Mining — 0.1%
FMG Resources Property Ltd. (e) 6.000% 4/01/17		219,000		232,687
FMG Resources Property Ltd. (e) 6.875% 4/01/22		103,000		112,270
FMG Resources Property Ltd. (e) 8.250% 11/01/19		102,000		114,495
				459,452
Office Equipment/Supplies — 0.0%
Xerox Corp. 6.350% 5/15/18		207,000		236,576
Oil & Gas — 0.5%
Cobalt International Energy, Inc., Convertible 2.625% 12/01/19		807,000		713,691
Essar Energy PLC, Convertible 4.250% 2/01/16		400,000		301,000
OGX Petroleo e Gas Participacoes SA (e) (g) 8.500% 6/01/18		1,605,000		128,400

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

19

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

	Principal Amount		Value
Petrobras Global Finance BV 2.000% 5/20/16	$	209,000	$	208,835
Petrobras Global Finance BV FRN 2.384% 1/15/19		1,005,000		984,900
Reliance Holdings USA, Inc. (e) 4.500% 10/19/20		323,000		319,153
YPF SA (e) 8.875% 12/19/18		458,000		478,037
				3,134,016
Packaging & Containers — 0.0%
Crown Cork & Seal Co., Inc. 7.500% 12/15/96		77,000		71,225
Pharmaceuticals — 0.3%
BioMarin Pharmaceutical, Inc., Convertible 0.750% 10/15/18		127,000		134,541
BioMarin Pharmaceutical, Inc., Convertible 1.500% 10/15/20		127,000		135,811
Capsugel FinanceCo SCA EUR (e) (f) 9.875% 8/01/19		100,000		153,734
Mylan, Inc. /PA 2.550% 3/28/19		276,000		273,245
Mylan, Inc. /PA, Convertible 3.750% 9/15/15		429,000		1,406,584
				2,103,915
Pipelines — 0.0%
Sabine Pass Liquefaction LLC (e) 5.625% 4/15/23		252,000		235,620
Real Estate — 0.4%
CapitaLand Ltd. SGD (e) (f) 1.950% 10/17/23		500,000		390,269
CapitaLand Ltd., Convertible SGD (d) (f) 2.100% 11/15/16		750,000		593,873
CapitaLand Ltd., Convertible SGD (d) (f) 2.950% 6/20/22		1,500,000		1,181,208
Forest City Enterprises, Inc., Convertible 4.250% 8/15/18		370,000		411,625
Sun Hung Kai Properties Capital Market Ltd. (d) 4.500% 2/14/22		200,000		200,723
				2,777,698
Savings & Loans — 0.5%
Dana Gas Sukuk Ltd., Convertible (e) 7.000% 10/31/17		1,284,360		1,424,343
Dana Gas Sukuk Ltd. (e) 9.000% 10/31/17		1,225,090		1,169,961
Odebrecht Drilling Norbe VIII/IX Ltd. (e) 6.350% 6/30/21		210,600		215,865

	Principal Amount		Value
Zeus Cayman II JPY (d) (f) 0.000% 8/18/16	$	28,000,000	$	463,232
				3,273,401
Software — 0.2%
Salesforce.com, Inc., Convertible (e) 0.250% 4/01/18		710,000		771,681
Take-Two Interactive Software, Inc., Convertible 1.750% 12/01/16		498,000		574,568
				1,346,249
Telecommunications — 0.9%
AT&T, Inc. 2.375% 11/27/18		876,000		876,752
Colombia Telecomunicaciones SA (e) 5.375% 9/27/22		216,000		201,960
Cricket Communications, Inc. 7.750% 10/15/20		269,000		306,660
Hughes Satellite Systems Corp. 7.625% 6/15/21		103,000		114,845
Intelsat Jackson Holdings SA 7.500% 4/01/21		442,000		487,305
Telecom Italia Finance SA EUR (d) (f) 6.125% 11/15/16		500,000		720,832
Verizon Communications, Inc. FRN 1.993% 9/14/18		2,810,000		2,954,709
Ziggo NV EUR (e) (f) 3.625% 3/27/20		123,000		169,211
				5,832,274
Transportation — 0.1%
Inversiones Alsacia SA (Acquired 2/18/11, Cost $566,000) (e) (h) 8.000% 8/18/18		322,659		233,928
Viterra, Inc. (e) 5.950% 8/01/20		139,000		147,631
				381,559
TOTAL CORPORATE DEBT (Cost $43,722,806)				47,385,242
SOVEREIGN DEBT OBLIGATIONS — 5.3%
Australia Government Bond AUD (f) 5.500% 4/21/23		3,476,000		3,428,805
Brazil Notas do Tesouro Nacional Serie B BRL (f) 6.000% 8/15/22		1,548,000		1,511,984
Brazil Notas do Tesouro Nacional Serie B BRL (f) 6.000% 8/15/24		852,000		828,082
Brazil Notas do Tesouro Nacional Serie F BRL (f) 10.000% 1/01/23		7,223,000		2,585,786

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

20

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

	Principal Amount		Value
Bundesrepublik Deutschland EUR (f) 3.500% 7/04/19	$	3,164,161	$	4,917,445
Canadian Government Bond CAD (f) 1.500% 3/01/17		999,000		944,002
Canadian Government Bond CAD (f) 3.500% 6/01/20		737,000		745,971
Canadian Government Bond CAD (f) 4.000% 6/01/16		605,000		607,933
Malaysia Government Bond MYR (f) 5.094% 4/30/14		3,440,000		1,057,159
Mexico Government International Bond 5.950% 3/19/19		274,000		316,470
Netherlands Government Bond (e) 1.000% 2/24/17		691,000		691,379
Queensland Treasury Corp. AUD (f) 6.000% 9/14/17		2,483,000		2,423,243
Queensland Treasury Corp. AUD (f) 6.000% 6/14/21		1,100,000		1,092,604
Republic of Brazil International Bond 5.875% 1/15/19		100,000		112,000
Republic of Germany EUR (f) 4.250% 7/04/17		4,030,192		6,258,443
United Kingdom Gilt GBP (d) (f) 1.250% 7/22/18		4,532,665		7,299,079
Vnesheconombank Via VEB Finance PLC (e) 6.025% 7/05/22		200,000		204,000
				35,024,385
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $37,318,801)				35,024,385
U.S. TREASURY OBLIGATIONS — 6.3%
U.S. Treasury Bonds & Notes — 6.3%
U.S. Treasury Note 0.250% 3/31/15		3,463,100		3,464,994
U.S. Treasury Note (i) 0.625% 9/30/17		2,759,600		2,702,144
U.S. Treasury Note 1.000% 5/31/18		5,248,600		5,134,061
U.S. Treasury Note 1.250% 10/31/18		8,075,900		7,917,747
U.S. Treasury Note 1.250% 11/30/18		3,307,300		3,236,460
U.S. Treasury Note 1.375% 7/31/18		5,161,700		5,115,729
U.S. Treasury Note 1.375% 9/30/18		1,495,900		1,477,610
U.S. Treasury Note 1.500% 12/31/18		2,739,700		2,708,357
U.S. Treasury Note 1.750% 5/15/22		1,032,800		955,004

	Principal Amount		Value
U.S. Treasury Note 2.000% 11/15/21	$	853,900	$	814,997
U.S. Treasury Note (j) 2.250% 3/31/16		4,429,000		4,605,468
U.S. Treasury Note 2.500% 8/15/23		2,592,200		2,489,322
U.S. Treasury Note 2.750% 11/15/23		679,600		664,822
				41,286,715
TOTAL U.S. TREASURY OBLIGATIONS (Cost $41,748,233)				41,286,715
TOTAL BONDS & NOTES (Cost $130,919,543)				132,004,878
	Number of Shares
MUTUAL FUNDS — 1.2%
Diversified Financial — 1.2%
BlackRock Liquidity Funds TempFund Portfolio		34,091		34,091
ETFS Gold Trust (a)		14,400		1,704,384
ETFS Physical Palladium Shares (a)		4,904		342,348
ETFS Platinum Trust (a)		4,140		554,305
iShares Gold Trust (a)		145,800		1,702,944
Market Vectors — Gold Miners ETF		54,299		1,146,795
SPDR Gold Trust (a)		19,264		2,237,899
				7,722,766
TOTAL MUTUAL FUNDS (Cost $10,331,498)				7,722,766
	Units
PURCHASED OPTIONS — 0.5%
Basic Materials — 0.0%
Mining — 0.0%
Agnico-Eagle Mines Ltd., Call, Expires 1/17/14, Strike 85.00		33,807		-
Alcoa, Inc., Call, Expires 1/17/14, Strike 15.00		81,738		316
AngloGold Ashanti Ltd., Call, Expires 1/17/14, Strike 65.00		40,090		-
Barrick Gold Corp., Call, Expires 1/18/14, Strike 80.00		1,780		1,780
Coeur d’Alene Mines Corp., Call, Expires 1/17/14, Strike 40.00		16,040		-
Eldorado Gold Corp., Call, Expires 1/17/14, Strike 25.00		47,598		-
Endeavour Silver Corp., Call, Expires 1/17/14, Strike 20.00		12,745		-

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

21

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

	Units		Value
First Majestic Silver Corp., Call, Expires 1/17/14, Strike 35.00		8,053	$	-
Freeport-McMoRan Copper & Gold Inc., Call, Expires 1/17/14, Strike 64.00		98,524		-
Freeport-McMoRan Copper & Gold Inc., Call, Expires 2/22/14, Strike 34.00		215		82,990
Gold Fields Ltd., Call, Expires 1/17/14, Strike 22.00		98,403		-
Goldcorp, Inc., Call, Expires 1/18/14, Strike 80.00		1,113		2,226
Harmony Gold Mining Co., Call, Expires 1/17/14, Strike 15.00		25,098		-
Kinross Gold Corp., Call, Expires 1/17/14, Strike 20.00		182,228		-
New Gold Inc., Call, Expires 1/17/14, Strike 22.00		26,999		-
Newmont Mining Corp., Call, Expires 1/18/14, Strike 90.00		1,424		1,424
NovaGold Resources Inc., Call, Expires 1/17/14, Strike 12.00		24,949		-
Pan American Silver Corp., Call, Expires 1/17/14, Strike 50.00		45,521		-
Randgold Resources Ltd., Call, Expires 1/17/14, Strike 165.00		6,144		-
Royal Gold, Inc., Call, Expires 1/17/14, Strike 125.00		6,055		-
Silver Standard Resources Inc., Call, Expires 1/17/14, Strike 30.00		11,145		-
Silver Wheaton Corp., Call, Expires 1/17/14, Strike 55.00		45,715		-
Silvercorp Metals Inc., Call, Expires 1/17/14, Strike 15.00		25,999		-
Stillwater Mining Co., Call, Expires 1/17/14, Strike 25.00		29,156		-
Yamana Gold Inc., Call, Expires 1/17/14, Strike 30.00		109,426		-
				88,736
Communications — 0.0%
Telecommunications — 0.0%
Corning Inc., Call, Expires 1/17/14, Strike 20.00		52,272		1,873
QUALCOMM, Inc., Call, Expires 1/17/14, Strike 95.00		72,981		598
				2,471
Consumer, Cyclical — 0.0%
Lodging — 0.0%
Starwood Hotels & Resorts Worldwide, Inc., Call, Expires 1/17/14, Strike 85.00		10,947		1,085
Retail — 0.0%
AutoZone, Inc., Call, Expires 1/17/14, Strike 550.00		3,430		116

