MASSMUTUAL INSTITUTIONAL FUNDS
N-30D, 2000-02-28
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Table of Contents
 
Letter to Shareholders      1
 
MassMutual Prime Fund   
         Portfolio Manager Report      4
         Portfolio of Investments      6
         Financial Statements      8
 
MassMutual Short-Term Bond Fund   
         Portfolio Manager Report      12
         Portfolio of Investments      15
         Financial Statements      17
 
MassMutual Core Bond Fund   
         Portfolio Manager Report      21
         Portfolio of Investments      24
         Financial Statements      28
 
MassMutual Diversified Bond Fund   
         Portfolio Manager Report      32
         Portfolio of Investments      35
         Financial Statements      37
 
MassMutual Balanced Fund   
         Portfolio Manager Report      41
         Portfolio of Investments      44
         Financial Statements      49
 
MassMutual Core Equity Fund (Formerly known as the MassMutual Value Equity Fund)   
         Portfolio Manager Report      53
         Portfolio of Investments      56
         Financial Statements      58
 
MassMutual Growth Equity Fund   
         Portfolio Manager Report      62
         Portfolio of Investments      65
         Financial Statements      68
 
MassMutual Small Cap Value Equity Fund   
         Portfolio Manager Report      72
         Portfolio of Investments      75
         Financial Statements      77
 
MassMutual Mid Cap Growth Equity Fund   
         Portfolio Manager Report      81
         Portfolio of Investments      84
         Financial Statements      86
 
MassMutual Small Cap Growth Equity Fund   
         Portfolio Manager Report      90
         Portfolio of Investments      93
         Financial Statements      97
 
MassMutual International Equity Fund   
         Portfolio Manager Report      101
         Portfolio of Investments      104
         Financial Statements      106
 
Notes to Financial Statements      110
Independent Auditors ’ Report      125
 
MassMutual Indexed Equity Fund   
         Portfolio Manager Report      126
         Financial Statements      128
         Notes to Financial Statements      132
         Independent Auditors’ Report      136
 
Master Investment Portfolio—S&P 500 Index Master Portfolio   
         Portfolio Manager Report      137
         Financial Statements      146
         Notes to Financial Statements      149
         Report of Independent Auditors      152
MassMutual Institutional Funds – Letter to Shareholders
To Our Shareholders
 
[PHOTO]
John V. Murphy
“The advances in the market indices were primarily filled by a narrow group of technology stocks, while the majority of stocks did not perform nearly as well.”
February 22, 2000
 
Before reviewing the year just ended, I would like to pass along some exciting news about MassMutual. During the past year, we recently formed the Financial Services Group (“FSG”), which took responsibility for managing and administering the MassMutual Institutional Funds (the “Funds”). FSG has resulted in the integration of MassMutual’s asset accumulation and retirement products—allowing us to leverage our investment and service expertise and resources to clients of our MassMutual Retirement Services, MassMutual Annuities, MassMutual Variable Life and Institutional Life Insurance businesses.
 
As part of our responsibility for managing the Funds, we have elected new officers of the Funds who come from our various business units. They not only have investment experience, but also bring to the Funds a comprehensive understanding of the business products through which we market the Funds. I have recently been elected as President and Trustee of the Funds.
 
We have also broadened our line up of investment managers for the Funds. We believe this will give us the best opportunity to provide investors with the widest choice from among the highest regarded and diverse investment managers across all asset classes. We endeavor to retain investment managers that provide top-notch portfolio management, and conduct extensive due diligence before we select those managers. Then we use an independent consulting firm to assist us in monitoring each manager and the Funds they manage.
 
In that regard, we also take pleasure in announcing that MassMutual has recently consolidated all its portfolio management operations into its subsidiary, David L. Babson and Company Incorporated. The new entity, which will continue to do business under the David L. Babson name, has assets under management of approximately $70 billion. Stu Reese, the Funds’ former president, has been named Chief Executive Officer of David L. Babson. Mr. Reese, who remains MassMutual’s Chief Investment Officer, will remain as Chairman of the Board of Trustees. In connection with that reorganization, MassMutual has retained David L. Babson as investment sub-adviser to the MassMutual Prime Fund, MassMutual Short-Term Bond Fund, MassMutual Core Bond Fund, MassMutual Diversified Bond Fund, and MassMutual Balanced Fund. We want to emphasize that the same portfolio managers will continue to manage those Funds and there will be no change in the level of services, nor has there been an increase in the management fees charged. David L. Babson will continue to serve as manager for the MassMutual Core Equity Fund and MassMutual Small Cap Value Equity Fund.
 
With these changes in the management of the Funds, we believe we will be better able to service our existing clients by offering a full range of financial products to both individual and institutional investors. Stu and I look forward to continuing MassMutual’s tradition of excellent service to our clients and encourage you to contact your service representative or us if you have any questions about our new organizational changes.
 
Another Banner Year for the U.S. Economy
 
Nineteen ninety-nine will be remembered as a year that came in like a lamb and went out like a lion, at least in terms of expectations for the U.S. economy. At the beginning of the year, forecasts for 1999 were cautious in the wake of 1998’s credit crunch. Growth, however, continued apace, with real GDP for 1999 estimated to have increased by roughly 4.0%, a truly impressive achievement coming so late in this durable economic expansion that began in the summer of 1991. Equally impressive was the fact that, despite sharply higher energy prices, inflation remained subdued, as evidenced by a CPI that averaged around 2.5% during the year.
 
(Continued)
MassMutual Institutional Funds – Letter to Shareholders (Continued)
 
 
 
The U.S. dollar held its own against the Japanese yen while gaining substantially against the euro, briefly trading at parity with the latter. A strong dollar helped attract investment capital to U.S. stock and bond markets even as it exacerbated the nation’s trade deficit. On the fiscal side, the United States recorded its second consecutive budget surplus in fiscal year 1999, with another surplus forecast for the current fiscal year ending in October, 2000. Clearly, 1999 was another year in which the economy was fundamentally in great shape.
 
Interest Rates Continue Upward Trend
 
Along with stronger-than-expected growth in the economy, another important theme for 1999 was rising interest rates. The Federal Reserve Board waited until mid-year, when evidence of robust economic growth was undeniable, to implement the first rate hike of the year. Other increases followed in August and November, and the closely watched federal funds rate ended the year at 5.50%, 75 basis points higher than where it began. With the three increases, the Fed reversed the three cuts made in the fall of 1998, taking rates back to their pre-crisis levels, which were still toward the low end of their recent historical range.
 
As concerns grew during the year about an overheating economy and a possible return of inflation, intermediate and long-term interest rates also rose. The 30-year Treasury bond, for example, climbed almost 140 basis points to finish the year at 6.48%, while securities in the two to ten year range saw even steeper rises. Rising rates and a flatter yield curve made it a difficult year for fixed-income investors, with most high-quality bond managers seeing negative returns for the year. In general, spread product —fixed-income investments offering a yield premium to Treasuries —performed better than Treasuries. Spreads began the year at relatively wide levels and subsequently narrowed, partially offsetting the effects of higher rates. Investments in high-yield or emerging-market securities, which normally carry the widest spreads because of their higher risk, provided the strongest performance, typically generating positive single-digit returns. In addition, investments at the short end of the yield curve managed low single-digit returns since they were less affected by climbing rates.
 
Technology Stocks Shine
 
U.S. stocks kept investors guessing in the first half of the year, as responsibility for market leadership shifted from growth stocks in the first quarter to cyclicals and value shares in the second. In the second half, however, interest faded in virtually everything but technology. Particularly in the fourth quarter, investors threw caution to the wind and piled into their favorites—especially Internet stocks—seemingly without regard to earnings prospects, driving the technology-heavy NASDAQ Composite Index to an astonishing gain of 85.6% for the year. Interest was spread among large-cap favorites and small-cap newcomers. The IPO market sizzled, with many stocks seeing huge gains in their first few days of trading.
 
Other popular benchmarks, which have become increasingly technology-sensitive in the past few years, posted returns that were modest by comparison but still impressive, and all of them finished at or near their all-time highs. The venerable Dow Jones Industrial Average gained 25.2%, while the Standard & Poor’s 500 Index notched a return of 21.04%. That made it an unprecedented five straight years of returns in excess of 20% for the S&P 500. International stocks also did well in 1999, as many overseas economies experienced stronger growth after a period of lackluster performance, or, in the case of Japan, negative growth. The Y2K phenomenon, much discussed throughout the year, appeared to have minimal effects on worldwide equity and debt markets as the year wound down.
 
Of considerable concern to many investors, however, was the narrowness of the stock market rally. The lack of breadth was evident in the fact that over 70% of stocks listed on the New York Stock Exchange had negative returns for the year, while over 50% of NASDAQ stocks lost value in 1999. In this environment, value-oriented funds struggled because their investment style, which emphasizes growth at a reasonable price, prevented them from owning the richly valued market leaders.
 
(Continued)
MassMutual Institutional Funds – Letter to Shareholders (Continued)
 
 
Looking Ahead
 
Interest rates should continue to be a prime concern for investors in the coming months. Despite three increases by the Fed in 1999, consensus estimates favor at least one more hike in the first quarter. More than likely, though, we are close to seeing some kind of temporary plateau in interest rates. For one thing, the economy is already showing signs of slowing. Another consideration is that changes in interest rates are typically not fully reflected in the economy until a number of months after they are made. With three increases in the last seven months of 1999, we can expect the Fed to become increasingly cautious over the short term about further rate hikes. Finally, since 2000 is a presidential election year, we look for the Fed to keep short-term rates relatively stable in the second half of the year. In summary, we expect 2000 to offer a reasonably positive backdrop for U.S. investment markets, especially the latter half of the year, when we are likely to see a modestly slowing but still healthy economy and more stable interest rates.
 
We would not be surprised to see European economic growth surpass that of the United States in the new year. As growth accelerates in Europe, interest rates should rise, drawing greater flows of investment capital and boosting the value of the euro, which is already trading at very oversold levels. Thus, we look for European investments, especially equities, to offer attractive opportunities in 2000.
 
The markets of 1999 have once again demonstrated the importance of diversification. Large-cap and small-cap, growth and value, domestic and international stocks all have their periods of dominance, but these periods are difficult to predict in advance. A properly diversified investment plan will include elements from all of those categories and, history suggests, achieve better returns with less risk in the long run.
 
/s/    John V. Murphy
John V. Murphy
President
MassMutual Institutional Funds
 
MassMutual Prime Fund  – Portfolio Manager Report
 
What are the investment objectives and policies for the MassMutual Prime Fund?
 
The objective and policies of the Fund are to:
Ÿ
maximize current income to the extent consistent with liquidity and the preservation of capital
Ÿ
invest in a diversified portfolio of money market instruments
Ÿ
invest in high quality debt instruments with remaining maturities not to exceed 397 days
Note: This is not a money market fund.
 
How did the Fund perform during 1999?
 
The Fund’s Class S shares had a net return of 5.10%, which compared favorably with the 4.74% return available from 91-day Treasury bills.
 
How was the investment environment during the period?
 
Higher short-term interest rates represented our major challenge. The year began with modest expectations for economic growth and predictions of stable and possibly even lower interest rates. That scenario was not to be, however. During the first half, analysts were forced to roughly double their estimates for growth in Gross Domestic Product and corporate earnings. The Federal Reserve Board, fearing a return of inflation, raised short-term rates on June 30 but gave fixed-income investors something to cheer about by returning to a neutral bias regarding future actions.
 
The tightening trend in rates evident at mid-year continued throughout the second half. Reacting to continued strong economic growth as well as evidence of speculative excess in the stock market, the Fed followed its June rate increase with one in August and another in November. These three rate hikes effectively offset the three interest-rate cuts engineered by the Fed in the fall of 1998, when it responded to crisis conditions in the debt and equity markets brought on by the Russian debt default and the near-failure of a prominent hedge fund.
 
How did you manage the Fund during this period?
 
The fund maintained its strong emphasis on Tier 2 securities, which generally fluctuated in a range between 85% and 98% of holdings. Despite mergers and acquisitions during the period that resulted in the loss of numerous desirable holdings, our in-depth credit research enabled us to uncover many attractive opportunities. It is MassMutual’s strong credit research that enables the Fund to invest mainly in Tier 2 securities, which carry slightly more risk but also a higher yield than Tier 1 paper or T-bills.
 
We typically kept the average life of the Fund’s holdings in a range from 53 to 62 days, which, as is our customary policy, closely mirrored the average life of our benchmark, the IBC/Donohue Universe. Occasionally—for example, when we thought a Fed tightening move was imminent—we tried to shorten our average duration slightly. Conversely, we sometimes went a little longer when it seemed that upward pressure on rates was ebbing.
 
What is your outlook?
 
We are at an interesting juncture. There is a strong consensus, based on continued robust GDP numbers in the second half of 1999, that the Fed will raise interest rates at least one more time in the first half of 2000. While we cannot rule out further rate hikes, it is not clear how much growth in the second half of 1999 was due to companies padding their inventories in expectation of possible Y2K-related supply disruptions. Since no significant disruptions actually occurred, we can probably expect reduced demand early in 2000, as companies hold off on new orders while they work down excess inventories. We should also keep in mind that changes in interest rates usually take a number of months to be fully reflected in economic activity. Thus, slower-than-expected growth could be one of the surprises in store for the first half of 2000. A slight slowing in the economy, if it should occur, would signal to the Fed that its objectives had been achieved and would likely result in a stable rate environment for a while. That would be good for the Fund.
 
On the other hand, continued strong economic growth and an overly exuberant stock market would undoubtedly bring a series of rate increases. While we cannot control what the Fed does, we can insure that the Fund continues to receive the benefit of MassMutual’s outstanding research and credit analysis capabilities. That is where we will direct our efforts.
 
MassMutual Prime Fund  – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Prime Fund Class S and 91-day Treasury Bills
 
 
MassMutual Prime Fund
Total Return
          Five Year    Since Inception
     One Year    Average Annual    Average Annual
     1/1/99 -  12/31/99    1/1/95 -  12/31/99    10/3/94 -  12/31/99
Class S    5.10%    5.38%    5.37%
 
91-Day
Treasury Bills		    4.74%    5.21%    5.21%
 
Hypothetical Investments in MassMutual Prime Fund Class A, Class Y and 91-day Treasury Bills
 
 
MassMutual Prime Fund
Total Return
          Since Inception
     One Year    Average Annual
     1/1/99 -  12/31/99    1/1/98 -  12/31/99
 
Class A    4.59%    4.60%
Class Y    5.13%    5.13%
 
91-Day
Treasury Bills		    4.74%    4.90%
 
Hypothetical Investments in MassMutual Prime Fund Class L and 91-day Treasury Bills
 
 
MassMutual Prime Fund
Total Return
     Since Inception
     5/3/99 -  12/31/99
 
Class L    3.34%
 
91-Day
Treasury Bills		    3.22%
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
 
[CHART]

             Date		Class S		T-Bills
             ----		-------		-------

             (10/3/94)	        $10,000         $10,000
              12/94		$10,126		$10,130
               6/95		$10,419		$10,420
              12/95		$10,711		$10,712
               6/96		$10,982		$10,988
              12/96		$11,272		$11,275
               6/97		$11,565		$11,565
              12/97		$11,880		$11,867
               6/98		$12,194		$12,173
              12/99		$12,520		$12,467
               6/99		$12,811		$12,747
              12/99		$13,158		$12,967
 
[CHART]

	Date		Class A		Class Y		T-Bills
	----		-------		-------		-------

       12/97		$10,000		$10,000		$10,000
        3/98		$10,110		$10,130		$10,129
        6/98		$10,230		$10,250		$10,258
        9/98		$10,350		$10,380		$10,387
       12/98		$10,460		$10,514		$10,506
        3/99		$10,576		$10,647		$10,622
        6/99		$10,682		$10,768		$10,742
        9/99		$10,804		$10,903		$10,869
       12/99		$10,940		$11,053		$11,003
 
[CHART]

             Date		Class L			T-Bills
             ----		-------			-------

             5/3/99		$10,000			$10,000
             5/31/99		$10,034			$10,038
             6/99		$10,073			$10,076
             7/99		$10,112			$10,115
             8/99		$10,156			$10,155
             9/99		$10,196			$10,195
             10/99		$10,240			$10,236
             11/99		$10,282			$10,278
             12/99		$10,334			$10,322
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while 91-day Treasury Bills are unmanaged and do not incur expenses. Treasury Bills are backed by the U.S. Government and offer a fixed rate of return, while the Fund’s shares are not guaranteed. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
MassMutual Prime Fund  – Portfolio of Investments
 
December 31, 1999
 
 
 
 
 
          Principal
Amount
    Market Value
                                   
SHORT-TERM INVESTMENTS  — 97.8%
Commercial Paper  — 96.2%
Appalachian Power
Company		          
5.940%    02/04/2000    $ 7,100,000    $   7,060,169
Aristar, Inc.          
6.200%    01/28/2000    13,000,000    12,939,550
Burlington Northern
Santa Fe Corp.		          
6.300%    02/25/2000    11,420,000    11,310,083
Burlington Resources, Inc.     
6.250%    01/14/2000    3,900,000    3,891,198
Burlington Resources, Inc.     
6.350%    01/12/2000    9,300,000    9,281,956
Case Credit Corporation          
6.200%    02/24/2000    4,375,000    4,334,312
Case Credit Corporation          
6.250%    03/28/2000    6,095,000    6,002,940
Case Credit Corporation          
6.250%    04/04/2000    1,960,000    1,929,293
Central and South West
Corporation		          
6.300%    01/26/2000    5,200,000    5,177,250
Comdisco, Inc.          
6.420%    01/31/2000    5,485,000    5,455,655
Comdisco, Inc.          
6.450%    01/27/2000    4,785,000    4,762,710
Comdisco, Inc.          
6.450%    02/11/2000    3,275,000    3,250,942
ConAgra, Inc.          
6.370%    01/05/2000    9,800,000    9,793,064
Countrywide Home
Loans, Inc.		          
5.250%    01/03/2000    1,640,000    1,639,522
Cox Enterprises, Inc.          
6.730%    01/04/2000    11,750,000    11,743,410
Crown Cork & Seal
Company, Inc.		          
6.300%    02/29/2000    4,310,000    4,265,500
Crown Cork & Seal
Company, Inc.		          
6.300%    03/06/2000    4,850,000    4,795,269
Crown Cork & Seal
Company, Inc.		          
6.400%    03/17/2000    4,800,000    4,736,667
Dominion Resources, Inc.     
6.360%    02/10/2000    3,735,000    3,708,606
          Principal
Amount
    Market Value
                                   
Dominion Resources, Inc.     
6.390%    01/21/2000    $ 7,450,000    $   7,423,553
Eastman Chemical
Company		          
6.270%    02/09/2000    2,165,000    2,150,294
Eastman Chemical
Company		          
6.300%    02/07/2000    3,550,000    3,527,014
Eastman Chemical
Company		          
6.300%    02/09/2000    6,475,000    6,430,808
General Electric Capital
Corporation		          
5.740%    08/25/2000    13,000,000    12,486,500
Goodyear Tire & Rubber
Company		          
6.300%    02/02/2000    6,430,000    6,393,992
Goodyear Tire & Rubber
Company		          
6.530%    03/30/2000    8,000,000    7,876,389
Houston Industries
Finance Co. L.P.		          
6.400%    01/24/2000    7,050,000    7,021,173
Houston Industries
Finance Co. L.P.		          
6.450%    01/11/2000    4,900,000    4,891,221
Houston Industries
Finance Co. L.P.		          
6.450%    02/11/2000    275,000    272,980
IMC Global, Inc.          
5.800%    02/18/2000    4,175,000    4,142,714
IMC Global, Inc.          
5.850%    02/01/2000    5,300,000    5,273,301
IMC Global, Inc.          
6.300%    02/15/2000    4,500,000    4,464,563
Indiana Michigan Power
Company		          
6.050%    01/18/2000    8,850,000    8,824,716
Indiana Michigan Power
Company		          
6.130%    01/19/2000    3,460,000    3,449,395
Kerr-McGee Credit
Corporation		          
6.200%    01/11/2000    2,500,000    2,495,695
Kerr-McGee Credit
Corporation		          
6.350%    03/29/2000    2,700,000    2,658,750
Kerr-McGee Credit
Corporation		          
6.450%    01/25/2000    8,095,000    8,060,191
          Principal
Amount
    Market Value
                                   
Lockheed Martin Corporation     
6.150%    04/14/2000    $ 6,740,000    $  6,623,173
Mead Corporation          
6.300%    03/31/2000    10,845,000    10,682,324
Penny (J. C.) Penny
Funding Corporation		          
6.300%    03/03/2000    1,400,000    1,384,931
Praxair, Inc.          
6.400%    02/16/2000    8,365,000    8,296,593
Public Service Electric
and Gas Company		          
6.350%    02/17/2000    7,640,000    7,576,662
Public Service Electric
and Gas Company		          
6.500%    01/19/2000    3,325,000    3,314,194
Ryder System, Inc.          
6.300%    01/20/2000    3,465,000    3,453,479
Ryder System, Inc.          
6.300%    02/08/2000    5,100,000    5,066,085
Ryder System, Inc.          
6.450%    01/26/2000    4,880,000    4,858,141
Safeway, Inc.          
6.470%    01/06/2000    6,400,000    6,394,249
Sierra Pacific Power
Company		          
6.400%    02/03/2000    7,500,000    7,456,000
Sierra Pacific Power
Company		          
6.450%    02/03/2000    5,000,000    4,970,437
Sierra Pacific Power
Company		          
7.200%    02/03/2000    690,000    685,446
Solutia, Inc.          
6.450%    01/10/2000    9,885,000    9,869,060
Solutia, Inc.          
6.750%    01/11/2000    4,000,000    3,992,500
TRW, Inc.          
6.300%    01/26/2000    540,000    537,638
TRW, Inc.          
6.420%    01/27/2000    2,500,000    2,488,408
TRW, Inc.          
6.450%    01/07/2000    5,200,000    5,194,410
TRW, Inc.          
6.550%    01/13/2000    4,000,000    3,991,267
Union Carbide
Corporation		          
6.250%    03/29/2000    1,340,000    1,319,528
Union Oil Company of
California		          
5.310%    02/11/2000    5,650,000    5,615,833
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
6
MassMutual Prime Fund  – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
                                   
Union Oil Company of
California		          
5.720%    03/07/2000    $ 5,500,000    $   5,436,979
Union Oil Company of
California		          
6.560%    02/29/2000    760,000    751,829
UOP          
6.400%    02/28/2000    5,570,000    5,512,567
UOP          
6.420%    01/31/2000    4,195,000    4,172,557
UOP          
6.500%    01/31/2000    3,300,000    3,282,125
Vastar Resources, Inc.          
6.150%    01/20/2000    8,600,000    8,572,086
Vastar Resources, Inc.          
6.200%    03/27/2000    4,610,000    4,541,170
              
                   349,961,016
              
 
Discount Notes  — 1.6%
Federal Farm Credit
Bank		          
5.750%    12/26/2000    6,135,000    5,766,900
              
 
TOTAL SHORT-TERM
INVESTMENTS
(Cost $355,750,791)***		    355,727,916
 
           
TOTAL INVESTMENTS  — 97.8%    355,727,916
 
Other Assets/   
(Liabilities)  — 2.2%    7,859,471
 
 
NET ASSETS —  100.0%    $363,587,387
              
 
Notes To Portfolio of Investments
***Aggregate cost for Federal tax purposes (Note 7)
 
 
The remainder of this page intentionally left blank.
 
 
 
 
The accompanying notes are an integral part of the financial statements.
7
 
MassMutual Prime Fund  – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Short-term investments, at value (cost $355,750,791) (Note 2)      $355,727,916  
                 Cash      4,612  
                 Receivables from:
                           Fund shares sold      12,755,103  
                           Interest      53  
     
  
                                      Total assets      368,487,684  
     
  
Liabilities:
                Payables for:
                           Fund shares redeemed      4,755,775  
                           Directors’ fees and expenses (Note 3)      2,720  
                           Affiliates (Note 3):
                                      Investment management fees      104,238  
                                      Administration fees      27,362  
                                      Service fees      138  
                Accrued expenses and other liabilities      10,064  
     
  
                                      Total liabilities      4,900,297  
     
  
                Net assets      $363,587,387  
     
  
Net assets consist of:
                Paid-in capital      $363,595,914  
                 Undistributed net investment income      56,324  
                 Accumulated net realized loss on investments      (41,976 )
                Net unrealized depreciation on investments      (22,875 )
     
  
                           $363,587,387  
     
  
Net assets:
                Class A      $     3,547,638  
     
  
                Class L      $     9,842,288  
     
  
                Class Y      $  33,392,137  
     
  
                Class S      $316,805,324  
     
  
Shares outstanding:
                Class A      23,431  
     
  
                Class L      64,821  
     
  
                Class Y      219,727  
     
  
                Class S      2,082,323  
     
  
Net asset value, offering price and
redemption price per share:
                Class A      $           151.41  
     
  
                Class L      $           151.84  
     
  
                Class Y      $           151.97  
     
  
                Class S      $           152.14  
     
  
 
The accompanying notes are an integral part of the financial statements.
8
 
MassMutual Prime Fund  – Financial Statements (Continued)
 
Statement of Operations
 
       Year ended
December 31, 1999
Investment income: (Note 2)
                 Interest      $15,448,557  
     
  
 
Expenses: (Note 2)
                 Investment management fees (Note 3)      1,050,848  
                Custody fees      26,351  
                Audit and legal fees      19,386  
                Directors ’ fees (Note 3) .      14,658  
     
  
                           1,111,243  
                 Administration fees (Note 3):
                           Class A      564  
                           Class L*      918  
                           Class Y      13,893  
                           Class S      218,327  
                Service fees (Note 3):
                           Class A      379  
     
  
                                      Total expenses      1,345,324  
     
  
                                      Net investment income      14,103,233  
     
  
 
Realized and unrealized gain (loss):
                Net realized loss on investment transactions      (21,292 )
                Net change in unrealized appreciation (depreciation) on investments      (63,776 )
     
  
                                      Net realized and unrealized loss      (85,068 )
     
  
                Net increase in net assets resulting from operations      $14,018,165  
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
9
 
MassMutual Prime Fund  – Financial Statements (Continued)
 
Statements of Changes in Net Assets
 
Increase (Decrease) in Net Assets:      Year ended
December 31, 1999
      Year ended
December 31, 1998
Operations:
                Net investment income      $  14,103,233        $  13,297,412  
                Net realized loss on investment transactions      (21,292 )      (2,524 )
                Net change in unrealized appreciation (depreciation) on investments      (63,776 )      62,059  
     
     
  
                           Net increase in net assets resulting from operations      14,018,165        13,356,947  
     
     
  
 
Distributions to shareholders (Note 2):
                From net investment income:
                Class A      (30,930 )      (94,659 )
                Class L*      (52,197 )      -  
                Class Y      (1,354,719 )      (440,359 )
                Class S      (12,628,175 )      (12,743,282 )
     
     
  
                           Total distributions from net investment income      (14,066,021 )      (13,278,300 )
     
     
  
 
Net fund share transactions (Note 5):
                Class 1**      -        (114,315 )
                Class 2**      -        (116,323 )
                Class 3**      -        (117,416 )
                Class A      3,451,433        208,974  
                Class L*      9,877,872        -  
                Class Y      33,761,084        973,553  
                Class S      64,112,361        9,800,906  
     
     
  
                           Increase in net assets from net fund share transactions      111,202,750        10,635,379  
     
     
  
                Total increase in net assets      111,154,894        10,714,026  
 
Net assets:
                 Beginning of period      252,432,493        241,718,467  
     
     
  
                End of period (including undistributed net investment income of $56,324 and
                     $19,112, respectively)		      $363,587,387        $252,432,493  
     
     
  
 
  * For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
** Effective January 1, 1998, Class 1, Class 2, and Class 3 shares were terminated (See Note 1).
 
The accompanying notes are an integral part of the financial statements.
10
 
MassMutual Prime Fund  – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout each period)
 
     Class A
   Class L
   Class Y
     Year ended
12/31/99
   Year ended
12/31/98†
   Period ended
12/31/99**
   Year ended
12/31/99
   Year ended
12/31/98†
Net asset value, beginning of period      $  150.83        $  691.21        $  152.99        $  150.73        $  690.78  
     
     
     
     
     
  
Income (loss) from investment operations:                         
           Net investment income      7.55  ***      32.03  ***      6.37  ***      8.78  ***      36.67  ***
           Net realized and unrealized gain (loss) on investments      (0.75 )      (0.09 )      (1.24 )      (1.20 )      (1.30 )
     
     
     
     
     
  
                      Total income (loss) from investment operations      6.80        31.94        5.13        7.58        35.37  
     
     
     
     
     
  
Less distributions to shareholders:                         
           From net investment income      (6.22 )      (572.32 )      (6.28 )      (6.34 )      (575.42 )
     
     
     
     
     
  
Net asset value, end of period      $  151.41        $  150.83        $  151.84        $  151.97        $  150.73  
     
     
     
     
     
  
Total Return@      4.59%        4.60%        3.34%        5.13%        5.14%  
Ratios / Supplemental Data:                         
           Net assets, end of period (000 ’s)      $    3,548        $       120        $    9,842        $  33,392        $       556  
           Net expenses to average daily net assets      1.04%        1.20%        0.76%  *      0.57%        0.74%  
           Net investment income to average daily net assets      4.89%        4.59%        6.11%  *      5.60%        5.21%  
 
    
            Class S (1)
       
     Year ended
12/31/99
   Year ended
12/31/98
   Year ended
12/31/97
   Year ended
12/31/96
   Year ended
12/31/95
Net asset value, beginning of period      $  150.74        $  150.84        $  151.00        $  151.06        $  150.36  
     
     
     
     
     
  
Income (loss) from investment operations:                         
           Net investment income      7.82  ***      8.10  ***      8.14  ***      7.85  ***      8.70  ***
           Net realized and unrealized gain (loss) on investments      (0.13 )      0.03        (0.01 )      0.06        (0.02 )
     
     
     
     
     
  
                      Total income (loss) from investment operations      7.69        8.13        (8.13 )      7.91        8.68  
     
     
     
     
     
  
Less distributions to shareholders:                         
           From net investment income      (6.29 )      (8.23 )      (8.29 )      (7.97 )      (7.98 )
     
     
     
     
     
  
Net asset value, end of period      $  152.14        $  150.74        $  150.84        $  151.00        $  151.06  
     
     
     
     
     
  
Total Return@      5.10%        5.39%        5.39%        5.24%        5.78%  
Ratios / Supplemental Data:
           Net assets, end of period (000 ’s)      $316,805        $251,757        $241,370        $258,729        $253,936  
           Net expenses to average daily net assets#      0.48%        0.55%        0.54%        0.52%        0.52%  
           Net investment income to average daily net assets      5.06%        5.23%        5.25%        5.10%        5.61%  
 
# Computed after giving effect to the voluntary partial waiver
of management fee by MassMutual, which terminated May 1,
1997. Without this partial waiver of fees by MassMutual, the
ratio of expenses to average daily net assets would have been:		      N/A        N/A        0.55%        0.55%        0.55%  
 
*
Annualized
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
†
Amounts have been restated to reflect reverse stock splits (See Note 9).
(1)
Class S shares were previously designated as Class 4 shares.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
 
The accompanying notes are an integral part of the financial statements.
11
 
MassMutual Short-Term Bond Fund – Portfolio Manager Report
 
 
 
What are the investment objectives and policies for the MassMutual Short-Term Bond Fund?
 
The objective and policies of the Fund are to:
Ÿ
achieve a high total return primarily from current income while minimizing fluctuations in capital values
Ÿ
invest primarily in a diversified portfolio of short-term, investment grade, fixed income securities
Ÿ
maintain duration below three years
Ÿ
diversify investments among market sectors on the basis of relative merit
 
How did the Fund perform during 1999?
 
The Fund’s Class S shares returned 3.10% for the year ended December 31, 1999, bettering the 2.98% return of the Lehman Brothers 1-3 Year Government Bond Index.
 
What factors influenced the Fund’s performance?
 
Absolute returns were limited primarily by rising interest rates, which were triggered by much stronger-than-expected economic growth. At the outset of 1999, market participants had modest expectations for the economy, and there was speculation that rates might remain steady or even decline further. In the face of robust GDP growth, however, the Federal Reserve Board increased short-term interest rates in June, August, and November, bringing the closely watched federal funds rate up to 5.50%, an increase of 75 basis points for the year.
 
Intermediate and long-term rates, which reflect investors’ expectations for economic growth and inflation, also climbed during the period. For example, the 30-year bond yield added roughly 140 basis points to 6.48%, while yields in the two-to 10-year maturities rose even more steeply, flattening the yield curve and depressing prices. These increases were much larger in percentage terms than the ones seen in 1994, when the Fed raised short-term rates by a much larger 250 basis points.
 
The December Fed meeting ended with no change in either rates or the Fed’s bias, which at the time was neutral. Stability during the Y2K transition was the reason given for standing pat. However, strong GDP numbers continued to put pressure on rates right up until the end of the year. Third quarter GDP was revised upward during December to a 5.7% annualized rate, helping to push Treasury yields in the six-month to five-year range close to their highest levels of the year by December 31.
 
The Fund was able to outperform the index mainly because the average duration of the Fund’s holdings was considerably shorter than that of the Index early in the year, when rates began rising. A shorter duration helps to limit the effects of changes in interest rates.
 
How did the Fund’s duration strategy evolve during the year?
 
During the first half of the year, the yield curve, which depicts graphically how the yields demanded by fixed-income investors change as the duration of their investment lengthens, steepened considerably. That is, spreads widened between comparable securities with different maturities. Consequently, the fund’s average duration rose from 1.09 years at the beginning of January to 1.63 years at the end of June to take advantage of the higher yields. During the second half, in response to further steepening of the yield curve, we brought average duration up to 1.94 years by the end of December.
 
How were these changes reflected in the Fund’s holdings?
 
The Fund’s largest asset category at the end of the period, Treasury securities, increased from 29.84% at the end of 1998 to 42.8% a year later. Most of that increase occurred in the first half in support of our goal of lengthening the Fund’s duration. Corporate holdings also saw a substantial rise during the period from 16% to 30.2%. Concurrently, money market securities, which we had used to keep duration short in 1998, fell sharply from 41% to just 5.8%.
 
What is your outlook?
 
In spite of the Fed’s attempts to stay ahead of the curve and be preemptive about raising rates, interest rates that are determined by market forces are indicating that the Fed may have some catching up to do. At this writing, interest rate futures are reflecting an expected tightening of 25 to 50 basis points in February, followed by two or three more increases in the first half of 2000. If this scenario comes to pass, there could be rough sledding in the first half for fixed-income investors.
MassMutual Short-Term Bond Fund – Portfolio Manager Report (Continued)
 
 
 
On the other hand, if the economy begins to slow, some of those rate increases might not come to pass, and overly pessimistic investors could have some backpedaling to do. We will continue to monitor the status of the yield curve and adjust the Fund’s duration accordingly. History has shown that this strategy yields competitive returns over the long term.
 
[CHART]
    

Duration Diversification (12/31/99)
MassMutual Short-Term Bond Fund

Average Duration = 1.94 years

(less than) 1 year      54.4%
            1-3 years   20.5%
            3-5 years   16.8%
            5-10 years   8.3%
    
[CHART]
    

 Quality Structure (12/31/99)
MassMutual Short-Term Bond Fund

        Baa/BBB                            10.0%
        A/A                                15.5%
        Aa/AA                               2.8%
        U.S. Governments Cash Equivalents
        Aaa/AAA	                           71.7%
 
MassMutual Short-Term Bond Fund – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Short-Term Bond Fund Class S and the Lehman Brothers 1-3 Year Government Bond Index
 
 
MassMutual Short-Term Bond Fund
Total Return
     One Year
1/1/99 - 12/31/99		    Five Year
Average Annual
1/1/95 - 12/31/99		    Since Inception
Average Annual
10/3/94 - 12/31/99
 
Class S    3.10%    6.67%    6.38%
 
Lehman Brothers
1-3 Year    2.98%    6.47%    6.16%
Government Bond Index
 
Hypothetical Investments in MassMutual Short-Term Bond Fund Class A, Class Y and the Lehman Brothers 1-3 Year Government Bond Index
 
 
MassMutual Short-Term Bond Fund
Total Return
     One Year
1/1/99 - 12/31/99		    Since Inception
Average Annual
1/1/98 - 12/31/99
 
Class A    2.51%    4.12%
Class Y    3.04%    4.57%
 
Lehman Brothers
1-3 Year    2.98%    4.96%
Government Bond Index
 
Hypothetical Investments in MassMutual Short-Term Bond Fund Class L and the Lehman Brothers 1-3 Year Government Bond Index
 
 
MassMutual Short-Term Bond Fund
Total Return
     Since Inception
5/3/99 - 12/31/99
 
Class L    1.48%
 
Lehman Brothers
1-3 Year    2.04%
Government Bond Index
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
 
[CHART]

     Date                   Class S               Lehman 1-3 Yr Gvt. Bond
     ----                   -------               -----------------------

  (10/3/94)                 $10,000                        $10,000
  12/94                     $10,013                        $10,002
  6/95                      $10,816                        $10,661
  12/95                     $11,192                        $11,086
  6/96                      $11,380                        $11,244
  12/96                     $11,816                        $11,648
  6/97                      $12,119                        $11,984
  12/97                     $12,624                        $12,423
  6/98                      $13,007                        $12,795
  12/98                     $13,418                        $13,289
  6/99                      $13,813                        $13,441
  12/99                     $13,834                        $13,677
 
[CHART]

   Date          Class A           Class Y         Lehman 1-3 Yr. Gvt. Bond
   ----          -------           -------         ------------------------

  12/97          $10,000           $10,000                  $10,000
  3/98           $10,150           $10,160                  $10,145
  6/98           $10,270           $10,300                  $10,299
  9/98           $10,471           $10,511                  $10,616
  12/98          $10,575           $10,612                  $10,697
  3/99           $10,658           $10,711                  $10,762
  6/99           $10,689           $10,762                  $10,820
  9/99           $10,791           $10,876                  $10,955
  12/99          $10,840           $10,935                  $11,016
 
[CHART]

     Date                 Class L               Lehman 1-3 Yr. Gvt. Bond
     ----                 -------               ------------------------

    5/3/99                $10,000                         $10,000
    5/31/99                $9,981                          $9,993
    6/99                  $10,010                         $10,022
    7/99                  $10,029                         $10,054
    8/99                  $10,038                         $10,081
    9/99                  $10,096                         $10,147
    10/99                 $10,125                         $10,175
    11/99                 $10,144                         $10,194
    12/99                 $10,148                         $10,204
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Lehman Brothers 1-3 Year Government Bond Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
MassMutual Short-Term Bond Fund – Portfolio of Investments
 
December 31, 1999
 
 
 
 
       Principal
Amount
   Market Value
BONDS & NOTES  — 93.4%
ASSET BACKED SECURITIES  — 9.5%
Boston Edison
Company Series
1999-1, Class A4		  
   6.910%  09/15/2009 $  2,500,000    $  2,469,525
California
Infrastructure
PG&E-1, 1997-1,
Class A6		  
   6.320%  09/25/2005 250,000    245,870
California
Infrastructure SCE-1,
1997-1, Class A5		  
   6.280%  09/25/2005 300,000    294,699
California
Infrastructure
SDG&E-1,1997-1,
Class A5		  
   6.190%  09/25/2005 200,000    195,970
Capita Equipment
Receivables Trust
1996-1, Class A4		  
   6.280%  06/15/2000 167,715    167,707
Capita Equipment
Receivables Trust
1997-1, Class A3		  
   6.120%  09/15/2000 385,427    384,914
Chase Manhattan Auto
Owner Trust 1997-A,
Class A4		  
   6.400%  07/16/2001 1,327,660    1,328,072
Chase Manhattan RV
Owner Trust 1997-A,
Class A7		  
   6.140%  10/16/2006 1,000,000    994,800
First Bank Corporate
Card Master Trust
1997-1, Class A		  
   6.400%  02/15/2003 1,000,000    983,750
First Security Auto
Owner Trust 1999-1,
Class A4		  
   5.740%  06/15/2004 5,000,000    4,874,150
Ford Credit Auto
Owner Trust Series
1999-A, Class A3		  
   5.310%  04/16/2001 1,616,943    1,614,065
       
       
    Principal
Amount
   Market  Value
Ford Credit Auto Owner
Trust, 1996-B,
Class A-4		  
6.300%
01/15/2001
 $   673,032    $     673,032
Metlife Capital
Equipment Loan Trust
Series 1997-A, Class A		  
6.850%
05/20/2008
 1,000,000    993,010
Peco Energy Transition
Trust Series 1999-A,
Class A4		  
5.800%
03/01/2007
 2,000,000    1,898,120
Railcar Trust No.
1992-1		  
7.750%
06/01/2004
 817,272    825,118
Rental Car Finance Corp.
Series 1999-1A,
Class A †		  
5.900%
02/25/2007
 1,000,000    961,990
Student Loan Marketing
Association Series
1998-1, Class A1		  
5.499%
01/25/2007
 1,401,835    1,393,522
          
 
TOTAL ASSET BACKED
SECURITIES
(Cost $20,644,851)		    20,298,314
          
 
CORPORATE DEBT  — 30.2%
AirTouch
Communications, Inc.		  
7.500%
07/15/2006
 1,000,000    1,011,840
America West Airlines,
Inc. 1996-1, Class A		  
6.850%
07/02/2009
 1,891,695    1,762,662
Analog Devices, Inc.  
6.625%
03/01/2000
 1,000,000    1,000,200
Associates Corporation
of North America		  
6.750%
08/01/2001
 1,500,000    1,497,285
AT&T Corp.  
5.625%
03/15/2004
 3,000,000    2,837,070
Bell Atlantic Financial
Services, Inc.		  
6.610%
02/07/2000
 2,000,000    2,000,720
    Principal
Amount
   Market  Value
BHP Finance (USA)
Limited		  
7.875%
12/01/2002
 $   1,000,000    $   1,008,940
Bombardier Capital,
Inc. †		  
6.000%
01/15/2002
 2,000,000    1,949,352
Carlisle Companies
Incorporated		  
7.250%
01/15/2007
 1,000,000    930,290
CSC Enterprises †  
6.500%
11/15/2001
 2,000,000    1,996,320
CSX Corporation  
7.050%
05/01/2002
 2,900,000    2,888,893
Dana Corporation  
6.250%
03/01/2004
 5,000,000    4,755,350
Duke Capital Corp.  
7.250%
10/01/2004
 3,000,000    2,981,970
Emerald Investment
Grade CBO †		  
6.544%
05/24/2011
 2,000,000    1,985,000
General American
Transportation
Corporation		  
6.750%
03/01/2006
 1,000,000    924,260
General Electric
Capital Corporation
Series MTNA		  
5.500%
04/15/2002
 2,100,000    2,038,365
Heller Financial, Inc.  
6.250%
03/01/2001
 2,000,000    1,982,500
Heller Financial, Inc.  
6.330%
07/28/2000
 2,000,000    1,997,762
IMC Global, Inc.  
6.625%
10/15/2001
 1,500,000    1,473,465
MAPCO, Inc.  
7.250%
03/01/2009
 1,250,000    1,171,000
Norfolk Southern
Corporation		  
7.350%
05/15/2007
 1,000,000    981,450
Occidental Petroleum
Corporation		  
6.750%
11/15/2002
 2,900,000    2,847,684
Joseph E. Seagram &
Sons, Inc.		  
6.250%
12/15/2001
 3,200,000    3,133,142
SuperValu, Inc.  
7.625%
09/15/2004
 2,500,000    2,474,475
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
15
MassMutual Short-Term Bond Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
Textron Financial Corp.          
7.125%    12/09/2004    $   3,500,000    $  3,469,830
Times Mirror Co.          
6.650%    10/15/2001    4,000,000    3,974,240
Union Oil Company of
California		          
9.875%    08/15/2002    2,500,000    2,649,850
Valero Energy
Corporation		          
7.375%    03/15/2006    1,000,000    948,736
Vulcan Materials
Company		          
5.750%    04/01/2004    5,000,000    4,723,000
Walt Disney Company,
The		          
6.375%    03/30/2001    1,500,000    1,494,090
              
 
TOTAL CORPORATE DEBT
(Cost $66,421,847)		    64,889,741
              
 
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS — 3.0%
Collateralized Mortgage
Obligations
Asset Securitization
Corporation Series
1995-MD4, Class A1		          
7.100%    08/13/2029    2,378,409    2,354,530
Merrill Lynch Mortgage
Investors, Inc. Series
1998-ASPI, Class C†		          
5.822%    10/01/2003    4,000,000    4,000,000
              
 
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $6,497,515)		    6,354,530
              
 
U.S. GOVERNMENT AGENCY
OBLIGATIONS — 7.9%
Federal Home Loan Mortgage
Corporation (FHLMC) — 0.6%
Collateralized Mortgage
Obligations — 0.5%
FHLMC Series 1704
Class PE		          
6.000%    07/15/2007    1,168,635    1,162,418
              
 
Pass-Through Securities  — 0.1%
FHLMC          
4.750%    09/01/2006    133,809    129,041
              
                         1,291,459
              
 
 
 
          Principal
Amount
    Market Value
Federal National Mortgage
Association (FNMA) — 1.4%
Collateralized Mortgage
Obligations — 1.2%
FNMA Series 1993-71
Class PG		          
6.250%    07/25/2007    $2,500,000    $   2,480,450
                
Pass-Through Securities  — 0.2%
FNMA          
8.000%    05/01/2013    230,493    231,242
FNMA          
9.000%    10/01/2009    229,324    237,761
              
                        469,003
              
                        2,949,453
              
 
Government National Mortgage
Association (GNMA) — 2.6%
Pass-Through Securities
GNMA          
7.500%    08/15/2029    4,885,717    4,831,999
GNMA          
8.000%         
05/15/2001-11/15/2007       797,977    805,716
              
                        5,637,715
              
 
U.S. Government Guaranteed Notes — 3.3%
1994-A Baxter
Springs, KS		          
6.310%    08/01/2001    500,000    497,130
1994-A Detroit, MI          
6.310%    08/01/2001    450,000    447,417
1994-A Jacksonville, FL          
6.310%    08/01/2001    1,485,000    1,476,476
1994-A Los Angeles
County, CA		          
6.310%    08/01/2001    225,000    223,709
1994-A Tacoma, WA          
6.310%    08/01/2001    195,000    193,881
1994-A Trenton, NJ          
6.310%    08/01/2001    145,000    144,168
U.S. Dept. of Housing and
Urban Development,
Series 1997-A		          
6.110%    08/01/2000    4,000,000    3,990,000
              
                        6,972,781
              
 
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $16,514,990)		    16,851,408
              
 
 
 
          Principal
Amount
    Market Value
U.S. TREASURY OBLIGATIONS — 42.8%
U.S. Treasury Note          
5.625 %    11/30/2000    $80,000,000    $   79,662,400
U.S. Treasury Note          
6.125 %    08/15/2007    4,500,000    4,387,500
U.S. Treasury Note          
6.500 %    10/15/2006    8,000,000    7,978,720
                 
 
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $93,427,499)		    92,028,620
                 
 
TOTAL BONDS & NOTES
(Cost $203,506,702)		    200,422,613
                 
 
SHORT-TERM INVESTMENTS  — 5.8%
Commercial Paper
Case Credit
Corporation		          
6.200 %    02/25/2000    1,845,000    1,827,524
Cox Enterprises, Inc.          
6.500 %    01/12/2000    3,000,000    2,994,042
Cox Enterprises, Inc.          
7.100 %    01/12/2000    285,000    284,382
Crown Cork & Seal
Company, Inc.		          
6.400 %    02/01/2000    135,000    134,256
Praxair, Inc.          
6.400 %    02/18/2000    2,265,000    2,245,672
Ryder System, Inc.          
6.370 %    01/20/2000    1,090,000    1,086,335
Ryder System, Inc.          
6.440 %    01/20/2000    390,000    388,675
Ryder System, Inc.          
6.920 %    02/08/2000    212,000    210,451
Union Carbide
Corporation		          
6.250 %    03/31/2000    3,420,000    3,368,700
                 
 
TOTAL SHORT-TERM
INVESTMENTS
(Cost $12,537,900)		    12,540,037
                 
 
TOTAL INVESTMENTS  — 99.2%
(Cost $216,044,602)***		    212,962,650
               
 
Other Assets/
(Liabilities) — 0.8%		    1,640,790
                 
 
NET ASSETS —  100.0%    $   214,603,440
                 
 
Notes to Portfolio of Investments
***Aggregate cost for Federal tax purposes (Note 7)
 
†
Securities exempt from registration under rule 144A of the Securities Act of 1933. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
 
The accompanying notes are an integral part of the financial statements.
16
 
MassMutual Short-Term Bond Fund – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investments, at value (cost $203,506,702) (Note 2)      $200,422,613  
                 Short-term investments, at value (cost $12,537,900) (Note 2)      12,540,037  
     
  
                           Total Investments      212,962,650  
                Cash .      1,473  
                 Receivables from:
                           Investments sold      4,402  
                           Fund shares sold      434,513  
                           Interest      2,188,773  
     
  
                                      Total assets      215,591,811  
     
  
Liabilities:
                Payables for:
                           Fund shares redeemed      881,420  
                           Directors’ fees and expenses (Note 3)      2,720  
                           Affiliates (Note 3):
                                      Investment management fees      72,632  
                                      Administration fees      21,516  
                                      Service fees      90  
                Accrued expenses and other liabilities      9,993  
     
  
                                      Total liabilities      988,371  
     
  
                Net assets      $214,603,440  
     
  
Net assets consist of:
                Paid-in capital      $217,740,767  
                 Accumulated net realized loss on investments      (55,375 )
                Net unrealized depreciation on investments      (3,081,952 )
     
  
                           $214,603,440  
     
  
Net assets:
                Class A      $         134,435  
     
  
                Class L      $     1,523,579  
     
  
                Class Y      $     1,808,109  
     
  
                Class S      $211,137,317  
     
  
Shares outstanding:
                Class A      13,468  
     
  
                Class L      153,528  
     
  
                Class Y      181,578  
     
  
                Class S      21,174,130  
     
  
Net asset value, offering price and redemption price per share:
                Class A      $               9.98  
     
  
                Class L      $               9.92  
     
  
                Class Y      $               9.96  
     
  
                Class S      $               9.97  
     
  
 
 
The accompanying notes are an integral part of the financial statements.
17
 
MassMutual Short-Term Bond Fund – Financial Statements (Continued)
 
Statement of Operations
 
       Year ended
December 31, 1999
Investment income: (Note 2)
                 Interest      $14,225,347  
       
  
 
Expenses: (Note 2)
                 Investment management fees (Note 3)      1,012,716  
                Custody fees      24,464  
                Directors ’ fees (Note 3)      14,658  
                Audit and legal fees      13,861  
       
  
           1,065,699  
                 Administration fees (Note 3):
                           Class A      494  
                           Class L*      1,129  
                           Class Y      925  
                           Class S      244,992  
                Service fees (Note 3):
                           Class A      335  
       
  
                                      Total expenses      1,313,574  
       
  
                                      Net investment income      12,911,773  
       
  
 
Realized and unrealized gain (loss):
                Net realized gain on investment transactions      291,880  
                Net change in unrealized appreciation (depreciation)
                           on investments		      (5,926,712 )
       
  
                                      Net realized and unrealized loss       (5,634,832 )
       
  
                Net increase in net assets resulting from operations      $  7,276,941  
       
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
18
 
MassMutual Short-Term Bond Fund – Financial Statements (Continued)
 
Statements of Changes in Net Assets
 
       Year ended
December 31, 1999
      Year ended
December 31, 1998
Increase (Decrease) in Net Assets:
Operations:
                Net investment income      $  12,911,773        $  14,427,598  
                Net realized gain (loss) on investment transactions      291,880        (104,694 )
                Net change in unrealized appreciation (depreciation) on investments      (5,926,712 )      1,551,421  
       
       
  
                           Net increase in net assets resulting from operations      7,276,941        15,874,325  
       
       
  
 
Distributions to shareholders (Note 2):
                From net investment income:
                Class A      (7,429 )      (6,032 )
                Class L*      (87,813 )      —    
                Class Y      (110,663 )      (13,681 )
                Class S      (12,705,868 )      (14,459,636 )
       
       
  
                           Total distributions from net investment income      (12,911,773 )      (14,479,349 )
       
       
  
 
                In excess of net investment income:
                Class A      (1 )      —    
                Class L*      (10 )      —    
                Class Y      (13 )      —    
                Class S      (1,450 )      —    
       
       
  
                           Total distributions in excess of net investment income      (1,474 )      —    
       
       
  
 
                From net realized gains:
                Class A      (174 )      (137 )
                Class L*      (1,874 )      —    
                Class Y      (2,352 )      (279 )
                Class S      (272,917 )      (321,463 )
       
       
  
                           Total distributions from net realized gains      (277,317 )      (321,879 )
       
       
  
 
Net fund share transactions (Note 5):
                Class 1**      —          (122,436 )
                Class 2**      —          (124,585 )
                Class 3**      —          (125,819 )
                Class A      9,336        128,605  
                Class L*      1,601,579        —    
                Class Y      1,634,490        267,365  
                Class S      (66,799,674 )      82,333,818  
       
       
  
                           Increase (decrease) in net assets from net fund share
                                transactions		      (63,554,269 )      82,356,948  
       
       
  
                Total increase (decrease) in net assets      (69,467,892 )      83,430,045  
 
Net assets:
                 Beginning of period .      284,071,332        200,641,287  
       
       
  
                End of period (including undistributed net investment income of $0 and
                           $0, respectively)		      $214,603,440        $284,071,332  
       
       
  
 
 * For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
** Effective January 1, 1998, Class 1, Class 2, and Class 3 shares were terminated (See Note 1).
 