	Units		Value
J.C. Penney Company, Inc., Call, Expires 1/17/14, Strike 55.00		51,086	$	-
McDonald’s Corp., Call, Expires 1/17/14, Strike 135.00		32,841		228
Staples, Inc., Call, Expires 1/17/14, Strike 20.00		126,649		639
Yum! Brands, Inc., Call, Expires 1/17/14, Strike 100.00		25,543		201
				1,184
				2,269
Consumer, Non-cyclical — 0.1%
Beverages — 0.0%
Monster Beverage Corp., Call, Expires 1/17/14, Strike 105.00		25,543		-
The Coca-Cola Co., Call, Expires 1/16/15, Strike 45.00		134,916		157,177
				157,177
Commercial Services — 0.1%
The Western Union Co., Call, Expires 1/17/14, Strike 25.00		25,543		-
Visa Inc., Call, Expires 1/17/14, Strike 190.00		8,275		270,538
				270,538
Health Care – Services — 0.0%
Humana Inc., Call, Expires 1/16/15 Strike 130.00		13,498		44,543
UnitedHealth Group Inc., Call, Expires 1/17/14, Strike 85.00		36,490		1,205
				45,748
Pharmaceuticals — 0.0%
Cubist Pharmaceuticals, Inc., Put, Expires 1/18/14, Strike 55.00		68		952
Merck & Co., Inc., Call, Expires 1/16/15, Strike 55.00		134,916		206,421
Takeda Pharmaceutical Co. Ltd., Call, Expires 1/29/15 Strike 5,108.80 Morgan Stanley & Co. (Japan)		8,000		13,964
Takeda Pharmaceutical Co. Ltd., Call, Expires 10/09/14 Strike 4,906.34 Goldman Sachs International (Japan)		8,148		19,178
				240,515
				713,978
Energy — 0.0%
Oil & Gas — 0.0%
Anadarko Petroleum Corp., Call, Expires 2/22/14, Strike 97.50		104		936
Anadarko Petroleum Corp., Call, Expires 5/16/14, Strike 82.50		33,727		148,399
Anadarko Petroleum Corp., Call, Expires 7/19/14, Strike 85.00		20,290		92,745

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

22

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

	Units		Value
QEP Resources, Inc., Call, Expires 4/17/14, Strike 35.00		33,700	$	20,468
TOTAL S.A., Call, Expires 1/17/14, Strike 30.00		3,987		-
				262,548
Oil & Gas Services — 0.0%
Halliburton Co., Call, Expires 1/17/14, Strike 55.00		17,462		1,456
				264,004
Financial — 0.4%
Banks — 0.1%
Bank of America Corp., Call, Expires 1/17/15, Strike 17.00		171,190		201,148
Diversified Financial — 0.3%
3-Month USD LIBOR BBA 2 Year Swaption, Call, Expires 12/17/15, Strike 3.50% (OTC — Goldman Sachs & Co., receive fixed rate); Underlying swap terminates 12/21/23		16,420,000		126,599
3-Month USD LIBOR BBA 5 Year Swaption, Call, Expires 6/03/14, Strike 1.60% (OTC — Goldman Sachs & Co., receive fixed rate); Underlying swap terminates 6/05/19		34,483,913		59,169
3-Month USD LIBOR BBA 5 Year Swaption, Call, Expires 6/03/14, Strike 1.60% (OTC — Goldman Sachs & Co., receive fixed rate); Underlying swap terminates 6/05/19		34,483,313		59,168
3-Month USD LIBOR BBA 5 Year Swaption, Call, Expires 6/04/14, Strike 1.65% (OTC— Deutsche Bank AG, receive fixed rate); Underlying swap terminates 6/06/19		8,612,800		18,833
Citigroup, Inc., Call, Expires 1/16/15, Strike 60.00		47,933		115,758
6-Month Japanese Yen LIBOR rate BBA 5 year Swaption, Put, Expires 12/17/18, Strike 1.60% (OTC — Goldman Sachs & Co., pay fixed rate); Underlying swap terminates 12/19/23		136,980,000		27,866
6-Month Japanese Yen LIBOR rate BBA 5 year Swaption, Put, Expires 4/04/18, Strike 1.07% (OTC — Deutsche Bank AG, pay fixed rate); Underlying swap terminates 4/06/23		143,913,000		31,787
JPMorgan Chase & Co., Call, Expires 1/16/15, Strike 65.00		85,595		201,148
S&P 500 Index, Put, Expires 1/18/14, Strike 1,720.00 Morgan Stanley & Co.		55		10,175

	Units		Value
S&P 500 Index, Put, Expires 1/18/14, Strike 1,740.00		18	$	4,140
S&P 500 Index, Put, Expires 2/21/14, Strike 1,740.74 JPMorgan Chase Bank		1,810		16,853
S&P 500 Index, Put, Expires 2/21/14, Strike 1,744.05 BNP Paribas SA		1,930		17,878
S&P 500 Index, Put, Expires 2/21/14, Strike 1,745.90 Credit Suisse International		1,926		18,477
S&P 500 Index, Put, Expires 2/21/14, Strike 1,751.84 Goldman Sachs & Co.		1,910		19,151
SPDR Barclays Capital Aggregate Bond ETF, Call, Expires 1/17/14, Strike 30.00		42,331		-
Topix Index, Call, Expires 03/14/14, Strike 1,271.41		194,810		104,749
Topix Index, Call, Expires 4/11/14, Strike 1,157.50		210,463		291,979
Topix Index, Call, Expires 5/09/14, Strike 1,164.04		1,781		288,325
Topix Index, Call, Expires 6/13/14, Strike 1,153.54		1,405		247,921
Topix Index, Call, Expires 7/11/14, Strike 1,291.10		245,182		158,370
Topix Index, Call, Expires 9/12/14, Strike 1,246.74		193,038		181,478
				1,999,824
Insurance — 0.0%
MetLife, Inc., Call, Expires 1/17/15, Strike 50.00		61		43,920
Prudential Financial, Inc., Call, Expires 1/17/15, Strike 82.50		40		56,600
				100,520
				2,301,492
Industrial — 0.0%
Aerospace & Defense — 0.0%
United Technologies Corp., Call, Expires 1/17/14, Strike 120.00		27,733		1,124
Machinery – Construction & Mining — 0.0%
Caterpillar Inc., Call, Expires 1/17/14, Strike 135.00		47,437		188
Manufacturing — 0.0%
General Electric Co., Call, Expires 1/17/14, Strike 35.00		182,452		624
Siemens AG, Call, Expires 1/16/15, Strike 150.00		16,864		104,557
				105,181
				106,493

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

23

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

	Units		Value
Technology — 0.0%
Computers — 0.0%
EMC Corp., Call, Expires 1/17/14, Strike 40.00		127,716	$	-
Hewlett-Packard Co., Call, Expires 1/17/14, Strike 30.00		106,747		12,292
International Business Machines Corp., Call, Expires 1/17/14, Strike 295.00		18,975		144
NetApp Inc., Call, Expires 1/17/14, Strike 60.00		59,844		478
				12,914
Semiconductors — 0.0%
Marvell Technology Group Ltd., Call, Expires 1/17/14, Strike 20.00		105,822		-
Broadcom Corp., Call, Expires 1/17/14, Strike 55.00		43,788		-
Intel Corp., Call, Expires 1/17/14, Strike 40.00		182,452		700
				700
Software — 0.0%
Activision Blizzard, Inc., Call, Expires 1/17/14, Strike 20.00		45,248		743
Oracle Corp., Call, Expires 1/16/15, Strike 42.00		67,458		122,436
				123,179
				136,793
TOTAL PURCHASED OPTIONS (Cost $5,230,157)				3,616,236
	Number of Shares
WARRANTS — 0.0%
Financial — 0.0%
Insurance — 0.0%
TFS Corp. Ltd., Expires 7/15/18, Strike 1.28		222,000		59,343
TOTAL WARRANTS (Cost $0)				59,343
TOTAL LONG-TERM INVESTMENTS (Cost $494,428,810)				587,087,528

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 10.0%
Certificate of Deposit — 0.1%
Banco Del Estado De Chile 2.030% 4/02/15	$	475,000	$	473,927
Sovereign Debt Obligations — 1.6%
Japan Treasury Discount Bill JPY (f) 0.000% 3/17/14		140,000,000		1,329,244
Japan Treasury Discount Bill JPY (f) 0.000% 1/27/14		210,000,000		1,994,024
Japan Treasury Discount Bill JPY (f) 0.000% 2/10/14		180,000,000		1,709,080
Japan Treasury Discount Bill JPY (f) 0.000% 1/15/14		60,000,000		569,728
Mexico Cetes MXN (f) 0.000% 5/29/14		3,431,610		259,257
Mexico Cetes MXN (f) 0.000% 3/20/14		10,270,000		780,869
Mexico Cetes MXN (f) 0.000% 4/03/14		10,260,000		779,056
Mexico Cetes MXN (f) 0.000% 4/30/14		4,788,700		362,697
Mexico Cetes MXN (f) 0.000% 3/20/14		3,420,000		260,015
Mexico Cetes MXN (f) 0.000% 5/15/14		5,471,888		413,755
Mexico Cetes MXN (f) 0.000% 4/30/14		8,974,360		679,451
Mexico Cetes MXN (f) 0.000% 1/09/14		8,477,140		648,710
Mexico Cetes MXN (f) 0.000% 2/06/14		9,386,000		716,104
				10,501,990
Time Deposits — 0.0%
Brown Brothers Time Deposit 0.030% 1/02/14		63,453		63,453
U.S. Treasury Bills — 8.3%
U.S. Treasury Bill 0.000% 2/13/14		1,400,000		1,399,992
U.S. Treasury Bill 0.000% 2/06/14		1,000,000		999,980
U.S. Treasury Bill 0.000% 1/16/14		2,200,000		2,199,968
U.S. Treasury Bill 0.000% 2/06/14		800,000		799,972
U.S. Treasury Bill 0.000% 1/16/14		500,000		499,992
U.S. Treasury Bill 0.000% 2/06/14		3,800,000		3,799,791
U.S. Treasury Bill 0.000% 5/01/14		17,000,000		16,996,742

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

24

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

	Principal Amount		Value
U.S. Treasury Bill 0.000% 5/15/14	$	17,000,000	$	16,996,362
U.S. Treasury Bill 0.000% 5/01/14		1,000,000		999,783
U.S. Treasury Bill 0.000% 4/10/14		2,000,000		1,999,615
U.S. Treasury Bill 0.000% 5/08/14		1,300,000		1,299,679
U.S. Treasury Bill 0.000% 2/13/14		2,000,000		1,999,825
U.S. Treasury Bill 0.000% 4/03/14		1,500,000		1,499,693
U.S. Treasury Bill 0.000% 6/19/14		3,000,000		2,998,803
				54,490,197
TOTAL SHORT-TERM INVESTMENTS (Cost $65,872,363)				65,529,567
TOTAL INVESTMENTS — 99.6% (Cost $560,301,173) (k)				652,617,095
Other Assets/(Liabilities) — 0.4%				2,318,090
NET ASSETS — 100.0%			$	654,935,185

Notes to Consolidated Portfolio of Investments

ADR American Depositary Receipt

ADS American Depositary Share

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

ETF Exchange-Traded Fund

EUR Euro

FRN Floating Rate Note

GBP British Pound

GDR Global Depositary Receipt

HKD Hong Kong Dollar

JPY Japanese Yen

MXN Mexican Peso

MYR Malaysian Ringgit

SGD Singapore Dollar

VRN Variable Rate Note

(a) Non-income producing security.