 
The accompanying notes are an integral part of the financial statements.
19
 
MassMutual Short-Term Bond Fund – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout each period)
 
       Class A
     Class L
     Class Y
       Year ended
12/31/99
     Year ended
12/31/98†
     Period ended
12/31/99**
     Year ended
12/31/99
     Year ended
12/31/98†
Net asset value, beginning of period      $     10.31        $     10.25        $     10.42        $     10.31        $     10.24  
       
       
       
       
       
  
Income (loss) from investment operations:
     Net investment income      0.50  ***      0.52  ***      0.38  ***      0.57  ***      0.57  ***
     Net realized and unrealized gain (loss) on investments      (0.24 )      0.05        (0.23 )      (0.27 )      0.06  
       
       
       
       
       
  
              Total income (loss) from investment operations      0.26        0.57        0.15        0.30        0.63  
       
       
       
       
       
  
Less distributions to shareholders:
     From net investment income      (0.58 )      (0.50 )      (0.64 )      (0.64 )      (0.55 )
    In excess of net investment income      (0.00 )****      —          (0.00 )****      (0.00 )****      —    
     From net realized gains      (0.01 )      (0.01 )      (0.01 )      (0.01 )      (0.01 )
       
       
       
       
       
  
              Total distributions      (0.59 )      (0.51 )      (0.65 )      (0.65 )      (0.56 )
       
       
       
       
       
  
Net asset value, end of period      $       9.98        $     10.31        $       9.92        $       9.96        $     10.31  
       
       
       
       
       
  
Total Return@      2.51%        5.75%        1.48%        3.04%        6.12%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)      $       134        $       129        $    1,524        $    1,808        $       269  
     Net expenses to average daily net assets      1.05%        1.20%        0.75%  *      0.61%        0.74%  
     Net investment income to average daily net assets      4.81%        4.95%        5.39%  *      5.45%        5.40%  
     Portfolio turnover rate      59%        44%        59%        59%        44%  
 
      
            Class S(1)
       
       Year ended
12/31/99
     Year ended
12/31/98
     Year ended
12/31/97
     Year ended
12/31/96
     Year ended
12/31/95
Net asset value, beginning of period      $     10.30        $     10.23        $     10.11        $     10.15        $       9.85  
       
       
       
       
       
  
Income (loss) from investment operations:
     Net investment income      0.56  ***      0.56        0.65  ***      0.60        0.66  
     Net realized and unrealized gain (loss) on investments      (0.24 )      0.08        0.04        (0.03 )      0.50  
       
       
       
       
       
  
              Total income (loss) from investment operations      0.32        0.64        0.69        0.57        1.16  
       
       
       
       
       
  
Less distributions to shareholders:
     From net investment income      (0.64 )      (0.56 )      (0.57 )      (0.60 )      (0.66 )
    In excess of net investment income      (0.00 )****      —          —          —          —    
     From net realized gains      (0.01 )      (0.01 )      0.00        (0.01 )      (0.20 )
       
       
       
       
       
  
              Total distributions      (0.65 )      (0.57 )      (0.57 )      (0.61 )      (0.86 )
       
       
       
       
       
  
Net asset value, end of period      $       9.97        $     10.30        $     10.23        $     10.11        $     10.15  
       
       
       
       
       
  
Total Return@      3.10%        6.29%        6.84%        5.57%        11.77%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)      $211,137        $283,673        $200,268        $145,182        $122,904  
     Net expenses to average daily net assets#      0.54%        0.55%        0.54%        0.52%        0.52%  
     Net investment income to average daily net assets      5.34%        5.58%        6.22%        6.00%        6.32%  
     Portfolio turnover rate      59%        44%        48%        61%        114%  
 
    #  Computed after giving effect to the voluntary partial waiver of
    management fee by MassMutual, which terminated May 1,
    1997. Without this partial waiver of fees by MassMutual, the
    ratio of expenses to average daily net assets would have been:		      N/A        N/A        0.55%        0.55%        0.55%  
 
*
Annualized
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
****
Distributions in excess of net investment income is less than $0.01 per share.
†
Amounts have been restated to reflect reverse stock splits (See Note 9).
(1)
Class S shares were previously designated as Class 4 shares.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
The accompanying notes are an integral part of the financial statements.
20
 
MassMutual Core Bond Fund – Portfolio Manager Report
 
 
What are the investment objectives and policies for the MassMutual Core Bond Fund?
 
The objective and policies of the Fund are to:
Ÿ
achieve a high total return consistent with prudent investment risk and the preservation of capital
Ÿ
invest primarily in a diversified portfolio of investment grade, fixed income securities
Ÿ
maintain duration in a targeted range from four to seven years
Ÿ
diversify investments by industry, sector, maturity, issuer class, and quality sectors to reduce risk of capital erosion
 
How did the Fund perform during 1999?
 
For the 12 months ended December 31, 1999, the Fund’s Class S shares returned -2.08%, slightly better than the -2.15% return of the Lehman Brothers Government/Corporate Bond Index.
 
What factors influenced the Fund’s performance?
 
Unfortunately, the trend of rising interest rates evident in the first half of the year continued throughout the second half. In fact, measured by the return on 30-year Treasury bonds, 1999 was one of the worst years for bond returns in modern history. Long bond yields generally react to investors’ expectations for the economy and their concerns about inflation. During the period, the 30-year bond yield climbed roughly 140 basis points to 6.48%, a reflection of unexpected strength in the U.S. economy, which at the outset of 1999 seemed rather fragile. Yields in the five-to ten-year maturities rose even more steeply, flattening the yield curve and further depressing prices.
 
Rising rates were also evident at the short end of the market. The Federal Reserve Board, reacting to robust growth in Gross Domestic Product and corporate earnings, raised short-term interest rates in June, August, and November, bringing the closely watched federal funds rate up to 5.50%. These three moves effectively offset the three rapid decreases in interest rates engineered by the Fed in the fall of 1998, when world debt and equity markets were reeling from the Russian debt default and the near-collapse of a prominent hedge fund. While the recent increases in rates created a difficult environment for most bond funds, we must remember that interest rates may have been artificially low in the wake of 1998’s crisis. Now that market conditions have returned to normal and the crisis appears to have passed, the Fed’s actions may be seen as merely bringing rates back to their pre-crisis levels.
 
Because the Fund’s allocation of Treasury securities generally ranged between 25.0% and 29.4% during the second half of the year, the rise in Treasury yields took its toll on performance. On the other hand, performance was aided by the Fund’s holdings of spread product —those categories of securities offering a yield premium to the Treasury market. This was especially the case with our corporate holdings. Overall, spreads narrowed marginally during the year, partially offsetting the increase in interest rates. Tighter spreads, together with higher yields, enabled our spread product to post better overall returns than its Treasury counterparts.
 
How was the Fund positioned during the period?
 
Corporate securities were once again the Fund’s largest sector allocation, comprising approximately 43.0% of net assets at the end of the year. Treasury securities were the second-largest category, at 28.5% on December 31. Mortgage-backed securities were next-largest, ending the year at 20.5%.
 
The Fund’s overall credit quality remained Aa, while duration, which typically is targeted to remain within plus or minus 5% of the duration of our benchmark, came in at 5.25 on the final day of the period.
 
MassMutual Core Bond Fund – Portfolio Manager Report (Continued)
 
What is your outlook?
Historically, our policy has been to overweight spread product relative to our benchmark, and we expect that trend to continue. The general consensus on spreads, at the current time, is that they will continue to narrow. While this would benefit the Fund, we feel the need to be especially selective about new purchases over the short term, if only because we see few, if any, clearly outstanding opportunities available. Other considerations, such as the possible ramifications of further Fed tightening, a correction in equities, or the return of the business cycle, serve to temper our basically positive outlook for 2000.
 
[CHART]
    

Duration Diversification (12/31/99)
     MassMutual Core Bond Fund

    Average Duration = 5.25 years

      less than 1 year     7.8%
      1-3 years	          14.8%
      3-5 years	          24.4%
      5-10 years	  46.1%
      10-20 years	   6.9%
    
[CHART]
    

      Quality Structure (12/31/99)
       MassMutual Core Bond Fund

 Ba/BB                              0.8%
 NR                                   1%
 Aa/AA                              3.5%
 A/A                               17.4%
 U.S. Government Cash Equivalents
 Aaa/AAA		           57.5%

 Baa/BBB                           19.8%
 
MassMutual Core Bond Fund – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Core Bond Fund Class S and the Lehman Brothers Government/Corporate Bond Index
 
 
MassMutual Core Bond Fund
Total Return
     One Year
1/1/99 - 12/31/99		    Five Year
Average Annual
1/1/95 - 12/31/99		    Since Inception
Average Annual
10/3/94 - 12/31/99
 
Class S    -2.08%    7.38%    7.06%
 
Lehman Brothers
Government/    -2.15%    7.60%    7.30%
Corporate Bond Index
 
Hypothetical Investments in MassMutual Core Bond Fund Class A, Class Y and the Lehman Brothers Government/Corporate Bond Index
 
 
MassMutual Core Bond Fund
Total Return
     One Year
1/1/99 - 12/31/99		    Since Inception
Average Annual
1/1/98 - 12/31/99
 
Class A    -2.43 %    2.53 %
 
Class Y    -2.16 %    2.91 %
Lehman Brothers
Government/    -2.15 %    3.50 %
Corporate Bond Index
 
Hypothetical Investments in MassMutual Core Bond Fund Class L and the Lehman Brothers Government/Corporate Bond Index
 
 
MassMutual Core Bond Fund
Total Return
     Since Inception
5/3/99 - 12/31/99
 
Class L    -1.52 %
 
Lehman Brothers
Government/    -1.21 %
Corporate Bond Index
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
 
[CHART]

        Date                Class S               Lehman Gvt/Corp Bond
        ----                -------               --------------------

     (10/3/94)              $10,000                     $10,000
     12/94                  $10,020                     $10,037
     6/95                   $11,212                     $11,220
     12/95                  $11,940                     $11,968
     6/96                   $11,695                     $11,742
     12/96                  $12,274                     $12,314
     6/97                   $12,626                     $12,651
     12/97                  $13,474                     $13,515
     6/98                   $14,035                     $14,078
     12/98                  $14,611                     $14,794
     6/99                   $14,282                     $14,457
     12/99                  $14,307                     $14,478
[CHART]

     Date           Class A          Class Y         Lehman Govt/Corp Bond
     ----           -------          -------         ---------------------

    12/97           $10,000          $10,000                $10,000
    3/98            $10,140          $10,150                $10,162
    6/98            $10,380          $10,410                $10,417
    9/98            $10,796          $10,831                $10,933
    12/98           $10,775          $10,825                $10,847
    3/99            $10,649          $10,702                $10,816
    6/99            $10,512          $10,575                $10,697
    9/99            $10,554          $10,626		    $10,755
    12/99           $10,513          $10,591   		    $10,712
[CHART]

		Date		Class L		Lehman Gvt/Corp Bond
		----		-------		--------------------

		5/3/99		$10,000		$10,000
		5/31/99		 $9,881		 $9,877
		6/99		 $9,845		 $9,866
		7/99		 $9,809		 $9,839
		8/99		 $9,792		 $9,831
		9/99		 $9,884		 $9,919
		10/99		 $9,902		 $9,945
		11/99		 $9,911		 $9,940
		12/99		 $9,848		 $9,879
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Lehman Brothers Government/Corporate Bond Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
MassMutual Core Bond Fund – Portfolio of Investments
 
December 31, 1999
 
 
 
 
 
          Principal
Amount
    Market Value
                                   
BONDS & NOTES  — 94.0%
ASSET BACKED SECURITIES  — 7.1%
California
Infrastructure
PG&E-1, 1997-1,
Class A6
6.320%    09/25/2005    $         550,000    $           540,914
California
Infrastructure SCE-1,
1997-1, Class A5
6.280%    09/25/2005    700,000    687,631
California
Infrastructure
SDG&E-1,1997-1,
Class A5
6.190%    09/25/2005    500,000    489,925
Capita Equipment
Receivables Trust
1996-1, Class A4
6.280%    06/15/2000    503,146    503,120
Case Equipment Loan
Trust 1998-A,
Class A4
5.830%    02/15/2005    3,500,000    3,450,475
Caterpillar Financial
Asset Trust, 1997-B,
Class A3
6.160%    09/25/2003    2,642,812    2,635,650
Chase Manhattan Auto
Owner Trust 1998-A,
Class A4
5.800%    12/16/2002    3,750,000    3,702,638
Chase Manhattan RV
Owner Trust 1997-A,
Class A7
6.140%    10/16/2006    4,500,000    4,476,600
Community Program
Loan Trust, 1987-A,
Class A4
4.500%    10/01/2018    1,375,098    1,231,118
Ford Credit Auto
Owner Trust,
1996-B, Class A-4
6.300%    01/15/2001    1,682,579    1,682,579
Metlife Capital
Equipment Loan
Trust Series 1997-A,
Class A
6.850%    05/20/2008    2,500,000    2,482,525
Peco Energy
Transition Trust
Series 1999-A,
Class A6
6.050%    03/01/2009    2,300,000    2,157,676
Peco Energy
Transition Trust
Series 1999-A,
Class A7
6.130%    03/01/2009           1,200,000                      1,105,116
          Principal
Amount
    Market Value
                                   
Premier Auto Trust
Series 1998-4,
Class A3
5.690%    06/08/2002    $     4,000,000    $       3,963,960
Premier Auto Trust
Series 1998-5,
Class A3
5.070%    07/08/2002    2,000,000    1,963,920
Railcar Trust No.
1992-1
7.750%    06/01/2004    953,485    962,638
Rental Car Finance
Corp. Series
1999-1A, Class A†
5.900%    02/25/2007    2,000,000    1,923,980
Textron Financial
Corporation
5.890%    01/15/2005    3,500,000    3,439,590
Toyota Auto Lease
Trust Series 1998-B,
Class A1
5.350%    07/25/2002    3,500,000    3,494,750
Travelers Funding Ltd.
Class A-1
6.300%    02/18/2014    3,100,000    2,670,030
              
 
TOTAL ASSET BACKED
SECURITIES
(Cost $44,615,130)		    43,564,835
              
 
CORPORATE DEBT  — 42.9%
AirTouch
Communications,
Inc.
7.500%    07/15/2006    3,000,000    3,035,520
Alcan Aluminum
Limited
6.250%    11/01/2008    2,500,000    2,273,750
America West Airlines,
Inc.
1996-1, Class A
6.850%    07/02/2009    4,256,313    3,965,990
American Airlines,
Inc. 1994-A Pass
Through Trusts,
Class A4*
9.780%    11/26/2011    1,732,579    1,874,027
American General
Finance Corporation
5.750%    11/01/2003    2,000,000    1,891,580
AMR Corporation*
9.000%    08/01/2012           2,000,000             2,054,480
Analog Devices, Inc.*
6.625%    03/01/2000    1,500,000    1,500,300
          Principal
Amount
    Market Value
                                   
Archer Daniels
Midland Company
6.750%    12/15/2027    $     2,000,000    $       1,746,560
Associates
Corporation of
North America
6.750%    08/01/2001    2,000,000    1,996,380
Associates
Corporation of
North America*
7.875%    09/30/2001    1,500,000    1,523,775
Barrick Gold
Corporation
7.500%    05/01/2007    4,000,000    3,935,760
Bell Atlantic Financial
Services, Inc.
6.610%    02/04/2000    1,750,000    1,750,560
BHP Finance (USA)
Limited
6.420%    03/01/2026    3,500,000    3,390,660
Bombardier Capital,
Inc.†
6.000%    01/15/2002    4,000,000    3,898,704
Boston Scientific
Corporation
6.625%    03/15/2005    6,300,000    5,786,865
Cable & Wireless
Communications plc
6.750%    12/01/2008    3,000,000    2,970,681
Capitol Records, Inc. †
8.375%    08/15/2009    5,500,000    5,358,755
Carlisle Companies,
Incorporated
7.250%    01/15/2007    2,665,000    2,479,218
Celulosa Arauco y
Constitucion, S.A.
6.950%    09/15/2005    2,000,000    1,881,700
Champion
International
Corporation
6.400%    02/15/2026    2,500,000    2,338,775
The CIT Group, Inc.
5.500%    02/15/2004    4,000,000    3,741,800
The Columbia Gas
System, Inc.
6.610%    11/28/2002    3,000,000    2,925,060
Comcast Cable
Communications, Inc.
8.375%    05/01/2007    2,500,000    2,593,925
Commercial Credit
Company*
7.750%    03/01/2005    3,000,000    3,056,160
ConAgra, Inc.
7.000%    10/01/2028    3,000,000    2,636,520
Continental Airlines,
Inc., Series 1996-2B
8.560%    07/02/2014    1,627,412    1,646,892
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
24
MassMutual Core Bond Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
                                   
Continental Airlines,
Inc., Series 1996-B
7.820%    04/15/2015    $     1,822,827    $       1,764,041
Crown Cork & Seal
Company, Inc.
6.750%    12/15/2003    3,550,000    3,411,479
CSX Corporation
7.050%    05/01/2002    3,000,000    2,988,510
CSX Corporation
7.250%    05/01/2027    4,000,000    3,897,600
Dover Corporation
6.250%    06/01/2008    2,000,000    1,801,140
Dover Corporation
6.650%    06/01/2028    2,000,000    1,670,900
Duke Capital Corp.
8.000%    10/01/2019    3,600,000    3,626,280
Emerald Investment
Grade CBO†
6.544%    05/24/2011    3,000,000    2,977,500
Equifax, Inc.
6.500%    06/15/2003    1,000,000    968,050
ERAC USA Finance
Company†
6.750%    05/15/2007    3,000,000    2,779,560
FBG Finance Limited †
7.875%    06/01/2016    3,000,000    2,976,990
Fletcher Challenge
Capital Canada, Inc.
6.750%    03/24/2005    2,000,000    1,855,260
Fletcher Challenge
Capital Canada, Inc.
7.750%    06/20/2006    2,500,000    2,409,200
Ford Motor Credit
Corporation
7.375%    10/28/2009    3,000,000    2,961,750
General American
Transportation
Corporation
6.750%    03/01/2006    3,000,000    2,772,780
General Electric
Capital Corporation
8.750%    05/21/2007           1,500,000             1,620,360
General Electric
Capital Corporation
Series MTNA
5.500%    04/15/2002    5,600,000    5,435,640
General Mills, Inc.
8.900%    06/15/2006    2,250,000    2,424,465
The Goldman Sachs
Group, L.P.†
6.200%    02/15/2001           2,500,000             2,477,100
Halliburton Company
5.625%    12/01/2008    2,750,000    2,418,240
Heller Financial, Inc.
6.250%    03/01/2001    2,500,000    2,478,125
Heller Financial, Inc. †
7.375%    11/01/2009    2,500,000    2,430,493
 
 
          Principal
Amount
    Market Value
                                   
                                   
Hershey Foods
Corporation*
7.200%    08/15/2027    $     5,000,000    $       4,745,600
Household Finance
Corporation
6.500%    11/15/2008    2,400,000    2,222,664
ICI Wilmington, Inc.
7.050%    09/15/2007    2,000,000    1,909,100
IMC Global, Inc.
6.625%    10/15/2001    3,000,000    2,946,930
IMCERA Group, Inc.*
6.000%    10/15/2003    1,000,000    927,440
Interpool, Inc.
7.350%    08/01/2007    2,000,000    1,648,382
Lafarge Corporation
6.375%    07/15/2005    2,000,000    1,887,280
LASMO (USA), Inc.
6.750%    12/15/2007    5,000,000    4,709,980
Leucadia National
Corporation
7.750%    08/15/2013    2,500,000    2,360,800
Marsh & McLennan
Companies, Inc.
7.125%    06/15/2009    2,000,000    1,935,708
Meritor Automotive,
Inc.
6.800%    02/15/2009    4,000,000    3,635,680
Midway Airlines Corp.
Pass Through
Certificates Class B†
8.140%    01/02/2013    2,766,000    2,524,832
Millipore Corporation
7.500%    04/01/2007    3,750,000    3,465,525
Mobil Corporation*
8.625%    08/15/2021    4,500,000    5,066,190
Morgan Stanley Dean
Witter & Co.
5.625%    01/20/2004    5,500,000    5,180,615
Newmont Mining
Corporation*
8.625%    04/01/2002    2,000,000    2,014,140
News America
Holdings
Incorporated
7.300%    04/30/2028    3,750,000    3,344,925
News America
Holdings
Incorporated
9.250%    02/01/2013           3,000,000             3,264,840
Norfolk Southern
Corporation*
7.050%    05/01/2037    5,000,000    4,956,450
Norsk Hydro ASA †
8.750%    10/23/2001    500,000    511,543
 
 
          Principal
Amount
    Market Value
                                   
North Finance
(Bermuda)
Limited†
7.000%    09/15/2005    $     2,000,000    $       1,920,720
Pepsi Bottling
Holdings, Inc.†
5.625%    02/17/2009    2,000,000    1,765,912
PHH Corporation
6.500%    02/01/2000    500,000    500,110
Ralston Purina
Company*
7.750%    10/01/2015    2,000,000    1,889,060
Raytheon Company
6.750%    03/15/2018    1,750,000    1,519,980
Raytheon Company
6.750%    08/15/2007    2,500,000    2,332,325
Republic Services, Inc.
7.125%    05/15/2009    3,750,000    3,290,550
Ryder System, Inc.
6.600%    11/15/2005    3,800,000    3,496,950
Scholastic Corporation
7.000%    12/15/2003    3,000,000    2,918,070
The Charles Schwab
Corporation
6.250%    01/23/2003    2,500,000    2,407,825
Sears Roebuck
Acceptance Corp.
6.750%    09/15/2005    3,500,000    3,313,590
Sprint Capital
Corporation
6.125%    11/15/2008    2,000,000    1,813,360
Sprint Capital
Corporation
6.900%    05/01/2019    2,000,000    1,818,960
SuperValu, Inc. †
7.875%    08/01/2009    7,000,000    6,926,255
Texaco, Inc.
5.500%    01/15/2009    5,000,000    4,389,510
Texaco, Inc.
8.500%    02/15/2003    2,500,000    2,600,875
Thomas & Betts
Corporation*
8.250%    01/15/2004    2,500,000    2,501,075
Time Warner, Inc.
Pass-Thru Asset Trust
1997-1†
6.100%    12/30/2001    4,000,000    3,920,680
Times Mirror Co.
7.450%    10/15/2009    3,600,000    3,581,172
TTX Company †
6.290%    05/15/2002    5,000,000    4,889,815
Union Tank Car Co.
6.790%    05/01/2010    4,800,000    4,382,448
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
25
MassMutual Core Bond Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
                                   
United Air Lines, Inc.
10.110%    02/19/2006    $         707,153    $           752,304
US Air, Inc., Class B
7.500%    10/15/2009    1,364,279    1,248,793
US West Capital
Funding, Inc.
6.125%    07/15/2002    2,000,000    1,951,460
Valero Energy
Corporation
7.375%    03/15/2006    2,000,000    1,897,472
Vulcan Materials
Company
6.000%    04/01/2009    3,000,000    2,686,110
The Williams
Companies, Inc.
7.625%    07/15/2019    1,800,000    1,727,892
WPP Finance (USA)
Corporation
6.625%    07/15/2005    2,250,000    2,086,504
              
 
TOTAL CORPORATE DEBT
(Cost $274,723,668)		    264,188,261
              
 
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS — 4.1%
Collateralized Mortgage Obligations
Asset Securitization
Corporation Series
1995-MD4, Class A1
7.100%    08/13/2029    6,241,810    6,179,142
Chase Commercial
Mortgage Securities
Corp. Series 1998-2,
Class A1
6.025%    08/18/2007    2,792,658    2,655,930
CS First Boston
Mortgage Securities
Corp. Series 1998-C2,
Class A1
5.960%    12/15/2007    2,813,835    2,673,144
Merrill Lynch Mortgage
Investors, Inc., Series
1997- Cl-CTL, A-1
6.310%    11/15/2026    3,863,734    3,740,867
Merrill Lynch Trust
Series 43, Class E
6.500%    08/27/2015    263,338    260,210
Prudential Home
Mortgage Securities
1993-26 Class A6
6.750%    07/25/2008    4,000,000    3,975,000
Salomon Brothers
Mortgage Securities
1997-TZH, Class B†
7.491%    03/25/2022    3,000,000    2,943,825
 
 
          Principal
Amount
    Market Value
                                   
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B†
6.920%    02/05/2009    $     3,000,000    $       2,802,000
              
 
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $26,444,286)		    25,230,118
              
 
U.S. GOVERNMENT AGENCY
OBLIGATIONS — 11.4%
Federal Home Loan Mortgage Corporation
(FHLMC) — 2.3%
Collateralized Mortgage Obligations — 1.5%
FHLMC Series 1322
Class G
7.500%    02/15/2007    1,008,131    1,013,484
FHLMC Series 1337
Class D
6.000%    08/15/2007    1,000,000    961,870
FHLMC Series 1460
Class H
7.000%    05/15/2007    2,000,000    1,993,120
FHLMC Series 1490
Class PJ
6.000%    05/15/2007    600,000    594,936
FHLMC Series 1667,
Class PE
6.000%    03/15/2008    5,000,000    4,917,150
FHLMC Series B Class 3
12.500%    09/30/2013    75,520    81,726
              
                        9,562,286
              
 
Pass-Through Securities  — 0.8%
FHLMC
6.420%    12/01/2005    4,771,718    4,602,799
FHLMC
9.000%    03/01/2017    160,356    167,186
              
                        4,769,985
              
                        14,332,271
              
 
Federal National Mortgage Association
(FNMA) — 6.6%
Collateralized Mortgage Obligations — 2.6%
FNMA Series 1989-20
Class A
6.750%    04/25/2018    3,847,983    3,723,078
FNMA Series 1993-134
Class GA
6.500%    02/25/2007    5,000,000    4,951,550
FNMA Series 1993-221
Class D
6.000%    12/25/2008    2,500,000    2,415,625
 
 
          Principal
Amount
    Market Value
                                   
FNMA Series 1994-43
Class PE
6.000%    12/25/2019    $   290,629    $    288,720
FNMA Series 1996-54
Class C
6.000%    09/25/2008    5,000,000    4,787,500
              
                        16,166,473
              
 
Pass-Through Securities  — 4.0%
FNMA
6.000%    10/01/2028-
02/01/2029		    12,428,657    11,368,244
FNMA
6.500%    11/01/2028    13,167,987    12,406,614
FNMA
8.000%    05/01/2013    153,662    154,162
              
                        23,929,020
              
                        40,095,493
              
 
Government National Mortgage Association
(GNMA) — 2.5%
Pass-Through Securities
GNMA
7.000%    08/15/2023-
11/15/2023		    3,446,052    3,351,286
GNMA
7.500%    01/15/2017-
01/01/2029		    4,535,879    4,528,394
GNMA
8.000%    04/15/2001-
01/15/2009		    7,494,795    7,567,498
GNMA
9.000%    12/15/2004-
10/15/2009		    159,202    164,901
GNMA
11.000%    08/15/2000-
02/15/2001		    17,249    17,396
              
                        15,629,475
              
 
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $72,006,877)		    70,057,239
              
 
U.S. TREASURY OBLIGATIONS — 28.5%
U.S. Treasury Bonds  — 6.0%
U.S. Treasury Bond
7.500%    11/15/2016    9,845,000    10,532,575
U.S. Treasury Bond
8.875%    08/15/2017    21,800,000    26,347,262
              
                        36,879,837
              
 
U.S. Treasury Notes  — 19.1%
U.S. Treasury Note
5.500%    05/15/2009    10,900,000    10,155,748
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
26
MassMutual Core Bond Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
                                   
U.S. Treasury Note
5.750%    08/15/2003    $  10,000,000    $       9,795,300
U.S. Treasury Note
6.500%    10/15/2006    77,045,000    76,840,060
U.S. Treasury Note
6.875%    05/15/2006    8,000,000    8,141,280
U.S. Treasury Note
7.500%    02/15/2005    12,900,000    13,454,313
              
                        118,386,701
              
 
U.S. Treasury Strips  — 3.4%
U.S. Treasury Strip  — Principal Only
0.000%    05/15/2016    63,000,000    20,692,980
              
 
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $183,536,403)		    175,959,518
              
 
TOTAL BONDS & NOTES
(Cost $601,326,364)		    578,999,971
              
 
SHORT-TERM INVESTMENTS  — 26.7%
Cash Equivalents  — 23.5%
Bank of Montreal
Eurodollar Time
Deposit**
4.500%    01/03/2000    8,933,151    8,933,151
BankBoston
Eurodollar Time
Deposit**
4.870%    04/28/2000    14,390,570    14,390,570
The Goldman Sachs
Group, L.P. Master
Note**
6.450%    02/04/2000    17,410,263    17,410,263
Harris Trust & Savings
Bank Eurodollar
Time Deposit**
4.250%    01/03/2000    14,916,439    14,916,439
Janus Money Market
Fund**
5.630%    01/03/2000    22,227,759    22,227,759
MetLife Insurance
Company Funding
Agreement**
6.530%    08/01/2000    15,000,000    15,000,000
Morgan Stanley Dean
Witter & Co.**
4.860%    01/18/2000    22,521,607    22,521,607
SAT LAP (AIM) Money
Market Fund**
4.060%    01/03/2000    29,832,881    29,832,881
              
                        145,232,670
              
 
 
          Principal
Amount
    Market Value
                                   
Commercial Paper  — 3.2%
ConAgra, Inc.
5.700%    01/04/2000    $ 4,895,000    $       4,892,675
Federal Signal Corp.
5.500%    01/06/2000    5,015,000    5,011,169
Indiana Michigan
Power Company
5.600%    01/05/2000    5,120,000    5,116,814
Solutia, Inc.
5.650%    01/12/2000    4,600,000    4,592,059
              
                        19,612,717
              
 
TOTAL SHORT-TERM
INVESTMENTS
(At Amortized Cost)		    164,845,387
              
 
TOTAL INVESTMENTS  — 120.7%
(Cost $766,171,751)***		    743,845,358
 
Other Assets/
(Liabilities) — (20.7%)		     (127,435,200)
              
 
NET ASSETS —  100.0%    $   616,410,158
              
 
Notes to Portfolio of Investments
***    
Aggregate cost for Federal tax purposes (Note 7)
 
*    
All or a portion of this security is segregated to cover forward purchase commitments. (Note 2).
**    
Represents investment of security lending collateral. (Note 2).
†    
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
 
 
 
 
The accompanying notes are an integral part of the financial statements.
27
 
MassMutual Core Bond Fund – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets     
                 Investments, at value (cost $601,326,364) (Note 2)      $578,999,971  
                 Short-term investments, at amortized cost (Note 2)      164,845,387  
     
  
                           Total Investments      743,845,358  
                 Cash      3,868  
                 Receivables from:
                           Investments sold      744  
                           Fund shares sold      9,945,979  
                           Interest      8,744,325  
     
  
                                      Total assets      762,540,274  
     
  
Liabilities:
                Payables for:
                           Investments purchased      35,000  
                           Fund shares redeemed      522,990  
                           Securities on loan (Note 2)      145,232,670  
                           Settlement of investments purchased on a forward commitment basis (Note 2)      17,500  
                           Directors’ fees and expenses (Note 3)      2,720  
                           Affiliates (Note 3):
                                      Investment management fees      246,329  
                                      Administration fees      49,062  
                                      Service fees      379  
                Accrued expenses and other liabilities      23,466  
     
  
                                      Total liabilities      146,130,116  
     
  
                Net assets      $616,410,158  
     
  
Net assets consist of:
                Paid-in capital      $646,161,570  
                 Undistributed net investment income      604,525  
                 Accumulated net realized loss on investments      (8,012,044 )
                Net unrealized depreciation on investments and forward commitments      (22,343,893 )
     
  
           $616,410,158  
     
  
Net assets:
                Class A      $         575,867  
     
  
                Class L      $     2,361,409  
     
  
                Class Y      $  19,471,026  
     
  
                Class S      $594,001,856  
     
  
Shares outstanding:
                Class A      56,903  
     
  
                Class L      233,482  
     
  
                Class Y      1,923,720  
     
  
                Class S      58,575,122  
     
  
Net asset value, offering price and redemption price per share:
                Class A      $             10.12  
     
  
                Class L      $             10.11  
     
  
                Class Y      $             10.12  
     
  
                Class S      $             10.14  
     
  
 
The accompanying notes are an integral part of the financial statements.
28
 
MassMutual Core Bond Fund – Financial Statements (Continued)
 
Statement of Operations
 
       Year ended
December 31, 1999
Investment income: (Note 2)
                Interest (including securities lending income of $180,497)      $42,119,964  
     
  
 
Expenses: (Note 2)
                 Investment management fees (Note 3)      2,976,384  
                Custody fees      67,591  
                Audit and legal fees      23,104  
                Directors ’ fees (Note 3)      14,656  
     
  
                           3,081,735  
                 Administration fees (Note 3):
                           Class A      905  
                           Class L*      1,565  
                           Class Y      7,132  
                           Class S      551,404  
                Service fees (Note 3):
                           Class A      696  
     
  
                                      Total expenses      3,643,437  
     
  
                                      Net investment income      38,476,527  
     
  
 
Realized and unrealized gain (loss):
                Net realized loss on investment transactions      (7,813,872 )
                Net change in unrealized appreciation (depreciation) on investments and forward commitments      (43,678,928 )
     
  
                                      Net realized and unrealized loss      (51,492,800 )
     
  
                Net decrease in net assets resulting from operations      $(13,016,273 )
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
29
 
MassMutual Core Bond Fund – Financial Statements (Continued)
 
Statements of Changes in Net Assets
 
       Year ended
December 31, 1999
      Year ended
December 31, 1998
Increase (Decrease) in Net Assets:     
Operations:
                Net investment income      $  38,476,527        $  31,816,454  
                Net realized gain (loss) on investments and forward commitments      (7,813,872 )      6,573,153  
                Net change in unrealized appreciation (depreciation) on investments and
                     forward commitments		      (43,678,928 )      4,875,729  
     
     
  
                           Net increase (decrease) in net assets resulting from operations      (13,016,273 )      43,265,336  
     
     
  
 
Distributions to shareholders (Note 2):
                From net investment income:
                Class A      (35,668 )      (6,554 )
                Class L*      (145,284 )      -  
                Class Y      (1,199,642 )      (18,553 )
                Class S      (36,453,705 )      (32,902,152 )
     
     
  
                           Total distributions from net investment income      (37,834,299 )      (32,927,259 )
     
     
  
 
                From net realized gains:
                Class A      (107 )      (1,221 )
                Class L*      (145 )      -  
                Class Y      (2,717 )      (3,456 )
                Class S      (490,472 )      (6,128,341 )
     
     
  
                           Total distributions from net realized gains      (493,441 )      (6,133,018 )
     
     
  
 
                In excess of net realized gains:
                Class A      (52 )      -  
                Class L*      (69 )      -  
                Class Y      (1,298 )      -  
                Class S      (234,456 )      -  
     
     
  
                           Total distributions in excess of net realized gains      (235,875 )      -  
     
     
  
 
Net fund share transactions (Note 5):
                Class 1**      -        (131,171 )
                Class 2**      -        (133,481 )
                Class 3**      -        (134,838 )
                Class A      472,018        138,831  
                Class L*      2,505,877        -  
                Class Y      20,271,088        400,648  
                Class S      (65,259,795 )      249,325,651  
     
     
  
                           Increase (decrease) in net assets from net fund share transactions      (42,010,812 )      249,465,640  
     
     
  
                Total increase (decrease) in net assets      (93,590,700 )      253,670,699  
 
Net assets:
                 Beginning of period      710,000,858        456,330,159  
     
     
  
                End of period (including undistributed net investment income of $604,525 and
                     $0, respectively)		      $616,410,158        $710,000,858  
     
     
  
 
  * For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
** Effective January 1, 1998, Class 1, Class 2, and Class 3 shares were terminated (See Note 1).
 
The accompanying notes are an integral part of the financial statements.
30
 
 
MassMutual Core Bond Fund – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout each period)
 
       Class A
     Class L
     Class Y
       Year ended
12/31/99
     Year ended
12/31/98†
     Period ended
12/31/99**
     Year ended
12/31/99
     Year ended
12/31/98†
Net asset value, beginning of period      $     11.06        $     10.85        $     10.97        $     11.06        $     10.86  
     
     
     
     
     
  
Income (loss) from investment operations:
     Net investment income      0.62  ***      0.59  ***      0.44  ***      0.68  ***      0.65  ***
     Net realized and unrealized gain (loss) on investments      (0.89 )      0.25        (0.61 )      (0.92 )      0.25  
     
     
     
     
     
  
              Total income (loss) from investment operations      (0.27 )      0.84        (0.17 )      (0.24 )      0.90  
     
     
     
     
     
  
Less distributions to shareholders:
     From net investment income      (0.66 )      (0.52 )      (0.68 )      (0.69 )      (0.59 )
     From net realized gains      (0.01 )      (0.11 )      (0.01 )      (0.01 )      (0.11 )
    In excess of net realized gains      (0.00 )****      -        (0.00 )****      (0.00 )****      -  
     
     
     
     
     
  
              Total distributions      (0.67 )      (0.63 )      (0.69 )      (0.70 )      (0.70 )
     
     
     
     
     
  
Net asset value, end of period      $     10.12        $     11.06        $     10.11        $     10.12        $     11.06  
     
     
     
     
     
  
 
Total Return@      (2.43)%        7.75%        (1.52)%        (2.16)%        8.25%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)      $       576        $       141        $    2,361        $  19,471        $       400  
     Net expenses to average daily net assets      1.07%        1.20%        0.80%  *      0.65%        0.74%  
     Net investment income to average daily net assets      5.70%        5.26%        6.11%  *      6.29%        5.73%  
     Portfolio turnover rate      61%        51%        61%        61%        51%  
 
 
      
            Class S(1)
       
       Year ended
12/31/99
     Year ended
12/31/98
     Year ended
12/31/97
     Year ended
12/31/96
     Year ended
12/31/95
Net asset value, beginning of period      $     11.06        $     10.81        $     10.45        $     10.75        $       9.84  
     
     
     
     
     
  
Income (loss) from investment operations:
     Net investment income      0.66  ***      0.67  ***      0.69  ***      0.67  ***      0.72  ***
     Net realized and unrealized gain (loss) on investments      (0.89 )      0.24        0.33        (0.37 )      1.17  
     
     
     
     
     
  
              Total income (loss) from investment operations      (0.23 )      0.91        1.02        0.30        1.89  
     
     
     
     
     
  
Less distributions to shareholders:
     From net investment income      (0.68 )      (0.56 )      (0.64 )      (0.54 )      (0.65 )
     From net realized gains      (0.01 )      (0.10 )      (0.02 )      (0.06 )      (0.33 )
    In excess of net realized gains      (0.00 )****      -        -        -        -  
     
     
     
     
     
  
Total distributions      (0.69 )      (0.66 )      (0.66 )      (0.60 )      (0.98 )
     
     
     
     
     
  
Net asset value, end of period      $     10.14        $     11.06        $     10.81        $     10.45        $     10.75  
     
     
     
     
     
  
Total Return@      (2.08)%        8.44%        9.78%        2.80%        19.15%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)      $594,002        $709,459        $455,931        $356,699        $253,540  
     Net expenses to average daily net assets #      0.57%        0.55%        0.54%        0.51%        0.51%  
     Net investment income to average daily net assets      6.07%        5.92%        6.34%        6.26%        6.56%  
     Portfolio turnover rate      61%        51%        54%        54%        104%  
 
    #  Computed after giving effect to the voluntary partial waiver of
    management fee by MassMutual, which terminated May 1, 1997.
    Without this partial waiver of fees by MassMutual, the ratio of
    expenses to average daily net assets would have been:		      N/A        N/A        0.55%        0.56%        0.56%  
                          
*
Annualized
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
****
Distributions in excess of net realized gains is less than $0.01 per share.
†
Amounts have been restated to reflect reverse stock splits (See Note 9).
(1)
Class S shares were previously designated as Class 4 shares.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
The accompanying notes are an integral part of the financial statements.
31
 
MassMutual Diversified Bond Fund – Portfolio Manager Report
 
 
What are the investment objectives and policies for the MassMutual Diversified Bond Fund?
 
The objective and policies of the Fund are to:
Ÿ
achieve a high total return consistent with prudent investment risk and the preservation of capital
Ÿ
invest in a diversified portfolio of fixed income securities across the credit quality spectrum, including investment grade and high-yield issues
Ÿ
maintain duration roughly comparable to that of the Lehman Brothers Intermediate Aggregate Bond Index, with overall credit quality of at least BBB
Ÿ
diversify investments by industry, sector, maturity, issuer class, and quality sectors to reduce risk of capital erosion
 
How did the Fund perform?
 
It was a difficult year. From inception on May 3, 1999, through December 31, 1999, the Fund’s Class S shares returned -0.25%, compared to 0.33% for the Lehman Brothers Intermediate Aggregate Bond Index.


What factors influenced the Fund’s performance?

Rising interest rates were the primary reason for the Fund’s disappointing return. The year began with modest expectations for economic growth and held out the possibility of stable or even lower interest rates. Over the next few months, however, as it became clear that the U.S. economy was growing much faster than expected, the Federal Reserve Board stepped in to raise short-term interest rates on June 30. Continued strength in the economy prompted further rate hikes in August and November, bringing the closely watched federal funds rate to 5.50%, 75 basis points higher than where it began the year.
 
Intermediate and long bond yields, which generally react to investors ’ expectations for the economy and their concerns about inflation, rose by disproportionately large amounts compared to their performance in 1994, when the Fed raised short-term rates by 250 basis points. The 30-year bond yield climbed roughly 140 basis points to 6.48%, resulting in a total return for the bond of approximately -15%. Yields in the two-to ten-year maturities rose even more steeply, flattening the yield curve and depressing prices.
 
On the positive side, spreads began 1999 at relatively wide levels and narrowed during the year, partially offsetting the rise in rates. Accordingly, spread product—securities offering a yield premium to Treasuries—performed better than Treasuries themselves. As might be expected in such an environment, the best-performing asset class during the period was the one with the widest spreads—high-yield securities. As prospects for the economy, and therefore corporate earnings, improved during the year, investors demanded a smaller yield premium to purchase high-yield investments because the level of risk associated with them appeared to diminish.
 

How was the Fund positioned during the period?
 
The Fund’s asset allocation strategy did not vary much during the year. Mortgage-backed securities, the Fund’s largest sector allocation, ended the year at 36.0%. Once again, those securities consisted of agency-backed, current-coupon passthroughs. Corporate securities comprised 27.3% of assets at the end of the period, with approximately half of that total consisting of investment grade securities and the rest high-yield bonds. Treasuries, the third-largest category of assets, stood at 25.0% when the year ended, while money market securities finished the period at 10.7%. As before, we used short-term Treasuries and money market securities to balance the longer durations of our corporate and mortgage-backed holdings, which tended to have maturities in the 8- to 10-year range. We customarily target the Fund’s average duration to be within 5% of the Lehman Brothers Intermediate Aggregate Index. At the end of the year, average duration was 3.78 years.
 
What is your outlook for the new year?
 