(b) This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At December 31, 2013, these securities amounted to a value of $7,986,411 or 1.22% of net assets.

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

(d) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At December 31, 2013, these securities amounted to a value of $11,973,261 or 1.83% of net assets.

(e) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2013, these securities amounted to a value of $16,891,489 or 2.58% of net assets.

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

(g) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At December 31, 2013, these securities amounted to a value of $336,410 or 0.05% of net assets.

(h) Restricted security. Certain securities are restricted as to resale. At December 31, 2013, these securities amounted to a value of $2,304,473 or 0.35% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(i) This security is held as collateral for securities sold short. (Note 2).

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

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

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

25

MassMutual Select BlackRock Global Allocation Fund – Consolidated Financial Statements

Consolidated Statement of Assets and Liabilities

December 31, 2013

Assets:
Investments, at value (Note 2) (a)	$	587,087,528
Short-term investments, at value (Note 2) (b)		65,529,567
Total investments		652,617,095
Foreign currency, at value (c)		272,746
Receivables from:
Investments sold		5,080,588
Collateral held for open futures contracts (Note 2)		910,000
Collateral held for open swap agreements (Note 2)		285,000
Open forward foreign currency contracts (Note 2)		1,019,548
Investment adviser		82,298
Fund shares sold		1,228,508
Interest and dividends		1,891,689
Foreign taxes withheld		247,640
Open swap agreements, at value (Note 2)		116,535
Total assets		663,751,647
Liabilities:
Payables for:
Investments purchased		3,896,847
Written options outstanding, at value (Note 2) (d)		1,499,680
Open forward foreign currency contracts (Note 2)		153,658
Fund shares repurchased		1,824
Interest and dividends		5,350
Open swap agreements, at value (Note 2)		96,460
Trustees’ fees and expenses (Note 3)		81,222
Variation margin on open derivative instruments (Note 2)		162,662
Collateral pledged for open swap agreements (Note 2)		1,900,000
Collateral pledged for securities sold short		256,390
Affiliates (Note 3):
Investment management fees		458,955
Administration fees		40,569
Service fees		5,318
Due to custodian		45,692
Accrued expense and other liabilities		211,835
Total liabilities		8,816,462
Net assets	$	654,935,185
Net assets consist of:
Paid-in capital	$	556,530,572
Distributions in excess of net investment income		(394,766	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		7,099,690
Net unrealized appreciation (depreciation) on investments and foreign currency translations		91,699,689
Net assets	$	654,935,185
(a)        Cost of investments:	$	494,428,810
(b)        Cost of short-term investments:	$	65,872,363
(c)        Cost of foreign currency:	$	273,155
(d)        Premiums on written options:	$	1,138,223

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

26

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

Consolidated Statement of Assets and Liabilities

December 31, 2013

Class S shares:
Net assets	$	615,382,501
Shares outstanding (a)		52,401,046
Net asset value, offering price and redemption price per share	$	11.74
Class Y shares:
Net assets	$	11,657,878
Shares outstanding (a)		993,075
Net asset value, offering price and redemption price per share	$	11.74
Class L shares:
Net assets	$	19,050,691
Shares outstanding (a)		1,584,085
Net asset value, offering price and redemption price per share	$	12.03
Class A shares:
Net assets	$	8,844,115
Shares outstanding (a)		756,682
Net asset value and redemption price per share	$	11.69
Offering price per share (100/[100-maximum sales charge] of net asset value)	$	12.40

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

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

27

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

Consolidated Statement of Operations

For the Year Ended December 31, 2013

Investment income (Note 2):
Dividends (a)	$	8,325,517
Interest		3,557,226
Total investment income		11,882,743
Expenses (Note 3):
Investment management fees		5,059,071
Custody fees		460,922
Dividend expense on short sales		5,205
Audit fees		120,018
Legal fees		9,931
Proxy fees		1,028
Shareholder reporting fees		43,897
Trustees’ fees		49,482
Subsidiary administration fees		29,815
		5,779,369
Administration fees:
Class S		291,532
Class Y		22,464
Class L		61,339
Class A		22,593
Service fees:
Class A		18,827
Total expenses		6,196,124
Expenses waived (Note 3):
Class S fees reimbursed by adviser		(552,930	)
Class Y fees reimbursed by adviser		(14,202	)
Class L fees reimbursed by adviser		(19,390	)
Class A fees reimbursed by adviser		(7,142	)
Class S administrative fees waived		(255	)
Class Y administrative fees waived		(7	)
Class L administrative fees waived		(9	)
Class A administrative fees waived		(3	)
Class S management fees waived		(47,437	)
Class Y management fees waived		(1,218	)
Class L management fees waived		(1,663	)
Class A management fees waived		(613	)
Subsidiary expenses waived (Note 3)		(58,554	)
Net expenses		5,492,701
Net investment income (loss)		6,390,042
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investment transactions		28,379,992
Futures contracts		(379,298	)
Written options		1,923,263
Securities sold short		(267,273	)
Swap agreements		(568,371	)
Foreign currency transactions		2,962,194
Net realized gain (loss)		32,050,507
Net change in unrealized appreciation (depreciation) on:
Investment transactions		48,443,332
Futures contracts		(1,068,470	)
Written options		(659,210	)
Swap agreements		(194,689	)
Translation of assets and liabilities in foreign currencies		575,163
Net change in unrealized appreciation (depreciation)		47,096,126
Net realized gain (loss) and change in unrealized appreciation (depreciation)		79,146,633
Net increase (decrease) in net assets resulting from operations	$	85,536,675
(a)        Net of withholding tax of:	$	338,318

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

28

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

Consolidated Statements of Changes in Net Assets

	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets:
Operations:
Net investment income (loss)	$	6,390,042		$	8,885,997
Net realized gain (loss) on investment transactions		32,050,507			977,171
Net change in unrealized appreciation (depreciation) on investments		47,096,126			46,076,106
Net increase (decrease) in net assets resulting from operations		85,536,675			55,939,274
Distributions to shareholders (Note 2):
From net investment income:
Class S		(7,665,490	)		(8,985,100	)
Class Y		(126,870	)		(249,972	)
Class L		(177,667	)		(349,768	)
Class A		(73,326	)		(79,199	)
Total distributions from net investment income		(8,043,353	)		(9,664,039	)
From net realized gains:
Class S		(20,384,732	)		(1,380,435	)
Class Y		(383,749	)		(36,645	)
Class L		(613,968	)		(62,442	)
Class A		(293,458	)		(15,048	)
Total distributions from net realized gains		(21,675,907	)		(1,494,570	)
Net fund share transactions (Note 5):
Class S		16,215,029			(21,325,927	)
Class Y		(5,917,479	)		14,429,540
Class L		(6,165,596	)		21,811,385
Class A		2,176,404			3,691,231
Increase (decrease) in net assets from fund share transactions		6,308,358			18,606,229
Total increase (decrease) in net assets		62,125,773			63,386,894
Net assets
Beginning of year		592,809,412			529,422,518
End of year	$	654,935,185		$	592,809,412
Distributions in excess of net investment income included in net assets at end of year	$	(394,766	)	$	(1,691,881	)

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

29

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

Consolidated Financial Highlights (For a share outstanding throughout each period)

			Income (loss) from investment operations									Less distributions to shareholders
	Net asset value, beginning of the period		Net investment income (loss)c,j			Net realized and unrealized gain (loss) on investments			Total income (loss) from investment operations			From net investment income			From net realized gains			Tax return of capital			Total distributions			Net asset value, end of the period		Total Returnl,m
Class S
12/31/13w	$	10.73	$	0.12		$	1.44		$	1.56		$	(0.15	)	$	(0.40	)	$	-		$	(0.55	)	$	11.74		14.65%
12/31/12w		9.93		0.17			0.84			1.01			(0.18	)		(0.03	)		-			(0.21	)		10.73		10.13%
12/31/11w		10.79		0.19			(0.63	)		(0.44	)		(0.24	)		(0.18	)		-			(0.42	)		9.93		(4.07%	)
12/31/10		9.90		0.16			0.83			0.99			(0.10	)		-			-			(0.10	)		10.79		10.03%
12/31/09g		10.00		0.01			(0.11	)		(0.10	)		-			-			(0.00	)d		(0.00	)d		9.90		(0.96%	)b
Class Y
12/31/13w	$	10.72	$	0.11		$	1.44		$	1.55		$	(0.13	)	$	(0.40	)	$	-		$	(0.53	)	$	11.74		14,48%
12/31/12w		9.93		0.15			0.85			1.00			(0.18	)		(0.03	)		-			(0.21	)		10.72		10.10%
12/31/11w		10.78		0.18			(0.63	)		(0.45	)		(0.22	)		(0.18	)		-			(0.40	)		9.93		(4.15%	)
12/31/10		9.90		0.16			0.82			0.98			(0.10	)		-			-			(0.10	)		10.78		9.93%
12/31/09g		10.00		0.00	d		(0.10	)		(0.10	)		-			-			(0.00	)d		(0.00	)d		9.90		(0.97%	)b
Class L
12/31/13w	$	10.98	$	0.09		$	1.48		$	1.57		$	(0.12	)	$	(0.40	)	$	-		$	(0.52	)	$	12.03		14.36%
12/31/12w		10.17		0.14			0.87			1.01			(0.17	)		(0.03	)		-			(0.20	)		10.98		9.86%
12/31/11w		10.79		0.16			(0.59	)		(0.43	)		(0.01	)		(0.18	)		-			(0.19	)		10.17		(3.91%	)
12/31/10		9.90		0.13			0.83			0.96			(0.07	)		-			-			(0.07	)		10.79		9.66%
12/31/09g		10.00		0.01			(0.11	)		(0.10	)		-			-			(0.00	)d		(0.00	)d		9.90		(0.98%	)b
Class A
12/31/13w	$	10.69	$	0.06		$	1.44		$	1.50		$	(0.10	)	$	(0.40	)	$	-		$	(0.50	)	$	11.69		14.13%
12/31/12w		9.91		0.11			0.84			0.95			(0.14	)		(0.03	)		-			(0.17	)		10.69		9.57%
12/31/11w		10.77		0.13			(0.63	)		(0.50	)		(0.18	)		(0.18	)		-			(0.36	)		9.91		(4.53%	)
12/31/10		9.90		0.11			0.84			0.95			(0.08	)		-			-			(0.08	)		10.77		9.46%
12/31/09g		10.00		0.00	d		(0.10	)		(0.10	)		-			-			-			-			9.90		(1.00%	)b

	Year ended December 31
	2013			2012			2011			2010			2009
Portfolio turnover rate for all share classes		66	%		61	%		43	%		46	%		21	%b,q

a Annualized.

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

c Per share amount calculated on the average shares method.

d Amount is less than $0.005 per share.

e Amount is less than 0.005%.

f Amount is less than $500.

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

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

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

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

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

w Consolidated.

x Excludes short sale dividend and loan expense.

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

z Includes short sale dividend and loan expense.

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

30

Ratios / Supplemental Data
Net assets, end of the period (000’s)			Ratio of expenses to average daily net assets before expense waiversx			Ratio of expenses to average daily net assets after expense waiversj,x			Short sale dividend and loan expense to average daily net assetsy			Ratio of expenses to average daily net assets before expense waiversz			Ratio of expenses to average daily net assets after expense waiversj,z			Net investment income (loss) to average daily net assetsz
$	615,383			0.97	%		0.86	%		0.00	%e		0.97	%		0.86	%		1.04	%
	547,436			1.00	%		0.86	%		N/A			1.00	%		0.86	%		1.57	%
	526,621			0.95	%		0.86	%		0.00	%e		0.95	%		0.86	%		1.77	%
	556,739			0.95	%		0.86	%		0.00	%e		0.95	%		0.86	%		1.54	%
	462,500			1.33	%a		0.86	%a		N/A			1.33	%a		0.86	%a		0.84	%a
$	11,658			1.07	%		0.96	%		0.00	%e		1.07	%		0.96	%		0.98	%
	16,060			1.10	%		0.96	%		N/A			1.10	%		0.96	%		1.45	%
	786			1.05	%		0.96	%		0.00	%e		1.05	%		0.96	%		1.63	%
	1,524			1.05	%		0.96	%		0.00	%e		1.05	%		0.96	%		1.52	%
	99			1.43	%a		0.96	%a		N/A			1.43	%a		0.96	%a		0.49	%a
$	19,051			1.22	%		1.11	%		0.00	%e		1.22	%		1.11	%		0.79	%
	23,253			1.25	%		1.11	%		N/A			1.25	%		1.11	%		1.29	%
	0	f		1.17	%		1.10	%		0.00	%e		1.17	%		1.10	%		1.42	%
	10,852			1.20	%		1.11	%		0.00	%e		1.20	%		1.11	%		1.29	%
	9,702			1.58	%a		1.11	%a		N/A			1.58	%a		1.11	%a		0.64	%a
$	8,844			1.47	%		1.36	%		0.00	%e		1.47	%		1.36	%		0.53	%
	6,060			1.50	%		1.36	%		N/A			1.50	%		1.36	%		1.07	%
	2,015			1.45	%		1.36	%		0.00	%e		1.45	%		1.36	%		1.24	%
	2,432			1.45	%		1.36	%		0.00	%e		1.45	%		1.36	%		1.10	%
	99			1.83	%a		1.36	%a		N/A			1.83	%a		1.36	%a		0.08	%a

31

Notes to Consolidated Financial Statements

1. The Fund

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended and restated as of November 21, 2011, as it may be further amended from time to time. The MassMutual Select BlackRock Global Allocation Fund (the “Fund”) is a series of the Trust.

Each share class of the Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Fund’s Prospectus.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by the Fund in the preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the consolidated financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements. Actual results could differ from those estimates.

Basis of Consolidation

The accompanying consolidated financial statements for the Fund include the accounts of MassMutual Select Cayman Global Allocation Fund I, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the Fund, which primarily invests in commodity-related investments consistent with the Fund’s investment objectives and policies as stated in its Prospectus and Statement of Additional Information. The Subsidiary allows the Fund to hold these commodity-related investments and still satisfy regulated investment company tax requirements. The Fund may invest up to 25% of its total assets in the Subsidiary. Intercompany accounts and transactions have been eliminated. As of December 31, 2013, the Fund’s net assets were $654,935,185, of which $6,522,972 or 1.00%, represented the Fund’s ownership of the shares of the Subsidiary.

Investment Valuation

The net asset value of the Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange, on each day the New York Stock Exchange is open for trading (a “business day”). The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System, or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (other than short-term obligations) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever the Fund’s investment adviser determines more closely approximates current market value. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day.

Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors,

32

Notes to Consolidated Financial Statements (Continued)

such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Fund’s Valuation Committee¹ in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Fund’s Valuation Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Fund’s Valuation Committee reports to the Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Fund to a significant extent. The value determined for an investment using the Fund’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Fund may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Fund does not price its shares. As a result, the values of the Fund’s portfolio securities may change on days when the prices of the Fund’s shares are not calculated. The prices of the Fund’s shares will reflect any such changes when the prices of the Fund’s shares are next calculated, which is the next business day. The Fund may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Fund value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Fund’s investments may be priced based on fair values provided by a third-party vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Fund calculates its net asset value. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

¹  The Valuation Committee consists of the President, Treasurer, Assistant Treasurers, Vice Presidents (except for the CCO), Secretary, and Assistant Secretaries of the Trust, as well as such alternate members as the Trustees may from time to time designate. The Valuation Committee reviews and determines the fair valuation of portfolio securities and the Fund’s pricing procedures in general.

33

Notes to Consolidated Financial Statements (Continued)

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Fund can access at the measurement date

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Fund determines its net asset value.

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned key inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.

34

Notes to Consolidated Financial Statements (Continued)

The following is the aggregate value by input level, as of December 31, 2013, for the Fund’s investments:

	Level 1			Level 2			Level 3		Total
Asset Investments
Common Stock	$	242,584,423		$	184,961,094	*	$	4,556,870	$	432,102,387
Convertible Preferred Stock		363,678			-			-		363,678
Preferred Stock		5,688,233			4,900,961			629,046		11,218,240
Bank Loans		-			8,308,536			-		8,308,536
Corporate Debt		-			44,438,938			2,946,304		47,385,242
Sovereign Debt Obligations		-			35,024,385			-		35,024,385
U.S. Treasury Obligations		-			41,286,715			-		41,286,715
Mutual Funds		7,722,766			-			-		7,722,766
Purchased Options		205,143			3,411,093			-		3,616,236
Warrants		-			-			59,343		59,343
Short-Term Investments		-			65,529,567			-		65,529,567
Total Investments	$	256,564,243		$	387,861,289		$	8,191,563	$	652,617,095
Asset Derivatives
Forward Contracts	$	-		$	1,019,548		$	-	$	1,019,548
Swap Agreements		-			116,535			-		116,535
Total	$	-		$	1,136,083		$	-	$	1,136,083
Liability Derivatives
Forward Contracts	$	-		$	(153,658	)	$	-	$	(153,658	)
Futures Contracts		(1,029,767	)		-			-		(1,029,767	)
Swap Agreements		-			(523,989	)		-		(523,989	)
Written Options		(903,964	)		(595,716	)		-		(1,499,680	)
Total	$	(1,933,731	)	$	(1,273,363	)	$	-	$	(3,207,094	)

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

The following table shows certain assets and liabilities, which approximate fair value and would be categorized at Level 2 as of December 31, 2013.

Consolidated Statement of Assets and Liabilities location:

Receivables from:

Collateral held for open futures contracts

Collateral held for open swap agreements

Payables for:

Collateral pledged for open swap agreements

Collateral pledged for securities sold short

The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:

Transfers In*				Transfers Out*
Level 1 — Quoted  Prices		Level 2 — Other  Significant Observable Inputs		Level 1 — Quoted  Prices			Level 2 — Other  Significant Observable Inputs
$	-	$	62,073	$	(62,073	)	$	-

* The Fund recognizes transfers between the Levels as of the beginning of the year. Transfers occurred between Level 1 and Level 2 as inputs were less observable.

35

Notes to Consolidated Financial Statements (Continued)

Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:

Asset Valuation Inputs

	Investments in Securities
	Balance as of 12/31/2012		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		(Sales)			Transfers into Level 3*		Transfers (out) of Level 3*		Balance as of 12/31/2013		Net Change in Unrealized Appreciation (Depreciation) from Investments Still held as of 12/31/2013
Common Stock	$	1,259,195	$	-	$	(484,555	)	$	3,360,264		$	421,966	$	-	††	$	-	$	-	$	4,556,870	$	2,875,710
Preferred Stock		-		-		-			64,538			564,508		-			-		-		629,046		64,538
Corporate Debt†		3,362,492		-		253,700			(514,874	)		-		(796,845	)		-		-		2,304,473		(454,374	)
Corporate Debt		596,862		-		-			(1,399	)		46,368		-			-		-		641,831		(1,399	)
Warrants		6,927		-		-			52,416			-		-			-		-		59,343		52,416
	$	5,225,476	$	-	$	(230,855	)	$	2,960,945		$	1,032,842	$	(796,845	)	$	-	$	-	$	8,191,563	$	2,536,891

* The Fund recognizes transfers between the Levels as of the beginning of the year.

† Represents (i) an illiquid 144A security valued by a broker quote or vendor price or (ii) a restricted security issued by a non-public entity valued by a broker quote or vendor price.

†† Represents security at $0 value at the time of sale.

The Fund had no transfers in or out of Level 3 of the fair value hierarchy during the year ended December 31, 2013.

None of the unobservable inputs, individually or collectively, had a material impact on the Fund.

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. The Fund may not be able to close out a derivative transaction at a favorable time or price. The Fund held derivatives during the year ended December 31, 2013. The following table shows how the Fund used these derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).

Type of Derivative and Objective for Use
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A
Directional Exposures to Currencies	A
Futures Contracts**
Hedging/Risk Management	A
Duration/Credit Quality Management	M
Substitution for Direct Investment	A
Interest Rate Swaps***
Hedging/Risk Management	A
Duration Management	A
Substitution for Direct Investment	A
Total Return Swaps****
Hedging/Risk Management	M

36

Notes to Consolidated Financial Statements (Continued)

Type of Derivative and Objective for Use
Total Return Swaps (Continued)****
Duration/Credit Quality Management	M
Substitution for Direct Investment	A
Market Access	A
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management	A
Duration/Credit Quality Management	M
Substitution for Direct Investment	M
Options (Purchased)
Hedging/Risk Management	A
Duration/Credit Quality Management	A
Substitution for Direct Investment	A
Directional Investment	A
Options (Written)
Hedging/Risk Management	A
Income	A
Directional Investment	A
Rights and Warrants
Hedging/Risk Management	M
Duration/Credit Quality Management	M
Directional Investment	A
Result of a Corporate Action	A

* Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable.

** Includes any options purchased or written on futures contracts, if applicable.

*** Includes any caps, floors, and collars, and related purchased or written options, if applicable.

**** Includes any index swaps, if applicable.

At December 31, 2013, and during the year then ended, the Fund had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Asset Derivatives
Forward Contracts*	$	-		$	-		$	1,019,548		$	-		$	1,019,548
Swap Agreements*		-			116,535			-			-			116,535
Purchased Options*		-			3,292,814			-			323,422			3,616,236
Warrants*		-			59,343			-			-			59,343
Total Value	$	-		$	3,468,692		$	1,019,548		$	323,422		$	4,811,662
Liability Derivatives
Forward Contracts^	$	-		$	-		$	(153,658	)	$	-		$	(153,658	)
Futures Contracts^^		-			(1,029,767	)		-			-			(1,029,767	)
Swap Agreements^		-			-			-			(96,460	)		(96,460	)
Swap Agreements^^,^^^		(395,522	)		-			-			(32,007	)		(427,529	)
Written Options^		-			(175,579	)		-			(420,137	)		(595,716	)
Written Options^^^		-			(903,964	)		-			-			(903,964	)
Total Value	$	(395,522	)	$	(2,109,310	)	$	(153,658	)	$	(548,604	)	$	(3,207,094	)

37

Notes to Consolidated Financial Statements (Continued)

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Realized Gain (Loss)#
Forward Contracts	$	-		$	-		$	3,118,030		$	-		$	3,118,030
Futures Contracts		-			(379,298	)		-			-			(379,298	)
Swap Agreements		(450,587	)		28,417			-			(146,201	)		(568,371	)
Purchased Options		-			1,391,137			(360,270	)		157,578			1,188,445
Written Options		-			1,639,638			68,093			215,532			1,923,263
Rights		-			(2,961	)		-			-			(2,961	)
Warrants		-			(33,373	)		-			-			(33,373	)
Total Realized Gain (Loss)	$	(450,587	)	$	2,643,560		$	2,825,853		$	226,909		$	5,245,735
Change in Appreciation (Depreciation)##
Forward Contracts	$	-		$	-		$	597,401		$	-		$	597,401
Futures Contracts		-			(1,068,470	)		-			-			(1,068,470	)
Swap Agreements		(73,005	)		37,251			-			(158,935	)		(194,689	)
Purchased Options		-			182,969			193,324			(384,781	)		(8,488	)
Written Options		-			(518,599	)		(45,874	)		(94,737	)		(659,210	)
Warrants		-			85,715			-			-			85,715
Total Change in Appreciation (Depreciation)	$	(73,005	)	$	(1,281,134	)	$	744,851		$	(638,453	)	$	(1,247,741	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-		$	72,540,374		$	-		$	72,540,374
Futures Contracts		-			237			-			-			237
Swap Agreements	$	6,242,161		$	1,143,333		$	-		$	819,736,352		$	827,121,846
Purchased Options		-			4,753,821			5,566,143			183,183,658			193,503,622
Written Options		-			377,082			4,027,000			142,635,659			147,039,741
Rights		-			88,356			-			-			88,356
Warrants		-			227,550			-			-			227,550

* Consolidated Statement of Assets and Liabilities location: Investments, at value, Receivables from: open forward foreign currency contracts or open swap agreements, at value, as applicable.