The interest-rate outlook is uncertain. Although the Fed raised short-term rates three times in 1999, economic growth continues to be so strong that investors are currently expecting one or two additional increases in the first half of the year. Such an environment would be challenging for fixed-income investors. However, as stated above, intermediate and long-term yields have climbed somewhat faster than would normally be expected given the magnitude of the recent increase in short-term rates. If investors begin to sense that the economy is slowing enough to ease the upward pressure on short-term rates, longer-term rates could quickly give back some of their recent advance, helping to firm bond prices. In any event, we feel that any rate increases in 2000 are likely to occur in the first half of the year to reduce the risk of politicizing the Fed’s actions during the fall presidential campaign.
 
We expect to retain our current neutral weighting in spreads, with a bias toward increasing it on any widening. Despite the general consensus that spreads will narrow further, we are somewhat guarded in our optimism. A correction in equities, a return of the business cycle, or an aggressive Fed tightening, perhaps in response to rekindled inflation, are just a few possibilities that curb an entirely positive spread outlook on our part.
 
[CHART]
    

Duration Diversification (12/31/99)
MassMutual Diversified Bond Fund

   Average Duration = 3.78 years

(less than) 1 year	  	11.7%
            1-3 years           22.1%
            3-5 years           26.5%
            5-10 years          39.7%
    
[CHART]
    

 Quality Structure (12/31/99)
MassMutual Diversified Bond Fund


	CCC                              0.3%
	Aa/AA                            2.8%
	A/A                              4.0%
	B                                5.6%
	Ba/BB                            7.0%
	Baa/BBB	                         7.6%
        U.S. Government Cash Equivalents
	Aaa/AAA		                72.7%
 
MassMutual Diversified Bond Fund – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Diversified Bond Fund Class S, Class A, Class Y, Class L and the Lehman Brothers Intermediate Aggregate Bond Index
 
 
MassMutual Diversified Bond Fund
Total Return
     Since Inception
5/3/99 - 12/31/99
 
Class S    -0.25%
Class A    -0.54%
Class Y    -0.26%
Class L    -0.38%
 
Lehman Brothers
Intermediate    0.33%
Aggregate Bond Index   
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[CHART]

                                                        Lehman Interm.
    Date      Class S    Class A   Class Y   Class L    Aggr. Bond

    5/3/99    $10,000    $10,000   $10,000   $10,000    $10,000
    5/31/99    $9,010     $9,010    $9,010    $9,910     $9,932
    6/99       $9,890     $9,880    $9,890    $9,890     $9,922
    7/99       $9,850     $9,840    $9,850    $9,850     $9,886
    8/99       $9,840     $9,830    $9,840    $9,840     $9,890
    9/99       $9,940     $9,920    $9,930    $9,930    $10,013
    10/99      $9,950     $9,930    $9,950    $9,940    $10,052
    11/99      $9,990     $9,960    $9,980    $9,970    $10,063
    12/99      $9,975     $9,946    $9,974    $9,962    $10,033
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Lehman Brothers Intermediate Aggregate Bond Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
MassMutual Diversified Bond Fund – Portfolio of Investments
 
December 31, 1999
 
 
 
 
 
        Principal
Amount
    Market Value
                                  
BONDS & NOTES  — 88.3%
CORPORATE DEBT  — 27.3%
AES Corporation
9.500%    06/01/2009    $         200,000    $         201,750
Archibald Candy Corp.
10.250%    07/01/2004    125,000    120,625
Associates Corporation
of North America
5.800%    04/20/2004    500,000    473,745
AT&T Corp.
5.625%    03/15/2004    250,000    236,423
Boston Scientific
Corporation
6.625%    03/15/2005    250,000    229,638
Brand Scaffold
Services, Inc.
10.250%    02/15/2008    125,000    113,125
Capitol Records, Inc. †
8.375%    08/15/2009    250,000    243,580
Century Communications
Corp. Zero Coupon
Series B
0.000%    01/15/2008    125,000    53,750
ContiFinancial
Corporation
8.125%    04/01/2008    125,000    11,250
Continental Airlines, Inc.
8.000%    12/15/2005    100,000    92,125
CSX Corporation
6.250%    10/15/2008    250,000    226,223
Dana Corporation
6.250%    03/01/2004    250,000    237,768
Derby Cycle Corporation
10.000%    05/15/2008    125,000    70,000
Diageo Capital PLC
6.125%    08/15/2005    500,000    471,961
Elgin National
Industries, Inc.
Series B
11.000%    11/01/2007    125,000    100,000
Eott Energy Partners LP
11.000%    10/01/2009    100,000    103,500
Express Scripts, Inc.
9.625%    06/15/2009    125,000    126,875
Ford Motor Credit
Corporation
7.375%    10/28/2009    100,000    98,725
        Principal
Amount
    Market Value
                                  
GenTek, Inc. †
11.000%      08/01/2009    $         100,000    $       104,000
Gulf Canada Resources
Limited
9.250%      01/15/2004    125,000    126,250
Haynes International, Inc.
11.625%      09/01/2004    125,000    108,438
International Game
Technology
8.375%      05/15/2009    125,000    119,688
JL French Automotive
Castings, Inc.
Series B
11.500%      06/01/2009    125,000    127,500
Kitty Hawk, Inc.
9.950%      11/15/2004    125,000    122,500
The Kroger Co.
7.650%      04/15/2007    250,000    246,693
LDM Technologies, Inc.
Series B
10.750%      01/15/2007    125,000    113,750
Leviathan Gas Pipeline
Financial Corp.
Series B
10.375%      06/01/2009    125,000    128,750
Lyondell Chemical
Company Series A†
9.625%      05/01/2007    125,000    127,813
Lyondell Chemical
Company Series B†
9.875%      05/01/2007    125,000    127,500
News America Holdings
Incorporated
8.625%      02/01/2003    250,000    257,913
Northwest Airlines, Inc.
7.875%      03/15/2008    250,000    210,923
Pacer International, Inc.
Series B
11.750%      06/01/2007    125,000    126,250
Pepsi Bottling Holdings,
Inc.†
5.625%      02/17/2009    250,000    220,739
Petroleos Mexicanos
Series P
9.500%      09/15/2027    125,000    125,156
        Principal
Amount
    Market Value
                                  
Primark Corportion
9.250%    12/15/2008    $         125,000    $         118,750
Raytheon Company
6.500%    07/15/2005    250,000    236,740
Sbarro, Inc. †
11.000%    09/15/2009    100,000    104,000
SCG Holding Corp. †
12.000%    08/01/2009    100,000    106,250
Sprint Capital
Corporation
5.875%    05/01/2004    250,000    235,785
SuperValu, Inc. †
7.875%    08/01/2009    250,000    247,362
URS Corp. Series B
12.250%    05/01/2009    100,000    102,500
Western Gas
Resources, Inc.
10.000%    06/15/2009    125,000    128,125
Worldtex, Inc. Series B
9.625%    12/15/2007    50,000    40,500
              
 
TOTAL CORPORATE DEBT
(Cost $7,283,086)		    6,924,938
              
 
U.S. GOVERNMENT AGENCY
OBLIGATIONS — 36.0%
Federal Home Loan Mortgage Corporation
(FHLMC) — 7.5%
Pass-Through Securities
FHLMC
7.500%    06/01/2024-      
     04/01/2028    1,916,687    1,901,158
              
Federal National Mortgage Association
(FNMA) — 17.1%
Pass-Through Securities
FNMA
6.000%    11/01/2028-      
     04/01/2029    1,677,560    1,534,430
FNMA
6.500%    04/01/2029-      
     06/01/2029    2,955,360    2,784,480
              
                         4,318,910
              
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
35
MassMutual Diversified Bond Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
   Market  Value
Government National
Mortgage Association
(GNMA) — 11.4%
Pass-Through Securities
GNMA
7.000%    10/15/2027 -
05/15/2029		    $   2,241,660    $     2,165,385
GNMA
8.000%    08/15/2026 -
03/15/2027		    713,529    720,664
                 
           2,886,049
                 
 
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $9,549,888)    9,106,117
                 
 
U.S. TREASURY OBLIGATIONS — 25.0%
U.S. Treasury Notes
U.S. Treasury Note
6.500%    10/15/2006      $   1,125,000    $     1,122,008
U.S. Treasury Note
7.500%    11/15/2001      5,100,000    5,210,772
                 
 
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $6,528,504)    6,332,780
                 
 
TOTAL BONDS & NOTES
(Cost $23,361,478)    22,363,835
                 
               
        Principal
Amount
  Market Value
SHORT-TERM INVESTMENTS —  10.7%
Commercial Paper    
ConAgra, Inc.    
6.850%   01/12/2000    
$       755,000
  
$         753,420
Crown Cork & Seal
Company, Inc.		  
7.120%   01/05/2000    
440,000
  
439,652
Motorola Inc.  
5.150%   01/27/2000    
755,000
  
752,192
Sierra Pacific Power
Company		  
7.000%   02/03/2000    
755,000
  
750,155
               
               
               
               
 
TOTAL SHORT-TERM
INVESTMENTS
(At Amortized Cost)    2,695,419
              
 
TOTAL INVESTMENTS  — 99.0%
(Cost $26,056,897)***    25,059,254
 
Other Assets/
(Liabilities) — 1.0%		    262,883
              
 
NET ASSETS —  100.0%    $   25,322,137
              
 
 
Notes to Portfolio of Investments
***
Aggregate cost for Federal tax purposes (Note 7)
 
†   
Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
 
 
 
 
The accompanying notes are an integral part of the financial statements.
36
 
MassMutual Diversified Bond Fund – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investments, at value (cost $23,361,478) (Note 2)      $22,363,835  
                 Short-term investments, at amortized cost (Note 2)      2,695,419  
     
  
                           Total Investments      25,059,254  
                 Cash      11,225  
                 Receivables from:
                           Interest      274,073  
     
  
                                      Total assets      25,344,552  
     
  
Liabilities:
                Payables for:
                           Directors’ fees and expenses (Note 3)      4,463  
                           Affiliates (Note 3):
                                      Investment management fees      10,751  
                                      Administration fees      2,689  
                                      Service fees      63  
                Accrued expenses and other liabilities      4,449  
     
  
                                      Total liabilities      22,415  
     
  
                Net assets .      $25,322,137  
     
  
Net assets consist of:
                Paid-in capital      $26,438,782  
                 Distributions in excess of net investment income      (1,612 )
                 Accumulated net realized loss on investments      (117,390 )
                Net unrealized depreciation on investments      (997,643 )
     
  
                           $25,322,137  
     
  
Net assets:
                Class A      $       100,441  
     
  
                Class L      $       100,605  
     
  
                Class Y .      $       146,274  
     
  
                Class S .      $24,974,817  
     
  
Shares outstanding:
                Class A      10,508  
     
  
                Class L      10,525  
     
  
                Class Y      15,305  
     
  
                Class S      2,612,734  
     
  
Net asset value, offering price and redemption price per share:
                Class A      $             9.56  
     
  
                Class L      $             9.56  
     
  
                Class Y      $             9.56  
     
  
                Class S .      $             9.56  
     
  
 
The accompanying notes are an integral part of the financial statements.
37
 
MassMutual Diversified Bond Fund – Financial Statements (Continued)
 
Statement of Operations
 
       Period Ended
December 31, 1999*
Investment income: (Note 2)
                 Interest      $1,176,202  
     
  
                           Total investment income      1,176,202  
     
  
 
Expenses: (Note 2)
                 Investment management fees (Note 3)      83,194  
                Directors ’ fees (Note 3) .      10,129  
                Custody fees      5,672  
                Audit and legal fees      3,887  
     
  
                           102,882  
 
                 Administration fees (Note 3):
                           Class A      212  
                           Class L      212  
                           Class Y      130  
                           Class S      20,245  
                Service fees (Note 3):
                           Class A      164  
     
  
                                      Total expenses      123,845  
     
  
                                      Net investment income      1,052,357  
     
  
 
Realized and unrealized gain (loss):
                Net realized loss on investment transactions      (116,392 )
                Net change in unrealized appreciation (depreciation) on investments      (997,643 )
     
  
                                      Net realized and unrealized loss       (1,114,035 )
     
  
                Net decrease in net assets resulting from operations      $     (61,678 )
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
38
 
MassMutual Diversified Bond Fund – Financial Statements (Continued)
 
Statement of Changes in Net Assets
 
Increase (Decrease) in Net Assets:      Period Ended
December 31, 1999*
Operations:
                Net investment income      $  1,052,357  
                Net realized loss on investment transactions      (116,392 )
                Net change in unrealized appreciation (depreciation) on investments      (997,643 )
     
  
                           Net decrease in net assets resulting from operations      (61,678 )
     
  
 
Distributions to shareholders (Note 2):
                From net investment income:
                Class A      (3,900 )
                Class L      (4,063 )
                Class Y      (6,001 )
                Class S      (1,039,391 )
     
  
                           Total distributions from net investment income      (1,053,355 )
     
  
 
                In excess of net investment income:
                Class A      (6 )
                Class L      (6 )
                Class Y      (9 )
                Class S      (1,591 )
     
  
                           Total distributions in excess of net investment income      (1,612 )
     
  
 
Net fund share transactions (Note 5):
                Class A      104,906  
                Class L      105,069  
                Class Y      152,299  
                Class S      26,076,508  
     
  
                           Increase in net assets from net fund share transactions      26,438,782  
     
  
                Total increase in net assets      25,322,137  
 
Net assets:
                 Beginning of period .      -  
     
  
                End of period (including distributions in excess of net investment income of $1,612)      $25,322,137  
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
39
 
MassMutual Diversified Bond Fund – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout the period)
 
     Class A
    Class L
    Class Y
    Class S
     Period ended
12/31/99**
    Period ended
12/31/99**
    Period ended
12/31/99**
    Period ended
12/31/99**
Net asset value, beginning of period    $10.00      $10.00      $10.00      $  10.00  
    
    
    
    
  
 
Income (loss) from investment operations:
     Net investment income    0.39  ***    0.41  ***    0.42  ***    0.42  ***
     Net realized and unrealized gain (loss) on investments    (0.44 )    (0.45 )    (0.45 )    (0.44 )
    
    
    
    
  
 
              Total income (loss) from investment operations    (0.05 )    (0.04 )    (0.03 )    (0.02 )
    
    
    
    
  
 
Less distributions to shareholders:            
     From net investment income    (0.39 )    (0.40 )    (0.41 )    (0.42 )
    In excess of net investment income    (0.00 )****    (0.00 )****    (0.00 )****    (0.00 )****
    
    
    
    
  
 
              Total distributions    (0.39 )    (0.40 )    (0.41 )    (0.42 )
    
    
    
    
  
Net asset value, end of period    $  9.56      $  9.56      $  9.56      $     9.56  
    
    
    
    
  
Total Return@    (0.54)%      (0.38)%      (0.26)%      (0.25)%  
 
Ratios / Supplemental Data:
 
     Net assets, end of period (000’s)    $  100      $  101      $  146      $24,975  
     Net expenses to average daily net assets    1.19%  *    0.94%  *    0.80%  *    0.74%  *
     Net investment income to average daily net assets    5.92%  *    6.17%  *    6.35%  *    6.33%  *
     Portfolio turnover rate    32%      32%      32%      32%  
 
   *
Annualized
 **
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
****
Distributions in excess of net investment income is less than $0.01 per share.
 @
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
The accompanying notes are an integral part of the financial statements.
40
 
MassMutual Balanced Fund – Portfolio Manager Report
 
What are the investment objectives and policies for the MassMutual Balanced Fund?
 
The objective and policies of the Fund are to:
Ÿ
achieve a high total rate of return over an extended period of time consistent with the preservation of capital values
Ÿ
invest in a diversified portfolio of equity securities, fixed-income securities and money market instruments
Ÿ
manage the allocation of investments, under normal circumstances, in three sectors with the following ranges:
 
Prime sector no more than 35% of net assets
Core Bond sector no more than 35% of net assets
Core Equity sector no more than 65% of net assets
 
How did the Fund perform during 1999?
 
For the 12 months ended December 31, 1999, the Fund’s Class S shares returned -1.58%, trailing the 8.98% gain recorded by the Lipper Balanced Fund Index, an unmanaged index of stock and bond portfolios.
 
What were the Fund’s allocations among the three asset classes during the period?
 
The Fund began the period with targets of 53% stocks, 21% bonds, and 26% money market securities. In April, when cyclical stocks began their rally, we marginally increased the stock target allocation to 54%. In October, to take advantage of the attractive pricing that existed with value stocks, we again increased the stock target allocation to the neutral position of 55%. The Fund’s bond allocation was increased once in February and once in June, bringing it up to 30%. These increases were based on our judgment that rising yields made bonds attractive relative to stocks.
 
What factors affected the Fund’s performance?
 
Unfortunately, the Fund’s stock and bond components both had weak absolute returns during the period. The stock portion suffered because 1999 turned out be a dismal year for value investors. Except for a brief respite in the spring, when cyclical and value shares enjoyed a strong rally, growth stocks took center stage for most of the year.
 
Particularly in the fourth quarter, there were basically two markets: technology stocks and everything else. The higher a tech stock’s price-to-earnings ratio, the better investors seemed to like it, almost regardless of earnings prospects. Since we concentrate on equities that appear undervalued, most of the best-performing technology stocks were too pricey for the Fund.
 
Furthermore, many high-quality, non-technology stocks were kept on the defensive by rising interest rates. The Federal Reserve Board, attempting to keep inflation in check in the face of economic growth that was much stronger than expected, raised short-term interest rates in June, August, and November. While these rate hikes did little to derail the technology juggernaut, stocks in most other sectors stalled or went lower.
 
Strong economic growth and rising rates also limited returns in the bond portion of the Fund. The 30-year bond yield climbed roughly 140 basis points to 6.48%, and yields in the five- to 10-year maturities rose even more steeply, flattening the yield curve and depressing prices. The rise in yields was especially damaging to the Fund’s holdings of Treasury securities, which generally ranged between 42.0% and 54.0% of the bond portfolio during the second half of the year.
 
On the other hand, performance relative to our benchmark was aided by the Fund’s holdings of spread product—those categories of securities offering a yield premium to the Treasury market. This was especially the case with our corporate holdings. Overall, spreads narrowed marginally during the year, partially offsetting the increase in interest rates. Tighter spreads, together with higher yields, enabled our spread product to post better overall returns than its Treasury counterparts.
MassMutual Balanced Fund – Portfolio Manager Report (Continued)
 
What were some of the changes that occurred in the Fund’s stock holdings?
 
We have been working to improve the relative earnings growth profile of the portfolio without distorting its overall value characteristics. In that regard, we added several reasonably valued new holdings with projected earnings growth in the 14%-16% range. These included United Parcel Service, Avery-Dennison, and Illinois Tool Works. Conversely, we eliminated or reduced positions in a number of stocks with formerly reliable earnings growth that had disappointing results during the year. This list included Archer Daniels Midland, Albertson’s, Raytheon, Xerox, and Becton Dickinson.

How was the bond portfolio positioned?

Treasury securities were the Fund’s largest sector allocation, comprising approximately 47.0% of total assets in the bond portfolio at the end of the year. Corporate securities were the second-largest category, at 35.0% on December 31. Mortgage-backed securities were next largest, ending the year at 13.0%.
 
The Fund’s overall credit quality remained Aa, while duration, which typically is targeted to remain within plus or minus 5% of the duration of our benchmark, came in at 5.25 on the final day of the period.

What is your outlook?

Stock prices are ultimately tied to rising earnings. Right now the investment environment is excessively skewed in favor of growth-oriented technology stocks to the exclusion of virtually everything else. This distortion exists despite the fact that many value stocks have solid earnings prospects. When earnings considerations and investor psychology diverge, earnings generally prevail in the long run. This bodes well for many of the Fund’s holdings. We view the current market environment as an important opportunity for value investors and have positioned the Fund accordingly.
 
With respect to the Fund’s bond portfolio, our policy has been to overweight spread product relative to our benchmark, and we expect that trend to continue. The general consensus on spreads, at the current time, is that they will continue to narrow. While this would benefit the Fund, we feel the need to be especially selective about new purchases over the short term, if only because we see few, if any, clearly outstanding opportunities available. Other considerations, such as the possible ramifications of further Fed tightening, a correction in equities, or the return of the business cycle, serve to temper our basically positive outlook for 2000.
 
[CHART]




MassMutual Balanced Fund
    Asset Allocation
      on 12/31/1999

Common Stocks          56%
Bonds                  33%
Short-term issues      11%
 
MassMutual Balanced Fund
Largest Stock Holdings (12/31/99)
 
 
Hewlett-Packard Company
General Electric Company
International Business Machines Corporation
Bristol-Myers Squibb Company
Marsh & McLennan Companies, Inc.
The McGraw-Hill Companies, Inc.
Kimberly-Clark Corporation
BP Amoco plc Sponsored ADR
Exxon Mobil Corp.
GTE Corporation
 
 
MassMutual Balanced Fund – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Balanced Fund Class S and the Lipper Balanced Fund Index
 
 
MassMutual Balanced Fund
Total Return
     One Year
1/1/99-12/31/99		    Five Year
Average Annual
1/1/95 -12/31/99		    Since Inception
Average Annual
10/3/94 - 12/31/99
 
Class S    -1.58%    12.66%    12.09%
 
Lipper Balanced
Fund Index		    8.98%    16.27%    15.18%
 
Lehman Brothers
Government/
Corporate
Bond Index		    -2.15%    7.60%    7.30%
 
Standard &
Poor’s 500
Composite Index		    21.04%    28.56%    27.02%
 
Hypothetical Investments in MassMutual Balanced Fund Class A, Class Y and the Lipper Balanced Fund Index
 
 
MassMutual Balanced Fund
Total Return
     One Year
1/1/99-12/31/99		    Since Inception
Average Annual
1/1/98 - 12/31/99
 
Class A    -2.17%    5.04%
Class Y    -1.77%    5.47%
       
 
Lipper Balanced
Fund Index		    8.98%    12.15%
 
Lehman Brothers
Government/
Corporate
Bond Index		    -2.15%    3.50%
 
Standard &
Poor’s 500
Composite Index		    21.04%    24.75%
 
Hypothetical Investments in MassMutual Balanced Fund Class L and the Lipper Balanced Fund Index
 
 
MassMutual Balanced Fund
Total Return
     Since Inception
5/3/99 - 12/31/99
 
Class L    -4.69%
 
Lipper Balanced
Fund Index		    3.90%
 
Lehman Brothers
Government/
Corporate
Bond Index		    -1.21%
 
Standard &
Poor’s 500
Composite Index		    11.00%
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[CHART]

      Date        Class S   S&P 500     Lipper Bal. Lehman Gvt/Corp
      ----        -------   -------     ----------- ---------------
      (10/3/94)   $10,000   $10,000       $10,000       $10,000
      12/94       $10,029   $ 9,999       $ 9,877       $10,037
      6/95        $11,179   $12,019       $11,203       $11,220
      12/95       $12,164   $13,766       $12,306       $11,968
      6/96        $12,788   $15,144       $12,880       $11,742
      12/96       $13,725   $16,914       $13,906       $12,314
      6/97        $15,126   $20,400       $15,455       $12,651
      12/97       $16,294   $22,558       $16,694       $13,515
      6/98        $17,361   $26,553       $18,328       $14,078
      12/98       $18,494   $29,004       $19,259       $14,794
      6/99        $19,223   $32,596       $20,446       $14,457
      12/99       $18,202   $35,108       $20,886       $14,479
[CHART]

 Date      Class A     Class Y     S&P 500    Lipper Bal.   Lehman Gvt/Corp
 ----      -------     -------     -------    -----------   ---------------
 12/97     $10,000     $10,000     $10,000      $10,000         $10,000
 3/98      $10,730     $10,740     $11,395      $10,790         $10,152
 6/98      $10,620     $10,640     $11,771      $10,979         $10,417
 9/98      $10,333     $10,363     $10,600      $10,346         $10,933
 12/98     $11,278     $11,323     $12,858      $11,536         $10,947
 3/99      $11,101     $11,149     $13,498      $11,722         $10,816
 6/99      $11,681     $11,756     $14,450      $12,247         $10,697
 9/99      $11,042     $11,115     $13,548      $11,740         $10,755
 12/99     $11,033     $11,123     $15,563      $12,573         $10,712
 
[CHART]
          Date     Class L   S&P 500   Lipper Bal.   Lehman Gvt/Corp.
          ----     -------   -------   -----------   ----------------
          5/3/99   $10,000   $10,000     $10,000         $10,000
          5/31/99  $ 9,925   $ 9,764     $ 9,846         $ 9,897
          6/99     $10,062   $10,306     $10,116         $ 9,666
          7/99     $ 9,911   $ 9,984     $ 9,929         $ 9,839
          8/99     $ 9,760   $ 9,935     $ 9,825         $ 9,831
          9/99     $ 9,532   $ 9,662     $ 9,699         $ 9,919
          10/99    $ 9,643   $10,274     $ 9,980         $ 9,945
          11/99    $ 9,580   $10,483     $10,087         $ 9,940
          12/99    $ 9,531   $11,100     $10,390         $ 9,879
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Lipper Balanced Fund Index, the Lehman Brothers Government/Corporate Bond Index, and the Standard & Poor’s 500 Composite Index are unmanaged and do not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
MassMutual Balanced Fund – Portfolio of Investments
 
December 31, 1999
 
 
 
 
 
     Number of
Shares
    Market Value
EQUITIES —  56.0%
 
Aerospace & Defense  — 1.8%
Honeywell International,
Inc.		    108,750    $  6,273,516
TRW, Inc.    121,000    6,284,438
         
                 12,557,954
         
 
Apparel, Textiles & Shoes — 0.4%
VF Corporation    95,000    2,850,000
         
 
Automotive & Parts  — 1.2%
Delphi Automotive
Systems Corporation		    250,000    3,937,500
Ford Motor Company    85,700    4,579,594
         
                 8,517,094
         
 
Banking, Savings & Loans — 4.0%
The Bank of New York
Company,
Incorporated		    213,100    8,524,000
Comerica, Incorporated    87,800    4,099,163
Fleet Boston Financial
Corp.		    74,978    2,610,172
Pacific Century Financial
Corporation		    216,300    4,042,106
Wachovia Corp.    66,300    4,508,400
Wells Fargo & Company    121,000    4,892,938
         
                 28,676,779
         
 
Beverages —  0.7%
Brown-Forman
Corporation Cl. B		    93,700    5,364,325
         
 
Broadcasting, Publishing & Printing — 1.5%
The McGraw-Hill
Companies, Inc.		    170,000    10,476,253
         
 
Chemicals —  2.4%
Air Products and
Chemicals, Inc.		    140,000    4,698,750
Engelhard Corporation    235,400    4,443,175
Rohm & Haas Company    189,600    7,714,350
         
                 16,856,275
         
 
Communications  — 2.5%
GTE Corporation    125,000    8,820,313
SBC Communications,
Inc.		    179,103    8,731,271
         
                 17,551,584
         
     Number of
Shares
    Market Value
 
Computers & Office Equipment — 5.7%
Electronic Data Systems
Corporation		    100,000    $  6,693,750
Hewlett-Packard
Company		    125,300    14,276,369
International Business
Machines Corporation		    124,800    13,478,400
Pitney Bowes, Inc.    147,800    7,140,588
         
                 41,589,107
         
 
Containers —  1.7%
Bemis Company, Inc.    98,900    3,449,138
Crown Cork & Seal
Company, Inc.		    200,000    4,475,000
Temple-Inland, Inc.    60,500    3,989,219
         
                 11,913,357
         
 
Cosmetics & Personal Care — 1.5%
Kimberly-Clark
Corporation		    159,200    10,387,800
         
 
Electric Utilities  — 1.2%
Dominion Resources,
Inc.		    86,400    3,391,200
Pinnacle West Capital
Corporation		    86,700    2,649,769
Teco Energy, Inc.    136,300    2,530,069
         
             8,571,038
         
 
Electrical Equipment & Electronics — 2.4%
General Electric
Company		    90,000    13,927,500
Hubbell, Incorporated
Cl. B		    118,122    3,218,825
         
                 17,146,325
         
 
Energy —  6.1%
Apache Corporation    125,000    4,617,188
BP Amoco PLC
Sponsored ††		    162,636    9,646,348
Burlington Resources,
Inc.		    150,000    4,959,375
Chevron Corporation    60,000    5,197,500
Conoco, Inc. Cl. A    121,000    2,994,750
Exxon Mobil Corp.    116,569    9,391,110
Unocal Corporation    146,900    4,930,331
USX-Marathon Group    92,400    2,281,125
         
                 44,017,727
         
 
     Number of
Shares
    Market Value
 
Financial Services  — 2.0%
American Express
Company		    45,000    $  7,481,250
American General
Corporation		    87,100    6,608,713
The Goldman Sachs
Group, L.P.		    6,000    565,125
         
                 14,655,088
         
 
Foods —  1.8%
Bestfoods    72,000    3,784,500
ConAgra, Inc.    222,200    5,013,388
General Mills, Inc.    111,400    3,982,550
         
                 12,780,438
         
 
Forest Products & Paper — 1.0%
Weyerhaeuser Company    95,600    6,865,275
         
 
Healthcare —  4.3%
Becton, Dickinson and
Company		    195,800    5,237,650
Bristol-Myers Squibb
Company		    209,200    13,428,025
Pharmacia & Upjohn,
Inc.		    120,500    5,422,500
Schering-Plough Corp.    152,800    6,446,250
         
                 30,534,425
         
 
Industrial —  Diversified — 1.2%
Illinois Tool Works, Inc.    70,500    4,763,156
Tyco International Ltd.    106,652    4,146,097
         
                 8,909,253
         
 
Industrial —  Distribution — 0.7%
W.W. Grainger, Inc.    109,000    5,211,563
         
 
Insurance —  3.6%
The Hartford Financial
Services Group, Inc.		    100,000    4,737,500
Jefferson-Pilot
Corporation		    63,675    4,345,819
Marsh & McLennan
Companies, Inc.		    110,900    10,611,744
MBIA, Inc.    120,300    6,353,344
         
                 26,048,407
         
 
Machinery & Components — 0.9%
Dover Corporation    137,300    6,229,988
         
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
44
MassMutual Balanced Fund – Portfolio of Investments (Continued)
 
     Number of
Shares
    Market Value
                                
 
Miscellaneous  — 0.8%
Avery-Dennison Corp.    3,400    $      247,775
Minnesota Mining &
Manufacturing
Company		    54,000    5,285,250
         
                 5,533,025
         
 
Pharmaceuticals  — 0.8%
American Home
Products
Corporation		    141,400    5,576,463
         
 
Retail —  1.8%
The May Department
Stores Company		    125,000    4,031,250
Newell Rubbermaid,
Inc.		    200,000    5,800,000
Sears Roebuck and
Co.		    94,100    2,864,169
         
                 12,695,419
         
 
Retail—Grocery  — 1.1%
Albertson’s, Inc.    250,250    8,070,563
         
 
Tobacco —  1.2%
Fortune Brands, Inc.    169,800    5,614,013
UST, Inc.    131,300    3,307,119
         
                 8,921,132
         
 
Transportation  — 1.7%
Burlington Northern
Santa Fe Corp.		    149,500    3,625,375
Galileo International,
Inc.		    140,200    4,197,238
Norfolk Southern
Corporation		    166,900    3,421,450
United Parcel Service,
Inc. Cl. B		    15,100    1,041,900
         
                 12,285,963
         
 
TOTAL EQUITIES
(Cost $266,980,685)		    400,792,620
 
 
     Principal
Amount
     
                                
 
BONDS & NOTES  — 33.0%
ASSET BACKED SECURITIES  — 1.5%
California
Infrastructure
PG&E-1, 1997-1,
Class A6		     
6.320% 09/25/2005    $     150,000    147,522
 
 
          Principal
Amount
    Market Value
                                   
 
California Infrastructure
SCE-1, 1997-1,
Class A5		     
6.280%    09/25/2005    $         150,000    $           147,350
California
Infrastructure
SDG&E-1,1997-1,
Class A5		     
6.190%    09/25/2005    100,000    97,985
Capita Equipment
Receivables Trust
1996-1, Class A4		     
6.280%    06/15/2000    167,715    167,707
 
Case Equipment Loan
Trust 1998-A,
Class A4		     
5.830%    02/15/2005    750,000    739,388
Caterpillar Financial
Asset Trust, 1997-B,
Class A3		     
6.160%    09/25/2003    755,089    753,043
Chase Manhattan Auto
Owner Trust 1998-
A, Class A4		     
5.800%    12/16/2002    1,000,000    987,370
Chase Manhattan RV
Owner Trust 1997-
A, Class A7		     
6.140%    10/16/2006    1,000,000    994,800
Ford Credit Auto
Owner Trust, 1996-
B, Class A-4		     
6.300%    01/15/2001    336,516    336,516
Metlife Capital
Equipment Loan
Trust Series 1997-A,
Class A		     
6.850%    05/20/2008    750,000    744,758
Peco Energy
Transition Trust
Series 1999-A, Class
A6		     
6.050%    03/01/2009    650,000    609,778
Peco Energy
Transition Trust
Series 1999-A, Class
A7		     
6.130%    03/01/2009    350,000    322,326
Premier Auto Trust
Series 1998-4,
Class A3		     
5.690%    06/08/2002    1,000,000    990,990
Premier Auto Trust
Series 1998-5,
Class A3		     
5.070%    07/08/2002    500,000    490,980
Railcar Trust No. 1992-1
7.750%    06/01/2004    272,424    275,039
 
 
 
          Principal
Amount
    Market Value
                                   
Rental Car Finance
Corp. Series
1999-1A, Class A †		     
5.900%    02/25/2007    $         600,000    $           577,194
Textron Financial
Corporation		     
5.890%    01/15/2005    1,000,000    982,740
Toyota Auto Lease
Trust Series
1998-B, Class A1		     
5.350%    07/25/2002    1,000,000    998,500
Travelers Funding Ltd.
Class A-1		     
6.300%    02/18/2014    700,000    602,910
 
 
TOTAL ASSET BACKED
SECURITIES
(Cost $11,235,824)		    10,966,896
 
 
CORPORATE DEBT  — 11.4%
AirTouch Communications, Inc.     
7.500%    07/15/2006    1,000,000    1,011,840
Alcan Aluminum
Limited		     
6.250%    11/01/2008    500,000    454,750
America West Airlines,
Inc. 1996-1, Class A		     
6.850%    07/02/2009    945,847    881,331
American Airlines,
Inc. 1994-A Pass
Through Trusts,
Class A4		     
9.780%    11/26/2011    866,293    937,017
American General
Finance Corporation		     
5.750%    11/01/2003    500,000    472,895
AMR Corporation     
9.000%    08/01/2012    500,000    513,620
Analog Devices, Inc.     
6.625%    03/01/2000    500,000    500,100
Archer Daniels
Midland Company		     
6.750%    12/15/2027    350,000    305,648
Associates
Corporation of
North America		     
6.500%    08/15/2002    500,000    493,885
Associates
Corporation of
North America		     
6.750%    08/01/2001    1,000,000    998,190
AT&T Corp.     
5.625%    03/15/2004    2,000,000    1,891,380
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
45
MassMutual Balanced Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
                                   
 
Barrick Gold
Corporation		     
7.500%    05/01/2007    $     1,000,000    $           983,940
Bell Atlantic Financial
Services, Inc.		     
6.610%    02/04/2000    1,000,000    1,000,320
BHP Finance (USA)
Limited		     
6.420%    03/01/2026    1,000,000    968,760
Bombardier Capital,
Inc. †		     
6.000%    01/15/2002    1,000,000    974,676
Boston Scientific
Corporation		     
6.625%    03/15/2005    2,000,000    1,837,100
Cable & Wireless
Communications
PLC		     
6.750%    12/01/2008    1,300,000    1,287,295
Capitol Records, Inc. †     
8.375%    08/15/2009    2,000,000    1,948,638
Carlisle Companies,
Incorporated		     
7.250%    01/15/2007    750,000    697,718
Celulosa Arauco y
Constitucion, S.A.		     
6.950%    09/15/2005    500,000    470,425
Champion
International
Corporation		     
6.400%    02/15/2026    1,000,000    935,510
The CIT Group, Inc.     
5.625%    10/15/2003    500,000    472,415
The CIT Group, Inc.     
6.375%    10/01/2002    1,000,000    979,180
Comcast Cable
Communications,
Inc.		     
8.375%    05/01/2007    750,000    778,178
ConAgra, Inc.     
7.000%    10/01/2028    750,000    659,130
Continental Airlines,
Inc., Series 1996-2B		     
8.560%    07/02/2014    464,975    470,541
Continental Airlines,
Inc., Series 1996-B		     
7.820%    04/15/2015    455,707    441,010
Crown Cork & Seal
Company, Inc.		     
6.750%    12/15/2003    1,000,000    960,980
CSX Corporation     
7.050%    05/01/2002    500,000    498,085
CSX Corporation     
7.250%    05/01/2027    1,200,000    1,169,280
Delta Air Lines, Inc.,
1992, Series C		     
8.540%    01/02/2007    378,297    385,806
 
 
          Principal
Amount
    Market Value
                                   
 
Dover Corporation     
6.250%    06/01/2008    $         500,000    $           450,285
Dover Corporation
6.650%    06/01/2028    500,000    417,725
Duke Capital Corp.
8.000%    10/01/2019    1,300,000    1,309,490
Emerald Investment
Grade CBO Limited †
6.544%    05/24/2011    1,000,000    992,500
ERAC USA Finance
Company †
6.750%    05/15/2007    1,250,000    1,158,150
FBG Finance Limited †
7.875%    06/01/2016    1,000,000    992,330
Fletcher Challenge
Capital Canada, Inc.
6.750%    03/24/2005    500,000    463,815
Fletcher Challenge
Capital Canada, Inc.
7.750%    06/20/2006    500,000    481,840
Ford Motor Credit
Corporation
7.375%    10/28/2009    3,000,000    2,961,750
General American
Transportation
Corporation
6.750%    03/01/2006    1,000,000    924,260
General Electric
Capital Corporation
Series MTNA
6.520%    10/08/2002    1,600,000    1,585,582
General Mills, Inc.
8.900%    06/15/2006    500,000    538,770
The Goldman Sachs
Group, L.P. †
6.200%    02/15/2001    1,000,000    990,840
GTE Corporation
9.100%    06/01/2003    275,000    290,087
Halliburton Company
5.625%    12/01/2008    750,000    659,520
Heller Financial, Inc.
6.250%    03/01/2001    500,000    495,625
Heller Financial, Inc. †
7.375%    11/01/2009    2,000,000    1,944,394
Hershey Foods
Corporation
7.200%    08/15/2027    1,250,000    1,186,400
Household Finance
Corporation
6.500%    11/15/2008    1,500,000    1,389,165
ICI Wilmington, Inc.
7.050%    09/15/2007    500,000    477,275
IMC Global, Inc.
6.625%    10/15/2001    500,000    491,155
Interpool, Inc.
7.350%    08/01/2007    500,000    412,096
 
 
          Principal
Amount
    Market Value
                                   
 
LASMO (USA) Inc.
6.750%    12/15/2007    $     1,250,000    $       1,177,495
Leucadia National
Corporation
7.750%    08/15/2013    1,000,000    944,320
Marsh & McLennan
Companies, Inc.
7.125%    06/15/2009    500,000    483,927
Meritor Automotive,
Inc.
6.800%    02/15/2009    1,000,000    908,920
Midway Airlines Corp.
Pass Through
Certificates Class B †
8.140%    01/02/2013    500,000    456,405
Millipore Corporation
7.500%    04/01/2007    1,000,000    924,140
Mobil Corporation
8.625%    08/15/2021    1,000,000    1,125,820
Morgan Stanley Dean
Witter & Co.
5.625%    01/20/2004    1,000,000    941,930
Newmont Mining
Corporation
8.625%    04/01/2002    1,000,000    1,007,070
News America
Holdings,
Incorporated
7.300%    04/30/2028    1,000,000    891,980
News America
Holdings,
Incorporated
9.250%    02/01/2013    1,000,000    1,088,280
Norfolk Southern
Corporation
7.050%    05/01/2037    1,350,000    1,338,242
North Finance
(Bermuda) Limited †
7.000%    09/15/2005    1,000,000    960,360
Pepsi Bottling
Holdings, Inc. †
5.625%    02/17/2009    500,000    441,478
Procter & Gamble
Company, The
6.875%    09/15/2009           4,500,000             4,400,411
Raytheon Company
6.750%    03/15/2018    750,000    651,420
Raytheon Company
6.750%    08/15/2007    500,000    466,465
Republic Services,
Inc.
7.125%    05/15/2009    1,000,000    877,480
Ryder System, Inc.
6.600%    11/15/2005    750,000    690,188
Scholastic
Corporation
7.000%    12/15/2003    750,000    729,518
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
46
MassMutual Balanced Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
                                   
 
The Charles Schwab
Corporation
6.250%    01/23/2003    $  1,000,000    $      963,130
The E.W. Scripps
Company
6.625%    10/15/2007    1,000,000    924,500
Sprint Capital
Corporation
6.125%    11/15/2008    500,000    453,340
Sprint Capital
Corporation
6.900%    05/01/2019    500,000    454,740
SuperValu, Inc. †
7.875%    08/01/2009    2,500,000    2,473,663
Texaco, Inc.
5.500%    01/15/2009    1,000,000    877,902
Thomas & Betts
Corporation
8.250%    01/15/2004    500,000    500,215
Time Warner, Inc.
Pass-Thru Asset
Trust 1997-1†
6.100%    12/30/2001    750,000    735,128
Time Warner, Inc.
7.750%    06/15/2005    1,000,000    1,011,030
Times Mirror Co.
7.450%    10/15/2009    1,300,000    1,293,201
Union Oil Company of
California		     
7.500%    02/15/2029    750,000    699,821
Union Tank Car Co.     
6.790%    05/01/2010    1,000,000    913,010
US Air, Inc., Class B     
7.500%    10/15/2009    454,760    416,264
Valero Energy
Corporation		     
7.375%    03/15/2006    500,000    474,368
Vulcan Materials
Company		     
6.000%    04/01/2009    1,000,000    895,370
The Williams
Companies, Inc.		     
7.625%    07/15/2019    700,000    671,958
WPP Finance (USA)
Corporation		     
6.625%    07/15/2005    375,000    347,751
              
 
TOTAL CORPORATE DEBT
(Cost $84,195,509)		    81,603,937
              
NON-U.S. GOVERNMENT AGENCY
OBLIGATIONS — 0.7%
Collateralized Mortgage Obligations
Asset Securitization
Corporation Series
1995-MD4, Class A1		     
7.100%    08/13/2029    1,397,420    1,383,390
 
 
 
          Principal
Amount
    Market Value
                                   
 
Chase Commercial
Mortgage Securities
Corp. Series 1998-2,
Class A1		     
6.025%    08/18/2007    $   698,165    $      663,982
CS First Boston
Mortgage Securities
Corp. Series 1998-
C2, Class A1		     
5.960%    12/15/2007    703,459    668,286
Merrill Lynch
Mortgage Investors,
Inc., Series 1997 –
 Cl-CTL, A-1		     
6.310%    11/15/2026    858,607    831,304
Salomon Brothers
Mortgage Securities
1997-TZH, Class B†		     
7.491%    03/25/2022    750,000    735,956
Starwood Commercial
Mortgage Trust
Series 1999-C1A,
Class B†		     
6.920%    02/05/2009    1,000,000    934,000
              
 
TOTAL NON-U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $5,527,959)		    5,216,918
              
 
U.S. GOVERNMENT AGENCY
OBLIGATIONS — 3.9%
Federal Home Loan Mortgage Corporation
(FHLMC) — 0.7%
Collateralized Mortgage Obligations — 0.5%
FHLMC Series 1322
Class G		     
7.500%    02/15/2007    504,065    506,742
FHLMC Series 1607
Class G		     
6.000%    08/15/2013    3,000,000    2,881,860
              
                        3,388,602
              
 
Pass-Through Securities  — 0.2%
FHLMC     
6.420%    12/01/2005    1,240,647    1,196,728
FHLMC     
9.000%    03/01/2017    80,178    83,593
              
                        1,280,321
              
                        4,668,923
              
Federal National Mortgage Association
(FNMA) — 1.1%
Collateralized Mortgage Obligations — 0.9%
FNMA Series 1993-134
Class GA		     
6.500%    02/25/2007    1,000,000    990,310
 
 
 
          Principal
Amount
    Market Value
                                   
 
FNMA Series 1993-221
Class D		     
6.000%    12/25/2008      $  1,000,000    $      966,250
FNMA Series 1993-231,
Class M		     
6.000%    12/25/2008      2,500,000    2,393,750
FNMA Series 1996-54
Class C		     
6.000%    09/25/2008      2,000,000    1,915,000
                 
                          6,265,310
                 
 
Pass-Through Securities  — 0.2%
FNMA     
6.000%    11/01/2028      1,435,201    1,312,749
FNMA     
8.000%    05/01/2013      153,662    154,162
                 
                          1,466,911
                 
                          7,732,221
                 
 
Government National Mortgage Association
(GNMA) — 1.7%
Pass-Through Securities
GNMA
6.500%    10/15/2028 -
03/15/2029		    5,664,340    5,315,587
GNMA
7.000%    08/15/2023 -
10/15/2023		    765,107    744,066
GNMA
7.500%    10/15/2006 -
08/15/2029		    4,839,474    4,799,424
GNMA
8.000%    11/15/2004 -
01/15/2009		    1,609,109    1,624,697
GNMA
9.000%    12/15/2008 -
05/15/2009		    261,674    271,042
                 
                          12,754,816
                 
 
U.S. Government Guaranteed Notes — 0.4%
1991-A Fairfax
County, VA		     
8.740%    08/01/2001      200,000    205,000
1991-A Jefferson
Park, CA		     
8.740%    08/01/2001      1,740,000    1,783,500
1991-A Monroe
County, NY		     
8.740%    08/01/2001      500,000    512,500
1991-A Rochester, NY     
8.740%    08/01/2001      60,000    61,500
                 
                          2,562,500
                 
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
47
MassMutual Balanced Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
                                   
 
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS
(Cost $28,281,159)		    $     27,718,460
                 
U.S. TREASURY OBLIGATIONS — 15.5%
U.S. Treasury Bonds  — 3.1%
U.S. Treasury Bond     
7.50%      11/15/2016    $  14,075,000    15,057,998
U.S. Treasury Bond     
8.750%      05/15/2017    5,750,000    6,867,628
                 
                          21,925,626
                 
 
U.S. Treasury Notes  — 12.4%
U.S. Treasury Note     
6.500%      10/15/2006    25,750,000    25,681,505
U.S. Treasury Note     
6.500%      08/15/2005    32,565,000    32,565,000
U.S. Treasury Note     
6.875%      05/15/2006    29,550,000    30,071,853
                 
                          88,318,358
                 
 
U.S. Treasury Strips  — 0.0%
U.S. Treasury Strip  — Principal Only
0.000 %    08/15/2015    700,000    241,934
                 
 
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $115,684,551)		    110,485,918
                 
 
TOTAL BONDS & NOTES
(Cost $244,925,002)		    235,992,129
                 
 
SHORT-TERM INVESTMENTS  — 24.0%
Cash Equivalents  — 12.8%
Bank of Montreal
Eurodollar Time
Deposit**
4.500 %    01/03/2000    5,844,335    5,844,335
BankBoston
Eurodollar Time
Deposit**
4.870 %    04/28/2000    10,339,671    10,339,671
The Goldman Sachs
Group, L.P. Master
Note**
6.450 %    02/04/2000    22,854,332    22,854,332
Harris Trust & Savings
Bank Eurodollar
Time Deposit**
4.250 %    01/03/2000    9,430,418    9,430,418
Janus Money Market
Fund**
5.630 %    01/03/2000    21,060,668    21,060,668
Morgan Stanley Dean
Witter & Co.**
4.860 %    01/18/2000    6,428,212    6,428,212
 
 
          Principal
Amount
    Market Value
                                   
 
SAT LAP (AIM) Money
Market Fund**
4.060 %    01/03/2000    $  15,860,836    $     15,860,836
                 
                          91,818,472
                 
Commercial Paper  — 11.2%
Appalachian Power
Company
6.570%      01/26/2000    2,500,000    2,488,594
Case Credit Corp
6.400%      02/18/2000    5,455,000    5,408,451
ConAgra, Inc.
6.320%      01/06/2000    4,710,000    4,705,866
ConAgra, Inc.
6.470%      01/07/2000    4,785,000    4,779,840
Cox Enterprises, Inc.
6.500%      01/12/2000    4,890,000    4,880,288
Cox Enterprises, Inc.
6.700%      01/11/2000    655,000    653,781
Crown Cork & Seal
Company, Inc.
6.800%      01/03/2000    5,380,000    5,377,968
CSX Corporation
6.440%      02/15/2000    3,985,000    3,952,921
Detroit Edison Co.
6.800%      01/04/2000    2,375,000    2,373,654
IMC Global, Inc.
5.250%      01/04/2000    2,220,000    2,219,029
IMC Global, Inc.
6.470%      01/31/2000           4,095,000             4,072,921
Indiana Michigan
Power Company
6.000%      01/11/2000    1,425,000    1,422,625
Indiana Michigan
Power Company
6.600%      01/14/2000    3,170,000    3,162,445
Kerr-McGee Credit
Corporation
6.400%      02/02/2000    2,940,000    2,923,275
Public Service Electric
and Gas Company
6.380%      01/10/2000    3,715,000    3,709,075
Sierra Pacific Power
Company
7.150%      02/03/2000    4,240,000    4,212,210
Solutia, Inc.
6.450%      01/11/2000    1,890,000    1,886,614
Solutia, Inc.
6.550%      01/19/2000    3,135,000    3,124,733
Solutia, Inc.
6.750%      01/13/2000    3,175,000    3,167,856
SuperValu, Inc.
6.450%      01/27/2000    1,290,000    1,283,991
UOP
6.450%      01/20/2000               590,000                 587,992
UOP
6.500%      01/18/2000    2,255,000    2,248,078
UOP
6.600%      01/05/2000    2,485,000    2,483,177
 
 
          Principal
Amount
    Market Value
                                   
 
UOP
6.600%    01/28/2000    $     4,950,000    $       4,925,498
VF Corporation
7.000%    01/21/2000    3,830,000    3,815,103
              
                        79,865,985
              
 
TOTAL SHORT-TERM
INVESTMENTS
(At Amortized Cost)		    $171,684,457
              
 
TOTAL INVESTMENTS  — 113.0%
(Cost $683,590,144)***		    808,469,206
 
Other Assets/
(Liabilities) — (13.0%)		    (92,863,785)
              
 
NET ASSETS —  100.0%    $715,605,421
              
 
Notes to Portfolio of Investments
***
Aggregate cost for Federal tax purposes (Note 7)
** 
Represents investment of security lending collateral. (Note 2).
†   
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.
††  
American Depository Receipt.
 