^ Consolidated Statement of Assets and Liabilities location: Payables for: open forward foreign currency contracts, open swap agreements, at value, or written options outstanding, at value, as applicable.

^^ Cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps is reported in “Futures Contracts” and “Swap Agreements” below. Only current day’s variation margin, if any, is reported within the Consolidated Statement of Assets and Liabilities.

^^^ Represents centrally cleared swaps or exchange-traded written options, which are not subject to a master netting agreement.

# Consolidated Statement of Operations location: Amounts are included in net realized gain (loss) on: investment transactions, futures contracts, written options, swap agreements, or foreign currency transactions, as applicable.

## Consolidated Statement of Operations location: Amounts are included in net change in unrealized appreciation (depreciation) on: investment transactions, futures contracts, written options, swap agreements, or translation of assets and liabilities in foreign currencies, as applicable.

† Amount(s) disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for written options, purchased options, rights, and warrants, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the year ended December 31, 2013.

Further details regarding the derivatives and other investments held by the Fund during the year ended December 31, 2013, are discussed below.

38

Notes to Consolidated Financial Statements (Continued)

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under a master netting agreement (“MNA”), or similar agreement, and net of the related collateral received by the Fund as of December 31, 2013.

Counterparty	Derivative Assets Subject to a MNA by Counterparty†		Financial Instruments Available for  Offset			Collateral Received***			Net Amount*
Bank of America N.A.	$	113,252	$	-		$	(113,252	)	$	-
Barclays Bank PLC		94,210		(17,279	)		-			76,931
BNP Paribas SA		118,257		(81,259	)		-			36,998
Brown Brothers Harriman & Co.		148		(148	)		-			-
Citibank N.A.		36,828		-			-			36,828
Credit Suisse International		84,596		(78,141	)		-			6,455
Deutsche Bank AG		129,738		(129,738	)		-			-
Goldman Sachs Capital		77,195		-			-			77,195
Goldman Sachs International		98,627		(98,627	)		-			-
Morgan Stanley Capital Services, Inc.		150,358		(1,985	)		-			148,373
UBS AG		232,874		(27,778	)		-			205,096
	$	1,136,083	$	(434,955	)	$	(113,252	)	$	587,876

The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under a MNA, or similar agreement, and net of the related collateral pledged by the Fund as of December 31, 2013.

Counterparty	Derivative Liabilities Subject to a MNA by Counterparty†			Financial Instruments Available for Offset		Collateral Pledged***		Net Amount**
Barclays Bank PLC	$	(17,279	)	$	17,279	$	-	$	-
BNP Paribas SA		(81,259	)		81,259		-		-
Brown Brothers Harriman & Co.		(16,605	)		148		-		(16,457	)
Credit Suisse International		(78,141	)		78,141		-		-
Deutsche Bank AG		(151,198	)		129,738		-		(21,460	)
Goldman Sachs International		(431,619	)		98,627		-		(332,992	)
JP Morgan Chase Bank		(39,970	)		-		-		(39,970	)
Morgan Stanley Capital Services, Inc.		(1,985	)		1,985		-		-
UBS AG		(27,778	)		27,778		-		-
	$	(845,834	)	$	434,955	$	-	$	(410,879	)

* Represents the net amount receivable from the counterparty in the event of default.

** Represents the net amount payable to the counterparty in the event of default.

*** The amount presented here may be less than the total amount of collateral received/pledged as the net amount of derivative assets and liabilities for a counterparty cannot be less than $0.

† The amount presented here may be less than the total amount shown in the Consolidated Statement of Assets and Liabilities as some derivatives held by the counterparty are not covered within the master netting agreements.

Such agreements typically permit a single net payment in the event of default, including the bankruptcy or insolvency of the counterparty. Typically, the Fund(s) and counterparties are not permitted to sell, re-pledge, or use the collateral they receive.

Foreign Currency Exchange Transactions

The Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

The Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and the Fund is subject

39

Notes to Consolidated Financial Statements (Continued)

to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. The Fund may also buy and sell options on currencies. When the Fund buys an option, its loss should generally be limited to the amount of the premium paid and any transaction costs. If the Fund sells an option on a currency, it is subject generally to the same risks as if it had entered into a forward contract with respect to that currency. The Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce the Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever the Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If the Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that the Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Fund as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

The Fund had the following open forward foreign currency contracts at December 31, 2013. The Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

			Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contract to Buy
	AUD	1,298,000	Morgan Stanley Capital Services, Inc.	01/24/14	$	1,152,806	$	4,587
Contracts to Deliver
	JPY	142,529,163	Bank of America N.A.	01/09/14	$	1,431,533	$	78,096
	JPY	142,219,823	Bank of America N.A.	02/06/14		1,385,834		35,156
						2,817,367		113,252
	EUR	925,000	Barclays Bank PLC	01/17/14		1,255,234		(17,279	)
	JPY	116,794,880	Barclays Bank PLC	01/23/14		1,166,556		57,415
						2,421,790		40,136
	EUR	333,461	BNP Paribas SA	01/09/14		447,966		(10,774	)
	JPY	141,243,319	BNP Paribas SA	01/16/14		1,379,822		38,550
						1,827,788		27,776
	BRL	69,854	Brown Brothers Harriman & Co.	01/02/14		29,757		148
	EUR	569,500	Brown Brothers Harriman & Co.	01/13/14		773,734		(9,724	)
	GBP	237,000	Brown Brothers Harriman & Co.	01/13/14		385,553		(6,881	)
						1,189,044		(16,457	)

40

Notes to Consolidated Financial Statements (Continued)

			Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Deliver (Continued)
	EUR	722,000	Credit Suisse International	02/06/14	$		994,050	$	810
	JPY	76,577,182	Credit Suisse International	01/16/14			747,824		20,633
	JPY	135,120,150	Credit Suisse International	01/17/14			1,322,076		38,945
	MXN	13,690,000	Credit Suisse International	03/20/14			1,051,295		9,165
	MXN	10,260,000	Credit Suisse International	04/03/14			790,471		10,287
	MXN	4,788,700	Credit Suisse International	04/30/14			368,135		4,756
							5,273,851		84,596
	BRL	1,556,986	Deutsche Bank AG	01/30/14			666,860		11,399
	EUR	463,000	Deutsche Bank AG	01/24/14			626,469		(10,474	)
	EUR	481,000	Deutsche Bank AG	02/06/14			662,145		444
	GBP	1,635,300	Deutsche Bank AG	01/24/14			2,638,835		(68,763	)
	JPY	180,000,000	Deutsche Bank AG	02/10/14			1,827,411		117,895
							6,421,720		50,501
	JPY	142,221,040	Goldman Sachs Capital	01/09/14			1,427,707		77,195
	JPY	138,423,990	Goldman Sachs International	01/17/14			1,356,367		41,862
	JPY	199,231,542	Goldman Sachs International	01/31/14			1,948,837		56,765
							4,732,911		175,822
	AUD	1,298,000	Morgan Stanley Capital Services, Inc.	01/24/14			1,211,579		54,187
	BRL	1,480,622	Morgan Stanley Capital Services, Inc.	01/31/14			621,171		(1,985	)
	EUR	1,155,000	Morgan Stanley Capital Services, Inc.	01/30/14			1,589,141		228
	JPY	280,184,044	Morgan Stanley Capital Services, Inc.	02/07/14			2,714,988		54,034
	JPY	140,000,000	Morgan Stanley Capital Services, Inc.	03/17/14			1,359,989		30,118
	MXN	8,974,360	Morgan Stanley Capital Services, Inc.	04/30/14			684,517		3,520
	MXN	5,471,880	Morgan Stanley Capital Services, Inc.	05/15/14			418,423		3,684
							8,599,808		143,786
	EUR	1,156,700	UBS AG	02/06/14			1,592,195		948
	JPY	60,000,000	UBS AG	01/15/14			614,125		44,357
	JPY	46,563,715	UBS AG	01/23/14			458,000		15,808
	JPY	210,000,000	UBS AG	01/27/14			2,128,867		134,566
	JPY	98,482,319	UBS AG	01/30/14			958,932		23,665
	MXN	8,477,140	UBS AG	01/09/14			660,630		11,679
	MXN	9,386,000	UBS AG	02/06/14			689,124		(27,778	)
	MXN	3,431,610	UBS AG	05/29/14			261,667		1,851
							7,363,540		205,096
Cross Currency Forwards
	EUR	1,134,000	Barclays Bank PLC	01/31/14	JPY		160,392,960	$	36,795

AUD Australian Dollar	GBP British Pound
BRL Brazilian Real	JPY Japanese Yen
EUR Euro	MXN Mexican Peso

41

Notes to Consolidated Financial Statements (Continued)

Futures Contracts

The Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. The Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. The Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for the Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When the Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

The Fund had the following open futures contracts at December 31, 2013:

	Expiration Date	Number of Contracts		Notional Amount			Net Unrealized Appreciation/ (Depreciation)
Futures Contracts — Short
CAC 40 Index	01/17/14		5	$	(295,672	)	$	(13,046	)
Nikkei 225 Index	03/13/14		50		(3,879,024	)		(85,407	)
DAX Index	03/21/14		1		(330,357	)		(13,966	)
Euro Stoxx 50 Index	03/21/14		225		(9,620,266	)		(328,805	)
FTSE 100 Index	03/21/14		14		(1,552,701	)		(34,404	)
Mini MSCI	03/21/14		170		(8,642,800	)		(234,868	)
S&P 500 E Mini Index	03/21/14		143		(13,163,865	)		(319,271	)
							$	(1,029,767	)

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

42

Notes to Consolidated Financial Statements (Continued)

Interest Rate Swaps. When the Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. The Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

Total Return Swaps. The Fund also may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. The Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. The Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of the Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. The Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).

Credit Default Swaps. The Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When the Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If the Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When the Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When the Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.

Whenever the Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and the Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

43

Notes to Consolidated Financial Statements (Continued)

Swaptions. The Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. The Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, the Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When the Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when the Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. The Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit derivatives. In a cleared derivative transaction, the Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse; the initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on the Fund’s Consolidated Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on the Fund’s Consolidated Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation/depreciation on the Fund’s Consolidated Statement of Operations. Only a limited number of transactions are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, the Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the agreement. Upfront swap premium payments paid or received by the Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Consolidated Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Consolidated Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security. These periodic payments received or made by the Fund are recorded in the accompanying Consolidated Statement of Operations as realized gains and losses, respectively.