 
The accompanying notes are an integral part of the financial statements.
48
 
MassMutual Balanced Fund – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investments, at value (cost $511,905,687) (Note 2)      $  636,784,749  
                 Short-term investments, at amortized cost (Note 2)      171,684,457  
     
  
                           Total Investments      808,469,206  
                 Receivables from:
                           Investments sold      741,707  
                           Fund shares sold      344,175  
                           Interest and dividends      4,121,893  
     
  
                                      Total assets      813,676,981  
     
  
Liabilities:
                Payables for:
                           Due to Custodian      28,416  
                           Investments purchased      5,142,277  
                           Fund shares redeemed      691,552  
                           Securities on loan (Note 2)      91,818,472  
                           Directors’ fees and expenses (Note 3)      2,720  
                           Affiliates (Note 3):
                                      Investment management fees      298,547  
                                      Administration fees      61,397  
                                      Service fees      429  
                Accrued expenses and other liabilities      27,750  
     
  
                                      Total liabilities      98,071,560  
     
  
                Net assets      $  715,605,421  
     
  
Net assets consist of:
                Paid-in capital      $  592,761,613  
                 Accumulated net realized loss on investments      (2,035,254 )
                Net unrealized appreciation on investments      124,879,062  
     
  
                           $ 715,605,421  
     
  
Net assets:
                Class A      $           573,428  
     
  
                Class L      $           173,015  
     
  
                Class Y      $     59,380,958  
     
  
                Class S      $  655,478,020  
     
  
Shares outstanding:
                Class A      43,397  
     
  
                Class L      13,083  
     
  
                Class Y      4,484,437  
     
  
                Class S      49,471,112  
     
  
Net asset value, offering price and redemption price per share:
                Class A      $               13.21  
     
  
                Class L      $               13.22  
     
  
                Class Y      $               13.24  
     
  
                Class S      $               13.25  
     
  
 
The accompanying notes are an integral part of the financial statements.
49
 
MassMutual Balanced Fund – Financial Statements (Continued)
 
Statement of Operations
 
       Year ended
December
31, 1999
Investment income: (Note 2)
                Interest (including securities lending income of $124,027)      $22,953,439  
                 Dividends (net of withholding tax of $21,739)      8,355,931  
     
  
                           Total investment income      31,309,370  
     
  
 
Expenses: (Note 2)
                 Investment management fees (Note 3)      3,739,029  
                Custody fees      79,532  
                Audit and legal fees      26,243  
                Directors ’ fees (Note 3)      14,657  
     
  
                           3,859,461  
 
                 Administration fees (Note 3):
                           Class A      1,380  
                           Class L*      294  
                           Class Y      138,305  
                           Class S      612,336  
                Service fees (Note 3):
                           Class A      839  
     
  
                                      Total expenses.      4,612,615  
     
  
                                      Net investment income      26,696,755  
     
  
 
Realized and unrealized gain (loss):
                Net realized gain on investment transactions      1,114,487  
                Net change in unrealized appreciation (depreciation) on investments      (39,221,960 )
     
  
                                      Net realized and unrealized loss      (38,107,473 )
     
  
                Net decrease in net assets resulting from operations      $(11,410,718 )
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
 
 
The accompanying notes are an integral part of the financial statements.
50
 
MassMutual Balanced Fund – Financial Statements (Continued)
 
Statements of Changes in Net Assets
 
       Year ended
December 31, 1999
      Year ended
December 31, 1998
Increase (Decrease) in Net Assets:
Operations:
                Net investment income      $  26,696,755        $  24,183,950  
                Net realized gain on investment transactions      1,114,487        38,995,138  
                Net change in unrealized appreciation (depreciation) on investments      (39,221,960 )      24,939,485  
     
     
  
                           Net increase (decrease) in net assets resulting from operations      (11,410,718 )      88,118,573  
     
     
  
 
Distributions to shareholders (Note 2):
                From net investment income:
                Class A      (19,468 )      (6,590 )
                Class L*      (6,213 )      -  
                Class Y      (2,098,684 )      (45,079 )
                Class S      (24,046,239 )      (24,100,466 )
     
     
  
                           Total distributions from net investment income      (26,170,604 )      (24,152,135 )
     
     
  
 
                Tax return of capital:
                Class A      (78 )      -  
                Class L*.      (25 )      -  
                Class Y      (8,376 )      -  
                Class S      (95,975 )      -  
     
     
  
                           Total tax return of capital      (104,454 )      -  
     
     
  
 
                From net realized gains:
                Class A      (4,853 )      (11,583 )
                Class L*.      (1,926 )      -  
                Class Y      (960,076 )      (61,093 )
                Class S      (11,126,488 )      (36,732,877 )
     
     
  
                           Total distributions from net realized gains      (12,093,343 )      (36,805,553 )
     
     
  
 
Net fund share transactions (Note 5):
                Class 1**      -        (156,975 )
                Class 2**      -        (159,724 )
                Class 3**      -        (161,227 )
                Class A      434,080        175,148  
                Class L*      187,869        -  
                Class Y      61,686,034        1,104,224  
                Class S      (69,915,062 )      89,416,157  
     
     
  
                           Increase (decrease) in net assets from net fund share transactions      (7,607,079 )      90,217,603  
     
     
  
                Total increase (decrease) in net assets      (57,386,198 )      117,378,488  
 
Net assets:
                 Beginning of period      772,991,619        655,613,131  
     
     
  
                End of period (including undistributed net investment income of $0 and
                     $32,992, respectively)		      $715,605,421        $772,991,619  
     
     
  
 
 * For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
** Effective January 1, 1998, Class 1, Class 2, and Class 3 shares were terminated (See Note 1).
 
 
The accompanying notes are an integral part of the financial statements.
51
MassMutual Balanced Fund – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout each period)
 
     Class A
   Class L
   Class Y
     Year
ended
12/31/99
   Year
ended
12/31/98†
   Period ended
12/31/99**
   Year
ended
12/31/99
   Year
ended
12/31/98†
Net asset value, beginning of period    $     14.20      $     14.03      $     14.62      $     14.20      $     14.06  
    
    
    
    
    
  
Income (loss) from investment operations:
     Net investment income    0.40  ***    0.41  ***    0.47  ***    0.46  ***    0.48  ***
     Net realized and unrealized gain (loss) on investments    (0.70 )    1.36      (1.15 )    (0.71 )    1.36  
    
    
    
    
    
  
              Total income (loss) from investment operations    (0.30 )    1.77      (0.68 )    (0.25 )    1.84  
    
    
    
    
    
  
Less distributions to shareholders:
     From net investment income    (0.47 )    (0.58 )    (0.50 )    (0.49 )    (0.67 )
     Tax return of capital    (0.00 )****    -      (0.00 )****    (0.00 )****    -  
     From net realized gains    (0.22 )    (1.02 )    (0.22 )    (0.22 )    (1.03 )
    
    
    
    
    
  
              Total distributions    (0.69 )    (1.60 )    (0.72 )    (0.71 )    (1.70 )
    
    
    
    
    
  
Net asset value, end of period    $     13.21      $     14.20      $     13.22      $     13.24      $     14.20  
    
    
    
    
    
  
 
Total Return@    (2.17% )    12.78%      (4.69% )    (1.77% )    13.23%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)    $       573      $       177      $       173      $  59,381      $    1,051  
     Net expenses to average daily net assets    1.15%      1.20%      0.89%  *    0.75%      0.76%  
     Net investment income to average daily net assets    2.87%      2.76%      4.97%  *    3.23%      3.21%  
     Portfolio turnover rate    19%      30%      19%      19%      30%  
 
 
      
            Class S (1)
       
     Year
ended
12/31/99
   Year
ended
12/31/98
   Year ended
12/31/97
   Year
ended
12/31/96
   Year
ended
12/31/95
Net asset value, beginning of period    $     14.20      $     13.59      $     12.34      $     11.51      $       9.92  
    
    
    
    
    
  
Income (loss) from investment operations:
     Net investment income    0.48  ***    0.49  ***    0.48      0.46      0.44  
     Net realized and unrealized gain (loss) on investments    (0.70 )    1.33      1.82      1.02      1.68  
    
    
    
    
    
  
              Total income (loss) from investment operations    (0.22 )    1.82      2.30      1.48      2.12  
    
    
    
    
    
  
Less distributions to shareholders:
     From net investment income    (0.51 )    (0.48 )    (0.48 )    (0.46 )    (0.44 )
     Tax return of capital    (0.00 )****    -      -      -      -  
     From net realized gains    (0.22 )    (0.73 )    (0.57 )    (0.19 )    (0.09 )
    
    
    
    
    
  
              Total distributions    (0.73 )    (1.21 )    (1.05 )    (0.65 )    (0.53 )
    
    
    
    
    
  
Net asset value, end of period    $     13.25      $     14.20      $     13.59      $     12.34      $     11.51  
    
    
    
    
    
  
 
Total Return@      (1.58% )      13.50%        18.72%        12.83%        21.31%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)    $655,478      $771,763      $655,135      $563,280      $456,773  
     Net expenses to average daily net assets#    0.57%      0.54%      0.54%      0.51%      0.51%  
     Net investment income to average daily net assets    3.36%      3.42%      3.57%      3.83%      4.18%  
     Portfolio turnover rate    19%      30%      28%      26%      23%  
 
    #  Computed after giving effect to the voluntary partial waiver of management
    fee by MassMutual, which terminated May 1, 1997. Without this partial
    waiver of fees by MassMutual, the ratio of expenses to average daily net
    assets would have been:		    N/A      N/A      0.55%      0.55%      0.55%  
 
*
Annualized
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
****
Tax return of capital is less than $0.01 per share.
†
Amounts have been restated to reflect reverse stock splits (See Note 9).
(1)
Class S shares were previously designated as Class 4 shares.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
The accompanying notes are an integral part of the financial statements.
52
 
MassMutual Core Equity Fund – Portfolio Manager Report
(Formerly known as MassMutual Value Equity Fund)
 
What are the investment objectives and policies for the MassMutual Core Equity Fund?
 
The objective and policies of the Fund are to:
Ÿ
achieve high total returns over the long term while minimizing risk
Ÿ
invest in a diversified portfolio of equity securities of larger, well-established companies (generally companies with market capitalization over $2.0 billion)
Ÿ
utilize a value-oriented strategy in making investment decisions
Ÿ
utilize Fundamental analysis to identify companies which
 
—are of high investment quality
—offer above-average dividend growth potential
—are attractively valued in the marketplace
 
How did the Fund perform during 1999?
 
For the 12 months ended December 31, 1999, the Fund’s Class S shares had a return of -2.60%, well behind the 21.04% return of the Standard & Poor’s 500 Index, a market capitalization-weighted, unmanaged index of 500 common stocks. The Fund also lagged the 6.59% return of the average large-cap value Fund monitored by Morningstar, Inc.
 
Why did the Fund trail the indexes by such wide margins?
 
Nineteen ninety-nine turned out to be a dismal year for value investors. In the previous report, it was noted that the first and second quarters of the year were markedly different, with growth stocks taking center stage in the first quarter and value stocks coming to the fore in the second. In the second half of the year, growth stocks returned to prominence with a vengeance. If anything, the market advance grew more narrow than it had been early in the year.
 
Particularly in the fourth quarter, there were basically two markets: technology stocks and everything else. The higher a tech stock’s price-to-earnings ratio, the better investors seemed to like it, almost regardless of earnings prospects. The S&P 500, which has gradually evolved into a growth-oriented, technology-sensitive index with the addition of stocks like Qualcomm, Microsoft, America Online, and Yahoo!, reflected the success of those stocks. Since we concentrate on equities that appear undervalued, most of the best-performing technology stocks were too pricey for the Fund. Above-average dividend yield, another factor we look for, was also spurned by investors, as stocks with the lowest yields far outpaced those with higher yields.
 
Furthermore, many high-quality, non-technology stocks were kept on the defensive by rising interest rates. As the year progressed, it became clear that economic activity would be much stronger than expected, with Gross Domestic Product and corporate earnings advancing at roughly twice the rate anticipated early in 1999. The Federal Reserve Board, in an effort to keep inflation in check, raised short-term interest rates in June, August, and November. While these rate hikes did little to derail the technology juggernaut, stocks in most other sectors stalled or went lower.
 
Finally, the Fund’s performance suffered because a number of stocks with formerly reliable earnings growth had disappointing results during the year. This list included Archer Daniels Midland, Albertson ’s, Raytheon, Xerox, and Becton Dickinson. We sold most of these stocks in favor of others with better long-term prospects.
 
Were there any changes in your management style?
 
This is a value fund, and we are not going to change that. However, we have been working to improve the relative earnings growth profile of the portfolio without distorting its overall value characteristics. In that regard, we added several reasonably valued new holdings with projected earnings growth in the 14%-16% range. These included United Parcel Service, Avery-Dennison, and Illinois Tool Works.
 
What is your outlook?
 
It is important to remember, especially in difficult times like these, that advances in stock prices are ultimately tied to rising earnings. Another important concept for investors is “reversion to the mean. ” Simply put, it means that when the investment environment shifts too far from what is normal or average, it tends to revert or return to a more average state of affairs.
MassMutual Core Equity Fund – Portfolio Manager Report (Continued)
(Formerly known as MassMutual Value Equity Fund)
 
 
 
How does this apply to the current situation? Right now the investment environment is excessively skewed in favor of growth-oriented technology stocks to the exclusion of virtually everything else. This distortion exists despite the fact that many value stocks have solid earnings prospects. It exists despite the fact that, while interest rates have risen sharply in the past year, their rise is likely to slow in 2000, creating a more hospitable environment for many non-technology stocks.
 
When earnings considerations and investor psychology diverge, earnings generally prevail in the long run. Reversion to the mean will eventually occur, and when it does, value stocks will have their day. We therefore view the current market environment as an important opportunity for value investors and have positioned the Fund accordingly.
 
 
MassMutual Core Equity Fund
Largest Stock Holdings (12/31/99)
 
 
Hewlett-Packard Company
General Electric Company
Marsh & McLennan Companies, Inc.
BP Amoco plc Sponsored ADR
International Business Machines Corporation
Kimberly-Clark Corporation
Exxon Mobil Corp.
SBC Communications, Inc.
GTE Corporation
Bristol-Myers Squibb Company
 
MassMutual Core Equity Fund – Portfolio Manager Report (Continued)
(Formerly known as MassMutual Value Equity Fund)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Core Equity Fund Class S and the Standard & Poor’s 500 Composite Index
 
 
MassMutual Core Equity Fund
Total Return
     One Year    Five Year
Average Annual		    Since Inception
Average Annual
     1/1/99 -  12/31/99    1/1/95 -  12/31/99    10/3/94 -  12/31/99
 
Class S    -2.60%    18.32%    17.37%
 
Standard &
Poor’s 500
Composite Index		    21.04%    28.56%    27.02%
 
Hypothetical Investments in MassMutual Core Equity Fund Class A, Class Y and Standard & Poor’s 500 Composite Index
 
 
MassMutual Core Equity Fund
Total Return
     One Year    Since Inception
Average Annual
     1/1/99 -  12/31/99    1/1/98 -  12/31/99
 
Class A    -3.13%    5.98%
Class Y    -2.71%    6.46%
 
Standard &
Poor’s 500
Composite Index		    21.04%    24.75%
 
Hypothetical Investments in MassMutual Core Equity Fund Class L and Standard & Poor’s 500 Composite Index
 
 
MassMutual Core Equity Fund
Total Return
     Since Inception
     5/3/99 -  12/31/99
 
Class L    -7.63%
 
Standard &
Poor’s 500
Composite Index		    11.00%
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[CHART]


Date               Class S             S&P 500
----               -------             -------
(10/3/94)          $10,000             $10,000
12/94               $9,990              $9,999
6/95               $11,613             $12,019
12/95              $13,441             $13,756
6/96               $14,276             $15,144
12/96              $15,802             $16,914
6/97               $18,435             $20,400
12/97              $20,386             $22,558
6/98               $22,196             $26,553
12/98              $23,801             $29,004
6/99               $25,584             $32,596
12/99              $23,181             $35,108
[CHART]


Date               Class A             Class Y             S&P 500
----               -------             -------             -------
12/97              $10,000             $10,000             $10,000
3/98               $11,140             $11,160             $11,395
6/98               $10,660             $10,880             $11,771
9/98                $9,970             $10,005             $10,800
12/98              $11,696             $11,649             $12,858
3/99               $11,252             $11,314             $13,498
6/99               $12,431             $12,517             $14,450
9/99               $11,095             $11,183             $13,548
12/99              $11,233             $11,333             $15,563
[CHART]


Date               Class L             S&P 500
----               -------             -------
5/3/99             $10,000             $10,000
5/31/99             $9,912              $9,764
6/99               $10,207             $10,300
7/99                $9,912              $9,984
8/99                $9,617              $9,935
9/99                $9,123              $9,662
10/99               $9,294             $10,274
11/99               $9,201             $10,483
12/99               $9,237             $11,100
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Standard & Poor ’s 500 Composite Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
MassMutual Core Equity Fund – Portfolio of Investments
(Formerly known as MassMutual Value Equity Fund)
 
December 31, 1999
 
     Number of
Shares
    Market Value
                                            
EQUITIES —  97.8%
 
Aerospace & Defense  — 3.2%
Honeywell
International, Inc.		    763,031    $     44,017,365
TRW, Inc.    921,500    47,860,406
         
        91,877,771
         
 
Apparel, Textiles & Shoes — 0.8%
VF Corporation    735,400    22,062,000
         
 
Automotive & Parts  — 1.8%
Delphi Automotive
Systems Corporation		    988,700    15,572,025
Ford Motor Company    680,300    36,353,531
         
                 51,925,556
         
 
Banking, Savings & Loans — 6.0%
The Bank of New York
Company,
Incorporated		    1,673,000    66,920,000
Fleet Boston Financial
Corp.		    352,832    12,282,964
Pacific Century
Financial Corporation		    1,271,600    23,763,025
Wachovia Corp.    450,000    30,600,000
Wells Fargo &
Company		    977,700    39,535,744
         
                 173,101,733
         
 
Beverages —  1.4%
Brown-Forman
Corporation Cl. B		    688,100    39,393,725
         
Broadcasting, Publishing & Printing — 2.1%
 
The McGraw-Hill
Companies, Inc.		    1,000,000    61,625,000
         
 
Chemicals —  4.3%
Air Products and
Chemicals, Inc.		    806,300    27,061,444
Engelhard Corporation    1,779,700    33,591,838
Rohm & Haas
Company		    1,520,700    61,873,481
         
                 122,526,763
         
 
Communications  — 4.9%
GTE Corporation    973,500    68,692,594
SBC Communications,
Inc.		    1,464,181    71,378,824
         
                 140,071,418
         
 
 
 
     Number of
Shares
    Market Value
                                            
Computers & Office Equipment — 10.9%
Electronic Data Systems
Corporation		    800,000    $     53,550,000
Hewlett-Packard
Company		    1,000,000    113,937,500
International Business
Machines
Corporation		    875,084    94,509,072
Pitney Bowes, Inc.    1,092,400    52,776,575
         
                 314,773,147
         
 
Containers —  3.3%
Bemis Company, Inc.    782,100    27,275,738
Crown Cork & Seal
Company, Inc.		    1,406,300    31,465,963
Temple-Inland, Inc.    528,800    34,867,750
         
                 93,609,451
         
 
Cosmetics & Personal Care — 2.8%
Kimberly-Clark
Corporation		    1,240,600    80,949,150
         
 
Electric Utilities  — 1.6%
Dominion Resources,
Inc.		    730,600    28,676,050
Teco Energy, Inc.    1,007,800    18,707,288
         
                 47,383,338
         
 
Electrical Equipment & Electronics — 4.6%
General Electric
Company		    700,000    108,325,000
Hubbell, Incorporated
Cl. B		    918,471    25,028,335
         
                 133,353,335
         
 
Energy —  11.1%
Apache Corporation    722,700    26,694,731
BP Amoco plc
Sponsored*		    1,600,668    94,939,621
Burlington Resources,
Inc.		    701,600    23,196,650
Chevron Corporation    317,000    27,460,125
Conoco, Inc. Cl. A    849,000    21,012,750
Exxon Mobil Corp.    911,432    73,427,205
Unocal Corporation    1,097,600    36,838,200
USX-Marathon Group    699,800    17,276,313
         
                 320,845,595
         
 
 
 
     Number of
Shares
    Market Value
                                            
Financial Services  — 3.7%
American Express
Company		    350,000    $     58,187,500
American General
Corporation		    589,600    44,735,900
The Goldman Sachs
Group, L.P.		    46,700    4,398,556
         
                 107,321,956
         
 
Foods —  3.9%
Bestfoods    599,400    31,505,963
ConAgra, Inc.    2,005,000    45,237,813
General Mills, Inc.    978,000    34,963,500
         
                 111,707,276
         
 
Forest Products & Paper — 2.8%
Westvaco Corporation    855,000    27,894,375
Weyerhaeuser
Company		    727,700    52,257,956
         
                 80,152,331
         
 
Healthcare —  6.3%
Becton, Dickinson and
Company		    1,200,000    32,100,000
Bristol-Myers Squibb
Company		    1,050,600    67,435,388
Pharmacia & Upjohn,
Inc.		    896,200    40,329,000
Schering-Plough Corp.    1,000,000    42,187,500
         
                 182,051,888
         
 
Industrial —  Diversified — 1.7%
Illinois Tool Works    317,600    21,457,850
Tyco International Ltd.    713,426    27,734,436
         
                 49,192,286
         
 
Industrial Distribution  — 1.3%
W.W. Grainger, Inc.    806,300    38,551,219
         
 
Insurance —  6.7%
The Hartford Financial
Services Group, Inc.		    568,200    26,918,475
Jefferson-Pilot
Corporation		    509,600    34,780,200
Marsh & McLennan
Companies, Inc.		    1,000,000    95,687,495
MBIA, Inc.    675,200    35,659,000
         
                 193,045,170
         
 
Machinery & Components — 1.6%
Dover Corporation    1,000,000    45,375,000
         
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
56
MassMutual Core Equity Fund – Portfolio of Investments (Continued)
(Formerly known as MassMutual Value Equity Fund)
 
     Number of
Shares
    Market Value
                                            
Miscellaneous  — 1.3%
Avery-Dennison
Corp.		    500,000    $     36,437,500
         
 
Pharmaceuticals  — 0.8%
American Home
Products
Corporation		    605,600    23,883,350
         
 
Retail —  2.4%
The May Department
Stores Company		    975,000    31,443,750
Newell Rubbermaid,
Inc.		    1,250,000    36,250,000
         
                 67,693,750
         
 
Retail-Grocery  — 1.9%
Albertson’s, Inc.    1,672,668    53,943,543
         
 
Tobacco —  1.3%
Fortune Brands, Inc.    1,153,900    38,150,819
         
 
Transportation  — 3.3%     
Burlington Northern
Santa Fe Corp.		    1,296,600    31,442,550
Galileo International,
Inc.		    906,100    27,126,369
Norfolk Southern
Corporation		    1,456,100    29,850,050
United Parcel Service
Inc. Cl. B		    109,300    7,541,700
         
                 95,960,669
         
TOTAL EQUITIES           
(Cost $1,785,953,996)     2,816,964,739
         
 
          Principal
Amount
   
SHORT-TERM INVESTMENTS  — 6.6%
Cash Equivalents  — 4.5%
Bank of Montreal
Eurodollar Time
Deposit**		     
   4.500%    01/03/2000    $15,320,542    15,320,542
BankBoston Eurodollar
Time Deposit**		     
   4.870%    04/28/2000    82,754    82,754
The Goldman Sachs
Group, L.P. Master
Note**		     
   6.450%    02/04/2000    21,801,484    21,801,484
Harris Trust & Savings
Bank Eurodollar Time
Deposit**		     
   4.250%    01/03/2000    13,275,677    13,275,677
          Principal
Amount
    Market Value
Janus Money Market
Fund**		          
5.630%    01/03/2000    $45,778,983    $     45,778,983
MetLife Insurance
Company Funding
Agreement**		          
6.530%    08/01/2000    5,000,000    5,000,000
Morgan Stanley Dean
Witter & Co.**		          
4.860%    01/18/2000    446,723    446,723
SAT Lap (AIM)
Money Market Fund**		          
4.060%    01/03/2000    27,551,354    27,551,354
              
                        129,257,517
              
 
Repurchase Agreements  — 2.1%
Investors Bank & Trust
Company Repurchase
Agreement, dated
12/31/99		                                 
3.06%    01/03/00 (a)    10,399,952           10,399,952
Investors Bank & Trust
Company Repurchase
Agreement, dated
12/31/99		      
3.06%    01/03/00 (b)    25,000,000    25,000,000
Investors Bank & Trust
Company Repurchase
Agreement, dated
12/31/99		      
3.06%    01/03/00 (c)    25,000,000    25,000,000
              
                 60,399,952
              
TOTAL SHORT-TERM
INVESTMENTS		   
(At Amortized Cost)            189,657,469
              
 
TOTAL INVESTMENTS  — 104.4%
(Cost $1,975,611,465)***    3,006,622,208
 
Other
Assets/(Liabilities) — (4.4%)		    (127,749,033)
              
 
NET ASSETS —  100.0%    $2,878,873,175
              
 
Notes to Portfolio of Investments
***
Aggregate cost for Federal tax purposes (Note 7)
 
*  
American Depository Receipt.
 
** 
Represents investment of security lending collateral. (Note 2).
 
(a)
Maturity value of $10,402,604. Collateralized by U.S. Government Agency obligations with rates of 6.818-7.125%, maturity dates of 10/15/2023-10/01/2024, and aggregate market value, including accrued interest of $10,919,983.
 
(b)
Maturity value of $25,006,375. Collateralized by ABN AMRO Mortgage Corporation with a rate of 7.081%, maturity date of 12/25/2029, and market value, including accrued interest, of $19,555,324 and Federal National Mortgage Association with a rate of 6.330%, maturity date of 12/25/2021, and market value, including accrued interest, of $6,694,676.
 
(c)
Maturity value of $25,006,375. Collateralized by U.S. Government Agency obligations with rates of 6.375-7.061%, maturity dates of 01/20/2018-04/18/2028, and aggregate market value, including accrued interest, of $26,250,092.
 
The accompanying notes are an integral part of the financial statements.
57
 
MassMutual Core Equity Fund – Financial Statements
(Formerly known as MassMutual Value Equity Fund)
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investments, at value (cost $1,785,953,996) (Note 2)      $2,816,964,739
                 Short-term investments, at amortized cost (Note 2)      189,657,469
     
                           Total Investments      3,006,622,208
                 Cash      669,921
                 Receivables from:
                           Investments sold      5,926,964
                           Fund shares sold      2,253,845
                           Interest and dividends      3,744,605
     
                                      Total assets      3,019,217,543
     
Liabilities:
                 Payables for:
                           Investments purchased      6,002,489
                           Fund shares redeemed      3,588,410
                           Securities on loan (Note 2)      129,257,517
                           Directors’ fees and expenses (Note 3)      2,720
                           Affiliates (Note 3):
                                      Investment management fees      1,220,347
                                      Administration fees      167,804
                                      Service fees      1,149
                Accrued expenses and other liabilities      103,932
     
                                      Total liabilities      140,344,368
     
                Net assets      $2,878,873,175
     
Net assets consist of:
                Paid-in capital      $1,783,801,938
                 Accumulated net realized gain on investments      64,060,494
                Net unrealized appreciation on investments      1,031,010,743
     
       $2,878,873,175
     
Net assets:
                Class A      $       1,840,982
     
                Class L      $       2,380,008
     
                Class Y      $     20,261,983
     
                Class S      $2,854,390,202
     
Shares outstanding:
                Class A      112,887
     
                Class L      145,538
     
                Class Y      1,239,389
     
                Class S      174,282,233
     
Net asset value, offering price and redemption price per share:
                Class A      $               16.31
     
                Class L      $               16.35
     
                Class Y      $               16.35
     
                Class S      $               16.38
     
 
The accompanying notes are an integral part of the financial statements.
58
 
MassMutual Core Equity Fund – Financial Statements (Continued)
(Formerly known as MassMutual Value Equity Fund)
 
Statement of Operations
 
       Year ended
December 31, 1999
Investment income: (Note 2)
                 Dividends (net of withholding tax of $164,614)      $  65,062,283  
                 Interest (including securities lending income of $347,891)      1,733,234  
     
  
                           Total investment income      66,795,517  
     
  
Expenses: (Note 2)
                 Investment management fees (Note 3)      16,017,604  
                Custody fees      288,169  
                Audit and legal fees      80,926  
                 Directors’ fees (Note 3)      14,656  
     
  
       16,401,355  
                 Administration fees (Note 3):
                           Class A      2,199  
                           Class L*      1,610  
                           Class Y      10,713  
                           Class S      2,350,292  
                Service fees (Note 3):
                           Class A      1,631  
     
  
                           Total operating expenses      18,767,800  
     
  
                 Interest Expense (Note 8)      9,036  
     
  
                           Net investment income      48,018,681  
     
  
Realized and unrealized gain (loss):
                Net realized gain on investment transactions      244,882,522  
                Net change in unrealized appreciation (depreciation) on investments      (380,145,282 )
     
  
                           Net realized and unrealized loss       (135,262,760 )
     
  
                Net decrease in net assets resulting from operations      $   (87,244,079 )
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
59
 
MassMutual Core Equity Fund – Financial Statements (Continued)
(Formerly known as MassMutual Value Equity Fund)
 
Statements of Changes in Net Assets
 
       Year ended
December 31, 1999
      Year ended
December 31, 1998
Increase (Decrease) in Net Assets:
Operations:
                Net investment income      $     48,018,681        $     56,478,560  
                Net realized gain on investment transactions      244,882,522        173,983,787  
                Net change in unrealized appreciation (depreciation) on investments      (380,145,282 )      291,738,373  
     
     
  
                           Net increase (decrease) in net assets resulting from operations      (87,244,079 )      522,200,720  
     
     
  
 
Distributions to shareholders (Note 2):
                From net investment income:
                Class A      (28,703 )      (4,908 )
                Class L*      (38,830 )      -  
                Class Y      (424,325 )      (20,187 )
                Class S      (47,633,175 )      (57,644,450 )
     
     
  
                           Total distributions from net investment income      (48,125,033 )      (57,669,545 )
     
     
  
 
                In excess of net investment income:          
                Class A      (370 )      -  
                Class L*      (500 )      -  
                Class Y      (5,469 )      -  
                Class S      (613,908 )      -  
     
     
  
                           Total distributions in excess of net investment income      (620,247 )      -  
     
     
  
 
                From net realized gains:
                Class A      (117,796 )      (21,970 )
                Class L*      (145,744 )      -  
                Class Y      (1,595,827 )      (65,959 )
                Class S      (199,382,279 )      (202,715,885 )
     
     
  
                           Total distributions from net realized gains      (201,241,646 )      (202,803,814 )
     
     
  
 
Net fund share transactions (Note 5):
                Class 1**      -        (196,012 )
                Class 2**      -        (199,451 )
                Class 3**      -        (201,310 )
                Class A      1,767,511        222,890  
                Class L*      2,589,158        -  
                Class Y      22,336,326        764,794  
                Class S      (397,747,697 )      126,595,972  
     
     
  
                           Increase (decrease) in net assets from net fund share transactions      (371,054,702 )      126,986,883  
     
     
  
                 Total increase (decrease) in net assets      (708,285,707 )      388,714,244  
 
Net assets:
                 Beginning of period      3,587,158,882        3,198,444,638  
     
     
  
                End of period (including undistributed net investment income of $0 and
                     $106,352, respectively)		      $2,878,873,175        $3,587,158,882  
     
     
  
 
  *
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
**
Effective January 1, 1998, Class 1, Class 2, and Class 3 shares were terminated (See Note 1).
 
The accompanying notes are an integral part of the financial statements.
60
 
MassMutual Core Equity Fund – Financial Statements (Continued)
(Formerly known as MassMutual Value Equity Fund)
 
Financial Highlights (For a share outstanding throughout each period)
 
       Class  A
     Class  L
     Class  Y
       Year ended
12/31/99
     Year ended
12/31/98†
     Period ended 
12/31/99**
     Year ended
12/31/99
     Year ended
12/31/98†
Net asset value, beginning of period      $         18.40        $         18.02        $         19.36        $         18.39        $         18.03  
     
     
     
     
     
  
Income (loss) from investment operations:
     Net investment income      0.17  ***      0.19  ***      0.20  ***      0.23  ***      0.27  ***
     Net realized and unrealized gain (loss) on investments      (0.75 )      2.60        (1.68 )      (0.73 )      2.63  
     
     
     
     
     
  
              Total income (loss) from investment operations      (0.58 )      2.79        (1.48 )      (0.50 )      2.90  
     
     
     
     
     
  
Less distributions to shareholders:
     From net investment income      (0.28 )      (0.43 )      (0.30 )      (0.31 )      (0.56 )
     In excess of net investment income      (0.00 )****      -        (0.00 )****      (0.00 )****      -  
     From net realized gains      (1.23 )      (1.98 )      (1.23 )      (1.23 )      (1.98 )
     
     
     
     
     
  
              Total distributions      (1.51 )      (2.41 )      (1.53 )      (1.54 )      (2.54 )
     
     
     
     
     
  
Net asset value, end of period      $         16.31        $         18.40        $         16.35        $         16.35        $         18.39  
     
     
     
     
     
  
 
Total Return@      (3.13% )      15.96%        (7.63% )      (2.71% )      16.49%  
 
Ratios /  Supplemental Data:
     Net assets, end of period (000’s)      $         1,841        $           227        $         2,380        $       20,262        $           754  
     Net expenses to average daily net assets      1.10%        1.20%        0.84%  *      0.69%        0.75%  
     Net investment income to average daily net assets      0.92%        1.01%        1.68%  *      1.26%        1.43%  
     Portfolio turnover rate      10%        12%        10%        10%        12%  
 
      
            Class  S(1)
       
       Year ended
12/31/99
     Year ended
12/31/98
     Year ended
12/31/97
     Year ended
12/31/96
     Year ended
12/31/95
Net asset value, beginning of period      $         18.39        $         17.00        $         14.46        $         12.63        $           9.91  
     
     
     
     
     
  
Income (loss) from investment operations:
     Net investment income      0.27  ***      0.31        0.32        0.34        0.31  
     Net realized and unrealized gain (loss) on investments      (0.75 )      2.49        3.83        2.22        2.82  
     
     
     
     
     
  
              Total income (loss) from investment operations      (0.48 )      2.80        4.15        2.56        3.13  
     
     
     
     
     
  
Less distributions to shareholders:
     From net investment income      (0.30 )      (0.31 )      (0.31 )      (0.34 )      (0.31 )
     In excess of net investment income      (0.00 )****      -        -        -        -  
     From net realized gains      (1.23 )      (1.10 )      (1.30 )      (0.39 )      (0.10 )
     
     
     
     
     
  
              Total distributions      (1.53 )      (1.41 )      (1.61 )      (0.73 )      (0.41 )
     
     
     
     
     
  
Net asset value, end of period      $         16.38        $         18.39        $         17.00        $         14.46        $         12.63  
     
     
     
     
     
  
 
Total Return@      (2.60% )      16.75%        29.01%        20.24%        31.54%  
 
Ratios /  Supplemental Data:
     Net assets, end of period (000’s)      $2,854,390        $3,586,177        $3,197,848        $2,485,743        $2,125,248  
     Net expenses to average daily net assets#      0.57%        0.54%        0.54%        0.51%        0.51%  
     Net investment income to average daily net assets      1.45%        1.67%        1.91%        2.42%        2.72%  
     Portfolio turnover rate      10%        12%        20%        13%        16%  
 
    #  Computed after giving effect to the voluntary partial
    waiver of management fee by MassMutual, which
    terminated May 1, 1997. Without this partial waiver of
    fees by MassMutual, the ratio of expenses to average
    daily net assets would have been:		      N/A        N/A        0.55%        0.55%        0.55%  
 
*
Annualized
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
****
Distributions in excess of net investment income is less than $0.01 per share.
†
Amounts have been restated to reflect reverse stock splits (See Note 9).
(1)
Class S shares were previously designated as Class 4 shares.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
 
The accompanying notes are an integral part of the financial statements.
61
 
MassMutual Growth Equity Fund – Portfolio Manager Report
 
 
 
 
 
 
 
 
What are the investment objectives and policies for the MassMutual Growth Equity Fund?
 
The objective and policies of the Fund are to:
Ÿ
achieve long-term growth of capital and future income
Ÿ
invest primarily in a diversified portfolio of equity securities, which may consist of up to 30% foreign securities (including those of companies in emerging markets)
Ÿ
utilize a growth-oriented strategy in making investment decisions
Ÿ
utilize fundamental analysis to identify companies which
 
—are of high investment quality or possess a unique product, market position or operating characteristics
—offer above-average levels of profitability or superior growth potential
 
How did the Fund perform in 1999?
 
Absolute and relative performance were both strong. From inception on May 3, 1999, through December 31, 1999, the Fund’s Class S shares posted a return of 29.57%, well ahead of the 11.00% return of the Standard & Poor’s 500 Index over the same period.
 
What factors contributed to the Fund’s exceptionally strong performance?
 

Investors favored growth stocks during the period, especially those in the technology sector. Consequently, an overweighting in technology stocks was a major factor in enabling the Fund to beat the index. Within technology, Internet infrastructure and fiber-optic stocks were particularly strong. Buying was concentrated in the technology sector to such an extent that the non-technology stocks in the S&P 500, as a group, were down for the year, many of them reflecting concerns over higher interest rates. Another measure of how avidly investors sought out technology investments is the performance of the technology-heavy Nasdaq Composite Index, which surged ahead 85.6% during 1999.

Why are you targeting Internet infrastructure companies?

We believe that infrastructure stocks have better risk/reward profiles than other Internet plays. Because the Internet is such a young medium, it is difficult to recognize which Internet retailers, for example, are going to succeed. Retailing in any medium—on-line or off—is a fiercely competitive business, and companies can fail for a wide variety of reasons. On the other hand, we can be reasonably certain that whatever the dominant Internet trends turn out to be, they will require the products and services of infrastructure companies.
 
Here are some examples. One of the Fund’s core holdings, Sun Microsystems, is a key manufacturer of the servers used to store information on the Net. Another important holding is Cisco Systems, which makes the routers and switches that carry data on the Internet. MCI WorldCom owns much of the fiber-optic network that supports Internet traffic. Even one of our largest leisure holdings, Time Warner, can be considered a technology play because of its cable business, which will soon enable the company to deliver Internet access to its customers.
 
Can you explain how your research process works?
 
We look for investments supported by positive assessments from several independent points of view. As an example, let’s take Corning, the world’s largest producer of the fiber-optic cable used for Internet traffic. In our visit with their management last summer, we learned that they expected demand for their cable to outstrip supply over the next couple of years and that they were the only supplier with a new cable plant coming on line. At the same time, our telecommunications analyst noted that many of the companies he covered were talking about spending large sums of money to upgrade to fiber-optic cable. Finally, our European analysts were seeing the same trend, and we knew that Corning had won some big contracts in Europe. We therefore got a favorable picture about Corning from three different sources, making the case for investing in that stock a strong one.
 
 
62
MassMutual Growth Equity Fund – Portfolio Manager Report (Continued)
 
What is your outlook?
 
We still have some of the same worries we mentioned in the last report—mainly about the rich valuations of many stocks, particularly in the technology sector. In addition, rising interest rates during the period made it difficult for many stocks to make upward progress, and if that trend continues, the technology sector could be vulnerable. Having said that, we should also point out that technology is where the best growth is occurring, and identifying solid growth opportunities is what this fund is all about. Furthermore, the economy is fundamentally in good shape, with solid growth and minimal inflation. Our business is not to try to predict tops and bottoms in the market, but to identify the stocks that will benefit most from the dominant growth trends of our time. From that standpoint, we are very comfortable with the opportunities that we have identified for the Fund’s shareholders.
 
 
MassMutual Growth Equity Fund
Largest Stock Holdings (12/31/99)
 
 
Microsoft Corp.
Cisco Systems, Inc.
General Electric Company
Oracle Corporation
Corning, Incorporated
MCI WORLDCOM, Inc.
AES Corp.
General Instrument Corp.
Nokia Corp. Sponsored ADR
Tyco International Ltd.
 