The Fund had the following open swap agreements at December 31, 2013. The Fund’s current exposure to a counterparty is the fair value of the agreement.

	Currency	Notional Amount		Expiration Date	Receive (Pay) Fixed Rate	Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
Credit Default Swaps — Buy Protection*
Centrally Cleared Swaps
	USD		4,642,000	12/20/18	(5.000)%	CDX.NA.HY. 21.V1†	$	(76,492	)	$	(319,030	)	$	(395,522	)

44

Notes to Consolidated Financial Statements (Continued)

Counterparty	Currency	Notional Amount		Expiration Date		Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)		Value
Interest Rate Swaps*
OTC Swaps
Deutsche Bank AG	USD		3,651,715		9/27/16	3-Month USD-LIBOR-BBA	Fixed 1.010%	$	(11,857	)	$	-	$	(11,857	)
Goldman Sachs International	USD		14,083,000		9/28/16	3-Month USD-LIBOR-BBA	Fixed 0.998%		(47,811	)		-		(47,811	)
JP Morgan Chase Bank	USD		3,601,400		9/17/15	Fixed 0.500%	3-Month USD-LIBOR-BBA		(5,297	)		-		(5,297	)
JP Morgan Chase Bank	USD		1,459,400		9/17/18	3-Month USD-LIBOR-BBA	Fixed 1.188%		(31,495	)		-		(31,495	)
									(96,460	)		-		(96,460	)
Centrally Cleared Swaps
	USD		6,910,000		11/13/19	3-Month USD-LIBOR-BBA	Fixed 3.910%		(16,378	)		62		(16,316	)
	USD		6,910,000		11/13/19	3-Month USD-LIBOR-BBA	Fixed 3.920%		(15,753	)		62		(15,691	)
									(32,131	)		124		(32,007)
Total Return Swaps
BNP Paribas SA	JPY		120,000		3/31/16	Notional amount at expiration date × Strike Price	Gross dividends on NIKKEI 225 Index x notional amount		15,155			-		15,155
BNP Paribas SA	JPY		120,000		3/31/16	Notional amount at expiration date × Strike Price	Gross dividends on NIKKEI 225 Index x notional amount		10,027			-		10,027
BNP Paribas SA	JPY		110,000		3/31/17	Notional amount at expiration date × Strike Price	Gross dividends on NIKKEI 225 Index x notional amount		29,874			-		29,874
BNP Paribas SA	JPY		110,000		3/31/17	Number of Baskets x Fixed Strike	Gross dividends on NIKKEI 225 Index x notional amount		24,651			-		24,651
									79,707			-		79,707
Citibank N.A.	KRW		10,000,000		3/13/14	Notional amount at expiration date × Strike Price	Gross dividends on KOSPI2 Index x notional amount		36,828			-		36,828

JPY Japanese Yen

KRW South Korean Won

USD U.S. Dollar

* Collateral for swap agreements held by Citibank N.A. amounted to $285,000 in cash at December 31, 2013. Collateral for swap agreements received from Bank of America N.A., Deutsche Bank AG, and Goldman Sachs International amounted to $600,000, $600,000, and $700,000 in cash, respectively, at December 31, 2013.

† Payment is based on a percentage of the index. Reference entities are a number of individual issuers comprising the index.

Options, Rights, and Warrants

The Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. The Fund may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio of debt securities or the credit exposure of the portfolio.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. The Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When the Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. The Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security the Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security the Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. The Fund may not be able to close out a call option that it has previously written.

45

Notes to Consolidated Financial Statements (Continued)

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. The Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. The Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. The Fund may not be able to close out a put option that it has previously written.

Writing put and call options. When the Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. The Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. The Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. The Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. The Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When the Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by the Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Exchange Traded Options. Exchange traded options purchased or sold by the Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited. Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price.

OTC Options. OTC options purchased or sold by the Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between the Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result the Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. The Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

46

Notes to Consolidated Financial Statements (Continued)

When the Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

The Fund had the following open written option contracts at December 31, 2013. The Fund’s current exposure to a counterparty is the fair value of the contract.

OTC Counterparty	Units		Expiration Date		Description	Premiums Received		Value
		14		2/22/14	Ace Ltd., Call, Strike 92.50	$	3,460	$	14,840
		137		4/19/14	Consol Energy, Inc., Put, Strike 35.00		40,344		18,906
		139		3/22/14	Dresser-Rand Group, Inc., Put, Strike 60.00		71,331		41,005
		51		4/19/14	EOG Resources, Inc., Put, Strike 165.00		52,665		43,911
		137		1/18/14	Marathon Petroleum Corp., Call, Strike 77.50		58,737		195,499
		102		4/19/14	Marathon Petroleum Corp., Call, Strike 80.00		58,484		136,884
		68		4/19/14	Marathon Petroleum Corp., Call, Strike 85.00		34,595		68,680
		104		4/19/14	Marathon Petroleum Corp., Put, Strike 62.50		61,139		2,600
		104		4/19/14	Marathon Petroleum Corp., Put, Strike 65.00		67,511		5,200
		138		5/17/14	Phillips 66, Put, Strike 57.50		79,982		6,900
		140		1/18/14	Pultegroup, Inc., Put, Strike 15.00		9,516		140
		37		1/18/14	S&P 500 Index, Call, Strike 1,800.00		57,238		204,610
		36		1/18/14	S&P 500 Index, Call, Strike 1,825.00		44,891		117,000
		15		1/18/14	Travelers Cos., Inc., Call, Strike 82.50		4,529		12,450
		38		1/18/14	Williams Sonoma, Inc., Call, Strike 52.50		7,137		21,280
		27		1/18/14	Williams Sonoma, Inc., Call, Strike 55.00		5,723		9,180
		41		4/19/14	XL Group PLC, Call, Strike 32.00		4,800		4,879
BNP Paribas SA		1,930		2/21/14	S&P 500 Index, Call, Strike 1,841.93		25,760		66,900
BNP Paribas SA		1,930		2/21/14	S&P 500 Index, Put, Strike 1,566.08		11,678		3,585
Credit Suisse International		1,926		2/21/14	S&P 500 Index, Call, Strike 1,834.98		29,660		74,605
Credit Suisse International		1,926		2/21/14	S&P 500 Index, Put, Strike 1,567.75		12,326		3,536
Deutsche Bank AG		17,462		1/17/14	Halliburton Co., Call, Strike 55.00		16,938		1,456
Deutsche Bank AG		8,612,800		6/04/14	3-Month USD LIBOR BBA 5 Year Swaption, Put, Strike 2.30% (receive fixed rate); Underlying swap terminates 6/06/19		48,232		58,648
Goldman Sachs International		1,910		2/21/14	S&P 500 Index, Put, Strike 1,573.08		9,560		3,617
Goldman Sachs International		33,700		4/17/14	QEP Resources, Inc., Put, Strike 25.00		15,165		18,702
Goldman Sachs International		10,388,607		6/03/14	3-Month USD LIBOR BBA 5 Year Swaption, Put, Strike 2.25% (receive fixed rate); Underlying swap terminates 6/05/19		53,231		78,245
Goldman Sachs International		17,241,958		6/03/14	3-Month USD LIBOR BBA 5 Year Swaption, Put, Strike 2.25% (receive fixed rate); Underlying swap terminates 6/05/19		93,107		129,864
Goldman Sachs International		16,420,000		12/17/15	3-Month USD LIBOR BBA 2 Year Swaption, Put, Strike 5.75% (receive fixed rate); Underlying swap terminates 12/21/23		150,517		153,380
JP Morgan Chase Bank		1,810		2/21/14	S&P 500 Index, Put, Strike 1,563.12		9,967		3,178
						$	1,138,223	$	1,499,680

USD United States Dollar

47

Notes to Consolidated Financial Statements (Continued)

Transactions in written option contracts during the year ended December 31, 2013, were as follows:

	Number of Contracts			Premiums Received
Options outstanding at December 31, 2012		222,549,128		$	1,630,144
Options written		162,448,332			4,391,628
Options terminated in closing purchase transactions		(109,499,782	)		(3,516,828	)
Options expired		(222,766,970	)		(1,018,557	)
Options exercised		(3,421	)		(348,164	)
Options outstanding at December 31, 2013		52,727,287		$	1,138,223

Bank Loans

The Fund may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. The Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by the Fund. The Fund may also invest in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

At December 31, 2013, the Fund had no unfunded loan commitments.

Short Sales

A short sale is a transaction in which the Fund sells a security it does not own in anticipation that the market price of that security will decline. When the Fund makes a short sale on a security, it must borrow the security sold short and deliver it to a broker-dealer through which it made the short sale as collateral for its obligation to deliver the security upon the conclusion of the sale. The Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any accrued interest and dividends on such borrowed securities. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss, which could be unlimited, in cases where the Fund is unable for whatever reason to close out its short position; conversely, if the price declines, the Fund will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely impacted by imperfect correlation between movements in the price of the security sold short and the securities being hedged.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

The Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the

48

Notes to Consolidated Financial Statements (Continued)

interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, the Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although the Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If the Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition, because the Fund is not required to make payment under these transactions until the delivery date, they may result in a form of leverage.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Fund records on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Fund records a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income and dividend expense are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions.

Foreign Currency Translation

The books and records of the Fund are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Fund and the amount actually received.

Allocation of Operating Activity

In maintaining the records for the Fund, the income and expense accounts are allocated to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any one share class of the Fund are prorated among the Fund’s classes based on the relative net assets of each.

49

Notes to Consolidated Financial Statements (Continued)

Foreign Securities

The Fund invests a significant amount of its assets in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of the Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

Federal Income Tax

It is the Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Fund would not be subject to federal income taxes on its ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to its shareholders. Therefore, the Fund has not made any provision for federal income tax.

The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of any net realized capital gains of the Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Management Fee and Other Transactions

Investment Management Fee

Under an agreement between Massachusetts Mutual Life Insurance Company (“MassMutual”) and the Trust on behalf of the Fund, MassMutual is responsible for providing investment management services for the Fund. In return for these services, MassMutual receives an advisory fee, based upon the Fund’s average daily net assets, at the annual rate of 0.80% on the first $750 million; and 0.75% on any excess over $750 million.

MassMutual has also entered into an investment subadvisory agreement with the unaffiliated investment subadviser, BlackRock Investment Management, LLC (“BlackRock”). MassMutual pays a subadvisory fee to this subadviser based upon the average daily net assets of the Fund.

The Fund’s subadvisory fee is paid by MassMutual out of the management fee previously disclosed above.

BlackRock provides investment management services to the Subsidiary pursuant to an investment advisory agreement. The Subsidiary pays an advisory fee to BlackRock based upon the Subsidiary’s average daily net assets. The rate of this fee is equal to the subadvisory fee rate that MassMutual pays BlackRock in respect of the Fund. The amount of the fee payable by MassMutual to BlackRock in respect of the Fund for any period is reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock for that period. Under the Fund’s investment management agreement, the amount of the advisory fee payable by the Fund to MassMutual in respect of any period is also reduced by the amount of the advisory fee payable by the Subsidiary to BlackRock in respect of that period. The amount of the reduction to the Fund’s advisory fee is reflected as a reduction of expenses on the Consolidated Statement of Operations.

50

Notes to Consolidated Financial Statements (Continued)

Administration Fees

Under a separate administrative and shareholder services agreement between the Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee, based upon the average daily net assets of the applicable class of shares of the Fund, at the following annual rates:

Class S	Class Y	Class L	Class A
0.0500%	0.1500%	0.3000%	0.3000%

The Subsidiary also pays certain other expenses, including administrative, accounting services, custodian, and transfer agent fees. In respect of certain (but not all) of these fees, the Fund has entered into offsetting arrangements with its service providers which result in a reduction of certain of the Fund’s expenses with respect to those assets held by the Subsidiary. Certain of these reductions are reflected as a reduction of expenses on the Consolidated Statement of Operations.