 
63
MassMutual Growth Equity Fund – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Growth Equity Fund Class S, Class A, Class Y, Class L and the Standard & Poor’s 500 Composite Index
 
 
MassMutual Growth Equity Fund
Total Return
     Since
Inception
5/3/99 - 12/31/99
 
Class S    29.57%
Class A    29.27%
Class Y    29.57%
Class L    29.57%
 
Standard & Poor’s
500 Composite
Index		    11.00%
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[CHART]


Date       Class S        Class A        Class Y        Class L        S&P 500
----       -------        -------        -------        -------        -------
5/3/99     $10,000        $10,000        $10,000        $10,000        $10,000
5/31/99     $9,870         $9,870         $9,870         $9,870         $9,764
6/99       $10,650        $10,640        $10,650        $10,650        $10,306
7/99       $10,370        $10,360        $10,370        $10,360         $9,884
8/99       $10,290        $10,280        $10,280        $10,280         $9,935
9/99       $10,240        $10,220        $10,230        $10,240         $9,662
10/99      $10,640        $10,620        $10,640        $10,640        $10,274
11/99      $11,340        $11,310        $11,330        $11,330        $10,483
12/99      $12,957        $12,927        $12,957        $12,957        $11,100
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Standard & Poor ’s 500 Composite Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
 
64
MassMutual Growth Equity Fund – Portfolio of Investments
 
December 31, 1999
 
     Number of
Shares
    Market Value
                          
EQUITIES —  91.9%
 
Advertising —  0.8%
Young & Rubicam, Inc.    12,320    $         871,640
         
 
Aerospace & Defense  — 0.2%
Honeywell International,
Inc.		    4,162    240,095
         
 
Apparel, Textiles & Shoes — 0.5%
Fast Retailing Company    1,300    528,357
Gap, Inc.    900    41,400
         
             569,757
         
 
Banking, Savings & Loans — 2.5%
Citigroup, Inc.    20,810    1,156,256
Providian Financial Corp.    4,840    440,743
State Street Corp.    15,530    1,134,661
         
                 2,731,660
         
 
Broadcasting, Publishing & Printing — 7.3%
AMFM, Inc.*    6,940    543,055
Cablevision Systems
Corp. Cl. A*		    5,800    437,900
CBS Corp.*    20,500    1,310,719
Clear Channel
Communications*		    3,540    315,945
Comcast Corp. Cl. A    23,740    1,200,354
Gannett Co., Inc.    7,200    587,250
Infinity Broadcasting
Corp.*		    25,575    925,495
MediaOne Group, Inc.*    11,400    875,663
Spanish Broadcasting
System, Inc. Cl. A*		    8,050    324,013
Univision
Communications, Inc.*		    4,440    453,713
Westwood One, Inc.*    12,330    937,080
         
                  7,911,187
         
 
Building Materials & Construction — 0.7%
Lowe’s Companies    13,530    808,418
         
 
Chemicals —  0.5%
Akzo Nobel, Inc.    9,780    488,165
         
 
Commercial Services  — 0.6%
Bouygues    545    344,686
Cintas Corp.    4,900    260,313
FreeMarkets, Inc.*    30    10,239
         
                 615,238
         
 
 
 
     Number of
Shares
    Market Value
                          
Communications  — 10.5%
American Tower Corp.
Cl. A*		    17,500    $         534,844
Ancor Communications,
Inc.*		    5,860    397,748
Antec Corp.*    7,500    273,750
China Telecom (Hong
Kong) Ltd.*		    30,000    187,560
Echostar
Communications Corp.*		    3,500    341,250
Ericsson (LM ) Cl. B    11,000    704,317
Ericsson (LM ) Cl. B ††    600    39,413
General Instrument
Corp.*		    19,880    1,689,800
Global Crossing Ltd.*    9,900    495,000
Harmonic, Inc.*    600    56,963
Jazztel PLC † †*    3,100    201,888
Network Appliance, Inc.*    1,600    132,900
Nextel Communications
Inc. Cl. A*		    8,580    884,813
Nippon Telegraph &
Telephone Corp.		    150    256,460
Nokia Corp.
Sponsored††		    8,800    1,672,000
Nortel Networks
Corporation		    12,640    1,276,640
NTL Incorporated*    4,700    586,325
NTT Mobile
Communications
Network, Inc.		    230    883,103
Qualcomm, Inc.*    4,480    789,040
Scientific-Atlanta, Inc.    460    25,588
         
                 11,429,402
         
 
Computer Integrated Systems Design — 3.8%
Cadence Design Systems,
Inc.*		    200    4,800
Computer Sciences
Corp.*		    11,960    1,131,715
Radiant Systems, Inc.*    18,210    731,814
Sun Microsystems, Inc.*    19,500     1,510,031
Teradyne, Inc.*    11,860    782,760
         
                 4,161,120
         
 
 
 
     Number of
Shares
    Market Value
                          
Computer Programming Services — 1.4%
Macromedia, Inc.*    3,420    $         250,088
Network Solutions, Inc.*    2,200    478,638
New ERA Of Networks,
Inc.*		    1,300    61,913
VeriSign, Inc.*    3,940    752,294
         
                 1,542,933
         
 
Computers & Information — 4.1%
Cisco Systems, Inc.*    27,100    2,903,088
Computer Network
Technology
Corporation*		    100    2,294
Comverse Technology,
Inc.*		    2,820    408,195
EMC Corp.*    10,000    1,092,500
         
                 4,406,077
         
 
Data Processing and Preparation — 2.1%
Affiliated Computer
Services, Inc. Cl. A*		    12,300    565,800
Ceridian Corp.*    25,610    552,216
First Data Corp.    23,510    1,159,337
         
                 2,277,353
         
 
Electric Utilities  — 2.3%
AES Corp.*    23,200    1,734,200
Calpine Corporation*    12,400    793,600
         
                 2,527,800
         
 
Electrical Equipment & Electronics — 11.0%
Altera Corp.*    9,400    465,888
Analog Devices, Inc.*    10,420    969,060
Atmel Corp.*    25,560    755,618
DII Group, Inc.*    13,920    987,886
Finisar Corporation*    130    11,684
Flextronics International
Ltd.*		    7,000    322,000
General Electric
Company		    18,470    2,858,233
General Motors Corp.
Cl. H*		    5,060    485,760
Intel Corp.    7,700    633,806
Jds Uniphase Corp.*    300    48,394
LSI Logic Corp.*    16,600    1,120,500
Microchip Technology,
Inc.*		    6,660    455,794
Motorola, Inc.    4,860    715,635
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
65
MassMutual Growth Equity Fund – Portfolio of Investments (Continued)
 
     Number of
Shares
    Market Value
                          
National Semiconductor
Corp.*		    16,860    $         721,819
Novellus Systems, Inc.*    7,280    892,028
Qlogic Corp.*    800    127,900
RF Micro Devices, Inc.*    1,820    124,556
Texas Instruments, Inc.    2,100    203,438
         
                  11,899,999
         
 
Energy —  1.7%
BP Amoco PLC
Sponsored††		    8,190    485,769
Conoco Inc. Cl. B    12,410    308,699
Halliburton Co.    11,800    474,950
Noble Drilling Corp.*    16,810    550,528
         
                 1,819,946
         
 
Entertainment & Leisure — 2.3%
AT&T —  Liberty Media
Group*		    16,220    920,485
Harrah’s Entertainment
Inc.*		    3,201    84,626
Polaroid Corp.    300    5,644
Time Warner, Inc.    20,700    1,499,456
         
                 2,510,211
         
 
Financial Services  — 1.5%
American Express
Company		    2,930    487,113
Morgan Stanley Dean
Witter & Co.		    8,080    1,153,420
         
                 1,640,533
         
 
Foods —  1.4%
The Kroger Co.*    29,550    557,756
Nestle SA    257    468,329
Safeway, Inc.*    15,240    541,973
         
                 1,568,058
         
 
Healthcare —  1.2%
Bristol-Myers Squibb
Company		    12,300    789,506
Pharmacia & Upjohn, Inc.    12,040    541,800
         
                 1,331,306
         
 
Household Products  — 2.0%
The Clorox Company    5,630    283,611
Corning Incorporated    14,750    1,901,828
         
                  2,185,439
         
 
 
 
     Number of
Shares
    Market Value
                          
Industrial —  Diversified — 1.5%
Tyco International Ltd.    42,680    $     1,659,173
         
 
Information Retrieval Services — 0.7%
America Online, Inc.    9,400    709,113
         
 
Insurance —  3.3%
American International
Group, Inc.		    12,735    1,376,970
AON Corp.    12,720    508,800
AXA Financial, Inc.    8,790    297,761
CIGNA Corporation    5,990    482,569
Hartford Life, Inc. Cl. A    9,390    413,160
Lincoln National Corp.    8,500    340,000
United Healthcare Corp.    2,530    134,406
         
                 3,553,666
         
 
Machinery & Components — 2.6%
Applied Materials, Inc.*    6,160    780,395
Cooper Cameron Corp.*    5,350    261,816
Lam Research Corp.*    4,800    535,500
Mannesmann AG    5,000    1,204,766
         
                 2,782,477
         
 
Medical Supplies  — 3.3%
Agilent Technologies
Inc.*		    4,270    330,124
Bausch & Lomb, Inc.    13,260    907,481
Guidant Corp.    11,200    526,400
Medtronic, Inc.    31,940    1,163,814
Waters Corp.*    12,110    641,830
         
                 3,569,649
         
 
Pharmaceuticals  — 1.6%
American Home
Products Corporation		    16,150    636,916
Cardinal Health, Inc.    1,320    63,195
Shire Pharmaceuticals
Group PLC
Sponsored††*		    15,250    444,156
Warner-Lambert Co.    7,450    610,434
         
                 1,754,701
         
 
 
 
     Number of
Shares
    Market Value
                          
Prepackaged Software  — 11.5%
Alteon Websystems, Inc.*    25    $             2,194
BMC Software, Inc.*    15,600    1,247,025
Citrix Systems, Inc.*    900    110,700
Computer Associates
International, Inc.		    16,370    1,144,877
Compuware Corp.*    41,300    1,538,425
Intuit, Inc.*    900    53,944
Microsoft Corp.*    29,680    3,465,140
OpenTV Corporation*    120    9,630
Oracle Corporation*    21,760    2,438,480
Siebel Systems, Inc.*    7,070    593,880
Sungard Data Systems,
Inc.*		    15,700    372,875
Veritas Software Corp.*    9,960    1,425,525
Vitria Technology, Inc.*    150    35,100
         
                 12,437,795
         
 
Retail —  4.0%
Bj’s Wholesale Club,
Inc.*		    14,660    535,090
Costco Wholesale Corp.*    8,850    807,563
CVS Corporation    26,260    1,048,759
Office Depot, Inc.*    15,960    174,563
Tandy Corp.    7,600    373,825
TJX Companies, Inc.    4,080    83,385
Wal-Mart Stores, Inc.    18,510    1,279,504
         
                 4,302,689
         
 
Telephone Utilities  — 4.7%
Alltel Corp.    10,880    899,640
Amdocs Ltd.*    4,600    158,700
China Telecom (Hong
Kong) Ltd.
Sponsored††		    2,930    376,688
Global Telesystems
Group, Inc.*		    14,020    485,443
MCI WORLDCOM, Inc.*    33,525    1,778,920
Metromedia Fiber
Network, Inc.*		    5,680    272,285
Sprint Corp. (PCS
Group)*		    10,470    1,073,175
Tritel, Inc.*    120    3,803
         
                 5,048,654
         
 
Transportation  — 0.3%
Royal Caribbean Cruises
Ltd.		    6,810    335,818
         
TOTAL EQUITIES
(Cost $80,411,392)		            99,690,072
         
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
66
MassMutual Growth Equity Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
SHORT-TERM INVESTMENTS  — 13.5%
Cash Equivalents  — 5.0%
 
Bank of Montreal Eurodollar
Time Deposit**
   4.500%    01/03/2000    $     444,767    $           444,767
 
BankBoston Eurodollar Time
Deposit**
   4.870%    04/28/2000    976,495    976,495
 
The Goldman Sachs Group,
L.P. Master Note**
   6.450%    02/04/2000     1,111,916     1,111,916
 
Harris Trust & Savings Bank
Eurodollar Time Deposit**
   4.250%    01/03/2000    555,958    555,958
 
Janus Money Market Fund**
   5.630%    01/03/2000     1,211,989         1,211,989
 
SAT LAP (AIM)
Money Market Fund**
   4.060%    01/03/2000    1,111,915    1,111,915
              
                     5,413,040
              
 
Repurchase Agreement — 8.5%
 
Investors Bank & Trust
Company Repurchase
Agreement dated
12/31/99 3.06%
01/03/00 (a)		    9,169,900    9,169,900  
         
  
 
TOTAL SHORT-TERM
INVESTMENTS
(At Amortized Cost)		       14,582,940  
         
  
 
TOTAL INVESTMENTS 
— 105.4%
(Cost $94,994,332)***		       114,273,012  
 
OTHER
ASSETS/(LIABILITIES) 
— (5.4%)		       (5,844,067 )
         
  
 
NET ASSETS —  100.0%       $108,428,945  
         
  
 
Notes to Portfolio of Investments
 
***
Aggregate cost for Federal tax purposes (Note 7)
*  
Non-income producing security.
** 
Represents investments of security lending collateral (Note 2)
††  
American Depository Receipt.
(a)
Maturity value of $9,172,238. Collateralized by U.S. Government Agency obligations with rates of 6.813-7.625% maturity dates of 10/25/2024-07/01/2026, and aggregate market value including accrued interest of $9,628,472.
 
 
The remainder of this page intentionally left blank.
 
 
 
The accompanying notes are an integral part of the financial statements.
 
MassMutual Growth Equity Fund – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investments, at value (cost $80,411,392) (Note 2)      $  99,690,072  
                 Short-term investments, at amortized cost (Note 2)      14,582,940  
     
  
                           Total Investments      114,273,012  
                 Cash      886,048  
                 Receivables from:
                           Investments sold      1,188,719  
                           Open forward foreign currency contracts (Note 2)      180  
                           Fund shares sold      70,380  
                           Interest and dividends      32,465  
                           Foreign taxes withheld      184  
     
  
                                      Total assets      116,450,988  
     
  
Liabilities:
                 Payables for:
                           Investments purchased      2,141,144  
                           Fund shares redeemed      380,869  
                           Securities on loan (Note 2)      5,413,040  
                           Directors’ fees and expenses (Note 3)      4,463  
                           Affiliates (Note 3):
                                      Investment management fees      55,796  
                                      Administration fees      10,620  
                                      Service fees      1,098  
                Accrued expenses and other liabilities      15,013  
     
  
                                      Total liabilities      8,022,043  
     
  
                Net assets      $108,428,945  
     
  
Net assets consist of:
                Paid-in capital      $  87,228,046  
                 Undistributed net investment loss      (14,817 )
                 Accumulated net realized gain on investments and foreign currency translations      1,937,012  
                Net unrealized appreciation on investments, forward foreign currency contracts, foreign currency and
                     other assets and liabilities		      19,278,704  
     
  
                                $108,428,945  
     
  
Net assets:
                Class A      $     2,379,172  
     
  
                Class L      $     8,912,104  
     
  
                Class Y      $  34,169,631  
     
  
                Class S      $  62,968,038  
     
  
Shares outstanding:
                Class A      184,482  
     
  
                Class L      689,509  
     
  
                Class Y      2,643,532  
     
  
                Class S      4,869,675  
     
  
Net asset value, offering price and redemption price per share:
                Class A      $             12.90  
     
  
                Class L      $             12.93  
     
  
                Class Y      $             12.93  
     
  
                Class S      $             12.93  
     
  
 
 
The accompanying notes are an integral part of the financial statements.
68
 
MassMutual Growth Equity Fund – Financial Statements (Continued)
 
Statement of Operations
 
       Period ended
December 31,1999*
Investment income: (Note 2)
                 Dividends (net of withholding tax of $749)      $       106,252  
                 Interest (including securities lending income of $4,084)      157,407  
     
  
                           Total investment income      263,659  
     
  
 
Expenses: (Note 2)
                 Investment management fees (Note 3)      208,278  
                Custody fees      53,487  
                Audit and legal fees      5,441  
                 Directors’ fees (Note 3)      10,129  
     
  
                           277,335  
                 Administration fees (Note 3):
                           Class A      1,501  
                           Class L      5,480  
                           Class Y      9,713  
                           Class S      18,985  
                Service fees (Note 3):
                           Class A      1,261  
     
  
                           Total expenses      314,275  
     
  
                           Net investment loss      (50,616 )
     
  
 
Realized and unrealized gain (loss) from investment and foreign currency:
                Net realized gain (loss) on:
                      Investment transactions      2,213,243  
                      Foreign currency transactions      (21,448 )
     
  
                           Net realized gain      2,191,795  
     
  
                Net change in unrealized appreciation (depreciation) on:
                      Investments      19,278,680  
                      Translation of assets and liabilities in foreign currencies      24  
     
  
                           Net unrealized gain      19,278,704  
     
  
                           Net realized and unrealized gain from investment and foreign currency      21,470,499  
     
  
                Net increase in net assets resulting from operations      $21,419,883  
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
 
The accompanying notes are an integral part of the financial statements.
69
 
MassMutual Growth Equity Fund – Financial Statements (Continued)
 
Statement of Changes in Net Assets
 
 
       Period ended
December 31, 1999*
Increase (Decrease) in Net Assets:
Operations:
                Net investment loss      $         (50,616 )
                Net realized gain on investment transactions and foreign currency transactions      2,191,795  
                Net change in unrealized appreciation (depreciation) on investments and translation of assets and
                           liabilities in foreign currencies		      19,278,704  
     
  
                           Net increase in net assets resulting from operations      21,419,883  
     
  
 
Distributions to shareholders (Note 2):
                From net realized gains:
                Class A      (4,845 )
                Class L      (17,880 )
                Class Y      (68,299 )
                Class S      (127,960 )
     
  
                           Total distributions from net realized gains      (218,984 )
     
  
Net fund share transactions (Note 5):
                Class A      1,948,843  
                Class L      7,137,491  
                Class Y      27,417,526  
                Class S      50,724,186  
     
  
                           Increase in net assets from net fund share transactions      87,228,046  
     
  
                 Total increase in net assets      108,428,945  
 
Net assets:
                 Beginning of period      —  
     
  
                End of period (including undistributed net investment loss of $14,817)      $108,428,945  
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
70
 
MassMutual Growth Equity Fund – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout the period)
 
     Class A
    Class L
    Class Y
    Class S
     Period ended
12/31/99**
    Period ended
12/31/99**
    Period ended
12/31/99**
    Period ended
12/31/99**
Net asset value, beginning of period    $     10.00      $     10.00      $     10.00      $  10.00  
    
    
    
    
  
Income (loss) from investment operations:
     Net investment income (loss)    (0.05 )***    (0.03 )***    (0.02 )***    (0.01 )***
     Net realized and unrealized gain (loss) on investments    2.98      2.99      2.98      2.97  
    
    
    
    
  
          Total income (loss) from investment operations    2.93      2.96      2.96      2.96  
    
    
    
    
  
Less distributions to shareholders:
     From net realized gains    (0.03 )    (0.03 )    (0.03 )    (0.03 )
    
    
    
    
  
Net asset value, end of period    $     12.90      $     12.93      $     12.93      $  12.93  
    
    
    
    
  
 
Total Return@    29.27%      29.57%      29.57%      29.57%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)    $  2,379      $  8,912      $ 34,170      $62,968  
     Net expenses to average daily net assets    1.50  %*    1.25  %*    1.12  %*    0.97  %*
     Net investment income (loss) to average daily net assets    (0.68 )%*    (0.41 )%*    (0.26 )%*    (0.10 )%*
     Portfolio turnover rate    114  %    114  %    114  %    114  %
 
*
Annualized
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
The accompanying notes are an integral part of the financial statements.
71
 
MassMutual Small Cap Value Equity Fund – Portfolio Manager Report
 
 
 
 
What are the investment objectives and policies for the MassMutual Small Cap Value Equity Fund?
 
The objective and policies of the Fund are to:
Ÿ
achieve long-term growth of capital and income
Ÿ
invest primarily in a diversified portfolio of equity securities of smaller companies (companies with market capitalization, at the time of purchase, of $1.5 billion or less)
Ÿ
utilize a value-oriented strategy in making investment decisions
Ÿ
utilize fundamental analysis to identify companies which
-are of high investment quality or possess a unique product, market position or operating characteristics
-offer above-average levels of profitability or superior growth potential
-are attractively valued in the marketplace
 
How did the Fund perform during 1999?
 
For the 12 months ended December 31, 1999, the Fund’s Class S shares had a return of 0.25%, compared to 21.26% for the Russell 2000 Index, a broadly based, unmanaged index of 2000 medium-and small-capitalization common stocks. While the Fund underperformed the broad based Russell 2000 Index, it did outperform the Russell 2000 Value Index, which had a return of -1.49%.
 
Why did the Fund trail the index by such a wide margin?
 
During 1999 the divergence between growth and value stocks reached the most extreme levels ever seen in any full calendar year. The second quarter, during which the Fund gained 17.1%, saw a strong rally in cyclical stocks and value shares generally, and raised the possibility that the market might continue to broaden out for the balance of the year.
 
Unfortunately, this scenario was not meant to be. In the second half, investors’ preference for growth at any price—whether the vehicle was small-, medium-, or large-cap stocks—was even more pronounced than it had been earlier in the year. In the fourth quarter, the chart of the technology-laden NASDAQ Composite Index resembled one of NASA ’s space shuttle blastoffs, as investor enthusiasm propelled that benchmark to an incredible 85.6% gain for the year. Within the technology sector, Internet stocks were favorites. During this period, investors seemed more interested in what business a company was in than in its earnings prospects. In an environment where value investing was so out of favor, the Fund was at a severe disadvantage.
 
Also contributing to our lackluster returns was the trend of higher interest rates. As the year progressed, estimates for both Gross Domestic Product (GDP) and corporate earnings roughly doubled. Just as the Federal Reserve Board had acted decisively to lower short-term interest rates in the fall of 1998, when worldwide debt and equity markets were reeling from the Russian default and other difficulties, the Fed moved quickly in 1999 to head off a possible return of inflation. The markets had to digest interest rate hikes in June, August, and November. While these rate hikes did little to derail the technology juggernaut, stocks in most other sectors stalled or went lower.
 
Can you highlight some recent additions to the Fund?
 
Three new stocks were added to the Fund in the fourth quarter. One was Basin Exploration, a natural gas exploration and production company that concentrates its efforts mainly in the Gulf of Mexico. Although the stock dropped sharply due to an operational problem with two of the company ’s wells, our research showed that the problem was common in the industry and easily correctable. Trading at approximately four times cash flow, we found the stock compelling.
 
Another recent acquisition was El Paso Electric, an electric utility operating mostly in Texas. Our projections indicated that this company, benefiting from cost reductions and an expanding population, is capable of growing earnings per share at the annual rate of roughly 15% over the next three years. Finally, we would like to mention White Mountains Insurance Group, a title insurance company run by the legendary Jack Byrne, who rose to prominence as the successful head of Fireman’s Fund Insurance. A drop in home refinancings during 1999 brought the stock down to what we considered an attractive level relative to book value and earnings.
MassMutual Small Cap Value Equity Fund – Portfolio Manager Report (Continued)
 
What is your outlook?
 
There is a lot to like about the current investment environment. Consumer confidence, GDP growth, and corporate earnings are all solid. The main negatives are upward pressure on interest rates and the extreme selectivity of investors.
 
With respect to interest rates, we may soon get a respite. Although we would not be surprised to see another tightening move early in 2000, the Fed may step back after that and allow the economy to digest its recent rate hikes. The full effects of changes in interest rates on the economy are normally delayed by at least six to nine months, so a strong case could be made for a “wait and see” approach after the next tightening move.
 
However, rising prices of key industrial commodities, strong consumer demand, and the wealth effect of the torrid equity markets could prompt the Fed to keep raising rates. To position the Fund for this eventuality, we plan to emphasize companies that generate high value-added products and services on the theory that they should perform better in an environment of firming interest rates.
 
The other negative factor—the divergence between the technology sector and the rest of the market—is one of those distortions to which all markets are occasionally subject. We firmly believe in value investing over the long term and are confident that the high-quality investments we have made for the fund will show their true colors as investors respond to the favorable earnings profiles of the Fund’s holdings.
 
 
MassMutual Small Cap Value Equity Fund
Largest Stock Holdings (12/31/99)
 
 
Graco, Incorporated
Roper Industries, Inc.
Ct Communications, Inc.
Reliance Steel & Aluminum Company
Olin Corp.
Houghton Mifflin Company
True North Communications, Inc.
Calpine Corporation
WICOR, Inc.
C.H. Robinson Worldwide, Inc.
 
MassMutual Small Cap Value Equity Fund – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Small Cap Value Equity Fund Class S and the Russell 2000 Index
 
 
MassMutual Small Cap Value Equity Fund
Total Return
     One Year    Five Year
Average Annual		    Since Inception
Average Annual
     1/1/99 -  12/31/99    1/1/95 -  12/31/99    10/3/94 -  12/31/99
 
Class S    0.25%    12.88%    11.66%
 
Russell
2000 Index		    21.26%    16.69%    15.42%
 
Hypothetical Investments in MassMutual Small Cap Value Equity Fund Class A, Class Y and the Russell 2000 Index
 
 
     One Year    Since Inception
Average Annual
     1/1/99 -  12/31/99    1/1/98 -  12/31/99
 
Class A    -0.36%    -5.08%
Class Y    0.13%    -4.67%
 
Russell
2000 Index		    21.26%    8.71%
 
Hypothetical Investments in MassMutual Small Cap Value Equity Fund Class L and the Russell 2000 Index
 
 
MassMutual Small Cap Value Equity Fund
Total Return
     Since Inception
     5/3/99 -  12/31/99
 
Class L    2.97%
 
Russell
2000 Index		    17.67%
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
 
[CHART]

		Date		Class S		Russell 2000
		----		-------		------------

                (10/3/94)       $10,000		$10,000
                 12/94  	 $9,734		 $9,813
		  6/95		$10,507		$11,228
		 12/95		$11,681		$12,604
		  6/96		$12,794		$13,910
		 12/96		$14,346		$14,683
		  6/97		$16,665		$16,181
		 12/97		$19,562		$17,966
		  6/98		$20,010		$18,852
		 12/98		$17,797		$17,509
		  6/99		$18,721		$19,134
		 12/99		$17,841		$21,231
 
[CHART]


        Date            Class A         Class Y         Russell 2000
        ----            -------         -------         ------------

        12/97           $10,000         $10,000         $10,000
         3/98           $10,740         $10,750         $11,006
         6/98           $10,200         $10,220         $10,493
         9/98            $8,245          $8,276          $8,379
        12/98            $9,042          $9,075          $9,745
         3/99            $8,102          $8,139          $9,217
         6/99            $9,477          $9,540         $10,650
         9/99            $8,915          $8,982          $9,977
        12/99            $9,009          $9,087         $11,817
 
[CHART]


                Date            Class L         Russell 2000
                ----            -------         ------------

                5/3/99          $10,000         $10,000
                5/31/99         $10,249         $10,146
                6/99            $10,813         $10,605
                7/99            $10,886         $10,314
                8/99            $10,400          $9,932
                9/99            $10,180          $9,934
                10/99           $10,084          $9,975
                11/99           $10,099         $10,570
                12/99           $10,297         $11,767
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
MassMutual Small Cap Value Equity Fund – Portfolio of Investments
 
December 31, 1999
 
     Number of
Shares
    Market Value
                             
EQUITIES —  91.7%
 
Advertising —  3.0%
Ackerley Group, Inc.    379,400    $  6,876,625
HA-LO Industries, Inc.*    546,000    4,095,000
Harte Hanks
Communications, Inc.		    388,800    8,456,400
         
                 19,428,025
         
 
Automotive & Parts  — 2.5%
Dura Automotive
Systems, Inc.*		    271,400    4,732,538
Keystone Automotive
Industries, Inc.*		    281,400    1,653,225
Myers Industries, Inc.    398,495    6,276,293
United Auto Group, Inc.*    396,400    3,542,825
         
                 16,204,881
         
 
Banking, Savings & Loans — 10.7%
Astoria Financial
Corporation		    165,000    5,022,188
Banknorth Group, Inc.    217,800    5,826,150
CCB Financial
Corporation		    279,800    12,188,788
Commercial Federal
Corporation		    257,006    4,577,922
First Republic Bank*    230,600    5,419,100
Hudson City Bancorp,
Inc.		    228,500    3,070,469
Keystone Financial, Inc.    155,050    3,265,741
MECH Financial, Inc.    114,900    3,971,231
One Valley Bancorp of
West Virginia, Inc.		    159,587    4,887,352
Pacific Capital Bancorp    45,200    1,389,900
Peoples Heritage
Financial Group, Inc.		    499,525    7,524,095
Sovereign Bancorp, Inc.    530,396    3,953,094
Webster Financial
Corporation		    381,400    8,986,738
         
                 70,082,768
         
 
Broadcasting, Publishing & Printing — 4.9%
Banta Corporation    253,150    5,711,697
Day Runner, Inc.*    543,700    2,123,855
Houghton Mifflin
Company		    355,200    14,985,000
McClatchy Newspapers,
Inc.		    201,950    8,734,338
         
                 31,554,890
         
 
 
     Number of
Shares
    Market Value
                             
Chemicals —  6.5%
Olin Corp.    860,600    $17,050,638
OM Group, Inc.    349,100    12,022,131
Spartech Corporation    403,200    13,003,200
         
                 42,075,969
         
 
Commercial Services  — 6.1%
ABM Industries, Inc.    290,600    5,920,975
Advo, Inc.*    572,600    13,599,250
Landauer, Inc.    263,300    5,759,688
Ritchie Bros.
Auctioneers, Inc.*		    150,000    4,162,500
Rollins Truck Leasing
Company		    845,975    10,098,827
         
                 39,541,240
         
 
Communications  — 5.1%
Ct Communications, Inc.    339,700    19,023,200
True North
Communications, Inc.		    315,500    14,098,906
         
                 33,122,106
         
 
Containers —  1.2%
U.S. Can Corporation*    384,500    7,641,938
         
 
Diversified Operations  — 0.6%
SPS Technologies, Inc.*    120,400    3,845,275
         
 
Electric Utilities  — 3.5%
Calpine Corporation*    218,100    13,958,400
EL Paso Electric Co.*    859,600    8,434,825
         
                 22,393,225
         
 
Electrical Equipment & Electronics — 3.9%
Cognex Corporation*    213,100    8,310,900
Dallas Semiconductor
Corporation		    130,300    8,396,206
Teleflex, Incorporated    262,700    8,225,794
         
                 24,932,900
         
 
Energy —  5.9%
Basin Exploration, Inc.*    386,400    6,810,300
Newfield Exploration
Company*		    216,100    5,780,675
Stone Energy
Corporation*		    318,300    11,339,438
WICOR, Inc.    477,800    13,945,788
         
                 37,876,201
         
 
 
     Number of
Shares
    Market Value
                             
Financial Services  — 3.4%
Eaton Vance Corp.    285,800    $10,860,400
Healthcare Realty Trust
Incorporated		    294,100    4,595,313
The Pioneer Group, Inc.*    395,000    6,221,250
         
                 21,676,963
         
 
Foods —  2.6%
International Home
Foods, Inc.*		    418,200    7,266,225
Morrison Management
Specialists, Inc.		    438,800    9,461,625
         
                 16,727,850
         
 
Healthcare —  1.9%
Herbalife International,
Inc. Cl. B		    595,233    7,961,241
Syncor International
Corp.*		    141,200    4,112,450
         
                 12,073,691
         
 
Insurance —  2.2%
HCC Insurance Holdings    471,200    6,213,950
Highlands Insurance
Group, Inc.*		    508,100    4,826,950
White Mountains
Insurance Group, Inc.		    24,600    2,964,300
         
                 14,005,200
         
 
Investment Management Services — 0.6%
Conning Corporation    493,600    4,072,200
         
 
Machinery & Components — 11.6%
Asyst Technologies, Inc.*    92,600    6,071,088
Graco, Incorporated    648,700    23,272,113
Hardinge, Inc.    378,550    4,944,809
Helix Technology
Corporation		    248,600    11,140,388
Regal-Beloit Corporation    298,150    6,149,344
Roper Industries, Inc.    513,000    19,397,813
Watsco, Inc.    383,450    4,433,641
         
                 75,409,196
         
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
75
 
MassMutual Small Cap Value Equity Fund – Portfolio of Investments (Continued)
 
     Number of
Shares
    Market Value
                             
Medical Supplies  — 1.6%
Bacou USA, Inc.*    272,800    $  4,109,050
Invacare Corporation    305,100    6,121,069
         
                 10,230,119
         
 
Metals & Mining  — 4.0%
CompX International,
Inc.		    446,300    8,200,763
Reliance Steel &
Aluminum Company		    752,550    17,637,891
         
                 25,838,654
         
 
Miscellaneous  — 0.5%
Crossmann
Communities, Inc.*		    224,200    3,475,100
         
 
Miscellaneous Distributor Wholesale — 1.3%
Hughes Supply, Inc.    389,700    8,402,897
         
 
Pharmaceuticals  — 0.5%
Bindley Western
Industries, Inc.		    225,066    3,390,057
         
 
Real Estate —  1.1%
Captec Net Lease Realty,
Inc.		    162,600    1,219,500
Mid-Atlantic Realty
Trust		    560,300    5,638,019
         
                 6,857,519
         
 
Restaurants —  0.9%
IHOP Corp.*    333,400    5,563,613
         
 
Transportation  — 5.6%
ABC Rail Products
Corporation*		    529,300    4,366,725
C.H. Robinson
Worldwide, Inc.		    344,400    13,689,900
Hub Group, Inc. Cl. A*    252,200    5,044,000
M.S. Carriers, Inc.*    554,600    13,241,075
         
                 36,341,700
         
 
TOTAL EQUITIES
(Cost $504,088,653)		            592,764,177
         
 
 
 
     Principal
Amount
    Market Value
SHORT-TERM  INVESTMENTS — 9.1%
 
Cash Equivalents  — 1.4%
Bank of Montreal Eurodollar
Time Deposit**
   4.500%    01/03/2000    $  762,729    $   762,729
BankBoston Eurodollar
Time Deposit**
   4.870%    04/28/2000    81,406    81,406
Harris Trust & Savings Bank
Eurodollar Time Deposit**
   4.250%    01/03/2000    953,410    953,410
Janus Money Market Fund**
   5.630%    01/03/2000    1,578,435    1,578,435
MetLife Insurance Company
Funding Agreement**
   6.530%    08/01/2000    5,000,000    5,000,000
SAT LAP (AIM) Money
Market Fund**
   4.060%    01/03/2000    906,820    906,820
              
                            9,282,800
              
 
Repurchase  Agreements — 7.7%
Investors Bank & Trust
Company
Repurchase Agreement,
dated 12/31/99 3.06%
01/03/00(a)		    25,000,000    25,000,000
Investors Bank & Trust
Company
Repurchase Agreement,
dated 12/31/99
3.06%01/03/00(b)		    24,508,462    24,508,462
              
                 49,508,462
 
TOTAL SHORT-TERM
INVESTMENTS
(At Amortized Cost)		       58,791,262
              
 
TOTAL INVESTMENTS  —
 100.8%
(Cost $562,879,915)***		    651,555,439
 
Other Assets/
(Liabilities) — (0.8%)		    (5,069,420)
              
 
NET ASSETS —  100.0%    $646,486,019
              
 
 
 
Notes to Portfolio of Investments
***
Aggregate cost for Federal tax purposes (Note 7)
 
*  
Non-income producing security.
 
** 
Represents investment of security lending collateral. (Note 2).
 
(a)
Maturity value of $25,006,375. Collateralized by U.S. Government Agency obligations with rates of 6.000-6.929% maturity dates of 05/25/2008-11/01/2026, and aggregate market value, including accrued interest, of $26,250,008.
 
(b)
Maturity value of $24,514,712. Collateralized by U.S. Government Agency obligations with rates of 6.375-7.100%, maturity dates of 10/01/2023-01/20/2024, and aggregate market value, including accrued interest, of $25,734,290.
 
The accompanying notes are an integral part of the financial statements.
76
 
MassMutual Small Cap Value Equity Fund – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investments, at value (cost $504,088,653) (Note 2)      $592,764,177
                 Short-term investments, at amortized cost (Note 2)      58,791,262
     
                           Total Investments      651,555,439
                 Receivables from:
                           Investments sold      4,544,978
                           Fund shares sold      332,674
                           Interest and dividends      516,729
     
                                      Total assets      656,949,820
     
Liabilities:
                 Payables for:
                           Investments purchased      153,810
                           Fund shares redeemed.      643,751
                           Securities on loan (Note 2)      9,282,800
                           Directors’ fees and expenses (Note 3).      2,720
                           Affiliates (Note 3):
                                      Investment management fees      309,846
                                      Administration fees.      45,829
                                      Service fees      153
                           Accrued expenses and other liabilities.      24,892
     
                                      Total liabilities      10,463,801
     
                Net assets      $646,486,019
     
Net assets consist of:
                Paid-in capital      $547,168,394
                 Undistributed net investment income      160,077
                 Accumulated net realized gain on investments      10,482,024
                Net unrealized appreciation on investments.      88,675,524
     
                           $646,486,019
     
Net assets:
                Class A.      $         262,254
     
                Class L      $     1,634,087
     
                Class Y      $     3,990,031
     
                Class S.      $640,599,647
     
Shares outstanding:
                Class A      19,337
     
                Class L      120,566
     
                Class Y      294,351
     
                Class S      47,176,673
     
Net asset value, offering price and redemption price per share:
                Class A      $             13.56
     
                Class L      $             13.55
     
                Class Y.      $             13.56
     
                Class S      $             13.58
     
 
The accompanying notes are an integral part of the financial statements.
77
 
MassMutual Small Cap Value Equity Fund – Financial Statements (Continued)
 
Statement of Operations
 
       Year ended
December 31, 1999
Investment income: (Note 2)
                 Dividends .      $  8,418,654  
                 Interest (including securities lending income of $30,070)      2,698,457  
     
  
                                      Total investment income      11,117,111  
     
  
Expenses: (Note 2)
                 Investment management fees (Note 3)      3,728,581  
                Custody fees      64,156  
                Audit and legal fees      24,227  
                 Directors’ fees (Note 3)      14,657  
     
  
     3,831,621  
 
                 Administration fees (Note 3):
                           Class A      714  
                           Class L*      1,246  
                           Class Y      2,432  
                           Class S      536,599  
                Service fees (Note 3):
                           Class A      473  
     
  
                                      Total expenses      4,373,085  
     
  
                                      Net investment income      6,744,026  
     
  
 
Realized and unrealized gain (loss):
                Net realized gain on investment transactions      26,505,919  
                Net change in unrealized appreciation (depreciation) on investments       (30,483,393 )
     
  
                                      Net realized and unrealized loss      (3,977,474 )
     
  
                Net increase in net assets resulting from operations      $  2,766,552  
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
78
 
MassMutual Small Cap Value Equity Fund – Financial Statements (Continued)
 
Statements of Changes in Net Assets
 
       Year ended
December 31, 1999
      Year ended
December 31, 1998
Increase (Decrease) in Net Assets:
Operations:
                Net investment income      $       6,744,026        $     5,897,091  
                Net realized gain on investment transactions      26,505,919        38,416,378  
                Net change in unrealized appreciation (depreciation) on investments      (30,483,393 )       (108,654,819 )
     
       
  
                           Net increase (decrease) in net assets resulting from operations      2,766,552        (64,341,350 )
     
       
  
 
Distributions to shareholders (Note 2):
                From net investment income:
                Class A      (1,763 )      (1,413 )
                Class L*      (16,505 )      -  
                Class Y      (48,682 )      (7,850 )
                Class S      (6,643,376 )      (5,891,102 )
     
       
  
                           Total distributions from net investment income      (6,710,326 )      (5,900,365 )
     
       
  
 
                From net realized gains:
                Class A      (6,683 )      (17,099 )
                Class L*      (39,188 )      -  
                Class Y      (113,305 )      (54,356 )
                Class S      (16,524,157 )      (39,773,593 )
     
       
  
                           Total distributions from net realized gains      (16,683,333 )      (39,845,048 )
     
       
  
 
Net fund share transactions (Note 5):
                Class 1**.      -        (192,471 )
                Class 2**      -        (195,879 )
                Class 3**      -        (198,007 )
                Class A.      95,826        210,983  
                Class L*      1,675,872        -  
                Class Y      3,537,934        654,505  
                Class S      (21,516,291 )      102,162,760  
     
       
  
                           Increase (decrease) in net assets from net fund share transactions      (16,206,659 )      102,441,891  
     
       
  
                 Total increase (decrease) in net assets      (36,833,766 )      (7,644,872 )
 
Net assets:
                 Beginning of period      683,319,785        690,964,657  
     
       
  
                End of period (including undistributed net investment income of $160,077
                     and $126,877, respectively)		      $ 646,486,019        $683,319,785  
     
       
  
 
 *
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
**
Effective January 1, 1998, Class 1, Class 2, and Class 3 shares were terminated (See Note 1).
 
 
The accompanying notes are an integral part of the financial statements.
79
 
MassMutual Small Cap Value Equity Fund – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout each period)
 
     Class A
   Class L
    Class Y
     Year ended
12/31/99
    Year ended
12/31/98†
    Period ended
12/31/99**
    Period ended
12/31/99
    Year ended
12/31/98†
Net asset value, beginning of period    $     14.07      $     17.48      $     13.66      $     14.06      $     17.51  
Income (loss) from investment operations:
     Net investment income    0.07  ***    0.03  ***    0.08  ***    0.12  ***    0.11  ***
     Net realized and unrealized gain (loss) on investments    (0.13 )    (1.78 )    0.32      (0.11 )    (1.81 )
    
    
    
    
    
  
              Total income (loss) from investment operations    (0.06 )    (1.75 )    0.40      0.01      (1.70 )
    
    
    
    
    
  
Less distributions to shareholders:
     From net investment income    (0.09 )    (0.12 )    (0.15 )    (0.15 )    (0.21 )
     From net realized gains    (0.36 )    (1.54 )    (0.36 )    (0.36 )    (1.54 )
    
    
    
    
    
  
              Total distributions    (0.45 )    (1.66 )    (0.51 )    (0.51 )    (1.75 )
    
    
    
    
    
  
Net asset value, end of period    $     13.56      $     14.07      $     13.55      $         13.56      $     14.06  
    
    
    
    
    
  
 
Total Return@    (0.36% )    (9.58% )    2.97%      0.13%      (9.25% )
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)    $       262      $       174      $    1,634      $    3,990      $       568  
     Net expenses to average daily net assets#    1.22%      1.30%      0.94%  *    0.80%      0.85%  
     Net investment income to average daily net assets    0.49%      0.19%      0.83%  *    0.86%      0.67%  
     Portfolio turnover rate    34%      31%      34%      34%      31%  
 
               Class S(1)
          
     Year ended
12/31/99
    Year ended
12/31/98
    Year ended
12/31/97
    Year ended
12/31/96
    Year ended
12/31/95
Net asset value, beginning of period    $     14.06      $     16.61      $     13.43      $     11.44      $       9.69  
Income (loss) from investment operations:
     Net investment income    0.14  ***    0.13      0.13      0.31      0.19  
     Net realized and unrealized gain (loss) on investments    (0.11 )    (1.67 )    4.73      2.29      1.75  
    
    
    
    
    
  
              Total income (loss) from investment operations    0.03      (1.54 )    4.86      2.60      1.94  
    
    
    
    
    
  
Less distributions to shareholders:
     From net investment income    (0.15 )    (0.13 )    (0.14 )    (0.30 )    (0.19 )
     From net realized gains    (0.36 )    (0.88 )    (1.54 )    (0.31 )    -  
    
    
    
    
    
  
              Total distributions    (0.51 )    (1.01 )    (1.68 )    (0.61 )    (0.19 )
    
    
    
    
    
  
Net asset value, end of period    $     13.58      $     14.06      $     16.61      $     13.43      $     11.44  
    
    
    
    
    
  
 
Total Return@    0.25%      (9.02% )    36.36%      22.82%      20.01%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)    $640,600      $682,578      $690,378      $456,935      $380,398  
     Net expenses to average daily net assets#    0.67%      0.64%      0.64%      0.61%      0.61%  
     Net investment income to average daily net assets    1.03%      0.86%      0.89%      2.40%      1.78%  
     Portfolio turnover rate    34%      31%      31%      28%      28%  
 
    #  Computed after giving effect to the voluntary partial waiver of
    management fee by MassMutual, which terminated May 1,
    1997. Without this partial waiver of fees by MassMutual, the
    ratio of expenses to average daily net assets would have been:		    N/A      N/A      0.65 %    0.65 %    0.65%  
 
*
Annualized.
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
†
Amounts have been restated to reflect reverse stock splits (See Note 9).
(1)
Class S shares were previously designated as Class 4 shares.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
The accompanying notes are an integral part of the financial statements.
80
MassMutual Mid Cap Growth Equity Fund – Portfolio Manager Report
 
 
What are the investment objectives and policies for the MassMutual Mid-Cap Growth Equity Fund?
 
The objective and policies of the Fund are to:
Ÿ
achieve long-term growth of capital
Ÿ
invest primarily in a diversified portfolio of equity securities of mid-sized companies (companies with market capitalization, at the time of purchase, of $500 million to $5 billion)
Ÿ
utilize a growth-oriented strategy in making investment decisions
Ÿ utilize fundamental analysis to identify companies which
-are of high investment quality or possess a unique product, market position or operating characteristics
-offer above-average levels of profitability or superior growth potential
 
How did the Fund perform during 1999?
 
The Fund turned in a very strong performance, with most of the gains coming in the fourth quarter. From inception on May 3, 1999, through December 31, 1999, the Fund’s Class S shares returned 39.40%, slightly more than double the 19.61% return of the Russell 2500 Index, a broadly based, unmanaged index of 2500 medium- and small-capitalization common stocks.
 
What factors contributed to the Fund’s strong performance?
 
Overweighting the technology, communications, and media sectors helped, as did favorable stock selection in those areas. Nineteen ninety-nine was a year in which investors rushed to embrace stocks representing the “new economy” driven by advances in information technology. For example, the technology and communications sectors of the S &P Mid Cap 400 Index had triple-digit returns for the year. Initial public offerings in these two sectors also fared extremely well, with many stocks recording huge gains in their first few days of trading.
 
On the other hand, stocks associated with the “old economy, ” including financial services, retail, electric utilities, basic resources, health care services, and food and tobacco, actually yielded negative returns. Underweighting these sectors was helpful to the Fund ’s performance. Small-cap stocks outperformed large-cap stocks for the first time in five years, but the real story in 1999 was the dominance of growth over value across the entire capitalization spectrum.
 
What were some of the Fund’s successes?
 
Buoyed by strong demand and industry consolidation, wireless communications stocks were extremely strong in the second half of 1999. The Fund’s investments in that industry were of three basic types: wireless telecommunications services companies, semiconductor companies that provide microprocessors for wireless communications, and wireless equipment manufacturers. Holdings that exemplified those three areas were Voicestream Wireless, Broadcom, and Qualcomm, respectively. One of the strongest stocks in a surging market, Qualcomm advanced an incredible 1842% since its addition to the portfolio.
 
Throughout the portfolio we tried to diversify by maintaining a mix of mature, stable growth stocks and the shares of younger companies that are growing more aggressively. For example, the Fund owns the stocks of two older software companies, Macromedia and Adobe Systems, that are transitioning their businesses to the Internet. Those mature growth holdings were balanced by newer companies like optical component manufacturer JDS Uniphase, fiber-optic systems manufacturer Ciena, and Internet software firm Inktomi. Similarly we hold Young & Rubicam, a traditional advertising agency, as well as Doubleclick, an Internet advertising company.
 
MassMutual Mid Cap Growth Equity Fund – Portfolio Manager Report (Continued)
 
What is your outlook?
 
 
The rich valuations of 1999’s star performers are a source of concern to us. Despite the attractive fundamentals underpinning many individual stocks and the technology sector generally, there are limits to how much investors will pay for growth. The other cloud on the horizon is the prospect of further increases in interest rates. We fully expect the Federal Reserve to continue to increase rates to slow down the strong economy. A slowing economy with stable rates would lead us to shift our portfolio towards stable growers and slightly away from aggressive growers. Thus far, we have seen nothing to justify substantive changes in the Fund ’s sector weightings. We will continue to monitor the situation closely while adhering to our policy of searching for companies with improving profitability, stability of earnings, and high earnings growth rates.
 
MassMutual Mid Cap Growth Equity Fund
Largest Stock Holdings (12/31/99)
 
Veritas Software Corp.
Meleodusa, Inc.
Omnipoint Corp.
Optical Coating Laboratory
TMP Worldwide, Inc.
Medimmune, Inc.
Qlogic Corp.
Western Wireless Corporation Cl. A
Sapient Corp.
Liberty Digital, Inc. Cl. A
 
MassMutual Mid Cap Growth Equity Fund – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Mid Cap Growth Equity Fund Class S, Class A, Class Y, Class L and the Russell 2500 Index
 
 
MassMutual Mid Cap Growth Equity Fund
Total Return
     Since
Inception
5/3/99 -  12/31/99
 
Class S    39.40%
Class A    39.00%
Class Y    39.40%
Class L    39.30%
 
Russell 2500 Index    19.61%
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
 
[CHART]


Date       Class S      Class A      Class Y    Class L     Russell 2500 Index
----       -------      -------      -------    -------     ------------------
5/3/99     $10,000      $10,000      $10,000    $10,000           $10,000
5/31/99     $9,700       $9,700       $9,700     $9,710           $10,155
6/99       $10,340      $10,330      $10,340    $10,350           $10,684
7/99       $10,090      $10,090      $10,100    $10,100           $10,474
8/99        $9,880       $9,870       $9,890     $9,890           $10,146
9/99       $10,180      $10,160      $10,180    $10,180           $10,214
10/99      $10,820      $10,600      $10,830    $10,820            $9,995
11/99      $11,770      $11,740      $11,770    $11,760           $10,791
12/99      $13,940      $13,900      $13,940    $13,930           $11,961
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2500 Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
MassMutual Mid Cap Growth Equity Fund – Portfolio of Investments
 
December 31, 1999
 
     Number of
Shares
    Market Value
                           
EQUITIES —  93.7%
 
Advertising —  5.3%
Doubleclick, Inc.*    5,000    $       1,265,313
Lamar Advertising Co.*    14,700    890,269
TMP Worldwide, Inc.*    13,500    1,917,000
Young & Rubicam, Inc.    22,400    1,584,800
         
            5,657,382
         
 
Banking, Savings & Loans — 2.7%
Heller Financial, Inc.    33,700    676,106
National Commerce
Bancorp		    42,100    955,144
Zions Bancorporation    22,200    1,313,963
         
            2,945,213
         
 
Beverages —  0.7%
Beringer Wine Estates
Holdings*		    17,600    701,800
         
 
Broadcasting, Publishing & Printing — 8.8%
Cablevision Systems
Corp. Cl. A*		    10,000    755,000
Charter Communications,
Inc. Cl. A*		    31,700    693,438
Citadel Communications
Corp.*		    16,200    1,050,975
Hispanic Broadcasting
Corp.*		    10,800    995,963
Jones Intercable, Inc. Cl.
A*		    12,000    831,750
Liberty Digital, Inc. Cl. A*    24,000    1,782,000
Readers Digest
Association Cl. A		    19,300    564,525
TV Guide Inc. Cl. A*    36,800    1,582,400
Univision
Communications, Inc.*		    11,700    1,195,594
         
            9,451,645
         
 
Commercial Services  — 3.9%
Concord EFS, Inc.*    30,650    789,238
Dycom Industries, Inc.*    22,100    973,781
Edison Schools, Inc.*    17,200    270,900
Medquist, Inc.*    22,100    570,456
United Rentals, Inc.*    34,400    589,100
Valassis
Communications, Inc.*		    23,750    1,003,438
         
            4,196,913
         
 
 
 
     Number of
Shares
    Market Value
                           
Communications  — 7.3%
Antec Corp.*    15,300    $           558,450
Ciena Corp.*    16,100    925,750
Gilat Satellite Networks
Ltd.*		    6,700    795,625
Harmonic, Inc.*    17,000    1,613,938
Mcleodusa, Inc.*    33,700    1,984,072
Omnipoint Corp.*    16,300    1,966,188
         
            7,844,023
         
 
Computer and Data Processing Services — 0.9%
At Home Corp. Series A*    23,066    988,955
         
 
Computer Integrated Systems Design — 3.0%
Sapient Corp.*    12,800    1,804,000
USWeb Corporation*    32,600    1,448,663
         
            3,252,663
         
 
Computer Programming Services — 2.3%
Entrust Technologies,
Inc.*		    15,300    917,044
Network Solutions, Inc.*    4,800    1,044,300
Portal Software*    5,100    524,663
         
            2,486,007
         
 
Computer Related Services — 2.1%
CheckFree Holdings
Corporation*		    10,600    1,107,700
Inktomi Corp.*    11,600    1,029,500
NaviSite, Inc.*    800    80,000
         
            2,217,200
         
 
Cosmetics & Personal Care — 0.8%
Dial Corp.    35,200    855,800
         
 
Data Processing and Preparation — 2.2%
Fiserv, Inc.*    31,800    1,218,338
Verio, Inc.*    25,100    1,159,306
         
            2,377,644
         
 
Electric Utilities  — 1.4%
Calpine Corporation*    22,700    1,452,800
         
 
Electrical Equipment & Electronics — 13.8%
Applied Micro Circuits
Corp.*		    11,400    1,450,650
Atmel Corp.*    26,600    786,363
Broadcom Corp. Cl. A*    4,100    1,116,738
DII Group, Inc.*    10,400    738,076
Kla-Tencor Corp.*    7,500    835,313
Linear Technology Corp.    16,500    1,180,781
 
 
     Number of
Shares
    Market Value
                           
Maxim Intergrated
Products*		    33,400    $       1,576,063
Novellus Systems, Inc.*    12,800    1,568,401
Qlogic Corp.*    11,800    1,886,525
RF Micro Devices, Inc.*    15,100    1,033,406
Sanmina Corp.*    6,900    689,138
SDL, Inc.*    5,000    1,090,000
Vitesse Semiconductor
Corp.*		    19,300    1,012,044
         
            14,963,498
         
 
Energy —  3.6%
BJ Services Co.*    33,400    1,396,538
Devon Energy
Corporation		    15,100    496,413
Global Marine, Inc.*    39,900    663,338
Grey Wolf, Inc.*    108,500    311,938
Nabors Industries, Inc.*    31,700    980,719
         
            3,848,946
         
 
Entertainment & Leisure — 1.6%
Imax Corp.*    30,000    821,250
Premier Parks, Inc.*    30,700    886,463
         
            1,707,713
         
 
Financial Services  — 2.9%
Allied Capital Corp.    27,400    501,763
Donaldson, Lufkin &
Jenrette, Inc. — 
DLJdirect*		    38,100    516,731
E*trade Group, Inc.*    29,300    765,463
Knight/Trimark Group,
Inc.*		    29,300    1,347,800
         
            3,131,757
         
 
Healthcare —  2.4%
Health Management
Associates Cl. A*		    65,000    869,375
Lincare Holdings, Inc.*    49,900    1,730,906
         
            2,600,281
         
 
Information Retrieval Services — 1.1%
Psinet, Inc.*    19,300    1,191,775
         
 
Internet Software  — 0.7%
Exodus Communications,
Inc.*		    9,000    799,313
         
 
Lodging —  0.8%
MGM Grand, Inc.*    16,400    825,125
         
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
84
MassMutual Mid Cap Growth Equity Fund – Portfolio of Investments (Continued)
 
     Number of
Shares
    Market Value
                           
Machinery & Components — 0.6%
Danaher Corporation    13,200    $           636,900
         
 
Medical Supplies  — 2.7%
Minimed, Inc.*    13,000    952,250
Optical Coating
Laboratory		    6,500    1,924,000
         
            2,876,250
         
 
Pharmaceuticals  — 5.2%
Biogen, Inc.*    11,000    929,500
Biovail Corporation
International*		    13,300    1,246,875
Chiron Corp.*    25,100    1,063,613
Forest Laboratories, Inc.
Cl. A*		    7,700    473,069
Medimmune, Inc.*    11,500    1,907,563
         
            5,620,620
         
 
Prepackaged Software  — 8.5%
Adobe Systems, Inc.    12,400    833,900
Digex, Inc.*    3,300    226,875
Electronic Arts, Inc.*    14,800    1,243,200
Rational Software Corp.*    25,100    1,233,038
Siebel Systems, Inc.*    19,500    1,638,000
Veritas Software Corp.*    27,750    3,971,719
         
            9,146,732
         
 
Retail —  1.0%
Tiffany & Co.    12,500    1,115,625
         
 
Retail —  Internet — 1.4%
Barnes and Noble, Inc.*    36,200    513,588
Ticketmaster Online-
CitySearch, Inc.*		    24,800    953,250
         
            1,466,838
         
 
Telephone Utilities  — 6.0%
Digital Island, Inc.*    6,500    618,313
Globalstar
Telecommunications,
LTD*		    19,900    875,600
Loral Space &
Communications, LTD*		    27,500    668,594
Nextlink
Communications*		    20,000    1,661,250
Tritel, Inc.*    23,300    738,319
Western Wireless
Corporation Cl. A*		    27,700    1,848,975
         
            6,411,051
         
TOTAL EQUITIES
(Cost $77,806,460)		       100,770,469
         
 
 
 
     Principal
Amount
    Market Value
SHORT-TERM INVESTMENTS  — 6.5%
Repurchase Agreement
Investors Bank & Trust
Company Repurchase
Agreement, dated
12/31/99,
3.06%, 01/03/00(a)		    $6,972,096    $     6,972,096  
         
  
 
TOTAL SHORT-TERM
INVESTMENTS
(At Amortized Cost)		       6,972,096  
         
  
 
TOTAL
INVESTMENTS — 100.2%
(Cost $84,778,556)***		       107,742,565  
 
Other Assets/(Liabilities) —
(0.2%)		       (187,403 )
         
  
 
NET ASSETS —  100.0%       $107,555,162  
         
  
 
Notes to Portfolio of Investments
 
***
Aggregate cost for Federal tax purposes (Note 7)
 
*  
Non-income producing security.
 