Distribution and Service Fees

MML Distributors, LLC (the “Distributor”) acts as distributor to the Fund. Pursuant to a 12b-1 Plan adopted by the Fund, Class A shares of the Fund pay an annual fee of 0.25% of the average daily net asset value of Class A shares to: (i) the Distributor for services provided and expenses incurred by it in connection with the distribution of Class A shares of the Fund; and/or (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class A shareholders. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A shareholders of the Fund and/or maintenance of Class A shareholder accounts. The Distributor is a majority-owned subsidiary of MassMutual. For the period January 1, 2013 through May 31, 2013, OppenheimerFunds Distributor, Inc. acted as a sub-distributor to the Fund. OppenheimerFunds Distributor, Inc. is an affiliate of the Distributor and an indirect majority-owned subsidiary of MassMutual.

Expense Caps and Waivers

MassMutual agreed to cap the fees and expenses of the Fund (other than extraordinary litigation and legal expenses, interest expense, short sale dividend and loan expense, Acquired Fund fees and expenses^#, or other non-recurring or unusual expenses such as, for example, organizational expenses and shareholder meeting expenses) based upon the average daily net assets of the applicable class of shares of the Fund, as follows:

Class S*	Class Y*	Class L*	Class A*
0.86%	0.96%	1.11%	1.36%

# Acquired Fund fees and expenses are expenses borne indirectly by the Fund through investments in other pooled investment vehicles.

* Expense caps in effect through March 31, 2014.

Expense caps and waiver amounts are reflected as a reduction of expenses on the Consolidated Statement of Operations.

Rebated Brokerage Commissions

The Fund has entered into agreements with certain brokers whereby the brokers will rebate to the Fund, in cash, a portion of brokerage commissions. Rebated brokerage commissions are amounts earned by the Fund and are included with realized gain or loss on investment transactions presented in the Consolidated Statement of Operations. For the year ended December 31, 2013, there were no brokerage commissions rebated under these agreements.

Deferred Compensation

Trustees of the Fund who are not employees of MassMutual or its subsidiaries may elect to defer receipt of their annual fees in accordance with terms of a Non-Qualified Deferred Compensation Plan. Amounts deferred shall accrue interest or earnings and shall be recorded on the Fund’s books as other liabilities. Deferred compensation is included within Trustees’ fees and expenses in the Consolidated Statement of Assets and Liabilities.

51

Notes to Consolidated Financial Statements (Continued)

Other

Certain officers and trustees of the Fund are also employees of MassMutual. The compensation of each trustee who is not an employee of MassMutual is borne by the Fund.

The beneficial ownership of Fund’s shares by affiliated parties at December 31, 2013 was 7.5%.

4. Purchases and Sales of Investments

Cost of purchases and proceeds from sales of investment securities (excluding short-term investments) for the year ended December 31, 2013, were as follows:

Purchases				Sales
Long-Term U.S. Government Securities		Other Long-Term Securities		Long-Term U.S. Government Securities		Other Long-Term Securities
$	47,994,979	$	298,303,580	$	46,148,064	$	298,730,504

5. Capital Share Transactions

Changes in shares outstanding for each Fund were as follows:

	Year Ended December 31, 2013						Year Ended December 31, 2012
	Shares			Amount			Shares			Amount
Class S
Sold		2,963,542		$	34,109,551			2,934,849		$	30,662,597
Issued as reinvestment of dividends		2,397,562			27,852,216			944,355			10,135,120
Redeemed		(3,971,311	)		(45,746,738	)		(5,880,249	)		(62,123,644	)
Net increase (decrease)		1,389,793		$	16,215,029			(2,001,045	)	$	(21,325,927	)
Class Y
Sold		343,453		$	3,822,784			1,447,939		$	14,740,486
Issued as reinvestment of dividends		43,995			510,619			26,727			286,617
Redeemed		(891,862	)		(10,250,882	)		(56,366	)		(597,563	)
Net increase (decrease)		(504,414	)	$	(5,917,479	)		1,418,300		$	14,429,540
Class L
Sold		151,663		$	1,777,648			2,486,327		$	25,794,202
Issued as reinvestment of dividends		66,548			791,635			37,584			412,210
Redeemed		(752,815	)		(8,734,879	)		(405,232	)		(4,395,027	)
Net increase (decrease)		(534,604	)	$	(6,165,596	)		2,118,679		$	21,811,385
Class A
Sold		315,791		$	3,603,787			493,550		$	5,050,696
Issued as reinvestment of dividends		31,738			366,784			8,821			94,247
Redeemed		(157,666	)		(1,794,167	)		(138,840	)		(1,453,712	)
Net increase (decrease)		189,863		$	2,176,404			363,531		$	3,691,231

Purchases of Class A shares are subject to a front-end sales charge of up to 5.75% of the amount purchased. A portion of the front-end sales charge may be retained by the Distributor. For the year ended December 31, 2013, no material amounts have been retained by the Distributor.

52

Notes to Consolidated Financial Statements (Continued)

Redemptions or exchanges of Class A shares made within eighteen months of purchase from initial investments of $1 million or more are subject to a contingent deferred sales charge of 1% of the amount redeemed. The Distributor receives all contingent deferred sales charges. There were no contingent deferred sales charges imposed during the year ended December 31, 2013.

6. Federal Income Tax Information

At December 31, 2013, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund, as computed on a federal income tax basis, were as follows:

Federal Income Tax Cost	Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$564,388,741	$	107,287,997	$	(19,059,643	)	$	88,228,354

Net capital loss carryforwards may be applied against any net realized taxable gains in succeeding years, subject to the carryforward period limitations, where applicable. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President. The Modernization Act changed the capital loss carryforward rules as they relate to regulated investment companies. Capital losses generated in tax years beginning after the date of enactment may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for up to eight tax years as short-term capital losses. The provisions affecting the utilization of capital loss carryforwards under the Modernization Act also require the utilization of post-enactment losses prior to the utilization of pre-enactment losses.

At December 31, 2013, for federal income tax purposes, there were no unused capital losses.

Generally accepted accounting principles in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the consolidated financial statements as a return of capital.

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2013, was as follows:

Ordinary Income		Long Term Capital Gain		Return of Capital
$	17,082,033	$	12,637,227	$	-

The tax character of distributions (including capital gain dividends, if any, designated pursuant to Section 852 of the Code) paid during the year ended December 31, 2012, was as follows:

Ordinary Income		Long Term Capital Gain		Return of Capital
$	9,597,896	$	1,560,713	$	-

Capital accounts within consolidated financial statements are periodically adjusted for permanent differences between book and tax accounting. These adjustments have no impact on net assets or the results of operations. Temporary book and tax accounting differences will reverse in subsequent periods. At December 31, 2013, temporary book and tax accounting differences were primarily attributable to investments in forward contracts, futures contracts, options contracts, swap agreements, premium amortization accruals, passive foreign investment companies, the deferral of wash sale losses, and deferred Trustee compensation.

53

Notes to Consolidated Financial Statements (Continued)

At December 31, 2013, the components of distributable earnings on a tax basis were as follows:

Undistributed Ordinary Income		Undistributed Long Term Capital Gain (Capital Loss Carryover)		Other Temporary Differences			Unrealized Appreciation (Depreciation)
$	1,678,833	$	8,524,204	$	(94,031	)	$	88,295,607

During the year ended December 31, 2013, the following amounts were reclassified due to permanent differences between book and tax accounting:

Paid-in Capital			Accumulated Net Realized Gain (Loss) on Investments			Undistributed Net Investment Income (Loss)
$	(1,191,143	)	$	(1,759,283	)	$	2,950,426

The Fund did not have any unrecognized tax benefits at December 31, 2013, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Consolidated Statement of Operations. During the year ended December 31, 2013, the Fund did not incur any such interest or penalties. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the prior three fiscal years. Foreign taxes are provided for based on the Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests.

7. Indemnifications

Under the Fund’s organizational documents, current and former Trustees and Officers are provided with specified rights to indemnification against liabilities arising in connection with the performance of their duties to the Fund, and shareholders are indemnified against personal liability for obligations of the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

8. New Accounting Pronouncements

On June 7, 2013, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2013-08, Financial Services — Investment Companies (Topic 946): “Amendments to the Scope, Measurement, and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 sets forth a new approach for determining whether a public or private company is an investment company and sets certain measurement and disclosure requirements for an investment company. ASU 2013-08 is effective in annual reporting periods beginning on or after December 15, 2013, and for interim periods within those annual reporting periods. Management is currently evaluating the implications of these changes and their impact on the consolidated financial statements.

9. Subsequent Events

In preparation of these consolidated financial statements management has evaluated the events and transactions subsequent to December 31, 2013, through the date when the consolidated financial statements were issued, and determined that there are no material events or transactions that would require adjustments to or disclosures in the Fund’s consolidated financial statements.

54

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of MassMutual Select Funds and Shareholders of MassMutual Select BlackRock Global Allocation Fund:

We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated portfolio of investments, of MassMutual Select BlackRock Global Allocation Fund and subsidiary (the “Fund”) as of December 31, 2013, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated financial highlights for each of the five years and the period then ended. These consolidated financial statements and consolidated financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements and consolidated financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the consolidated financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall consolidated financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of the MassMutual Select BlackRock Global Allocation Fund and subsidiary as of December 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years and the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

February 28, 2014

55

Trustees and Officers (Unaudited)

The following table lists the Trust’s Trustees and Officers as of December 31, 2013; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies. The Trust’s Statement of Additional Information includes additional information about the Trust’s Trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MassMutual Select Funds, c/o Massachusetts Mutual Life Insurance Company, 100 Bright Meadow Blvd., Enfield, Connecticut 06082, Attention: Retirement Services Marketing.

Disinterested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Richard H. Ayers Age: 71	Chairman Trustee	Since 2010 Since 1996	Retired.	92	Director (2008-2011), Celera Corporation; Director (1996-2008), Applera Corporation; Chairman (since 2010), Trustee (since 1999), MML Series Investment Fund (open-end investment company); Chairman and Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Chairman and Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Allan W. Blair Age: 65	Trustee	Since 2003	President and Chief Executive Officer (since 1996), Economic Development Council of Western Massachusetts; President and Chief Executive Officer (since 1984), Westover Metropolitan Development Corporation.	92	Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Nabil N. El-Hage Age: 55	Trustee	Since 2012	Consultant (since 2010); Chairman (since 2011), Academy of Executive Education, LLC; Senior Associate Dean for External Relations (2009-2010), Thomas Henry Carroll Ford Foundation Adjunct Professor of Business Administration (2009-2010), Professor of Management Practice (2005-2009), Harvard Business School.	92	Director (2007-2010), Virtual Radiologic Corporation; Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), Chairman (2006-2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2003), Chairman (2006-2012), MassMutual Premier Funds (open-end investment company).
Maria D. Furman Age: 59	Trustee	Since 2012	Retired.	92	Trustee (since 2011), GMO Series Trust (open-end investment company); Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).