(a)
Maturity value of $6,973,874. Collateralized by U.S. Government Agency obligations with rates of 6.480-7.875%, maturity dates of 07/11/2002-03/25/2023, and aggregate market value, including accrued interest of $7,320,701.
 
 
 
The accompanying notes are an integral part of the financial statements.
 
MassMutual Mid Cap Growth Equity Fund – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investments, at value (cost $77,806,460) (Note 2)      $100,770,469
                 Short-term investments, at amortized cost (Note 2)      6,972,096
     
                                      Total Investments      107,742,565
                 Receivables from:
                           Fund shares sold      233,427
                           Interest and dividends      10,793
     
                                      Total assets      107,986,785
     
Liabilities:
                 Payables for:
                           Fund shares redeemed      352,859
                           Directors’ fees and expenses (Note 3)      4,463
                           Affiliates (Note 3):
                                      Investment management fees      58,647
                                      Administration fees      10,543
                                      Service fees      267
                Accrued expenses and other liabilities      4,844
     
                                      Total liabilities      431,623
     
                Net assets      $107,555,162
     
Net assets consist of:
                Paid-in capital      $  79,684,260
                 Accumulated net realized gain on investments      4,906,893
                Net unrealized appreciation on investments      22,964,009
     
                       $107,555,162
     
Net assets:
                Class A      $         681,736
     
                Class L      $     4,642,239
     
                Class Y      $  41,952,177
     
                Class S      $  60,279,010
     
Shares outstanding:
                Class A      49,035
     
                Class L      333,258
     
                Class Y      3,008,800
     
                Class S      4,325,606
     
Net asset value, offering price and redemption price per share:
                Class A      $             13.90
     
                Class L      $             13.93
     
                Class Y      $             13.94
     
                Class S      $             13.94
     
 
 
The accompanying notes are an integral part of the financial statements.
86
MassMutual Mid Cap Growth Equity Fund – Financial Statements (Continued)
 
Statement of Operations
 
       Period ended
December 31, 1999*
Investment income: (Note 2)
                 Dividends      $         63,707  
                 Interest      122,584  
     
  
                                      Total investment income      186,291  
     
  
Expenses: (Note 2)
                 Investment management fees (Note 3)      238,543  
                Custody fees      20,444  
                 Directors’ fees (Note 3)      10,129  
                Audit and legal fees      5,364  
     
  
                           274,480  
     
  
                 Administration fees (Note 3):
                           Class A      453  
                           Class L      2,829  
                           Class Y      13,144  
                           Class S      21,582  
                Service fees (Note 3):
                           Class A      369  
     
  
                                      Total expenses      312,857  
     
  
                                      Net investment loss      (126,566 )
     
  
Realized and unrealized gain (loss):
                Net realized gain on investment transactions      5,033,459  
                Net change in unrealized appreciation (depreciation) on investments      22,964,009  
     
  
                                      Net realized and unrealized gain      27,997,468  
     
  
                Net increase in net assets resulting from operations      $27,870,902  
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
87
MassMutual Mid Cap Growth Equity Fund – Financial Statements (Continued)
 
Statement of Changes in Net Assets
 
       Period ended
December 31, 1999*
Increase (Decrease) in Net Assets:
Operations:
                Net investment loss      $       (126,566 )
                Net realized gain on investment transactions      5,033,459  
                Net change in unrealized appreciation (depreciation) on investments      22,964,009  
     
  
                           Net increase in net assets resulting from operations      27,870,902  
     
  
 
Net fund share transactions (Note 5):
                Class A      517,978  
                Class L      3,464,583  
                Class Y      30,694,288  
                Class S      45,007,411  
     
  
                           Increase in net assets from net fund share transactions      79,684,260  
     
  
                 Total increase in net assets      107,555,162  
 
Net assets:
                 Beginning of period      -  
     
  
                End of period      $107,555,162  
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
88
 
MassMutual Mid Cap Growth Equity Fund – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout the period)
 
       Class  A
      Class  L
      Class  Y
      Class  S
       Period ended
12/31/99**
      Period ended
12/31/99**
      Period ended
12/31/99**
      Period ended
12/31/99**
Net asset value, beginning of period      $     10.00        $     10.00        $     10.00        $  10.00  
     
     
     
     
  
Income (loss) from investment operations:
      Net investment loss      (0.07 )***      (0.05 )***      (0.04 )***      (0.02 )***
      Net realized and unrealized gain (loss) on investments      3.97        3.98        3.98        3.96  
     
     
     
     
  
           Total income (loss) from investment operations      3.90        3.93        3.94        3.94  
     
     
     
     
  
Net asset value, end of period      $     13.90        $     13.93        $     13.94        $  13.94  
     
     
     
     
  
 
Total Return @      39.00%        39.30%        39.40%        39.40%  
 
Ratios /  Supplemental Data:
      Net assets, end of period (000’s)      $       682        $    4,642        $  41,952        $60,279  
      Net expenses to average daily net assets         1.36%  *         1.12%  *         0.98%  *      0.89%  *
      Net investment income to average daily net assets      (0.86)%  *      (0.63)%  *      (0.48)%  *      (0.32)%  *
      Portfolio turnover rate      127%        127%        127%        127%  
 
*
Annualized
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
The accompanying notes are an integral part of the financial statements.
89
MassMutual Small Cap Growth Equity Fund – Portfolio Manager Report
 
 
 
 
 
 
 
Note to shareholders:
 
The MassMutual Small Cap Growth Equity Fund is managed by two sub-advisers: J.P. Morgan Investment Management and Waddell & Reed Asset Management Company.
 
What are the investment objectives and policies for the MassMutual Small Cap Growth Equity Fund?
 
The objective and policies of the Fund are to:
 
Ÿ
achieve long-term growth of capital
 
Ÿ
invest primarily in a diversified portfolio of equity securities of smaller companies (companies with market capitalization, at the time of purchase, of $100 million to $1.5 billion)
 
Ÿ
utilize a growth-oriented strategy in making investment decisions
 
Ÿ
utilize fundamental analysis to identify companies which
 
—are of high investment quality or possess a unique product, market position or operating          characteristics
 
—offer above-average levels of profitability or superior growth potential
 
How did the Fund perform in 1999?
 
It was an exceptionally good year. From inception on May 3, 1999, through December 31, 1999, the Fund’s Class S shares returned 60.91%, compared to 17.67% for the Russell 2000 Index.
 
What enabled the Fund to outperform the Index by such a wide margin?
 
Strong weightings and favorable stock selection in the technology and telecommunications sectors were primary drivers of performance. Against the backdrop of solid economic growth, low inflation, and rising interest rates, investors concentrated their buying in those two sectors, especially in the fourth quarter. In fact, non-technology stocks in the Standard & Poor’s 500 Index, a widely followed barometer of market activity, were actually down for the year as a group.
 
The growth in technology spending caused by the explosion of Internet activity caused a feeding frenzy for the stocks of companies involved in this area, including many small cap stocks. A number of newly public Internet infrastructure, communications, and software companies were among the top performers for the year. The IPO market flourished, while merger and acquisition activity continued at a record pace despite Y2K and interest rate fears.
 
Which stocks were most helpful to performance?
 
One of the top contributors was Liberate Technologies, provider of a software platform for delivering Internet-enhanced content and applications to smart phones, personal digital assistants, game consoles, and other information appliances. The stock surged forward in November, when Cable and Wireless Communications announced that its digital interactive cable television service, which uses Liberate’s technology, would be available earlier than expected. Microstrategy continued to perform well, reacting to a strong market for software stocks. Finally, we will mention Internet Capital Group, a venture capital firm specializing in Internet deals. The stock rode the wave of investor enthusiasm for Internet stocks.
 
Which stocks detracted from performance?
 
ATMI was one holding that detracted from performance. The stock edged lower when a number of analysts predicted slowing growth for the semiconductor industry. Another lackluster performer was Cinar Films, which was hit hard when the company was accused of fraudulent tax accounting. Though no formal charges were levied, the stock suffered from the negative press coverage of the incident. The stock price took an additional hit when it was reported that shareholders filed a class action suit alleging that the company misrepresented the firm’s financial strength.
MassMutual Small Cap Growth Equity Fund – Portfolio Manager Report (Continued)
 
What is your outlook?
 
Valuations were pushed to extremes on many of the market leaders during the period, as a number of the strongest performers recorded minimal profits or net losses for the year. Having said that, we should also point out that our internal valuation tools and current price-to-earnings ratios both indicate that the discrepancy in valuation between large cap and small-cap stocks is near historical extremes—in favor of small-cap investments. Further increases in short term interest rates by the Federal Reserve Board could result in lessened liquidity for small-cap companies. Nevertheless, the Fund is well diversified and therefore well positioned to weather any volatility in the coming year. Diversification should also serve the Fund well in the event that the market advance broadens out to include more participation from non-technology sectors.
 
 
 
 
MassMutual Small Cap Growth Equity Fund
Largest Stock Holdings (12/31/99)
 
 
Incyte Pharmaceuticals, Inc.
Advance Fibre Communications, Inc.
CheckFree Holdings Corporation
Getty Images, Inc.
USinternetworking Inc.
Human Genome Sciences, Inc.
Acxiom Corp.
Gentex Corp.
Western Wireless Corporation Cl. A
Pharmacyclics, Inc.
 
MassMutual Small Cap Growth Equity Fund – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Small Cap Growth Equity Fund Class S, Class A, Class Y, Class L and the Russell 2000 Index
 
 
MassMutual Small Cap Growth Equity Fund
Total Return
     Since
Inception
5/3/99 - 12/31/99
 
Class S    60.91%
Class A    60.42%
Class Y    60.71%
Class L    60.55%
 
Russell 2000 Index    17.67%
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
 
[CHART]

Date       Class S     Class A     Class Y     Class L    Russell 2000 Index
----       -------     -------     -------     -------    ------------------
5/3/99     $10,000     $10,000     $10,000     $10,000          $10,000
5/31/99    $10,130     $10,130     $10,130     $10,130          $10,146
6/99       $10,930     $10,930     $10,930     $10,930          $10,605
7/99       $10,860     $10,850     $10,860     $10,850          $10,314
8/99       $10,750     $10,740     $10,750     $10,740           $9,932
9/99       $11,290     $11,270     $11,280     $11,280           $9,934
10/99      $11,960     $11,940     $11,950     $11,950           $9,975
11/99      $13,630     $13,590     $13,620     $13,610          $10,570
12/99      $16,091     $16,042     $16,071     $16,055          $11,767
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Russell 2000 Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
MassMutual Small Cap Growth Equity Fund – Portfolio of Investments
 
December 31, 1999
 
     Number of
Shares
    Market Value
                              
EQUITIES —  79.9%
 
Advertising —  3.0%
24/7 Media, Inc.*    13,575    $       763,594
Catalina Marketing
Corporation*		    5,775    668,456
Digital Impact, Inc.*    1,500    75,188
Getty Images, Inc.*    34,000    1,661,750
Webstakes.Com, Inc.*    4,150    81,963
         
                 3,250,951
         
 
Air Transportation  — 0.9%
Midwest Express
Holdings*		    31,200    994,500
         
 
Apparel, Textiles & Shoes — 1.0%
AnnTaylor Stores Corp.*    8,800    303,050
bebe stores, inc.*    7,175    193,725
Steven Madden Ltd.*    14,725    280,695
Talbots, Inc.    5,850    261,056
Vans, Inc.*    6,550    80,238
         
                 1,118,764
         
 
Banking, Savings & Loans — 1.5%
Amcore Financial, Inc.    1,975    47,400
Bank United Corp. Cl. A    9,425    256,831
CCB Financial
Corporation		    2,000    87,125
Centura Banks, Inc.    2,300    101,488
City National Corp.    3,525    116,105
The Colonial BancGroup,
Inc.		    2,500    25,938
Columbia Banking
Systems, Inc.*		    1,600    21,000
Commercial Federal
Corporation		    5,800    103,313
Financial Federal Corp.*    7,125    162,539
Hamilton Bancorp, Inc.*    1,800    31,950
Heller Financial, Inc.    9,400    188,588
Independent Bank
Corporation		    4,380    64,058
National Commerce
Bancorp		    7,100    161,081
Pacific Century Financial
Corporation		    5,500    102,781
Sterling Bancshares, Inc.
TX		    11,725    131,173
Webster Financial
Corporation		    1,300    30,631
West Coast
Bancorp/Oregon		    1,510    20,385
         
                 1,652,386
         
 
 
 
     Number of
Shares
    Market Value
                              
Beverages —  0.3%
The Robert Mondavi
Corporation*		    9,200    $         319,700
         
 
Broadcasting, Publishing & Printing — 2.3%
Emmis Communications
Corp.*		    8,200    1,022,053
Entercom
Communications
Corp.*		    6,750    445,500
Insight Communications
Company, Inc.*		    8,550    253,294
Jones Intercable, Inc. Cl.
A*		    2,300    159,419
Martha Stewart Living
Omnimedia Cl. A*		    4,500    108,000
Radio Unica Corp.*    2,000    57,750
Scholastic Corporation*    4,150    258,078
Spanish Broadcasting
System, Inc. Cl. A*		    5,100    205,275
         
                 2,509,369
         
 
Chemicals —  2.0%
Albemarle Corp.    17,650    338,659
Bush Boake Allen, Inc.*    1,600    39,300
General Chemical Group,
Inc.		    12,300    28,444
Geon Company    12,350    401,375
Georgia Gulf Corp.    21,100    642,231
Olin Corp.    15,175    300,655
Wellman, Inc.    25,600    476,800
         
                 2,227,464
         
 
Commercial Services  — 7.4%
Affymetrix, Inc.*    2,150    364,828
Akamai Technologies,
Inc.*		    1,175    384,959
AppNet Systems, Inc.*    7,700    336,875
Devry, Inc.*    18,125    337,578
Diamond Technology
Partners, Inc.*		    1,750    150,391
Dycom Industries, Inc.*    6,725    296,320
FreeMarkets, Inc.*    300    102,394
Incyte Pharmaceuticals,
Inc.*		    33,200    1,992,000
ITT Educational Services,
Inc.*		    55,000    849,063
Management Network
Group, Inc.*		    3,200    104,400
Maximus, Inc.*    25,000    848,438
Medquist, Inc.*    14,575    376,217
MemberWorks
Incorporated*		    30,500    1,012,219
Millennium
Pharmaceuticals*		    3,900    475,800
 
 
     Number of
Shares
    Market Value
                              
Netratings, Inc.*    2,575    $         123,922
Pfsweb, Inc.*    700    26,250
Stewart Enterprises, Inc.
Cl. A		    28,200    133,950
Wireless Facilities, Inc.*    3,100    135,238
         
                 8,050,842
         
 
Communications  — 5.3%
Advanced Fibre
Communications, Inc.*		    44,350    1,981,891
Allegiance Telecom, Inc.*    10,150    936,338
American Mobile Satellite
Corp.*		    20,350    428,622
CapRock
Communications
Corp.*		    17,100    554,681
C-Cube Microsystems,
Inc.*		    5,300    329,925
Copper Mountain
Networks, Inc.*		    4,500    219,375
L-3 Communications
Holdings, Inc.*		    8,000    333,000
Net2Phone, Inc.*    5,200    238,875
Polycom, Inc.*    9,700    617,769
Williams
Communications
Group, Inc.*		    3,425    99,111
Winstar Communications,
Inc.*		    1,000    75,250
         
                 5,814,837
         
 
Computer and Data Processing Services — 0.4%
Splitrock Services, Inc.*    20,300    403,463
         
 
Computer Integrated Systems Design — 2.8%
Aether Systems, Inc.*    700    50,138
Cacheflow, Inc.*    1,400    182,963
Digital Insight
Corporation*		    25,000    909,375
Exchange Applications,
Inc.*		    8,000    447,000
Radiant Systems, Inc.*    8,000    321,500
Shared Medical Systems
Corp.		    19,300    983,094
Technology Solutions
Co.*		    6,300    206,325
         
                 3,100,395
         
 
Computer Programming Services — 0.6%
Business Objects SA
Sponsored††*		    900    120,263
C-bridge Internet
Solutions, Inc.*		    300    14,588
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
93
MassMutual Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
 
     Number of
Shares
    Market Value
                              
Metasolv Software, Inc.*    900    $           73,575
PCorder.com, Inc.*    4,600    234,600
Predictive Systems, Inc.*    2,350    153,925
Preview Systems, Inc.*    700    45,413
         
                 642,364
         
 
Computer Related Services — 3.1%
Acxiom Corp.*    57,100    1,370,400
Agency.com, Inc.*    1,600    81,600
CheckFree Holdings
Corporation*		    16,600    1,734,681
Espeed, Inc. Cl. A*    2,900    103,131
Reckson Service
Industries, Inc.*		    1,000    62,375
         
                 3,352,187
         
 
Computer Software & Processing — 0.7%
Allscripts, Inc.*    8,775    386,100
Pinnacle Systems, Inc.*    7,950    323,466
         
                 709,566
         
 
Computers & Information — 1.1%
Creative Technology Ltd.    8,000    139,000
Foundry Networks, Inc.*    1,125    339,398
InFocus Systems, Inc.*    2,900    67,244
Paradyne Networks*    2,600    70,850
Safeguard Scientifics,
Inc.*		    2,500    405,156
Va Linux Systems, Inc.*    1,000    206,625
         
                 1,228,273
         
 
Data Processing and Preparation — 2.2%
Factset Research
Systems, Inc.		    12,000    955,500
Go2Net, Inc.*    1,350    117,450
S1 Corporation*    9,300    726,563
Verio, Inc.*    13,500    623,531
         
                 2,423,044
         
 
Electrical Equipment & Electronics — 10.5%
Applied Micro Circuits
Corp.*		    4,600    585,350
ATMI, Inc.*    23,600    780,275
Caliper Technologies
Corp, NMS*		    900    60,075
Cobalt Networks, Inc.*    500    54,188
Cymer, Inc.*    9,750    448,500
Cypress Semiconductor
Corp.*		    25,450    823,944
Electro Scientific
Industries, Inc.*		    4,425    323,025
E-Tek Dynamics, Inc.*    5,550    747,169
Exar Corp.*    3,400    200,175
 
 
     Number of
Shares
    Market Value
                              
Fairchild Semiconductor
International Corp.,
Cl. A*		    13,980    $         415,905
Finisar Corporation*    700    62,913
Galileo Technology Ltd.*    10,125    244,266
Gentex Corp.*    47,770    1,323,675
HI/FN, Inc.*    1,700    65,875
Integrated Device
Technology, Inc.*		    16,000    464,000
Intevac, Inc.*    900    3,150
JNI Corp.*    1,700    112,200
Metalink Ltd.*    4,400    89,650
Microchip Technology,
Inc.*		    3,525    241,242
MIPS Technologies, Inc.
Cl. A*		    6,825    354,900
MKS Instruments, Inc.*    18,400    664,700
Photronics, Inc.*    8,300    237,588
Plexus Corp.*    4,300    189,200
PLX Technology, Inc.*    5,900    111,731
Rambus, Inc.*    14,300    964,356
Rudolph Technologies,
Inc.*		    700    23,450
Silicon Image, Inc.*    4,650    325,791
Sycamore Networks,
Inc.*		    1,475    454,300
Visx, Inc.*    20,000    1,035,000
         
                 11,406,593
         
 
Energy —  0.7%
Devon Energy
Corporation		    6,300    207,113
Global Marine, Inc.*    12,400    206,150
National-Oilwell, Inc.*    14,275    223,939
Spinnaker Exploration
Company*		    8,750    123,594
         
                 760,796
         
 
Entertainment & Leisure — 1.1%
American Classic
Voyages Co.*		    4,775    167,125
Anchor Gaming Corp.*    7,475    324,695
Cinar Corporation*    8,700    213,150
Premier Parks, Inc.*    15,350    443,231
World Wrestling
Federation
Entertainment, Inc.*		    5,050    87,113
         
                 1,235,314
         
 
Financial Services  — 0.5%
Allied Capital Corp.    8,525    156,114
BlackRock, Inc.*    4,300    73,906
Gabelli Asset
Management, Inc.
Cl. A*		    8,100    131,625
IndyMac Mortgage
Holdings, Inc.		    6,750    86,063
 
 
     Number of
Shares
    Market Value
                              
Wit Capital Group, Inc.*    6,025    $         102,425
         
                 550,133
         
 
Foods —  1.1%
American Italian Pasta
Co. Cl. A*		    33,000    1,014,750
Keebler Foods Company*    7,175    201,797
         
                 1,216,547
         
 
Forest Products & Paper — 0.1%
Universal Forest Products    5,800    85,550
         
 
Healthcare —  1.4%
Human Genome
Sciences, Inc.*		    9,300    1,419,413
Idexx Laboratories, Inc.*    6,500    104,813
         
                 1,524,226
         
 
Home Construction, Furnishings &
Appliances — 0.1%
Furniture Brands
International*		    5,300    116,600
         
 
Industrial –  Diversified — 0.2%
GenTek, Inc.    20,075    209,533
         
 
Industrial Materials  — 0.1%
Symyx Technologies*    3,100    93,000
         
 
Information Retrieval Services — 2.2%
Careinsite, Inc.*    4,075    328,038
Internet Capital Group,
Inc.*		    3,790    644,300
Multex.com, Inc.*    4,900    184,363
National Information
Consortium, Inc.*		    10,825    346,400
Primark Corportion*    33,200    923,375
         
                 2,426,476
         
 
Insurance —  0.3%
Fremont General
Corporation		    10,400    76,700
Renaissancere Holdings
Ltd.		    6,125    250,359
         
                 327,059
         
 
Internet Content  — 0.2%
Media Metrix, Inc.*    4,650    166,238
         
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
94
MassMutual Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
 
     Number of
Shares
    Market Value
                              
Internet Software  — 0.8%
Concentric Network
Corp.*		    17,575    $         541,530
Covad Communications
Group, Inc.*		    6,675    373,383
         
                 914,913
         
 
Lodging —  0.2%
Aztar Corp.*    6,875    74,766
Sun International Hotels
Ltd.*		    1,900    36,813
Vail Resorts, Inc.*    3,200    57,400
         
                 168,979
         
 
Machinery & Components — 2.4%
Agco Corp.    5,900    79,281
Asyst Technologies, Inc.*    5,325    349,120
Brooks Automation,
Inc.*		    7,075    230,380
CNH Global NV    16,525    219,989
Cooper Cameron Corp.*    3,375    165,164
Gasonics International
Corp.*		    15,175    299,706
Kennametal, Inc.    5,800    195,025
Lam Research Corp.*    8,125    906,445
Metron Technology N.V.*    7,500    120,469
         
                 2,565,579
         
 
Medical Supplies  — 0.6%
CONMED Corporation*    1,550    40,106
Cyberonics, Inc.*    11,075    176,508
Eclipse Surgical
Technologies, Inc.*		    6,800    50,150
LTX Corp.*    11,300    252,838
Ocular Sciences, Inc.*    2,500    47,188
Respironics, Inc.*    3,325    26,496
Summit Technology,
Inc.*		    4,400    51,425
         
                 644,711
         
 
Metals & Mining  — 0.1%
Mueller Industries, Inc.*    3,600    130,500
         
 
Pharmaceuticals  — 2.7%
BioCryst
Pharmaceuticals, Inc.*		    4,400    129,800
Gilead Sciences, Inc.*    1,150    62,244
Idec Pharmaceuticals
Corp.*		    5,100    501,075
Ilex Oncology, Inc.*    2,300    55,488
 
 
     Number of
Shares
    Market Value
                              
Ligand Pharmaceuticals,
Inc. Cl. B*		    18,100    $         233,038
Maxygen, Inc.*    700    49,700
Medimmune, Inc.*    1,425    236,372
Pharmacyclics, Inc.*    28,000    1,155,000
Triangle
Pharmaceuticals, Inc.*		    6,700    85,844
Vertex Pharmaceuticals,
Inc.*		    7,875    275,625
Vical, Inc.*    5,900    176,631
         
                  2,960,817
         
 
Prepackaged Software  — 11.8%
3DO Company (The)*    18,400    167,326
Actuate Software
Corporation*		    13,200    565,950
Alteon Websystems, Inc.*    475    41,681
Art Technology Group,
Inc.*		    3,075    393,984
Aspen Technology, Inc.*    15,700    415,069
Best Software, Inc.*    38,800    1,144,600
CBT Group Public
Limited Company
Sponsored††*		    3,750    125,625
Cerner Corporation*    40,100    789,469
Citrix Systems, Inc.*    6,700    824,100
Dendrite International,
Inc.*		    30,000    1,016,250
E. Piphany, Inc.*    300    66,938
Interleaf, Inc.*    1,200    40,350
Liberate Technologies,
Inc.*		    3,250    835,250
Manugistics Group, Inc.*    6,000    193,875
Mediaplex, Inc.*    2,125    133,344
MicroStrategy, Inc.*    4,900    1,029,000
Mission Critical
Software*		    5,350    374,500
NEON Systems*    15,000    588,750
Net Perceptions, Inc.*    12,275    515,550
Netzero, Inc.*    5,200    140,075
OpenTV Corporation*    500    40,125
PC-Tel, Inc.*    3,500    183,750
Quest Software, Inc.*    300    30,600
Quintus Corporation*    1,600    73,400
Retek, Inc.*    2,600    195,650
Saleslogix Corp.*    8,750    359,297
Transaction Systems
Architects Cl. A*		    26,200    733,600
USinternetworking, Inc.*    22,800    1,593,150
VerticalNet, Inc.*    525    86,100
WebTrends Corporation*    2,500    202,500
         
                  12,899,858
         
 
 
 
     Number of
Shares
    Market Value
                              
Restaurants —  1.0%
Papa John’s
International, Inc.*		    39,700    $     1,034,681
         
Retail —  1.7%
Cost Plus, Inc.*    8,362    297,896
InterTan, Inc.*    4,150    108,419
Kenneth Cole
Productions Cl. A*		    2,250    102,938
Linens ’n Things, Inc.*    4,600    136,275
MSC Industrial Direct Co.
Cl. A*		    22,700    300,775
O’Reilly Automotive,
Inc.*		    35,700    767,550
Williams-Sonoma, Inc.*    4,100    188,600
         
                 1,902,453
         
 
Retail –  Internet — 0.6%
eToys, Inc.*    1,950    51,188
Expedia, Inc. Cl. A*    1,500    52,500
Musicmaker.Com, Inc.*    7,400    43,475
Stamps.com, Inc.*    3,100    129,038
Ticketmaster Online-
CitySearch, Inc.*		    6,000    230,625
Webvan Group, Inc.*    5,900    97,350
         
                 604,176
         
 
Telephone Utilities  — 4.8%
Illuminet Holdings, Inc.*    14,525    798,875
Intermedia
Communications, Inc.*		    28,400    1,102,275
Mastec, Inc.*    2,500    111,250
RCN Corporation*    15,000    727,500
Talk.com, Inc.*    7,075    125,581
TeleCorp PCS, Inc.*    1,700    64,600
Tritel, Inc.*    2,100    66,544
Voicestream Wireless
Corporation*		    6,300    896,569
Western Wireless
Corporation Cl. A*		    17,900    1,194,825
Z-Tel Technologies, Inc.*    2,500    100,938
         
                 5,188,957
         
 
Transportation  — 0.1%
Wisconsin Central
Transportation Corp.*		    6,020    80,894
         
TOTAL EQUITIES
(Cost $63,635,894)            87,012,688
         
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
95
MassMutual Small Cap Growth Equity Fund – Portfolio of Investments (Continued)
 
          Principal
Amount
    Market Value
SHORT-TERM INVESTMENTS  — 21.1%
 
Cash Equivalents  — 12.2%
Bank of Montreal Eurodollar
Time Deposit**
   4.500%    01/03/2000    $ 1,091,117    $     1,091,117  
BankBoston Eurodollar
Time Deposit**
   4.870%    04/28/2000    1,644,185    1,644,185  
The Goldman Sachs Group,
L.P. Master Note**
   6.450%    02/04/2000    2,324,251    2,324,251  
Harris Trust & Savings Bank
Eurodollar Time Deposit**
   4.250%    01/03/2000    1,363,900    1,363,900  
Janus Money Market Fund**
   5.630%    01/03/2000    3,565,987    3,565,987  
Morgan Stanley Dean
Witter & Co.**
   4.860%    01/18/2000    562,254    562,254  
SAT LAP (AIM) Money
Market Fund**
   4.060%    01/03/2000    2,727,801    2,727,801  
              
  
                          13,279,495  
              
  
 
Repurchase Agreement  — 8.9%
Investors Bank & Trust Company Repurchase
Agreement, dated 12/31/99
   3.06%    01/03/00(a)    9,656,000    9,656,000  
              
  
 
TOTAL SHORT-TERM
INVESTMENTS
(At Amortized Cost)		    22,935,495  
              
  
 
TOTAL INVESTMENTS  — 101.0%
(Cost $86,571,389)***		    109,948,183  
 
Other
Assets/(Liabilities) — (1.0%)		    (1,085,667 )
              
  
 
NET ASSETS —  100.0%    $108,862,516  
              
  
 
Notes to Portfolio of Investments
 
***
Aggregate cost for Federal tax purposes
(Note 7)
 
*  
Non-income producing security.
 
** 
Represents investment of security lending collateral (Note 2)
 
††  
American Depository Receipt.
 
(a)
Maturity value of $9,658,462. Collateralized by U.S. Government Agency obligations with rates of 6.125-6.500%, maturity dates of 02/11/2002-12/20/2023 and aggregate market value, including accrued interest of $10,139,051.
 
 
The remainder of this page intentionally left blank.
 
 
 
The accompanying notes are an integral part of the financial statements.
96
 
MassMutual Small Cap Growth Equity Fund – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investments, at value (cost $63,635,894) (Note 2)      $  87,012,688
                 Short-term investments, at amortized cost (Note 2)      22,935,495
     
                                      Total Investments      109,948,183
                 Cash      12,588,503
                 Receivables from:
                           Investments sold      70,165
                           Fund shares sold      669,284
                           Interest and dividends      75,190
                           Foreign taxes withheld      181
     
                                      Total assets      123,351,506
     
Liabilities:
                 Payables for:
                           Investments purchased      820,556
                           Fund shares redeemed      300,875
                           Securities on loan (Note 2)      13,279,495
                           Directors’ fees and expenses (Note 3)      4,463
                           Affiliates (Note 3):
                                      Investment management fees      63,223
                                      Administration fees      11,054
                                      Service fees      698
                Accrued expenses and other liabilities      8,626
     
                                      Total liabilities      14,488,990
     
                Net assets      $108,862,516
     
Net assets consist of:
                Paid-in capital      $  80,545,072
                 Accumulated net realized gain on investments      4,940,650
                Net unrealized appreciation on investments      23,376,794
     
           $108,862,516
     
Net assets:
                Class A      $     1,742,351
     
                Class L      $     2,198,371
     
                Class Y      $  12,667,490
     
                Class S      $  92,254,304
     
Shares outstanding:
                Class A      109,824
     
                Class L      138,410
     
                Class Y      796,794
     
                Class S      5,799,430
     
Net asset value, offering price and redemption price per share:     
                Class A      $             15.86
     
                Class L      $             15.88
     
                Class Y      $             15.90
     
                Class S      $             15.91
     
 
The accompanying notes are an integral part of the financial statements.
97
 
MassMutual Small Cap Growth Equity Fund – Financial Statements (Continued)
 
Statement of Operations
 
 
       Period ended
December 31, 1999*
Investment income: (Note 2)
                 Dividends (net of withholding tax of $272)      $         61,139
                 Interest (including securities lending income of $9,700)      352,825
     
                           Total investment income      413,964
     
 
Expenses: (Note 2)
                 Investment management fees (Note 3)      245,718
                Custody fees      59,391
                Audit and legal fees      4,911
                 Directors’ fees (Note 3)      10,129
     
                                      320,149
                 Administration fees (Note 3):
                           Class A      1,316
                           Class L      1,545
                           Class Y      3,613
                           Class S      32,736
                Service fees (Note 3):
                           Class A      808
     
                           Total expenses      360,167
     
                           Net investment income      53,797
     
 
Realized and unrealized gain (loss):
                Net realized gain on investment transactions      6,075,827
                Net change in unrealized appreciation (depreciation) on investments      23,376,794
     
                           Net realized and unrealized gain      29,452,621
     
                Net increase in net assets resulting from operations      $29,506,418
     
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
98
 
MassMutual Small Cap Growth Equity Fund – Financial Statements (Continued)
 
Statement of Changes in Net Assets
 
       Period ended
December 31, 1999*
Increase (Decrease) in Net Assets:
Operations:
                Net investment income      $           53,797  
                Net realized gain on investment transactions      6,075,827  
                Net change in unrealized appreciation (depreciation) of investments      23,376,794  
     
  
                           Net increase in net assets resulting from operations      29,506,418  
     
  
 
Distributions to shareholders (Note 2):
                From net investment income:     
                Class A      -  
                Class L      (437 )
                Class Y      (6,008 )
                Class S      (47,352 )
     
  
                           Total distributions from net investment income      (53,797 )
     
  
                In excess of net investment income:     
                Class A      -  
                Class L      (34 )
                Class Y      (463 )
                Class S      (3,652 )
     
  
                           Total distributions in excess of net investment income      (4,149 )
     
  
                From net realized gains:
                Class A      (18,351 )
                Class L      (22,915 )
                Class Y      (116,771 )
                Class S      (972,991 )
     
  
                           Total distributions from net realized gains      (1,131,028 )
     
  
 
Net fund share transactions (Note 5):
                Class A      1,305,965  
                Class L      1,687,697  
                Class Y      10,436,617  
                Class S      67,114,793  
     
  
                           Increase in net assets from net fund share transactions      80,545,072  
     
  
                 Total increase in net assets      108,862,516  
 
Net assets:
                 Beginning of period      -  
     
  
                End of period      $108,862,516  
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
99
 
MassMutual Small Cap Growth Equity Fund – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout the period)
 
     Class A
    Class L
    Class Y
    Class S
     Period ended
12/31/99**
    Period ended
12/31/99**
    Period ended
12/31/99**
    Period ended
12/31/99**
Net asset value, beginning of period    $     10.00      $     10.00      $     10.00      $     10.00  
    
    
    
    
  
Income (loss) from investment operations:
     Net investment income (loss)    (0.03 )***    (0.01 )***    0.01  ***    0.02  ***
     Net realized and unrealized gain (loss) on investments    6.06      6.06      6.07      6.07  
    
    
    
    
  
     Total income (loss) from investment operations    6.03      6.05      6.08      6.09  
    
    
    
    
  
Less distributions to shareholders:
     From net investment income    -      (0.00 )****    (0.01 )    (0.01 )
     In excess of net investment income    -      (0.00 )****    (0.00 )****    (0.00 )****
     From net realized gains    (0.17 )    (0.17 )    (0.17 )    (0.17 )
    
    
    
    
  
     Total distributions    (0.17 )    (0.17 )    (0.18 )    (0.18 )
    
    
    
    
  
Net asset value, end of period    $     15.86      $     15.88      $     15.90      $     15.91  
    
    
    
    
  
 
Total Return@    60.42%      60.55%      60.71%      60.91%  
 
Ratios /  Supplemental Data:
     Net assets, end of period (000’s)    $    1,742      $    2,198      $  12,667      $  92,254  
     Net expenses to average daily net assets    1.79%  *    1.52%  *    1.31%  *    1.19%  *
     Net investment income (loss) to average daily net assets      (0.39% )*      (0.12% )*       0.14%  *       0.19%  *
     Portfolio turnover rate    68%      68%      68%      68%  
 
*
Annualized
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
****
Distributions from net investment income/in excess of net investment income is less than $0.01 per share.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
 
The accompanying notes are an integral part of the financial statements.
100
MassMutual International Equity—Portfolio Manager Report
 
 
What are the investment objectives and policies for the MassMutual International Equity Fund?
 
The objective and policies of the Fund are to:
Ÿ
achieve a high total rate of return over the long term
Ÿ
invest in a diversified portfolio of foreign and domestic equity securities
Ÿ
utilize dominant themes to guide investment decisions with respect to risks of investing in foreign securities (economic, political and social influences that are expected to dictate long-term growth trends)
 
How did the Fund perform during 1999?
 
It was an exceptionally good year for the Fund. For the 12 months ended December 31, 1999, the Fund’s Class S shares had a total return of 56.98%, more than doubling the 26.96% return of the Morgan Stanley Europe, Australasia, Far East (EAFE) Index, a market capitalization-weighted, unmanaged index of over 1,000 foreign stocks.
 
What factors contributed to the Fund’s strong performance?
 
World equity markets soared in the fourth quarter, accounting for much of the year’s gains. Driving the rally were receding fears of a Y2K-related meltdown and aggressively accommodative monetary policy by most central banks, which pumped liquidity into financial systems worldwide in an effort to meet potential demands for cash. Furthermore, although the trend in interest rates was up for the year as a whole because of stronger-than-expected economic growth, central banks delayed potential tightening moves as the year drew to a close, contributing to the favorable environment for stocks.
 
The European Index gained 17.4% for the fourth quarter in U.S. dollar terms and 15.9% for the year. The strongest markets in Europe were the Nordic countries, with Finland and Sweden up 152.6% and 79.7%, respectively. Gains in Europe, while respectable, were limited by weakness in the euro, which continued to lose ground against the dollar. The two currencies were trading at close to parity when the period ended. On the other hand, the yen rose 3.9% for the quarter and 14% for the year against the dollar. This appreciation helped the Fund’s Japanese holdings, as did the strong Japanese stock market, which gained 15.5% for the quarter and 61.5% for the year in dollar terms.
 
Most of the gains for the Fund and the market continued to be concentrated in “new economy” growth stocks in the technology, telecommunications, and media sectors, while “old economy” value shares struggled. Many of investors’ technology favorites reached stratospheric prices that exceeded our valuation parameters. Through careful stock selection, however, we were able to find stocks that met our criteria for growth at a reasonable price.
 
What were you buying during the period?
 
During the fourth quarter, we increased the Fund’s exposure to media, gaming, and technology shares. For example, we bought Toshiba for its superior position in various technology businesses and because we considered the stock undervalued. Another acquisition, Ericsson, is a key player in the wireless infrastructure market. In addition, the company was in the process of implementing a restructuring plan that we considered promising. Other technology stocks in which we either initiated or added to positions included Computer Service Solutions Holding, Getronics, Psion, Icon MediaLab International, and SAP. In the media, publishing, and leisure and entertainment sectors, we bought Naspers and Infrogrames while increasing the Fund’s holdings in Nintendo, Canal Plus, and ProSieben Media. We cut back on one of the Fund’s core technology holdings, Altran Technologies, as the stock neared our valuation targets.
 
What is your outlook?
 
In the first half of 2000, some volatility in world markets is possible as the excess liquidity that was injected into the system is withdrawn. Furthermore, increases in short-term interest rates in the U.S. and abroad that were delayed because of Y2K considerations may be implemented.
MassMutual International Equity Fund – Portfolio Manager Report (Continued)
 
 
However, strong economic growth in the second half of 1999 was undoubtedly influenced by companies preparing for possible supply disruptions by building up precautionary inventories. Now that the need for inventory padding has passed, demand could be softer while excess inventories are worked down. Thus, we may see slower-than-expected economic growth in the first quarter or two of 2000, and a rally in bonds is not inconceivable. At some point soon, perhaps later in the year, we expect the weak euro to be reflected in stronger European economic growth numbers.
 
As mentioned in the last report, we are very selective about Japan. Although stocks there enjoyed robust performance in 1999, serious structural problems remain, and we favor limiting the Fund’s Japanese investments to select shares in the technology sector and specific restructuring stories.
 
In emerging markets, we see the most potential for Brazil, Chile, and India. Valuations are currently attractive in Brazil and Chile, and the latter should benefit from the Asian recovery. In India, our optimism derives from diminished control of the private sector by the Indian bureaucracy. In our approach to all of these markets, we will be guided by our bottom-up management style and will focus on the Fund’s major themes of New Technologies, Mass Affluence, Restructuring, and Aging.
 