56

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
R. Alan Hunter, Jr. Age: 67	Trustee	Since 2003	Retired.	92	Director (since 2007), Actuant Corporation; Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
F. William Marshall, Jr. Age: 71	Trustee	Since 1996	Retired; Consultant (1999-2009).	131***	Trustee (since 2000), Denver Board – Oppenheimer Funds; Trustee (since 1996), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
C. Ann Merrifield Age: 62	Trustee	Since 2012	President and Chief Executive Officer (since 2012), PathoGenetix; Senior Vice President, Genzyme Business Excellence Initiative (2009-2011), President, Biosurgery (2003-2009), Genzyme Corporation.	92	Trustee (since 2012), MML Series Investment Fund (open-end investment company); Trustee (since 2005), MML Series Investment Fund II (open-end investment company); Trustee (since 2004), MassMutual Premier Funds (open-end investment company).
Susan B. Sweeney Age: 61	Trustee	Since 2009	Senior Vice President and Chief Investment Officer (since 2010), Selective Insurance Group (property and casualty company); Senior Managing Director (2008-2010), Ironwood Capital (private equity firm).	94^	Trustee (since 2012), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2012), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2009), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).

57

Trustees and Officers (Unaudited) (Continued)

Interested Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office** and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
Robert E. Joyal^^ Age: 68	Trustee	Since 2003	Retired.	94^	Director (since 2013) Leucadia National Corporation (holding company); Director (since 2012), Ormat Technologies, Inc.; Director (since 2006), Jefferies Group, Inc. (investment bank); Director (2007-2011), Scottish Re Group Ltd.; Director (2003-2010), Alabama Aircraft Industries, Inc.; Trustee (since 2003), Babson Capital Corporate Investors (closed-end investment company); Trustee (since 2003), Babson Capital Participation Investors (closed-end investment company); Trustee (since 2003), MML Series Investment Fund (open-end investment company); Trustee (since 2012), MML Series Investment Fund II (open-end investment company); Trustee (since 2012), MassMutual Premier Funds (open-end investment company).
Elaine A. Sarsynski^^^ Age: 58	Trustee	Since 2008	Executive Vice President (since 2008), MassMutual Retirement Services Division, MassMutual; Chairman (since 2006), MassMutual International LLC.	92	Director (since 2012), Horizon Technology Finance Management LLC; Trustee (since 2008), MML Series Investment Fund (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MML Series Investment Fund II (open-end investment company); Vice Chairperson (2011-2012), Trustee (since 2011), MassMutual Premier Funds (open-end investment company).

Principal Officers who are Not Trustees

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Michael C. Eldredge Age: 49	Vice President	Since 2009	Vice President (since 2008), MassMutual; Vice President (2005-2008), ING; Vice President (since 2009), MML Series Investment Fund (open-end investment company); Vice President (since 2009), MML Series Investment Fund II (open-end investment company); Vice President (since 2009), MassMutual Premier Funds (open-end investment company).	92
Andrew M. Goldberg Age: 47	Vice President, Secretary, and Chief Legal Officer Assistant Secretary	Since 2008 (2001- 2008)	Assistant Vice President and Counsel (since 2004), MassMutual; Vice President, Secretary, and Chief Legal Officer (since 2008), Assistant Secretary (2001-2008), MML Series Investment Fund (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2005-2008), MML Series Investment Fund II (open-end investment company); Vice President, Secretary, (formerly known as “Clerk”), and Chief Legal Officer (since 2008), Assistant Clerk (2004-2008), MassMutual Premier Funds (open-end investment company).	92

58

Trustees and Officers (Unaudited) (Continued)

Name, Address*, and Age	Position(s) Held with Trust	Term of Office# and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Officer
Nicholas H. Palmerino Age: 48	Chief Financial Officer and Treasurer	Since 2006	Assistant Vice President (since 2006), MassMutual; Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MML Series Investment Fund II (open-end investment company); Chief Financial Officer and Treasurer (since 2006), MassMutual Premier Funds (open-end investment company).	92
Philip S. Wellman Age: 49	Vice President and Chief Compliance Officer	Since 2007	Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds and Investment Advisory) (since 2008), Vice President, Associate General Counsel, and Chief Compliance Officer (Mutual Funds) (2007-2008), MassMutual; Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MML Series Investment Fund II (open-end investment company); Vice President and Chief Compliance Officer (since 2007), MassMutual Premier Funds (open-end investment company).	92
Eric H. Wietsma Age: 47	President Vice President	Since 2008 (2006- 2008)	Senior Vice President (since 2010), Corporate Vice President (2007-2010), MassMutual; Vice President (since 2006), MML Series Investment Fund (open-end investment company); Vice President (since 2006), MML Series Investment Fund II (open-end investment company); President (since 2008) Vice President (2006-2008), MassMutual Premier Funds (open-end investment company).	92

* The address of each Trustee and Principal Officer is the same as that for the Trust; 1295 State Street, Springfield, Massachusetts 01111.

** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his or her successor or until he or she dies, resigns, or is removed. Notwithstanding the foregoing, a Trustee shall retire and cease to serve as a Trustee upon the conclusion of the calendar year in which such Trustee attains the age of seventy-two years.

The Chairperson is elected to hold such office for a term of three years or until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she retires, dies, resigns, is removed, or becomes disqualified.

*** Denver Board – Oppenheimer Funds is deemed to be part of the Fund Complex because it is managed by OppenheimerFunds, Inc., an indirect subsidiary of MassMutual.

^ Babson Capital Participation Investors and Babson Capital Corporate Investors are deemed to be a part of the Fund Complex because they are managed by Babson Capital Management LLC, an indirect subsidiary of MassMutual.

^^ Mr. Joyal is an “Interested Person,” as that term is defined in the 1940 Act, through his position as a director of Jefferies Group, Inc., a broker-dealer that may execute portfolio transactions and/or engage in principal transactions with the Funds, other investment companies advised by MassMutual or holding themselves out to investors as related companies for purposes of investment or investor services, or any other advisory accounts over which MassMutual has brokerage placement discretion.

^^^ Ms. Sarsynski is an Interested Person through her employment with MassMutual.

# The President, Treasurer, and Secretary are elected to hold such office until their successor is elected and qualified to carry out the duties and responsibilities of their office, or until he or she dies, resigns, is removed, or becomes disqualified. Each other officer shall hold office at the pleasure of the Trustees.

59

Federal Tax Information (Unaudited)

For corporate shareholders, 20.89% of the ordinary dividends paid during the Fund’s year ended December 31, 2013, qualified for the dividends received deduction.

Under Section 854(b)(2) of the Code, the Fund hereby designates $7,853,050 as qualified dividends for purposes of the maximum rate under Section 1(h)(11) of the Code for the year ended December 31, 2013.

60

Other Information (Unaudited)

Proxy Voting

A description of the policies and procedures that the Fund’s investment adviser and subadviser use to vote proxies relating to the Fund’s portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/funds and on the SEC’s website at http://www.sec.gov.

Quarterly Reporting

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

Trustees’ Approval of Investment Advisory Contracts

At their meeting in November 2013, the Contract Committee (the “Committee”) and the Trustees, including the Trustees who are not “interested persons” (as such term is defined in the 1940 Act) of the Trust, MassMutual, or subadvisers (the “Independent Trustees”), reviewed and approved a proposal to revise the management fee breakpoints of the Fund. In arriving at their decision, the Trustees considered materials provided by MassMutual, including revised profitability schedule for the Fund.

The amendment to the management agreement for the Fund is expected to become effective on April 1, 2014.

61

Other Information (Unaudited) (Continued)

Fund Expenses December 31, 2013

Expense Examples:

The following information is in regards to expenses for the six months ended December 31, 2013:

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemptions; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six months ended December 31, 2013.

Actual Expenses:

The first four columns of the table below provide information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Operating Expenses Incurred” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes:

The last two columns of the table below provide information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the last two columns of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Beginning Value		Annualized Expense Ratio			Ending Value (Based on Actual Returns and Expenses)		Operating Expenses Incurred*		Ending Value (Based on Hypothetical Returns and Expenses)		Operating Expenses Incurred*
Class S	$	1,000		0.86	%	$	1,098.40	$	4.60	$	1,021.10	$	4.43
Class Y		1,000		0.96	%		1,098.80		5.13		1,020.60		4.94
Class L		1,000		1.11	%		1,097.60		5.93		1,019.80		5.71
Class A		1,000		1.36	%		1,096.20		7.26		1,018.50		6.99

* Expenses are calculated using the annualized expense ratio for the six months ended December 31, 2013, multiplied by the average account value over the period, multiplied by the number of days in the period, divided by the number of days in the year, unless stated otherwise.

62

Distributor:

MML Distributors, LLC

1295 State Street

Springfield, MA 01111-0001

March 1, 2014

^©2014 Massachusetts Mutual Life Insurance Company, Springfield, MA. All rights reserved. www.massmutual.com. MassMutual
Financial Group is a marketing name for Massachusetts Mutual Life Insurance Company (MassMutual) [of which Retirement Services is a division] and its affiliated companies and sales representatives. L4543    314 RS-33428-00

Item 2. Code of Ethics.

As of December 31, 2013, the Registrant adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. For the year ended December 31, 2013, there were no amendments to a provision of the Code of Ethics. A copy of its Code of Ethics is filed with this Form N-CSR under Item 12(a)(1).

Item 3. Audit Committee Financial Expert.

The Registrant’s Board of Trustees has determined that R. Alan Hunter, Jr. and Nabil N. El-Hage, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the “SEC”). Mr. Hunter and Mr. El-Hage are both “independent” as defined by the SEC for purposes of audit committee financial expert determinations.

Item 4. Principal Accountant Fees and Services.

References below to Deloitte & Touche LLP include its affiliates where applicable.

(a) AUDIT FEES: The aggregate fees billed to the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant’s annual financial statements for 2013 and 2012 were $1,118,488 and $1,159,553, respectively.

(b) AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for 2013 and 2012. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for 2013 and 2012.

(c) TAX FEES: The aggregate fees billed to the Registrant for professional services rendered by Deloitte & Touche LLP for the review of Form 1120-RIC, Form 8613, excise distribution projections, distribution calculation and reasonable out of pocket expenses for 2013 and 2012 were $194,181 and $179,596, respectively. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for 2013 and 2012.

(d) ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for 2013 and 2012. No such fees were billed to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant by Deloitte & Touche LLP* for 2013 and 2012.

(e) (1) AUDIT COMMITTEE PRE-APPOVAL POLICY: All services to be performed for the Registrant by Deloitte & Touche LLP must be pre-approved by the audit committee. All services performed during 2013 and 2012 were pre-approved by the committee.

(2) Not applicable.

(f) Not applicable.

(g) The aggregate non-audit fees billed by Deloitte & Touche LLP for services rendered to the Registrant, the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant, for the fiscal years 2013 and 2012 were $777,238 and $4,762,077, respectively.

(h) The audit committee considers whether the provision of non-audit services by Deloitte & Touche LLP to the Registrant’s adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining Deloitte & Touche LLP’s independence.

* Refers to fees that were required to be approved by the audit committee for services that relate directly to the operations and financial reporting of the Registrant.

Item 5. Audit Committee of Listed Registrants.

Not applicable to this filing.

Item 6. Investments.

Please see portfolio of investments contained in the Reports to Stockholders included under Item 1 of this form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this filing.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to this filing.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to this filing.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable to this filing.

Item 11. Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this Form N-CSR, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of Ethics (Item 2) is attached.

(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by
Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.

(a)(3) Not applicable to this filing.

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the 1940 Act (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) MassMutual Select Funds

By (Signature and Title)	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer

Date 2/28/14

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer
Date 2/28/14
By (Signature and Title)	/s/ Nicholas H. Palmerino
	Nicholas H. Palmerino, Treasurer and Principal Financial Officer

Date 2/28/14