 
MassMutual International Equity Fund
Largest Country Weightings (12/31/99)
 
 
       % of Fund
United Kingdom      15.98%
Japan      15.44%
France      14.36%
The Netherlands      9.83%
Germany      6.37%
Sweden      3.90%
Brazil      3.63%
Australia      3.45%
Finland      2.34%
Mexico      1.80%
 
 
MassMutual International Equity Fund – Portfolio Manager Report (Continued)
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual International Equity Fund Class S and the Morgan Stanley Capital International Index for Europe, Australia and the Far East (MSCI EAFE)
 
 
MassMutual International Equity Fund
Total Return
     One Year
1/1/99 - 12/31/99		    Five Year
Average Annual
1/1/95-12/31/99		    Since Inception
Average Annual
10/3/94-12/31/99
 
Class S    56.98%    18.92%    16.28%
 
MSCI EAFE
Index		    26.96%    12.83%    11.96%
 
Hypothetical Investments in MassMutual International Equity Fund Class A, Class Y and the Morgan Stanley Capital International Index for Europe, Australia and the Far East (MSCI EAFE)
 
 
MassMutual International Equity Fund
Total Return
     One Year    SInce Inception
Average Annual
     1/1/99 -  12/31/99    1/1/98 -  12/31/99
 
Class A    56.25%    27.72%
Class Y    57.04%    28.31%
 
MSCI EAFE
Index		    26.96%    23.43%
 
Hypothetical Investments in MassMutual International Equity Fund Class L and the Morgan Stanley Capital International Index for Europe, Australia and the Far East (MSCI EAFE)
 
 
MassMutual International Equity Fund
Total Return
     Since Inception
     5/3/99 -  12/31/99
 
Class L    48.17%
 
MSCI EAFE
Index		    20.35%
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
 
[GRAPH]


Date               Class S             MSCI EAFE
----               -------             ---------
(10/31/94)         $10,000              $10,000
12/94               $9,280               $9,897
8/95                $9,510              $10,155
12/95               $9,756              $11,007
6/96               $10,734              $11,504
12/96              $11,562              $11,672
6/97               $13,476              $12,981
12/97              $13,388              $11,879
6/98               $15,788              $13,772
12/98              $14,064              $14,254
6/99               $15,004              $14,820
12/99              $22,077              $18,098
[GRAPH]


Date               Class A             Class Y             MSCI EAFE
----               -------             -------             ---------
12/97              $10,000             $10,000              $10,000
3/98               $11,380             $11,390              $11,471
6/98               $11,760             $11,780              $11,593
9/98                $9,208              $9,242               $9,945
12/98              $10,440             $10,484              $11,999
3/99               $10,766             $10,831              $12,166
6/99               $11,115             $11,191              $12,745
9/99               $11,709             $11,807              $13,023
12/99              $16,312             $16,464              $15,234
[GRAPH]


Date               Class L            MSCI EAFE
----               -------            ---------
5/3/99             $10,000             $10,000
5/31/99             $9,692              $9,485
8/99               $10,092              $9,855
7/99               $10,317             $10,148
8/99               $10,455             $10,155
9/99               $10,631             $10,287
10/99              $11,051             $10,673
11/99              $12,480             $11,043
12/99              $14,817             $12,035
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the MSCI EAFE is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
MassMutual International Equity Fund – Portfolio of Investments
 
December 31, 1999
 
     Number of
Shares
   Market Value
EQUITIES —  99.5%
 
Aerospace & Defense  — 1.3%
Embraer—Empresa
Brasileira de
Aeronautica SA		     3,056,000    $   13,887,075
         
 
Autos & Housing  — 1.7%
Aucnet Inc.    114,180    6,838,195
Ducati Motor Holding
SpA*		    2,141,000    5,525,707
Porsche AG, Preference    2,400    6,494,910
         
                 18,858,812
         
 
Banking —  2.9%
Banco Espirito Santo e
Comercial de Lisboa,
SA		    232,000    6,487,694
Espirito Santo Financial
Group,††		    460,200    7,248,150
Unibanco-Uniao de
Banco Brasileiros SA,
Sponsored†††		    622,500    18,752,813
         
                 32,488,657
         
 
Beverages —  0.4%
Allied Domecq PLC    811,900    4,004,128
         
 
Broadcasting  — 0.1%
PT Multimedia Servicos
de Telecomunicacoes
e Multimedia SGPS
SA*		    21,200    1,199,918
         
 
Communications Equipment — 2.3%
Ericsson (LM) CL. B,† †    386,580    25,393,474
         
 
Computer Hardware  — 4.1%
Imagineer Co. Ltd.*    205,000    3,404,825
Psion PLC    958,100    41,692,584
         
                 45,097,409
         
 
     Number of
Shares
   Market Value
Computer Software/Services — 16.6%
Cap Gemini SA        49,500    $    12,502,705
Computer Service
Solutions Holding NV		    566,300    14,644,178
Equant NV*    80,000    8,960,000
Getronics NV    516,125    40,971,138
Icon MediaLab
International AB*		    493,250    17,090,175
Lernout & Hauspie
Speech Products NV*		    158,900    7,349,125
Misys PLC    1,179,033    18,337,382
SAP AG, Preference    57,200    34,714,297
Solution 6 Holdings
Ltd.*		    1,972,700    21,427,467
Unit 4*    316,300    8,068,370
         
                  184,064,837
         
Diversified Financial  — 0.6%
 
Julius Baer Holding AG,
Cl. B		    2,220    6,670,823
         
Electrical Equipment  — 2.5%
Halma PLC    3,792,900    7,152,272
Toshiba Corporation    2,649,000    20,186,705
         
                  27,338,977
         
Electronics —  7.2%
Racal Electronics Plc    1,114,500    9,969,091
Sharp Corporation    446,000    11,394,542
Sony Corporation    78,000    23,090,215
STMicroelectronics NV,
NY Shares		    100,000    15,143,750
Thomson Multimedia*    370,300    19,856,634
         
                  79,454,232
         
 
Healthcare/Drugs  — 7.0%
Biocompatibles
International PLC*		    4,725,626    23,953,253
Eisai Co. Ltd.    482,000    9,253,388
Elan Corp. plc,† †*    314,380    9,274,210
Genset Sponsored† †*    464,200    8,848,813
NiCox SA*    150,770    7,102,488
PowderJect
Pharmaceuticals
PLC*		    887,225    11,739,850
Qiagen NV*    93,600    7,176,874
         
                  77,348,876
         
 
 
 
     Number of
Shares
   Market Value
Healthcare/Supplies & Services — 6.0%
Fresenius Medical Care
AG Preference		        222,800    $     9,379,122
Hoya Corp    144,000    11,325,283
Nichii Gakkan Company    134,250    26,219,106
Novogen Ltd.*    3,885,000    7,778,936
Ortivus AB, A Shares*    228,600    1,123,866
Ortivus AB, B Shares*    730,410    3,582,369
Pliva d.d.,
Sponsored†,†††		    548,550    7,301,530
         
                  66,710,212
         
 
Industrial Services  — 3.7%
Aegis Group PLC    5,891,400    21,363,984
Bellsystem 24, Inc.    4,100    4,486,345
Boskalis Westminster    556,752    9,988,799
Falck A/S    36,000    3,757,914
ICTS International NV*    245,000    1,531,250
         
                  41,128,292
         
 
Insurance —  1.4%
Axa    56,500    7,837,595
Ceres, Inc., Preferred
Callable Stocks*		    900,000    3,600,000
Ockham Holdings PLC    2,777,000    4,162,445
         
                  15,600,040
         
 
Leisure & Entertainment — 7.9%
Granada Group PLC    1,109,646    11,222,294
Infogrames
Entertainment SA*		    131,756    21,657,709
Lusomundo SGPS SA*    573,400    8,046,063
Nintendo Co. Ltd.    149,400    24,784,444
Sony Music
Entertainment
(Japan), Inc.		    44,000    8,760,880
Village Roadshow Ltd.,
Cl. A Preference		    7,382,736    12,511,523
         
                  86,982,913
         
 
Manufacturing  — 1.8%
Sauer, Inc.    200,000    1,812,500
Sidel SA    172,300    17,701,396
         
                  19,513,896
         
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
104
MassMutual International Equity Fund –  Portfolio of Investments (Continued)
 
     Number of
Shares
    Market Value
 
Media —  7.7%
Canal Plus       209,200    $   30,298,959
Grupo Televisa SA,
Sponsored†††*		    318,200    21,717,148
ProSieben Media AG,
Preferred		    310,765    18,034,687
Reed International Plc    2,000,000    14,940,400
         
                 84,991,194
         
 
Non-Durable Household Goods — 0.8%
Wella AG    52,000    1,058,028
Wella AG Preference    335,400    7,395,771
         
                 8,453,799
         
 
Oil & Gas  — 0.7%
Expro International
Group PLC		    1,257,500    8,238,637
         
 
Publishing & Printing — 1.8%
Naspers Limited N
Shares		    1,155,500    10,977,943
Singapore Press
Holdings Ltd.		    400,000    8,667,440
         
                 19,645,383
         
 
Real Estate  — 0.9%
Brazil Realty SA†, †††    176,000    2,257,024
IRSA Inversiones y
Representaciones, SA		    2,427,181    7,865,037
         
                 10,122,061
         
 
Retail: General  — 1.5%
Gucci Group NV    72,900    8,347,050
SkyePharma PLC*    9,875,700    7,719,835
         
                 16,066,885
         
 
Retail: Specialty  — 0.8%
Dixons Group PLC    362,045    8,688,428
         
 
Telecommunications  — 10.6%
Altran Technologies SA    79,430    47,767,661
Nippon Telegraph &
Telephone Corp.		    16,380    28,005,471
Sonera Group OYJ    415,550    28,343,253
Tandberg Television
ASA*		    1,042,200    14,393,616
         
                 118,510,001
         
 
 
     Number of
Shares
    Market Value
 
Telephone Utilities  — 4.4%
CCT Telecom Holdings
LTD*		    10,776,000    $      7,971,007
DDI Corporation    6,500    8,890,626
Tele Norte Leste
Participacoes SA		    137,000    3,493,500
Telecom Italia Mobile
SpA		    605,000    6,724,878
Telefonica SA*    234,090    5,818,799
Telesp Celular SA, Cl. B    68,680,000    5,473,796
Videsh Sanchar Nigam
Ltd.†††		    500,000    10,392,350
         
                  48,764,956
         
 
Tobacco —  1.4%
Compagnie Financiere
Richemont AG,
A Units		    6,290    14,931,917
         
 
Transportation  — 1.4%
MIF Ltd.*    334,194    3,326,500
Smit Internationale NV    517,368    12,341,710
         
                  15,668,210
         
TOTAL EQUITIES
(Cost $746,063,253)		    1,099,824,042
         
 
 
Principal
Amount
SHORT-TERM INVESTMENTS  — 9.9%
Cash Equivalents  — 8.4%
Bank of Montreal Eurodollar Time
Deposit**		   
  4.500% 01/03/2000 $ 7,603,359    7,603,359
BankBoston Eurodollar Time
Deposit**		   
  4.870% 04/28/2000 305,740    305,740
The Goldman Sachs Group, L.P.
Master Note**		   
  6.450% 02/04/2000 34,497,754          34,497,754
Harris Trust & Savings Bank
Eurodollar Time Deposit**		   
  4.250% 01/03/2000 9,504,198    9,504,198
Janus Money Market Fund**   
  5.630% 01/03/2000 13,576,179    13,576,179
MetLife Insurance Company Funding
Agreement**		   
  6.530% 08/01/2000 5,000,000    5,000,000
Morgan Stanley Dean Witter & Co.**   
  4.860% 01/18/2000 41,204    41,204
SAT LAP (AIM) Money Market
Fund**		   
  4.060% 01/03/2000 22,008,393    22,008,393
 
                92,536,827
 
 
 
          Principal
Amount
   Market Value
Commercial Paper  — 1.5%
Associates Corporation of
North America		   
4.000%      01/03/2000    $16,700,000    $     16,696,289
  
 
 
TOTAL SHORT-TERM
INVESTMENTS
(At Amortized Cost)		    109,233,116
  
 
TOTAL INVESTMENTS  — 109.4%
(Cost $855,296,369)***		    1,209,057,158
 
Other Assets/
(Liabilities) — (9.4%)		    (103,981,148)
 
 
NET ASSETS —  100.0%    $1,105,076,010
  
 
Notes to Portfolio of Investments
***
Aggregate cost for Federal tax purposes (Note 7)
*
Non-income producing security.
**
Represents investment of security lending collateral. (Note 2).
†
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.
††
American Depository Receipt
†† †
Global Depository Receipt
 
 
The accompanying notes are an integral part of the financial statements.
105
 
MassMutual International Equity Fund –  Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investments, at value (cost $746,063,253) (Note 2)      $1,099,824,042  
                 Short-term investments, at amortized cost (Note 2)      109,233,116  
     
  
                           Total Investments      1,209,057,158  
                 Cash      6,804  
                 Foreign currency, at value (cost $81,715)      78,824  
                 Receivables from:
                           Investments sold      1,095,717  
                           Fund shares sold      3,618,165  
                           Interest and dividends      492,188  
                           Foreign taxes withheld      432,776  
     
  
                                      Total assets      1,214,781,632  
     
  
Liabilities:
                 Payables for:
                           Investments purchased      10,269,891  
                           Fund shares redeemed      5,986,862  
                           Securities on loan (Note 2)      92,536,827  
                           Directors’ fees and expenses (Note 3)      2,717  
                           Affiliates (Note 3):
                                      Investment management fees      732,203  
                                      Administration fees      100,369  
                                      Service fees      230  
                 Accrued expenses and other liabilities      76,523  
     
  
                                      Total liabilities      109,705,622  
     
  
                Net assets      $1,105,076,010  
     
  
Net assets consist of:
                 Paid-in capital      $  747,526,918  
                 Undistributed net investment loss      (13,663 )
                 Accumulated net realized gain on investments and foreign currency translations      3,821,497  
                Net unrealized appreciation on investments, forward foreign currency contracts, foreign currency and
                     other assets and liabilities		      353,741,258  
     
  
                           $1,105,076,010  
     
  
Net assets:
                Class A      $           547,978  
     
  
                Class L      $       7,334,664  
     
  
                Class Y      $       9,335,172  
     
  
                Class S      $1,087,858,196  
     
  
Shares outstanding:
                Class A      32,406  
     
  
                Class L      434,136  
     
  
                Class Y      550,802  
     
  
                Class S      64,125,327  
     
  
Net asset value, offering price and redemption price per share:
                Class A      $               16.91  
     
  
                Class L      $               16.89  
     
  
                Class Y      $               16.95  
     
  
                Class S      $               16.96  
     
  
 
The accompanying notes are an integral part of the financial statements.
106
 
MassMutual International Equity Fund –  Financial Statements (Continued)
 
Statement of Operations
 
       Year ended
December 31, 1999
Investment income: (Note 2)
                 Dividends (net of withholding tax of $1,006,816)      $     9,285,430  
                 Interest (including securities lending income of $523,073)      1,706,395  
     
  
                                      Total investment income      10,991,825  
     
  
 
Expenses: (Note 2)
                 Investment management fees (Note 3)      6,353,553  
                 Custody fees      725,792  
                Audit and legal fees      27,819  
                 Directors’ fees (Note 3)      15,194  
     
  
                           7,122,358  
                 Administration fees (Note 3):
                           Class A      667  
                           Class L*      3,997  
                           Class Y      3,398  
                           Class S      771,421  
                 Service fees (Note 3):
                           Class A      495  
     
  
                                      Total operating expenses      7,902,336  
     
  
                 Interest Expense (Note 8)      6,978  
     
  
                                      Net investment income      3,082,511  
     
  
 
Realized and unrealized gain (loss) from investments and foreign currency:
                Net realized gain (loss) on:
                           Investment transactions      49,665,345  
                           Foreign currency transactions      (1,675,363 )
     
  
                                      Net realized gain      47,989,982  
 
                Net change in unrealized appreciation (depreciation) on:
                            Investments      340,885,164  
                           Translation of assets and liabilities in foreign currencies      (94,549 )
     
  
                                      Net unrealized gain      340,790,615  
     
  
                                      Net realized and unrealized gain from investments and foreign currency      388,780,597  
     
  
                Net increase in net assets resulting from operations      $391,863,108  
     
  
 
* For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
107
 
MassMutual International Equity Fund –  Financial Statements (Continued)
 
Statements of Changes in Net Assets
 
       Year ended
December 31, 1999
      Year ended
December 31, 1998
Increase (Decrease) in Net Assets:
Operations:
                Net investment income      $       3,082,511        $         4,552,704  
                Net realized gain on investments and foreign currency transactions      47,989,982        65,598,162  
                Net change in unrealized appreciation (depreciation) on investments and
                           translation of assets and liabilities in foreign currencies		      340,790,615        (47,978,299 )
     
     
  
                           Net increase in net assets resulting from operations      391,863,108        22,172,567  
     
     
  
 
Distributions to shareholders (Note 2):
                From net investment income:
                Class A      (132 )      (1,652 )
                Class L*      (13,159 )      -  
                Class Y      (17,720 )      (6,174 )
                Class S      (1,820,199 )      (7,863,557 )
     
     
  
                           Total distributions from net investment income      (1,851,210 )      (7,871,383 )
     
     
  
                From net realized gains:
                Class A      (22,842 )      (15,476 )
                Class L*      (291,010 )      -  
                Class Y      (372,924 )      (57,831 )
                Class S      (49,909,963 )      (73,650,942 )
     
     
  
                           Total distributions from net realized gains      (50,596,739 )      (73,724,249 )
     
     
  
 
Net fund share transactions (Note 5):
                Class 1**      -        (128,942 )
                Class 2**      -        (131,194 )
                Class 3**      -        (132,039 )
                Class A      289,776        149,376  
                Class L*      5,771,331        -  
                Class Y      6,877,168        549,024  
                Class S      111,587,226        153,070,256  
     
     
  
                           Increase in net assets from net fund share transactions      124,525,501        153,376,481  
     
     
  
                 Total increase in net assets      463,940,660        93,953,416  
 
Net assets:
                 Beginning of period      641,135,350        547,181,934  
     
     
  
                End of period (including undistributed net investment loss of ($13,663) and
                           $0, respectively)		      $1,105,076,010        $  641,135,350  
     
     
  
 
   * For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
** Effective January 1, 1998, Class 1, Class 2, and Class 3 shares were terminated (See Note 1).
 
 
 
The accompanying notes are an integral part of the financial statements.
108
MassMutual International Equity Fund –  Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout each period)
 
     Class A
       Class L
       Class Y
 
     Year ended
12/31/99
       Year ended
12/31/98†
       Period ended
12/31/99**
       Year ended
12/31/99
       Year ended
12/31/98†
 
Net asset value, beginning of period    $         11.37        $         12.81        $         12.00        $         11.37        $         12.83  
    
     
     
     
     
  
Income (loss) from investment operations:
     Net investment income (loss)    (0.04 )***      0.01  ***      (0.05 )***      (0.01 )***      0.06  ***
     Net realized and unrealized gain (loss) on investments and foreign currency    6.39        0.53        5.78        6.44        0.55  
    
     
     
     
     
  
              Total income (loss) from investment operations    6.35        0.54        5.73        6.43        0.61  
    
     
     
     
     
  
Less distributions to shareholders:
     From net investment income    (0.00 )****      (0.12 )      (0.03 )      (0.04 )      (0.21 )
     From net realized gains    (0.81 )      (1.86 )      (0.81 )      (0.81 )      (1.86 )
    
     
     
     
     
  
     Total distributions    (0.81 )      (1.98 )      (0.84 )      (0.85 )      (2.07 )
    
     
     
     
     
  
Net asset value, end of period    $         16.91        $         11.37        $         16.89        $         16.95        $         11.37  
    
     
     
     
     
  
 
Total Return@    56.25%        4.40%        48.17%        57.04%        4.84%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)    $           548        $           135        $         7,335        $         9,335        $           503  
     Net expenses to average daily net assets    1.55%        1.69%        1.26%  *      1.11%        1.23%  
     Net investment income to average daily net assets    (0.28 )%      0.10%        (0.54 )%*      (0.09 )%      0.43%  
     Portfolio turnover rate    63%        80%        63%        63%        80%  
 
            Class  S(1)
      
     Year ended
12/31/99
       Year ended
12/31/98
       Year ended
12/31/97
       Year ended
12/31/96
       Year ended
12/31/95
 
Net asset value, beginning of period    $         11.37        $         12.38        $         11.11        $           9.58        $           9.28  
    
     
     
     
     
  
Income (loss) from investment operations:
     Net investment income    0.05  ***      0.10        0.06        0.06        0.07  
     Net realized and unrealized gain on investments and foreign currency    6.38        0.51        1.69        1.71        0.41  
    
     
     
     
     
  
              Total income (loss) from investment operations    6.43        0.61        1.75        1.77        0.48  
    
     
     
     
     
  
Less distributions to shareholders:
     From net investment income    (0.03 )      (0.17 )      (0.07 )      (0.24 )      (0.07 )
     In excess of net investment income    -        -        -        -        (0.11 )
     From net realized gains    (0.81 )      (1.45 )      (0.41 )      -        -  
    
     
     
     
     
  
     Total distributions    (0.84 )      (1.62 )      (0.48 )      (0.24 )      (0.18 )
    
     
     
     
     
  
Net asset value, end of period    $         16.96        $         11.37        $         12.38        $         11.11        $           9.58  
    
     
     
     
     
  
 
Total Return@    56.98%        5.05%        15.79%        18.51%        5.13%  
 
Ratios / Supplemental Data:
     Net assets, end of period (000’s)    $1,087,858        $  640,498        $  546,790        $  356,311        $  220,718  
     Net expenses to average daily net assets #    1.06%        1.04%        1.06%        1.00%        1.00%  
     Net investment income to average daily net assets    0.42%        0.73%        0.53%        0.59%        0.76%  
     Portfolio turnover rate    63%        80%        83%        58%        121%  
    #  Computed after giving effect to the voluntary partial waiver of management
    fee by MassMutual, which terminated May 1, 1997. Without this partial
    waiver of fees by MassMutual, the ratio of expenses to average daily net assets
    would have been:		    N/A        N/A        1.07%        1.07%        1.09%  
 
*
Annualized
**
For the period from May 3, 1999 (commencement of operations) through December 31, 1999.
***
Per share amount calculated on the average shares method.
****
Distributions from income is less than $0.01 per share.
†
Amounts have been restated to reflect reverse stock splits (See Note 9).
(1)
Class S shares were previously designated as Class 4 shares.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Acoounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
The accompanying notes are an integral part of the financial statements.
109
 
Notes to Financial Statements
 
1. The Fund
MassMutual Institutional Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended. On October 3, 1994, the following seven series of the Trust (each individually referred to as a “Fund” or collectively as the “Funds”) commenced operations: MassMutual Prime Fund (“Prime Fund”), MassMutual Short-Term Bond Fund ( “Short-Term Bond Fund”), MassMutual Core Bond Fund (“Core Bond Fund”), MassMutual Balanced Fund (“Balanced Fund”), MassMutual Core Equity Fund (“Core Equity Fund”) formerly known as MassMutual Value Equity Fund, MassMutual Small Cap Value Equity Fund (“Small Cap Value Equity Fund”), and MassMutual International Equity Fund (“International Equity Fund”). On May 3, 1999, four new series of the Trust commenced operations: MassMutual Diversified Bond Fund (“Diversified Bond Fund”), MassMutual Growth Equity Fund (“Growth Equity Fund”), MassMutual Mid Cap Growth Equity Fund (“Mid Cap Growth Equity Fund ”), and MassMutual Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”). Additionally, MassMutual Indexed Equity Fund ( “Indexed Equity Fund”) commenced operations March 1, 1998. Separate financial statements are prepared for the Indexed Equity Fund.
 
During the reporting period, each Fund had four classes of shares: Class A, Class L, Class Y, and Class S. Class L shares began operations May 3, 1999. Class A and Y shares began operations and Class 4 shares of the Funds were redesignated as Class S shares effective January 1, 1998. The Class 1, Class 2, and Class 3 shares were subsequently terminated by the Board of Trustees (“Trustees”). The principal economic difference among the Classes is the level of service and administration fees borne by the Classes. The classes of shares are offered to different types of investors, as outlined in the Trust’s Prospectus.
 
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with generally accepted accounting principles. The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
 
Investment Valuation
Equity securities are valued on the basis of valuations furnished by a pricing service, authorized by the Trustees, which provides the last reported sale price for securities listed on a national securities exchange or on the NASDAQ National Market System, or in the case of over-the-counter securities not so listed, the last reported bid price. Debt securities (other than short-term obligations with a remaining maturity of sixty days or less) are valued on the basis of valuations furnished by a pricing service, authorized by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. Money market obligations with a remaining maturity of sixty days or less are valued at either amortized cost or at original cost plus accrued interest, whichever approximates current market value. All other securities and other assets, including debt securities for which the prices supplied by a pricing agent are deemed by MassMutual not to be representative of market values, including restricted securities and securities for which no market quotation is available, are valued at fair value in accordance with procedures approved by and determined in good faith by the Trustees, although the actual calculation may be done by others.
 
Portfolio securities traded on more than one national securities exchange are valued at the last price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. All assets and liabilities expressed in foreign currencies will be converted into U.S. dollars at the mean between the buying and selling rates of such currencies against U.S. dollars last quoted by any major bank. If such quotations are not available, the rate of exchange will be determined in accordance with policies established by the Trustees.
Notes to Financial Statements (Continued)
 
 
Securities Lending
Each Fund may lend its securities to qualified brokers. The loans are collateralized at all times with cash or securities with a market value at least equal to 102% of the market value of the securities on loan. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Funds receive compensation for lending their securities. At December 31, 1999, the Funds loaned securities having the following market values, collateralized by cash, which were invested in short-term instruments in the following amounts:
 
     Securities
on loan		    Collateral
Core Bond    $139,915,706    $145,232,670
 
Balanced    89,047,038    91,818,472
 
Core Equity    125,235,449    129,257,517
 
Growth Equity    5,263,836    5,413,040
 
Small Cap Value Equity    8,797,650    9,282,800
 
Small Cap Growth Equity    12,872,102    13,279,495
 
International Equity    87,634,805    92,536,827
 
Accounting for Investments
Investment transactions are accounted for on the trade date. Realized gains and on sales of investments and unrealized appreciation and depreciation of investments are computed on the specific identification cost method. Interest income, adjusted for amortization of discounts and premiums on investments, is earned from the settlement date and is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date.
 
Federal Income Tax
It is each Fund ’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds will not be subject to federal income taxes on their ordinary income and net realized capital gain to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, no Federal income tax provision is required.
 
Dividends and Distributions to Shareholders
Dividends from net investment income 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. These differences are primarily due to investments in forward contracts, passive foreign investment companies, the deferral of wash sale losses, and paydowns on certain mortgage-backed securities. As a result, net investment income and net realized gain on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting the net asset value of the Funds.
Notes to Financial Statements (Continued)
 
 
During the year ended December 31, 1999, the following amounts were reclassified due to differences between book and tax accounting.
 
       Paid-In
Capital		      Accumulated
Undistributed
Net Realized
Gain (Loss) on
Investments and
Foreign Currency
Translations		      Undistributed
Net Investment
Income (Loss)
MassMutual Short-term Bond Fund      (7,197 )      5,723        1,474  
MassMutual Core Bond Fund      0        37,703        (37,703 )
MassMutual Diversified Bond Fund      0        (998 )      998  
MassMutual Balanced Fund      (104,454 )      (454,689 )      (559,143 )
MassMutual Core Equity Fund      (7 )      (620,240 )      620,247  
MassMutual Growth Equity Fund      0        (35,799 )      35,799  
MassMutual Small Cap Value Equity Fund      0        500        (500 )
MassMutual Mid Cap Growth Equity Fund      0        (126,566 )      126,566  
MassMutual Small Growth Equity Fund      0        (4,149 )      4,149  
MassMutual International Equity Fund      0        1,244,964        (1,244,964 )
 
Foreign Currency
Translation
The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities.
 
Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of dividends recorded on the books of the Funds and the amount actually received.
 
Forward Foreign
Currency Contracts
Each Fund may enter into forward foreign currency contracts in order to convert foreign denominated securities or obligations to U.S. dollar denominated investments. The International Equity Fund may engage in such transactions to manage the value of portfolio holdings against future movements in certain foreign currency exchange rates. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward foreign currency exchange rates. Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset.
 
Forward foreign currency contracts involve a risk of loss from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in foreign currency values and interest rates.
 
The notional or contractual amounts of these instruments represent the investments the Funds have in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of the obligations for the Growth Equity Fund under these financial instruments at December 31, 1999 is as follows:
 
Settlement
Date
   Contracts
to
Deliver/Receive
   Units of
Currency
   In
Exchange
for U.S.
Dollars
   Contracts at
Value
   Unrealized
Appreciation
 
SELL
 
01/31/00
  
Euro
  
62,285
  
$62,621
  
$62,441
  
$180
 
 
          Forward
          Commitments
Each Fund may purchase or sell securities on a “when issued” or delayed delivery or on a forward commitment basis. The Funds use forward commitments to manage interest rate exposure or as a temporary substitute for purchasing or selling particular debt securities. Delivery and payment for securities purchased on a forward commitment basis can take place a month or more after the date of the transaction. The Funds instruct the custodian to segregate assets in a separate account with a current market value at least equal to the amount of its forward purchase commitments. The price of the underlying security and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The value of the forward commitment is determined by management using a commonly accepted pricing model and fluctuates based upon changes in the value of the underlying security and market repurchase rates. Such rates equate the counterparty ’s cost to purchase and finance the underlying security to the earnings received on the security and forward delivery proceeds. The Funds record on a daily basis the unrealized appreciation/depreciation based upon changes in the value of the forward commitment. When a forward commitment contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished. Forward commitments involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. The Funds could also be exposed to loss if they cannot close out their forward commitments because of an illiquid secondary market, or the inability of counterparties to perform. The Funds monitor exposure to ensure counterparties are creditworthy and concentration of exposure is minimized. A summary of open obligations for the Core Bond Fund under these forward commitments at December 31, 1999, is as follows:
 
Forward
Commitment
Contracts to buy
    Expiration
of
Contracts
    Aggregate
Face Value
of Contracts
    Cost
    Market
Value
    Unrealized
Depreciation
 
GNMA
7.5% 01/01/2029    January 2000    $7,000,000    $6,938,750    $6,921,250    $17,500
 
Allocation of
Operating Activity
In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income, unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, which are directly attributable to a class of shares, are charged to that class’ operations. Expenses of the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.
Notes to Financial Statements (Continued)
 
 
3.
Management
Fees and Other
Transactions
With Affiliates
    
     
Investment
Management Fees
  
Under an agreement between the Trust and MassMutual, MassMutual is responsible for providing investment management for each Fund. In return for this service, MassMutual receives advisory fees monthly based upon each Fund ’s average daily net assets at the following annual rates:
 
Prime Fund      0.35 %
Short-Term Bond Fund      0.40 %
Core Bond Fund      0.48 %
Diversified Bond      0.50 %
Balanced Fund      0.48 %
Core Equity Fund      0.50 %
Growth Equity      0.68 %
Small Cap Value Equity Fund      0.58 %
Mid Cap Growth Equity      0.70 %
Small Cap Growth Equity      0.82 %
International Equity Fund      0.85 %
 
Prior to May 3, 1999, MassMutual received advisory fees based upon each Fund’s average daily net assets at the following annual rates: 0.45% for Prime Fund, Short-Term Bond Fund, Core Bond Fund, Balanced Fund, and Core Equity Fund, 0.55% for Small Cap Value Equity Fund, and 0.85% for International Equity Fund.
 
MassMutual has entered into investment sub-advisory agreements with two subsidiaries: David L. Babson and Company, Inc. (“Babson”) and HarbourView Asset Management Corporation (“HarbourView”). These agreements provide that (1) Babson manage the investment and reinvestment of the assets of the Core Equity Fund, the Small Cap Value Equity Fund and the Core Equity sector of the Balanced Fund, and (2) HarbourView manage the investment and reinvestment of the assets of the International Equity Fund.
 
MassMutual pays Babson a fee equal to an annual rate of 0.13% of the average daily net asset value of the Core Equity Fund and the Core Equity sector of the Balanced Fund and 0.25% of the average daily net asset value of the Small Cap Value Equity Fund. MassMutual pays HarbourView a fee equal to an annual rate of 0.50% of the average daily net asset value of the International Equity Fund.
 
MassMutual has also entered into investment sub-advisory agreements with Massachusetts Financial Services Company (“MFS”), Miller Anderson & Sherrerd, LLP (“MAS”), J.P. Morgan Investment Management, Inc. (“J.P. Morgan”), and Waddell & Reed Investment Management Company (“Waddell & Reed”). These agreements provide that (1) MFS manage the investment and reinvestment of the assets of the Growth Equity Fund, (2) MAS manage the investment and reinvestment of the assets of the Mid Cap Growth Equity Fund, and (3) J.P. Morgan and Waddell & Reed each manage the investment and reinvestment of 50% of the assets of the Small Cap Growth Equity Fund.
 
MassMutual pays MFS, MAS, J.P. Morgan, and Waddell & Reed a sub-advisory fee based upon (1) the average daily net assets of the specified Fund plus (2) the average daily net assets of all other funds or accounts of MassMutual or its affiliates for which the sub-advisor provides sub-advisory services.
 
MassMutual pays MFS a fee equal to an annual rate of 0.40% of the first $300,000,000, 0.37% of the next $300,000,000, 0.35% of the next $300,000,000, 0.32% of the next $600,000,000, and 0.25% of assets over $1.5 billion. MFS also provides investment sub-advisory services for MML Growth Equity Fund, a series of MML Series Investment Fund, an open-end investment company for which MassMutual acts as investment manager.
Notes to Financial Statements (Continued)
 
 
MassMutual pays MAS a fee equal to an annual rate of 0.55% of the first $150,000,000 and 0.50% of assets over $150,000,000.
 
MassMutual pays J.P. Morgan a fee equal to an annual rate of 0.60% of the first $200,000,000, 0.55% of the next $300,000,000, and 0.50% of assets over $500,000,000. J.P. Morgan also provides investment sub-advisory services for MML Small Cap Growth Equity Fund, a series of MML Series Investment Fund, an open-end investment company for which MassMutual acts as investment manager.
 
MassMutual pays Waddell & Reed a fee equal to an annual rate of 0.75% of the first $100,000,000 and 0.70% of assets over $100,000,000. Waddell & Reed also provides investment sub-advisory services for MML Small Cap Growth Equity Fund, a series of MML Series Investment Fund, an open-end investment company for which MassMutual acts as investment manager.
 
Administration Fees
  
Under separate administrative and shareholder services agreements between each Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee monthly based upon the average daily net assets of the applicable class of shares of the Fund at the following annual rates:
 
       Class A
     Class L
     Class Y
     Class S
 
Prime Fund   
 0.3323%      0.3323%      0.1823%      0.0823%
 
Short-Term Bond Fund
 0.3167%      0.3167%      0.1667%      0.1167%
 
Core Bond Fund
 0.2932%      0.2932%      0.1432%      0.0932%
 
Diversified Bond Fund
 0.3232%      0.3232%      0.1732%      0.1232%
 
Balanced Fund
 0.3952%      0.3952%      0.2452%      0.0852%
 
Core Equity Fund
 0.3175%      0.3175%      0.1675%      0.0675%
 
Growth Equity Fund
 0.2975%      0.2975%      0.1475%      0.0875%
 
Small Cap Value Equity Fund
 0.3345%      0.3345%      0.1845%      0.0845%
 
Mid Cap Growth Equity Fund
 0.3075%      0.3075%      0.1575%      0.0875%
 
Small Cap Growth Equity Fund
 0.4075%      0.4075%      0.2575%      0.1175%
 
International Equity Fund
 0.2952%      0.2952%      0.1452%      0.1152%
 
Prior to May 3, 1999, MassMutual received an administrative services fee at the following annual rates:
 
       Class  A
     Class  Y
     Class  S
  Prime Fund 0.4823%      0.0823%      0.0777%
  Short-Term Bond Fund 0.4767%      0.1767%      0.0777%
  Core Bond Fund 0.4832%      0.1832%      0.0777%
  Balanced Fund 0.4852%      0.2852%      0.0777%
  Core Equity Fund 0.4875%      0.2875%      0.0777%
  Small Cap Value Equity Fund 0.4845%      0.2845%      0.0777%
  International Equity Fund 0.4752%      0.1752%      0.0774%
 
Prior to December 1, 1998, the administrative services fee for Class Y shares of the MassMutual Prime Fund, Short Term-Bond Fund, Core Bond Fund and International Equity Fund was 0.2823%, 0.2767%, 0.2832% and 0.2752% respectively.
 
Service Fees
  
MML Distributors, LLC (the “Distributor”) acts as distributor to each Fund. Pursuant to separate 12b-1 Plans adopted by the Funds, Class A shares of each fund pay a fee of 0.25% to (i) the Distributor for services provided and expenses incurred by its connection with the distribution of Class A shares of the Fund and (ii) MassMutual for services provided and expenses incurred by it for purposes of maintaining or providing personal services to Class A shareholders. The Distribution fee may be spent by the Distributor on any activities or expenses primarily intended to result in the sale of Class A shares of the Fund. The Servicing Fee may be spent by MassMutual on personal services rendered to Class A shareholders of a Fund and/or maintenance of Class A shareholder accounts. The Distributor is a majority owned subsidiary of MassMutual.
 
Other
Certain officers and trustees of the Funds are also officers of MassMutual. The compensation of unaffiliated directors of the Funds is borne by the Funds.
 
At December 31, 1999, MassMutual or separate investment accounts thereof owned 92.29% of the outstanding shares of the Trust.
 
Affiliate Transaction
As of the close of business on July 31, 1998, MassMutual separate investment accounts purchased Class S shares of certain Funds in exchange for the contribution of securities having equivalent value, as determined in accordance with the procedures adopted by the Funds to value assets pursuant to Rule 17a-7 under the Investment Company Act of 1940, as amended. These separate investment accounts had been established and maintained by Connecticut Mutual Life Insurance Company, which was merged with and into MassMutual as of February 29, 1996. MassMutual succeeded to these separate investment accounts by operation of law.
 
Each MassMutual separate investment account had the identical investment adviser, portfolio manager and similar investment objective as the Fund to which it contributed securities. MassMutual separate investment accounts purchased 67,513.069 Class S shares of Prime Fund in exchange for securities having a value of $10,497,607, MassMutual separate investment accounts purchased 1,764,834.394 Class S shares of Short-Term Bond Fund in exchange for securities having a value of $18,671,948, MassMutual separate investment accounts purchased 2,916,145.299 Class S shares of Core Bond Fund in exchange for securities having a value of $32,835,796, MassMutual separate investment accounts purchased 1,889,423.457 Class S shares of Core Equity Fund in exchange for securities having a value of $33,896,257, and MassMutual separate investment accounts purchased 1,344,543.249 Class S shares of International Equity Fund in exchange for securities having a value of $20,006,804.
 
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, 1999 were as follows:
       
Long-Term  U.S.
Government
Securities
 
Other  Long-Term
Securities
 
 
 Purchases
            
      Short-Term Bond Fund $98,623,656      $52,205,777  
      Core Bond Fund 226,079,855      136,758,457  
      Diversified Bond Fund 12,831,445      17,853,887  
      Balanced Fund 100,414,676      105,073,392  
      Core Equity Fund -      328,010,770  
      Growth Equity Fund -      126,691,738  
      Small Cap Value Equity Fund -      201,085,152  
      Mid Cap Growth Equity Fund -      61,986,516  
      Small Cap Growth Equity Fund -      83,101,881  
      International Equity Fund -      539,439,812  
 
    Sales
            
      Short-Term Bond Fund $89,570,066  
$22,381,861
  
      Core Bond Fund 207,400,169  
182,469,904
  
      Diversified Bond Fund 6,213,973  
996,408
  
      Balanced Fund 41,419,527  
78,760,977
  
      Core Equity Fund -  
930,050,031
  
      Growth Equity Fund -  
48,493,589
  
      Small Cap Value Equity Fund -  
211,867,362
  
      Mid Cap Growth Equity Fund -  
60,545,307
  
      Small Cap Growth Equity Fund -  
25,530,217
  
      International Equity Fund -  
460,056,251
  
 
Notes to Financial Statements (Continued)
 
 
5. Capital Share
Transactions
The Funds are authorized to issue an unlimited number of shares, with no par value in each class of shares. Changes in shares outstanding for each Fund are as follows:
 
       Class 1
Year ended
December 31, 1998		      Class 2
Year ended
December 31, 1998		      Class 3
Year ended
December 31, 1998
       Shares
      Amount
      Shares
      Amount
      Shares
      Amount
Prime Fund
 
       Sold      -        $             -        -        $             -        -        $             -  
       Issued as reinvestment of dividends      -        -        -        -        -        -  
       Redeemed      (758 )        (114,315 )      (770 )      (116,323 )      (777 )       (117,416 )
     
     
     
     
     
     
  
       Net increase (decrease)      (758 )      $(114,315 )      (770 )      $(116,323 )      (777 )      $(117,416 )
     
     
     
     
     
     
  
Short-Term Bond Fund
 
       Sold      -        -        -        -        -        -  
       Issued as reinvestment of dividends      -        -        -        -        -        -  
       Redeemed      (11,916 )      (122,436 )      (12,115 )       (124,585 )       (12,213 )      (125,819 )
     
     
     
     
     
     
  
       Net increase (decrease)      (11,916 )      $(122,436 )      (12,115 )      $(124,585 )      (12,213 )      $(125,819 )
     
     
     
     
     
     
  
Core Bond Fund
 
       Sold      -        -        -        -        -        -  
       Issued as reinvestment of dividends      -        -        -        -        -        -  
       Redeemed      (12,073 )      (131,171 )      (12,265 )      (133,481 )      (12,379 )      (134,838 )
     
     
     
     
     
     
  
       Net increase (decrease)      (12,073 )      $(131,171 )      (12,265 )      $(133,481 )      (12,379 )      $(134,838 )
     
     
     
     
     
     
  
Balanced Fund
 
       Sold      -        -        -        -        -        -  
       Issued as reinvestment of dividends      -        -        -        -        -        -  
       Redeemed      (11,560 )      (156,975 )      (11,735 )      (159,724 )      (11,820 )      (161,227 )
     
     
     
     
     
     
  
       Net increase (decrease)      (11,560 )      $(156,975 )      (11,735 )      $(159,724 )      (11,820 )      $(161,227 )
     
     
     
     
     
     
  
Core Equity Fund
 
       Sold      -        -        -        -        -        -  
       Issued as reinvestment of dividends      -        -        -        -        -        -  
       Redeemed      (11,555 )      (196,012 )      (11,719 )      (199,451 )      (11,813 )      (201,310 )
     
     
     
     
     
     
  
       Net increase (decrease)      (11,555 )      $(196,012 )      (11,719 )      $(199,451 )      (11,813 )      $(201,310 )
     
     
     
     
     
     
  
Small Cap Value Equity Fund
 
       Sold      -        -        -        -        -        -  
       Issued as reinvestment of dividends      -        -        -        -        -        -  
       Redeemed      (11,677 )      (192,471 )      (11,809 )      (195,879 )      (11,922 )      (198,007 )
     
     
     
     
     
     
  
       Net increase (decrease)      (11,677 )      $(192,471 )      (11,809 )      $(195,879 )      (11,922 )      $(198,007 )
     
     
     
     
     
     
  
International Equity Fund
 
       Sold      -        -        -        -        -        -  
       Issued as reinvestment of dividends      -        -        -        -        -        -  
       Redeemed      (10,526 )      (128,942 )      (10,635 )      (131,194 )      (10,680 )      (132,039 )
     
     
     
     
     
     
  
       Net increase (decrease)      (10,526 )      $(128,942 )      (10,635 )      $(131,194 )      (10,680 )      $(132,039 )
     
     
     
     
     
     
  
Notes to Financial Statements (Continued)
 
 
       Class A      Class L
       Year ended
December 31, 1999		      Year ended
December 31, 1998		      Year ended
December 31, 1999
       Shares
      Amount
      Shares
      Amount
      Shares
      Amount
Prime Fund
 
       Sold      73,374        $11,352,761        165      $114,317      229,479        $35,616,950  
       Issued as reinvestment of dividends      204        30,930        629      94,657      344        52,197  
       Redeemed      (50,941 )      (7,932,258 )      -      -      (165,002 )      (25,791,275 )
     
     
     
  
  
     
  
       Net increase (decrease)      22,637        $  3,451,433        794      $208,974      64,821        $  9,877,872  
     
     
     
  
  
     
  
Short-Term Bond Fund
 
       Sold      20,024        211,639        11,943      122,436      250,614        2,628,682  
       Issued as reinvestment of dividends      761        7,604        598      6,169      9,033        89,697  
       Redeemed      (19,858 )      (209,907 )      -      -      (106,119 )      (1,116,800 )
     
     
     
  
  
     
  
       Net increase (decrease)      927        $           9,336        12,541      $128,605      153,528        $  1,601,579  
     
     
     
  
  
     
  
Core Bond Fund
 
       Sold      52,002        559,070        12,081      131,171      314,607        3,392,536  
       Issued as reinvestment of dividends      3,529        35,827        693      7,660      14,348        145,498  
       Redeemed      (11,402 )      (122,879 )      -      -      (95,473 )      (1,032,157 )
     
     
     
  
  
     
  
       Net increase (decrease)      44,129        $       472,018        12,774      $138,831      233,482        $  2,505,877  
     
     
     
  
  
     
  
Diversified Bond Fund
 
       Sold      10,100        101,000        -      -      10,100        101,000  
       Issued as reinvestment of dividends      408        3,906        -      -      425        4,069  
       Redeemed      -        -        -      -      -        -  
     
     
     
  
  
     
  
       Net increase (decrease)      10,508        $       104,906        -      $           -      10,525        $       105,069  
     
     
     
  
  
     
  
Balanced Fund
 
       Sold      41,448        579,667        11,185      156,981      12,470        179,705  
       Issued as reinvestment of dividends      1,839        24,399        1,280      18,167      613        8,164  
       Redeemed      (12,355 )      (169,986 )      -      -      -        -  
     
     
     
  
  
     
  
       Net increase (decrease)      30,932        $       434,080        12,465      $175,148      13,083        $       187,869  
     
     
     
  
  
     
  
Core Equity Fund
 
       Sold      107,405        1,899,077        10,877      195,979      190,854        3,428,515  
       Issued as reinvestment of dividends      9,032        146,869        1,477      26,911      11,353        185,074  
       Redeemed      (15,904 )      (278,435 )      -      -      (56,669 )      (1,024,431 )
     
     
     
  
  
     
  
       Net increase (decrease)      100,533        $  1,767,511        12,354      $222,890      145,538        $  2,589,158  
     
     
     
  
  
     
  
Growth Equity Fund
 
       Sold      204,224        2,164,106        -      -      781,425        8,169,552  
       Issued as reinvestment of dividends      380        4,845        -      -      1,399        17,880  
       Redeemed      (20,122 )      (220,108 )      -      -      (93,315 )      (1,049,941 )
     
     
     
  
  
     
  
       Net increase (decrease)      184,482        $  1,948,843        -      $           -      689,509        $  7,137,491  
     
     
     
  
  
     
  
Small Cap Value Equity Fund
 
       Sold      6,813        93,693        11,008      192,471      171,086        2,386,181  
       Issued as reinvestment of dividends      629        8,446        1,356      18,512      4,162        55,693  
       Redeemed      (469 )      (6,313 )      -      -      (54,682 )      (766,002 )
     
     
     
  
  
     
  
       Net increase (decrease)      6,973        $         95,826        12,364      $210,983      120,566        $  1,675,872  
     
     
     
  
  
     
  
Mid Cap Growth Equity Fund
 
       Sold      52,662        564,110        -      -      348,047        3,652,290  
       Issued as reinvestment of dividends      -        -        -      -      -        -  
       Redeemed      (3,627 )      (46,132 )      -      -      (14,789 )      (187,707 )
     
     
     
  
  
     
  
       Net increase (decrease)      49,035        $       517,978        -      $           -      333,258        $  3,464,583  
     
     
     
  
  
     
  
Small Cap Growth Equity Fund
 
       Sold      110,847        1,319,106        -      -      166,224        2,023,659  
       Issued as reinvestment of dividends      1,169        18,351        -      -      1,488        23,386  
       Redeemed      (2,192 )      (31,492 )      -      -      (29,302 )      (359,348 )
     
     
     
  
  
     
  
       Net increase (decrease)      109,824        $  1,305,965        -      $           -      138,410        $  1,687,697  
     
     
     
  
  
     
  
International Equity Fund
 
       Sold      20,124        282,108        10,066      128,943      547,706        7,233,586  
       Issued as reinvestment of dividends      1,388        22,974        1,768      20,433      18,072        304,169  
       Redeemed      (940 )      (15,306 )      -      -      (131,642 )      (1,766,424 )
     
     
     
  
  
     
  
       Net increase (decrease)      20,572        $       289,776        11,834      $149,376      434,136        $  5,771,331  
     
     
     
  
  
     
  
Notes to Financial Statements (Continued)
 
 
                   Class Y            
       Year ended
December 31, 1999		         Year ended
December 31, 1998
       Shares
      Amount
         Shares
      Amount
Prime Fund
 
       Sold      1,209,819        $187,356,002         3,752        $2,693,260  
       Issued as reinvestment of dividends      8,916        1,354,719         2,924        440,359  
       Redeemed      (1,002,697 )      (154,949,637 )       (2,987 )      (2,160,066 )
     
     
         
     
  
       Net increase (decrease)      216,038        $  33,761,084         3,689        $     973,553  
     
     
         
     
  
Short-Term Bond Fund
 
       Sold      231,843        2,448,022         24,718        253,405  
       Issued as reinvestment of dividends      11,337        113,028         1,355        13,960  
       Redeemed      (87,675 )      (926,560 )       -        -  
     
     
         
     
  
       Net increase (decrease)      155,505        $     1,634,490         26,073        $     267,365  
     
     
         
     
  
Core Bond Fund
 
       Sold      2,255,686        24,322,491         34,044        376,986  
       Issued as reinvestment of dividends      118,565        1,203,657         2,137        23,662  
       Redeemed      (486,712 )      (5,255,060 )       -        -  
     
     
         
     
  
       Net increase (decrease)      1,887,539        $  20,271,088         36,181        $     400,648  
     
     
         
     
  
Diversified Bond Fund
 
       Sold      14,723        146,750         -        -  
       Issued as reinvestment of dividends      628        6,010         -        -  
       Redeemed      (46 )      (461 )       -        -  
     
     
         
     
  
       Net increase (decrease)      15,305        $         152,299         -        $               -  
     
     
         
     
  
Balanced Fund
 
       Sold      5,336,744        62,321,909         66,553        998,046  
       Issued as reinvestment of dividends      228,629        3,067,136         7,477        106,178  
       Redeemed      (1,154,966 )      (3,703,011 )       -        -  
     
     
         
     
  
       Net increase (decrease)      4,410,407        $  61,686,034         74,030        $1,104,224  
     
     
         
     
  
Core Equity Fund
 
       Sold      1,603,200        29,226,856         36,358        680,054  
       Issued as reinvestment of dividends      124,119        2,025,621         4,711        86,146  
       Redeemed      (528,923 )      (8,916,151 )       (76 )      (1,406 )
     
     
         
     
  
       Net increase (decrease)      1,198,396        $  22,336,326         40,993        $     764,794  
     
     
         
     
  
Growth Equity Fund
 
       Sold      2,953,387        30,935,957         -        -  
       Issued as reinvestment of dividends      5,344        68,299         -        -  
       Redeemed      (315,199 )      (3,586,730 )       -        -  
     
     
         
     
  
       Net increase (decrease)      2,643,532        $  27,417,526         -        $               -  
     
     
         
     
  
Small Cap Value Equity Fund
 
       Sold      320,351        4,424,499         35,834        592,343  
       Issued as reinvestment of dividends      12,102        161,987         4,565        62,162  
       Redeemed      (78,501 )      (1,048,552 )       -        -  
     
     
         
     
  
       Net increase (decrease)      253,952        $     3,537,934         40,399        $     654,505  
     
     
         
     
  
Mid Cap Growth Equity Fund
 
       Sold      3,317,139        34,191,909         -        -  
       Issued as reinvestment of dividends      -        -         -        -  
       Redeemed      (308,339 )      (3,497,621 )       -        -  
     
     
         
     
  
       Net increase (decrease)      3,008,800        $  30,694,288         -        $               -  
     
     
         
     
  
Small Cap Growth Equity Fund
 
       Sold      898,796        11,950,977         -        -  
       Issued as reinvestment of dividends      7,835        123,242         -        -  
       Redeemed      (109,837 )      (1,637,602 )       -        -  
     
     
         
     
  
       Net increase (decrease)      796,794        $  10,436,617         -        $               -  
     
     
         
     
  
International Equity Fund
 
       Sold      568,711        7,778,845         38,055        478,075  
       Issued as reinvestment of dividends      23,432        390,644         6,192        70,949  
       Redeemed      (85,588 )      (1,292,321 )       -        -  
     
     
         
     
  
       Net increase (decrease)      506,555        $     6,877,168         44,247        $     549,024  
     
     
         
     
  
Notes to Financial Statements (Continued)
 
 
                   Class S            
       Year ended
December 31, 1999		         Year ended
December 31, 1998
       Shares
      Amount
         Shares
      Amount
Prime Fund
 
       Sold      6,949,101        $  1,072,954,160         4,115,282        $638,299,753  
       Issued as reinvestment of dividends      83,012        12,628,175         84,589        12,743,282  
       Redeemed      (6,619,900 )       (1,021,469,974 )       (4,129,942 )      (641,242,129 )
     
     
         
     
  
       Net increase (decrease)      412,213        $       64,112,361         69,929        $     9,800,906  
     
     
         
     
  
Short-Term Bond Fund
 
       Sold      6,231,576        65,280,828         17,247,226        181,488,648  
       Issued as reinvestment of dividends      1,300,624        12,980,235         1,435,196        14,781,099  
       Redeemed      (13,888,005 )      (145,060,737 )       (10,729,747 )      (113,935,929 )
     
     
         
     
  
       Net increase (decrease)      (6,355,805 )      $       (66,799,674 )       7,952,675        $  82,333,818  
     
     
         
     
  
Core Bond Fund
 
       Sold      24,635,752        266,969,331         38,073,055        432,227,434  
       Issued as reinvestment of dividends      3,651,807        37,178,633         3,534,486        39,029,032  
       Redeemed      (33,871,158)        (369,407,759 )       (19,631,777 )      (221,930,815 )
     
     
         
     
  
       Net increase (decrease)      (5,583,599 )      $       (65,259,795 )       21,975,764        $249,325,651  
     
     
         
     
  
Diversified Bond Fund
 
       Sold      2,533,958        25,335,526         -        -  
       Issued as reinvestment of dividends      108,776        1,040,982         -        -  
       Redeemed      (30,000 )      (300,000 )       -        -  
     
     
         
     
  
       Net increase (decrease)      2,612,734        $       26,076,508         -        $                    -  
     
     
         
     
  
Balanced Fund
 
       Sold      15,470,302        220,776,192         20,316,077        292,097,210  
       Issued as reinvestment of dividends      2,625,658        35,268,702         4,299,084        60,833,346  
       Redeemed      (22,990,430 )      (325,959,956 )       (18,473,081 )      (263,514,399 )
     
     
         
     
  
       Net increase (decrease)      (4,894,470 )      $       (69,915,062 )       6,142,080        $  89,416,157  
     
     
         
     
  
Core Equity Fund
 
       Sold      36,534,385        671,947,291         44,529,203        800,704,772  
       Issued as reinvestment of dividends      15,026,432        247,629,362         14,432,891        260,360,335  
       Redeemed      (72,256,616 )      (1,317,324,350 )       (52,073,640 )      (934,469,135 )
     
     
         
     
  
       Net increase (decrease)      (20,695,799 )      $     (397,747,697 )       6,888,454        $126,595,972  
     
     
         
     
  
Growth Equity Fund
 
       Sold      5,330,081        56,121,602         -        -  
       Issued as reinvestment of dividends      10,005        127,960         -        -  
       Redeemed      (470,411 )      (5,525,376 )       -        -  
     
     
         
     
  
       Net increase (decrease)      4,869,675        $       50,724,186         -        $                    -  
     
     
         
     
  
Small Cap Value Equity Fund
 
       Sold      15,290,501        207,849,275         17,908,247        280,817,097  
       Issued as reinvestment of dividends      1,725,684        23,167,535         3,355,752        45,664,695  
       Redeemed      (18,384,285 )      (252,533,101 )       (14,284,755 )      (224,319,032 )
     
     
         
     
  
       Net increase (decrease)      (1,368,100 )      $       (21,516,291 )       6,979,244        $102,162,760  
     
     
         
     
  
Mid Cap Growth Equity Fund
 
       Sold      4,926,414        51,900,529         -        -  
       Issued as reinvestment of dividends      -        -         -        -  
       Redeemed      (600,808 )      (6,893,118 )       -        -  
     
     
         
     
  
       Net increase (decrease)      4,325,606        $       45,007,411         -        $                    -  
     
     
         
     
  
Small Cap Growth Equity Fund
 
       Sold      6,239,242        72,748,441         -        -  
       Issued as reinvestment of dividends      65,056        1,023,995         -        -  
       Redeemed      (504,868 )      (6,657,643 )       -        -  
     
     
         
     
  
       Net increase (decrease)      5,799,430        $       67,114,793         -        $                    -  
     
     
         
     
  
International Equity Fund
 
       Sold      36,807,063        483,253,984         24,866,276        327,156,692  
       Issued as reinvestment of dividends      3,183,628        51,730,162         7,099,782        81,504,250  
       Redeemed      (32,217,521 )      (423,396,920 )       (19,794,239 )      (255,590,686 )
     
     
         
     
  
       Net increase (decrease)      7,773,170        $     111,587,226         12,171,819        $153,070,256  
     
     
         
     
  
Notes to Financial Statements (Continued)
 
 
6. Foreign
Securities
The International Equity Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities, subject to certain percentage restrictions. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of U.S. companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. Government.
 
7. Federal Income
Tax Information
At December 31, 1999, 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, are as follows:
 
  Fund name
  Federal
Income Tax
Cost
   Tax Basis
Unrealized
Appreciation
   Tax Basis
Unrealized
Depreciation
   Net Unrealized
Appreciation
(Depreciation)
  Prime Fund   $ 355,750,791    $            20,611    $        (43,486 )    $           (22,875)  
  Short-Term Bond Fund   216,089,766    662,407    (3,789,523 )    (3,127,116)  
  Core Bond Fund   766,769,992    2,616,573    (25,541,207 )    (22,924,634)  
  Diversified Bond Fund   26,060,706    45,211    (1,046,663 )    (1,001,452)  
  Balanced Fund   684,166,364    150,056,195    (25,753,353 )    124,302,842  
  Core Equity Fund    1,975,611,470     1,142,667,538     (111,656,800 )     1,031,010,738  
  Growth Equity Fund   95,777,411    20,331,648    (1,836,047 )    18,495,601  
  Small Cap Value
Equity Fund		   562,879,915    168,390,018    (79,714,494 )    88,675,524  
  Mid Cap Growth
Equity Fund		   85,151,045    25,502,934    (2,911,414 )    22,591,520  
  Small Cap Growth
Equity Fund		   86,875,639    25,679,434    (2,606,890 )    23,072,544  
  International Equity
Fund		   855,396,296    392,386,735    (38,725,873 )    353,660,862  
 
At December 31, 1999, the following Funds had available, for Federal income tax purposes, unused capital losses:
 
         Amount
     Expiration Date
  Prime Fund      $       21,292     
12/31/2007
  Prime Fund      8,471     
12/31/2006
  Prime Fund      7,761     
12/31/2005
  Prime Fund      2,368     
12/31/2004
  Prime Fund      2,082     
12/31/2003
  Core Bond Fund       6,973,915     
12/31/2007
  Diversified Bond Fund      108,510     
12/31/2007
 
The following funds have elected to defer to January 1, 2000 post-October losses:
 
           Amount
  Short Term Bond       
$       10,211
  Core Bond       
439,887
  Diversifed Bond       
5,071
  Balanced       
 1,458,909
  Growth Equity       
14,637
  International Equity       
16,559
Notes to Financial Statements (Continued)
 
 
For corporate shareholders, a portion of the ordinary dividends paid during the Fund ’s year ended December 31, 1999 qualified for the dividends received deduction, as follows:
 
  Balanced      29.36 %
  Core Equity      100.00 %
  Growth Equity      28.42 %
  Small Cap Value Equity      41.75 %
  Small Cap Growth Equity      3.88 %
  International Equity      0.08 %

 
Pursuant to Section 852 of the Internal Revenue Code, the Funds designate the following capital gain dividends for the year ended December 31, 1999:
 
         Capital Gains Dividend
 
  Short Term Bond      $      27,317  
  Balanced      11,461,105  
  Core Equity       200,280,040  
  Small Cap Value Equity      3,964,032  
  International Equity      2,806,071  
 
The International Equity Fund paid foreign taxes of $732,464 and earned $2,423,622 of foreign source income during the year ended December 31, 1999. Pursuant to Section 853 of the Internal Revenue Code, the Fund designates $0.112 per share as foreign taxes paid and $0.372 per share as income earned from foreign sources for the year ended December 31, 1999.
 
8. Line of Credit
The Trust, on behalf of each Fund, maintained a discretionary line of credit agreement with PNC Bank, N.A. Each Fund may borrow under the line of credit, provided that the Trust’s borrowings do not exceed $25,000,000 in the aggregate at any one time. Interest is charged based on outstanding borrowings at the Federal Funds Rate plus 0.45%. The Core Equity Fund and the International Equity Fund utilized the line of credit during the year ended December 31, 1999. Average daily borrowings for the Core Equity Fund for the year ended December 31, 1999 were $15,875,000 and the average interest rate was 5.14%. Average daily borrowings for the International Equity Fund for the year ended December 31, 1999 were $4,381,818 and the average interest rate was 5.21%. The maximum borrowing outstanding during the year ended December 31, 1999 by the Trust was $25,000,000. During the year, the Trust terminated its line of credit agreement with PNC Bank, N.A.
Notes to Financial Statements (Continued)
 
 
9. Reverse Stock
Split
On February 1, 1999, the Trustees of the Funds approved a reverse stock split for Class A and Class Y shares of the Prime Fund, Short-Term Bond Fund, Core Bond Fund, Balanced Fund, Core Equity Fund, Small Cap Value Equity Fund and International Equity Fund. The reverse stock split was effective as of February 5, 1999. The reverse stock split for Class A and Class Y shares was effected in connection with MassMutual’s decision to adjust the net asset value (“NAV”) for each Class A and Class Y share of each of those Funds to the NAV for the Class S share of the applicable Fund. Each Fund’s Class A and Class Y shares were given a conversion factor based on the closing NAV for that Fund’s Class S shares on February 4, 1999. The conversion factors for Class A and Class Y shares of each Fund are as follows:
 
Name of Fund and Share Class
     Conversion Factor
Prime Fund Class A     
.014467354962913
Prime Fund Class Y     
.014476455941847
Short-Term Bond Fund Class A     
.975895602770351
Short-Term Bond Fund Class Y     
.976348446108085
Core Bond Fund Class A     
.921339124098803
Core Bond Fund Class Y     
.920821459897991
Balanced Fund Class A     
.712545629080524
Balanced Fund Class Y     
.711379099293889
Core Equity Fund Class A     
.555030465318217
Core Equity Fund Class Y     
.554699319689711
Small Cap Value Equity Fund Class A     
.572029161851185
Small Cap Value Equity Fund Class Y     
.571097238765261
International Equity Fund Class A     
.780667933040925
International Equity Fund Class Y     
.779709996060320
 
Each shareholder may determine the number of shares it owns as a result of the reverse stock split by multiplying the number of shares owned immediately prior to the reverse stock split by the above conversion factor. The reverse stock split did not result in a change to shareholder account balances.
 
10. Change in
Independent
Accountants
After consultation with the staff of the Securities and Exchange Commission ( “SEC”) as a result of concerns regarding its independence with respect to the Funds, PricewaterhouseCoopers LLP (“PwC”) resigned as auditors of the Funds, effective February 23, 1999. PwC ’s report on the financial statements for the fiscal years 1996 and 1997 did not contain an adverse opinion or a disclaimer of opinion, and was not qualified or modified as to uncertainty, audit scope or accounting principles.
 
The Trust ’s Audit Committee recommended engaging Deloitte & Touche LLP as the principal accountant to audit the Funds’ financial statements for fiscal years 1998 and 1999. The Board of Trustees approved the appointment of Deloitte & Touche LLP at a special meeting held on March 26, 1999.
 
Notes to Financial Statements (Continued)
 
 
11. New Investment
Management,
Administrative,
and Shareholder
Services
Agreements.
On or about April 2, 1999, the Funds distributed an information statement disclosing action taken by written consent of the majority shareholders of each of the following Funds: MassMutual Prime Fund, MassMutual Short-Term Bond Fund, MassMutual Core Bond Fund, MassMutual Balanced Fund, MassMutual Core Equity Fund, MassMutual Small Cap Value Equity Fund and MassMutual International Equity Fund. MassMutual was the majority shareholder of these Funds as of February 1, 1999, the record date set by the Board of Trustees. (The record date is the date for determining the number of shares and the shareholders of each Fund entitled to give consent and to receive the information statement.) On the record date, MassMutual owned the following percentages of each of the Funds:
 
Name of Fund
      Percentage of Fund’s Shares
Owned by MassMutual
Prime Fund      92.67%
Short-Term Bond Fund      100%
Core Bond Fund      99.94%
Balanced Fund      94.47%
Core Equity Fund      99.98%
Small Cap Value Fund      99.94%
International Equity Fund      99.95%
Indexed Equity Fund      99.83%
 
The Trustees approved the following proposals on February 1, 1999:
 
(1)
New Investment Management Agreements reflecting increased investment advisory fees paid to MassMutual, as Investment Manager, for the following Funds: Core Bond Fund, Core Equity Fund, Small Cap Value Equity Fund and Balanced Fund. MassMutual, as investment adviser, will be paid at an annual rate of the average daily net assets of each Fund, as follows: 0.48% for Core Bond Fund and Balanced Fund (up from 0.45%), 0.50% for Core Equity Fund (up from 0.45%); 0.58% for the Small Cap Value Fund (up from .55%).
 
(2)
Amendment to each Administrative and Shareholder Services Agreement for the Prime Fund, Short-Term Bond Fund, Core Bond Fund, Balanced Fund, Core Equity Fund, Small Cap Value Equity Fund, and International Equity Fund to (i) delete the requirement that Trustees approve any amendments thereto, and (ii) delete the provision terminating the agreement upon its assignment.
 
MassMutual, as majority shareholder, approved both proposals by written consent effective May 3, 1999.
 
12. Subsequent
Event
Effective January 1, 2000, Massachusetts Mutual Life Insurance Company ( “MassMutual”) completed an internal corporate reorganization among certain of the investment advisory functions and subsidiaries (the “Reorganization”). The Reorganization combined the business operations of MassMutual’s Investment Management division (the “IM Division”) and Charter Oak Capital Management, Inc. ( “Charter Oak”), a majority-owned (80%) indirect subsidiary of MassMutual, with and into David L. Babson and Company Incorporated ( “DLB”). DLB is a majority-owned (85%) indirect subsidiary of MassMutual. DLB is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940, as amended (the “Advisers Act”) and, prior to the Reorganization, served as investment sub-adviser to the MassMutual Core Equity Fund, the MassMutual Small Cap Value Equity Fund and the Core Equity segment of the MassMutual Balanced Fund.
 
As a result of the Reorganization, MassMutual appointed DLB to serve as investment sub-adviser for the MassMutual Prime Fund, MassMutual Short-Term Bond Fund, MassMutual Core Bond Fund, MassMutual Diversified Bond Fund and the Prime and Core Bond segments of the MassMutual Balanced Fund was transferred to DLB. The Trustees of the Trust, including a majority of the Trustees who are disinterested, approved MassMutual’s appointment of DLB as sub-adviser. No increase in fees or change in portfolio management personnel for any of the Funds occurred as a result of the Reorganization or the appointment of DLB as sub-adviser to such Funds.
 
Independent Auditors’ Report
 
To the Board of Trustees and Shareholders
of MassMutual Institutional Funds:
 
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the MassMutual Institutional Funds (the “Trust”), comprised of the Prime, Short-Term Bond, Core Bond, Diversified Bond, Balanced, Core Equity, Growth Equity, Small Cap Value Equity, Mid Cap Growth Equity, Small Cap Growth Equity, and International Equity Funds (the “Funds”) as of December 31, 1999, and the related statements of operations for the year then ended and of changes in net assets and financial highlights for the years ended December 31, 1999 and 1998. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the three years ended December 31, 1997 were audited by other auditors whose report, dated February 6, 1998, expressed an unqualified opinion on those financial highlights.
 
We conducted our audits in accordance with generally accepted auditing standards. 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 misstatements. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights. Our procedures included confirmation of securities owned at December 31, 1999 by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
 
In our opinion, such financial statements and financial highlights present fairly, in all material respects, the financial position of the Trust as of December 31, 1999, the results of their operations, the changes in their net assets for the respectively stated periods and their financial highlights for the years ended December 31, 1999 and December 31, 1998, in conformity with generally accepted accounting principles.
 
/s/ Deloitte & Touche LLP
 
Deloitte & Touche LLP
Boston, Massachusetts
February 4, 2000
MassMutual Indexed Equity Fund – Portfolio Manager Report
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with the market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Standard & Poor’s 500® Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors.
 
A fund’s “net asset value per share,” or NAV, is the market value of one share of a fund. The MassMutual Indexed Equity Fund ’s NAV for Class S shares increased from $11.82 on March 11, 1999 to $13.88 on December 31, 1999. “Net investment income” includes income from dividends and interest on the Fund’s investments after management and administrative fees have been deducted. Dividends on net investment income for Class S shares were $0.10 per share and distributions from net realized gains were $0.15 per share for the period ended December 31, 1999. Of course, past performance is no guarantee of future results.
 
The MassMutual Indexed Equity Fund invests all of its assets in the S&P 500® Index Master Portfolio, (the “Master Portfolio ”). The goal of the Master Portfolio is to hold all of the stocks in  — and match as closely as possible the performance of  — the Standard & Poor’s 500® Index. For the period March 1, 1999 through December 31, 1999, the MassMutual Indexed Equity Fund Class S shares returned 19.61%; the index returned 19.91%. The MassMutual Indexed Equity Fund’s performance lagged slightly behind the performance of the index, partially a result of the administrative and management fees that are deducted from the total return of the Fund.
 
The S&P 500 Index ended 1999 with an outstanding fourth quarter, up almost 15%, surpassing even 1998’s fourth-quarter breakout. For the year, the index returned more than 20% (after reinvesting dividends). This gain marks an unprecedented fifth consecutive calendar year of 20+% gains in the index-nearly twice the long-term historical track record.
 
Although the Index posted another impressive year, the advances in the index were not representative of performance of the broader market. To the contrary, the gains in the index were largely driven by a limited number of growth stocks, particularly those of the technology sector. This was evidenced by the disparity in the performance of the index’s largest 50 companies, which, on average, gained 106%, while the remaining 450 stocks returned, on average, 11%.
 
The Master Portfolio will continue to invest in the same securities that make up the S&P 500® Index, tracking performance of the index as closely as possible.
 
S&P does not sponsor the Fund or the Master Portfolio, nor is it affiliated in any way with Barclays Global Fund Advisors, the Master Portfolio’s investment adviser, the Master Portfolio or the Fund. “Standard & Poor’s”, “S&P”, “S&P 500”, and “Standard & Poor’s 500”, are trademarks of McGraw-Hill, Inc. and have been licensed for use by the Fund and the Master Portfolio. The Fund and the Master Portfolio are not sponsored, endorsed, sold or promoted by the S&P and S&P makes no representation or warranty, express or implied, regarding the advisability of investing in the Fund and the Master Portfolio. S&P’s only relationship to the Fund and the Master Portfolio is the licensing of certain trademarks and trade names of S&P and of the S&P 500 Index. The S&P 500 Index is determined, composed and calculated by S &P without regard to the Fund or the Master Portfolio.
 
MassMutual Indexed Equity Fund – Portfolio Manager Report (Continued)
 
 
Growth of a $10,000 Investment
 
Hypothetical Investments in MassMutual Indexed Equity Fund Classes A, Y, S and the Standard & Poor’s 500 Composite Index
 
 
MassMutual Indexed Equity Fund
Total Return
     For the Period    One Year    Since Inception
Average Annual
     3/1/99 - 12/31/99    1/1/99 - 12/31/99    3/1/98 - 12/31/99
 
Class A    19.14%    19.85%    20.58%
Class Y    19.46%    20.38%    21.07%
Class S    19.61%    20.43%    21.25%
 
Standard & Poor ’s
500 Composite Index		    19.91%    21.04%    21.81%
 
Hypothetical Investments in MassMutual Indexed Equity Fund Class L and the Standard & Poor’s 500 Composite Index
 
 
MassMutual Indexed Equity Fund
Total Return
     Since Inception
     7/1/99 - 12/31/99
 
Class L    7.38%
 
Standard & Poor ’s
500 Composite
Index		    7.71%
 
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
 
[CHART]

 Date		Class A		Class Y		Class S		S&P 500
 ----		-------		-------		-------		-------

3/1/98		$10,000		$10,000		$10,000		$10,000
5/98		$10,410		$10,420	 	$10,420		$10,435
8/98		 $9,140		 $9,160		 $9,170		 $9,190
11/98		$11,120		$11,160		$11,180		$11,215
2/99		$11,840		$11,898		$11,913		$11,974
5/99		$12,452		$12,533		$12,558		$12,629
8/99		$12,655		$12,738		$12,762		$12,850
12/98		$14,106		$14,213		$14,249		$14,358
 
[CHART]

	 Date			Class L			S&P 500
	 ----			-------			-------

        7/1/99			$10,000			$10,000
	7/31/99			 $9,680			 $9,688
  	8/99			 $9,628			 $9,640
	9/99			 $9,360			 $9,376
	10/99			 $9,957			 $9,989
	11/99			$10,148			$10,172
	12/99			$10,738			$10,771
 
Past performance is not predictive of future results. The investment return and principal value of shares of the Fund will fluctuate with market conditions so that shares of the Fund, when redeemed, may be worth more or less than their original cost. Investors should note that the Fund is a professionally managed mutual fund, while the Standard & Poor’s 500 Composite Index is unmanaged and does not incur expenses, and cannot be purchased directly by investors. Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
 
MassMutual Indexed Equity Fund – Financial Statements
 
Statement of Assets and Liabilities
 
       December 31, 1999
Assets:
                 Investment in S&P 500 Index Master Portfolio, at value (Note 1)      $862,288,631
                 Receivable for Fund shares sold      2,934,295
     
                                      Total assets      865,222,926
     
 
Liabilities:
                 Payables for:
                           Fund shares redeemed      1,431,051
                           Directors’ fees and expenses (Note 3)      2,750
                           Affiliates (Note 3):
                                      Administration fees      254,745
                                      Service fees      1,010
                 Accrued expenses      22,791
     
                                      Total liabilities      1,712,347
     
                Net assets      $863,510,579
     
 
Net assets consist of:
                 Paid-in capital      $723,758,296
                 Undistributed net investment income      82,885
                 Accumulated net realized gain on investments and closed futures contracts      2,539,605
                Net unrealized appreciation on investments and open futures contracts      137,129,793
     
                           $863,510,579
     
 
Net assets:
                Class A      $     2,066,031
     
                Class L      $     1,772,012
     
                Class Y      $  46,253,492
     
                Class S      $813,419,044
     
 
Shares outstanding:
                Class A      149,637
     
                Class L      128,361
     
                Class Y      3,348,812
     
                Class S      58,621,988
     
 
Net asset value, offering price and redemption price per share:
                Class A      $             13.81
     
                Class L      $             13.80
     
                Class Y      $             13.81
     
                Class S      $             13.88
     
 
The accompanying notes are an integral part of the financial statements.
128
 
MassMutual Indexed Equity Fund – Financial Statements (Continued)
 
Statement of Operations
 
       Period ended
December 31, 1999*
Net investment income allocated from Master Portfolio:
                 Dividends (net of withholding tax of $2,863)      $     6,472,130  
                 Interest      1,433,610  
                 Expenses      (266,810 )
     
  
                           Total net investment income allocated from Master Portfolio      7,638,930  
     
  
 
Expenses:
                Audit and legal fees      31,987  
                 Directors’ fees (Note 3)      14,739  
                 Miscellaneous      9,197  
     
  
       55,923  
 
                 Administration fees (Note 3):
                           Class A      2,961  
                           Class L**      1,681  
                           Class Y      54,801  
                           Class S      1,851,125  
                 Service fees (Note 3):
                           Class A      1,372  
     
  
                           Total expenses      1,967,863  
     
  
                           Net investment income      5,671,067  
     
  
 
Realized and unrealized gain (loss) allocated from Master Portfolio:
                Net realized gain on investment transactions and closed futures contracts      9,556,323  
                Net change in unrealized appreciation (depreciation) on investments and open futures contracts      99,551,070  
     
  
 
                           Net realized and unrealized gain allocated from Master Portfolio      109,107,393  
     
  
 
                Net increase in net assets resulting from operations      $114,778,460  
     
  
 
*
For the period from March 1, 1999 through December 31, 1999.
**
For the period from July 1, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
129
 
MassMutual Indexed Equity Fund – Financial Statements (Continued)
 
Statements of Changes in Net Assets
 
       Period ended
December 31, 1999*
      Year ended
February 28, 1999
Increase (Decrease) in Net Assets:
 
Operations:
                Net investment income      $     5,671,067        $     3,037,136  
                Net realized gain on investment transactions and closed futures contracts      9,556,323        2,030,590  
                Net change in unrealized appreciation (depreciation) on investments and
                     open futures contracts		      99,551,070        37,578,723  
     
       
  
                           Net increase in net assets resulting from operations      114,778,460        42,646,449  
     
       
  
 
Distributions to shareholders (Note 2):
                From net investment income:
                Class A      (15,268 )      (306 )
                Class L**      (15,109 )      -  
                Class Y      (368,392 )      (5,865 )
                Class S      (5,820,953 )      (2,399,425 )
     
       
  
                           Total distributions from net investment income      (6,219,722 )      (2,405,596 )
     
       
  
 
                From net realized gains:
                Class A      (19,403 )      -  
                Class L**      (15,415 )      -  
                Class Y      (425,843 )      -  
                Class S      (8,586,752 )      -  
     
       
  
                           Total distributions from net realized gains      (9,047,413 )      -  
     
       
  
 
Net fund share transactions (Note 4):
                Class A      1,808,292        100,306  
                Class L**      1,652,365        -  
                Class Y      41,823,182        806,844  
                Class S      291,051,476        386,515,936  
     
       
  
                           Increase in net assets from net fund share transactions      336,335,315        387,423,086  
     
       
  
 
                 Total increase in net assets      435,846,640        427,663,939  
 
Net assets:
                 Beginning of period      427,663,939        -  
     
       
  
 
                End of period (including undistributed net investment income of $82,885
                     and $631,540, respectively )		      $863,510,579        $427,663,939  
     
       
  
 
* For the period from March 1, 1999 through December 31, 1999.
** For the period from July 1, 1999 (commencement of operations) through December 31, 1999.
 
The accompanying notes are an integral part of the financial statements.
130
 
MassMutual Indexed Equity Fund – Financial Statements (Continued)
 
Financial Highlights (For a share outstanding throughout each period)
 
     Class A
     Class L
     Period ended
12/31/99††
      Year ended
2/28/99
      Period ended
12/31/99†
Net asset value, beginning of period    $    11.81        $    10.00        $    13.11  
    
     
     
  
Income (loss) from investment operations:
     Net investment income    0.07  **      0.06  **      0.06  **
     Net realized and unrealized gain    2.18        1.78        0.90  
    
     
     
  
              Total income (loss) from investment operations    2.25        1.84        0.96  
    
     
     
  
Less distributions to shareholders:
     From net investment income    (0.10 )      (0.03 )      (0.12 )
     From net realized gains    (0.15 )      -        (0.15 )
    
     
     
  
         (0.25 )      (0.03 )      (0.27 )
    
     
     
  
Net asset value, end of period    $       13.81        $       11.81        $       13.80  
    
     
     
  
Total Return@    19.14%        18.40%        7.38%  
Ratios / Supplemental Data:
     Net assets, end of period (000’s)    $       2,066        $         118        $       1,772  
     Net expenses to average daily net assets    0.85%  *      1.09%        0.60%  *
     Net investment income to average daily net assets    0.59%  *      0.57%        0.90%  *
 
       Class Y
     Class S
       Period ended
12/31/99††
      Year ended
02/28/99
      Period ended
12/31/99††
      Year ended
02/28/99
Net asset value, beginning of period      $    11.79        $    10.00        $    11.82        $    10.00  
    
     
     
     
  
Income (loss) from investment operations:
     Net investment income      0.11  **      0.12  **      0.12  **      0.13  **
     Net realized and unrealized gain      2.18        1.78        2.19        1.78  
     
     
     
     
  
              Total income (loss) from investment operations      2.29        1.90        2.31        1.91  
     
     
     
     
  
Less distributions to shareholders:
     From net investment income      (0.12 )      (0.11 )      (0.10 )      (0.09 )
     From net realized gains      (0.15 )      -        (0.15 )      -  
     
     
     
     
  
           (0.27 )      (0.11 )      (0.25 )      (0.09 )
     
     
     
     
  
Net asset value, end of period      $       13.81        $       11.79        $       13.88        $       11.82  
     
     
     
     
  
Total Return@      19.46%        18.98%        19.61%        19.13%  
Ratios / Supplemental Data:
     Net assets, end of period (000’s)      $     46,253        $         859        $  813,419        $  426,687  
     Net expenses to average daily net assets      0.44%  *      0.52%        0.42%  *      0.43%  
     Net investment income to average daily net assets      1.01%  *      1.09%        1.06%  *      1.23%  
 
*
Annualized
**
Per share amount calculated on the average shares method.
†
For the period from July 1, 1999 (commencement of operations) through December 31, 1999.
††
For the period from March 1, 1999 through December 31, 1999.
@
Employee retirement benefit plans that invest plan assets in the Separate Investment Accounts (SIAs) may be subject to certain charges as set forth in their respective Plan Documents. Total return figures would be lower for the periods presented if they reflected these charges.
 
The accompanying notes are an integral part of the financial statements.
131
 
MassMutual Indexed Equity Fund – Notes to Financial Statements
 
1. The Fund
MassMutual Indexed Equity Fund (the “Fund”) commenced operations on March 1, 1998 and is a series of MassMutual Institutional Funds (the “Trust”), an open-end, management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund seeks to achieve its investment objective by investing all of its assets in the S&P 500 Index® Master Portfolio (the “Master Portfolio”) of Master Investment Portfolio (“MIP”), an open-end, management investment company. The Master Portfolio has substantially the same investment objective as the Fund. Barclays Global Fund Advisors serves as investment adviser for the Master Portfolio. The financial statements for the Master Portfolio, including its Schedule of Investments, are contained elsewhere in this report and should be read in conjunction with the Fund’s financial statements.
 
Only information with respect to the Fund and the Master Portfolio is included in this report. The other series of the Trust are reported in a separate report and are not included herein.
 
The Fund has four classes of shares: Class A, Class Y, Class S, and Class L. Class L shares began operations July 1, 1999. The principal economic difference among the Classes is the level of service and administration fees borne by the Classes. The classes of shares are offered to different types of investors, as outlined in the Fund’s Prospectus.
 
The Fund’s year end has been changed from February 28 to December 31.
 
2. Significant
Accounting
Policies
The value of the Fund’s investment in the Master Portfolio reflects the Fund ’s proportionate interest in the net assets of the Master Portfolio (17.86% at December 31, 1999). The performance of the Fund is directly affected by the performance of the Master Portfolio. The following is a summary of significant accounting policies followed consistently by the Fund in the preparation of the financial statements in accordance with 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
Valuation of securities by the Master Portfolio is discussed in Note 1 of the Master Portfolio’s Notes to Financial Statements which are included elsewhere in this report.
 
Accounting for Investments
The Fund earns income daily, net of Master Portfolio expenses, based on its investment in the Master Portfolio. All the net investment income, realized and unrealized gain or loss of the Master Portfolio is allocated pro rata, based on respective ownership interests, among the Fund and the other investors in Master Portfolio at the time of such determination.
 
Federal Taxes
The Fund’s policy is 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 will not be subject to federal income taxes on its ordinary income and net realized capital gain to the extent they are distributed to their shareholders. Therefore, no Federal income tax provision is required.
 
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of any 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 gain on investment transactions for a reporting period may differ from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
 
During the period ended December 31, 1999, the following amounts were reclassified due to differences between book and tax accounting.
 
Paid-In
Capital
   Accumulated Undistributed
Net Realized Gain (Loss)
on Investments and Closed
Futures Contracts
   Undistributed
Net Investment
Income (Loss)
(105)
   
105
  
0
Mass Mutual Indexed Equity Fund – Notes to Financial Statements (Continued)
 
3. Administration
Fees and other
Transactions with
Affiliates
 
Administration
Fees
Under an 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 monthly based upon the average daily net assets of the applicable class of shares of the Fund at the following annual rates:
 
Class A      0.5345%
Class L      0.5345%
Class Y      0.3845%
Class S      0.3545%
 
Prior to April 6, 1999, MassMutual received an administrative services fee at the following annual rates:
 
Class A      0.7688%
Class Y      0.3888%
Class S      0.3588%
 
Distribution
and Service
Fees
MML Distributors, LLC (the “Distributor”) acts as distributor to the Fund. The Distributor is a majority-owned subsidiary of MassMutual. The Fund has adopted a Rule 12b-1 Plan for Class A shares of the Fund. Under the Plan, the Fund is permitted to pay distribution and service fees at the annual rate of 0.25%, in the aggregate, of the Fund’s average daily net assets attributable to Class A shares. Distribution fees may be paid to brokers or other financial intermediaries for providing services in connection with the distribution and marketing of Class A shares and for related expenses. Service fees may be paid to brokers or other financial intermediaries for providing personal services to Class A shareholders and/or maintaining Class A shareholder accounts and for related expenses.
 
Other
Certain officers and directors of the Fund are also officers of MassMutual. The compensation of unaffiliated directors of the Fund is borne by the Fund.
 
At December 31, 1999, MassMutual or separate investment accounts thereof owned 100% of the outstanding shares of Class L and 60.92%, 64.83% and 90.87% of the outstanding shares of Class A, Class Y and Class S, respectively.
 
Mass Mutual Indexed Equity Fund – Notes to Financial Statements (Continued)
 

 

4.
Shares of
Beneficial Interest
 The Fund is authorized to issue an unlimited number of shares. Changes in shares outstanding were as follows:
   
 
       Class A
 
       Period from March 1, 1999
to December 31, 1999
      Year Ended
February 28, 1999
       Shares
      Amount
      Shares
      Amount
Sold      157,478        $2,049,106        10,000        $     100,000
 
Issued as
reinvestment
of dividends		      2,531        34,671        26        306
 
Redeemed      (20,398 )      (275,485 )      -        -
       
       
       
       
 
Net increase
(decrease)		         139,611        $1,808,292        10,026        $  100,306
       
       
       
       
 
       Class L
 
              Period from July 1, 1999
(commencement of operations)
to December 31, 1999
       
              Shares
      Amount
       
Sold           133,785        $1,725,507                            
 
Issued as
reinvestment
of dividends		           2,220        30,524       
 
Redeemed           (7,644 )      (103,666 )     
                  
       
          
 
Net increase
(decrease)		           128,361        $1,652,365                            
                  
       
          
 
Mass Mutual Indexed Equity Fund – Notes to Financial Statements (Continued)
 
       Class Y
 
       Period from March 1, 1999
to December 31, 1999
      Year Ended
February 28, 1999
       Shares
      Amount
      Shares
      Amount
Sold      4,004,645      $  51,359,107        72,879        $         807,017  
 
Issued as
reinvestment
of dividends		      57,981      794,235        497        5,865  
 
Redeemed      (786,666)      (10,330,160 )      (524 )      (6,038 )
       
    
       
       
  
 
Net increase
(decrease)		      3,275,960      $  41,823,182        72,852        $         806,844  
       
    
       
       
  
 
       Class S
 
       Period From March 1, 1999
to December 31, 1999
      Year Ended
February 28, 1999
       Shares
      Amount
      Shares
      Amount
Sold      38,235,209      $492,911,870        46,076,164        $493,701,831  
 
Issued as
reinvestment
of dividends		      1,052,750      14,407,704        202,483        2,399,425  
 
Redeemed         (16,751,920)       (216,268,098 )        (10,192,698 )       (109,585,320 )
       
    
       
       
  
 
Net increase
(decrease)		      22,536,039      $291,051,476        36,085,949        $386,515,936  
       
    
       
       
  
 
5. Federal Income
Tax Information
For corporate shareholders, 91.68% of the ordinary dividends paid during the Fund ’s period ended December 31, 1999 qualified for the dividends received deduction.
 
Pursuant to Section 852 of the Internal Revenue Code, the Fund has designated capital gain dividends of $8,203,307 for the period ended December 31, 1999.
 
Independent Auditors’ Report
 
To the Board of Trustees and Shareholders
of MassMutual Indexed Equity Fund:
 
We have audited the accompanying statement of assets and liabilities of the MassMutual Indexed Equity Fund as of December 31, 1999 and the related statements of operations, changes in net assets and financial highlights for the periods presented. Our responsibility is to express an opinion on these financial statements based on our audits.
 
We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by the management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
 
In our opinion, such financial statements present fairly, in all material respects, the financial position of the MassMutual Indexed Equity Fund as of December 31, 1999, the results of its operations, the changes in its net assets and its financial highlights for the periods presented in conformity with generally accepted accounting principles.
 
/s/ Deloitte & Touche LLP
 
Deloitte & Touche LLP
Boston, Massachusetts
February 11, 2000
Master Investment Portfolio – S&P 500 Index Master Portfolio
Portfolio of Investments – December 31, 1999
 
Security Name
    Shares
    Value
                              
COMMON STOCKS  — 96.26%
ADVERTISING  — 0.27%
Interpublic Group Co Inc    107,383    $           6,194,657
Omnicom Group    67,509    6,750,900
         
TOTAL ADVERTISING
—  VALUE            $         12,945,557
—  COST       $           6,043,792
 
AEROSPACE/DEFENSE  — 1.18%
Boeing Co    356,357    $         14,811,088
General Dynamics Corp    71,266    3,759,281
Goodrich (B F) Co    34,653    952,957
Honeywell International Inc    299,106    17,254,677
Lockheed Martin Corp    151,413    3,312,159
Northrop Grumman Corp    26,579    1,436,927
Raytheon Co Class B    129,063    3,428,236
United Technologies Corp    182,808    11,882,520
         
TOTAL AEROSPACE/DEFENSE
—  VALUE            $         56,837,845
—  COST            $         50,908,685
 
AIRLINES —  0.22%
AMR Corp †    57,567    $           3,856,989
Delta Air Lines Inc    53,167    2,648,381
Southwest Airlines Co    193,037    3,124,786
USAirways Group Inc †    28,465    912,659
         
TOTAL AIRLINES
—  VALUE            $         10,542,815
—  COST            $           9,589,571
 
APPAREL —  0.17%
Liz Claiborne Inc    24,271    $               913,196
Nike Inc Class B    107,232    5,314,686
Reebok International Ltd †    22,146    181,320
Russell Corp    13,707    229,592
VF Corp    46,290    1,388,700
         
TOTAL APPAREL
—  VALUE            $           8,027,494
—  COST            $           8,026,371
 
AUTO MANUFACTURERS  — 0.93%
Ford Motor Co    458,260    $         24,488,269
General Motors Corp Class A    243,639    17,709,510
Navistar International Corp †    25,666    1,215,927
PACCAR Inc    30,273    1,341,472
         
TOTAL AUTO MANUFACTURERS
—  VALUE            $         44,755,178
—  COST            $         31,543,211
 
AUTO PARTS & EQUIPMENT — 0.20%
Cooper Tire & Rubber Co    29,617    $               460,915
Dana Corp    64,030    1,916,898
Security Name
    Shares
    Value
                              
Delphi Automotive Systems Corp    216,361    $           3,407,686
Goodyear Tire & Rubber Co    60,125    1,694,773
TRW Inc    46,477    2,413,899
         
TOTAL AUTO PARTS & EQUIPMENT
—  VALUE            $           9,894,171
—  COST            $         11,608,581
 
BANKS —  4.96%
Amsouth Bancorp    133,902    $           2,585,982
Bank of New York Co Inc    279,156    11,166,240
Bank One Corp    437,601    14,030,582
BankAmerica Corp    647,205    32,481,601
BB&T Corp    120,484    3,298,250
Chase Manhattan Corp    313,185    24,330,560
Comerica Inc    59,938    2,798,355
Fifth Third Bancorp    109,658    8,046,156
First Union Corp    362,892    11,907,394
Firstar Corp    374,181    7,904,574
FleetBoston Financial Corp    349,568    12,169,336
Golden West Financial    63,654    2,132,409
Huntington Bancshares Inc    88,677    2,117,163
KeyCorp    171,409    3,792,424
Mellon Financial Corp    195,583    6,662,046
Morgan (J P) & Co Inc    66,489    8,419,170
National City Corp    235,464    5,577,554
Northern Trust Corp    85,146    4,512,738
Old Kent Financial Corp    34,400    1,216,900
PNC Bank Corp    114,295    5,086,127
Regions Financial Corp    85,833    2,156,554
Republic New York Corp    40,184    2,893,248
SouthTrust Corp    63,289    2,393,115
State Street Boston Corp    61,542    4,496,412
Summit Bancorp    66,056    2,022,965
SunTrust Banks Inc    122,242    8,411,778
Synovus Financial Corp    103,581    2,058,672
U.S. Bancorp    278,309    6,627,233
Union Planters Corp    53,845    2,123,512
Wachovia Corp    77,040    5,238,720
Washington Mutual Inc    220,472    5,732,272
Wells Fargo & Co    623,474    25,211,730
         
TOTAL BANKS
—  VALUE            $       239,601,772
—  COST            $       226,819,971
 
BEVERAGES —  1.91%
Anheuser-Busch Inc    177,324    $         12,567,839
Brown-Forman Corp Class B    26,460    1,514,835
Coca-Cola Co    934,391    54,428,276
Coca-Cola Enterprises Co    162,898    3,278,322
Coors (Adolph) Co Class B    14,382    755,055
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
137
Master Investment Portfolio – S&P 500 Index Master Portfolio
Portfolio of Investments – December 31, 1999 – (Continued)
 
Security Name
    Shares
    Value
                              
Diageo PLC ADR (UK)    17    $                      544
Pepsico Inc    553,554    19,512,779
         
TOTAL BEVERAGES
—  VALUE            $         92,057,650
—  COST            $         80,351,664
 
BIOTECHNOLOGY  — 0.66%
Amgen Inc †    386,562    $         23,217,880
Monsanto Co    240,552    8,569,739
         
TOTAL BIOTECHNOLOGY
—  VALUE            $         31,787,619
—  COST            $         15,323,757
 
BUILDING MATERIALS  — 0.13%
Armstrong World Industries Inc    15,543    $               518,748
Masco Corp    156,883    3,980,906
Owens Corning Fiberglas Corp    20,986    405,292
Vulcan Materials Co    32,120    1,282,793
         
TOTAL BUILDING MATERIALS
—  VALUE            $           6,187,739
—  COST            $           6,873,934
 
CHEMICALS —  1.20%
Air Products & Chemicals Inc    87,959    $           2,952,124
Ashland Inc    28,437    936,644
Dow Chemical Co    83,558    11,165,438
Du Pont (E I) de Nemours    394,057    25,958,505
Eastman Chemical Co    30,282    1,444,073
Engelhard Corp    48,653    918,325
Grace (W R) Co †    27,178    377,095
Great Lakes Chemical Corp    22,691    866,513
Hercules Inc    38,616    1,076,421
Praxair Inc    60,801    3,059,050
Rohm & Haas Co    81,296    3,307,731
Sherwin Williams Co    65,777    1,381,317
Sigma-Aldrich Corp    39,041    1,173,670
Union Carbide Corp    51,017    3,405,385
         
TOTAL CHEMICALS
—  VALUE            $         58,022,291
—  COST            $         47,443,341
 
COMMERCIAL SERVICES  — 0.49%
Block (H R) Inc    37,527    $           1,641,806
Cendant Corp †    274,479    7,290,848
Deluxe Corp    30,074    825,155
Donnelley (R R) & Sons Co    49,915    1,238,516
Dun & Bradstreet Corp    62,396    1,840,682
Ecolab Inc    50,020    1,957,033
Equifax Inc    55,846    1,315,871
McKesson HBOC Inc    105,816    2,387,474
Paychex Inc    94,001    3,760,040
Security Name
    Shares
    Value
                              
Quintiles Transnational Corp †    25,800    $               482,137
Service Corp International    101,954    707,306
         
TOTAL COMMERCIAL SERVICES
—  VALUE            $         23,446,868
—  COST            $         28,439,975
 
COMPUTERS —9.58%
3Com Corp †    133,118    $           6,256,546
Adaptec Inc †    31,300    1,561,087
Apple Computer Inc †    60,296    6,199,183
Cabletron Systems Inc †    62,807    1,632,982
Ceridian Corp †    55,853    1,204,330
Cisco Systems Inc †    1,229,986    131,762,250
Compaq Computer Corp    644,412    17,439,400
Computer Sciences Corp †    61,031    5,775,058
Dell Computer Corp †    961,746    49,049,046
Electronic Data Systems Corp    179,898    12,041,922
EMC Corp †    383,629    41,911,468
Gateway Inc †    119,048    8,578,897
Hewlett-Packard Co    383,434    43,687,511
International Business Machine Corp    681,649    73,618,092
Lexmark International Group Class A †    44,975    4,070,237
Network Appliance Inc †    53,250    4,423,078
Seagate Technology Inc †    79,776    3,714,570
Silicon Graphics Inc †    73,128    717,569
Sun Microsystems Inc †    585,786    45,361,803
Unisys Corp †    108,675    3,470,808
         
TOTAL COMPUTERS
—  VALUE            $       462,475,837
—  COST            $       176,115,888
 
COSMETICS/PERSONAL CARE — 2.16%
Alberto-Culver Co Class B    21,777    $               562,119
Avon Products Inc    96,143    3,172,719
Colgate-Palmolive Co    221,134    14,373,710
Gillette Co    408,333    16,818,215
International Flavor & Fragrances Inc    40,998    1,547,674
Kimberly-Clark Corp    202,091    13,186,438
Procter & Gamble Co    497,231    54,477,871
         
TOTAL COSMETICS/PERSONAL CARE
—  VALUE            $       104,138,746
—  COST            $         68,964,678
 
DISTRIBUTION/WHOLESALE  — 0.19%
Costco Wholesale Corp †    83,938    $           7,659,342
Genuine Parts Co    69,138    1,715,489
         
TOTAL DISTRIBUTION/WHOLESALE
—  VALUE            $           9,374,831
—  COST            $           5,792,322
 
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
138
Master Investment Portfolio – S&P 500 Index Master Portfolio
Portfolio of Investments – December 31, 1999 – (Continued)
 
Security Name
    Shares
    Value
                              
DIVERSIFIED FINANCIAL SERVICES — 4.91%
American Express Corp    169,847    $         28,237,064
Associates First Capital Corp    276,610    7,589,487
Bear Stearns Co Inc    47,199    2,017,757
Capital One Financial Corp    75,490    3,637,674
Citigroup Inc    1,275,154    70,850,744
Countrywide Credit Industries Inc    43,374    1,095,193
Federal Home Loan Mortgage Corporation    263,711    12,410,899
Federal National Mortgage Association    388,233    24,240,298
Franklin Resources Inc    96,631    3,098,231
Household International Inc    181,216    6,750,296
Lehman Brothers Holdings    45,325    3,838,461
MBNA Corp    304,775    8,305,119
Merrill Lynch & Co Inc    140,237    11,709,789
Morgan Stanley Dean Witter    211,367    30,172,639
Paine Webber Group Inc    55,154    2,140,665
Price (T Rowe) & Associates    35,000    1,292,812
Providian Financial Corp    54,109    4,927,301
Schwab (Charles) Corp    310,318    11,908,453
SLM Holding Corp    61,684    2,606,149
         
TOTAL DIVERSIFIED FINANCIAL SERVICES
—  VALUE            $       236,829,031
—  COST            $       143,235,527
 
ELECTRIC —  1.56%
AES Corp †    73,105    $           5,464,599
Ameren Corp    52,966    1,734,636
American Electric Power Inc    74,389    2,389,747
Carolina Power & Light Co    59,226    1,802,691
Central & South West Corp    82,182    1,643,640
Cinergy Corp    61,411    1,481,540
CMS Energy Corp    43,993    1,372,032
Consolidated Edison Inc    84,720    2,922,840
Constellation Energy Group    57,860    1,677,940
Dominion Resources Inc    73,506    2,885,110
DTE Energy Co    56,010    1,757,314
Duke Energy Corp    138,806    6,957,651
Edison International    132,874    3,479,638
Entergy Corp    94,882    2,443,211
FirstEnergy Corp    90,161    2,045,528
Florida Progress Corp    37,858    1,601,867
FPL Group Inc    68,706    2,941,476
GPU Inc    48,607    1,455,172
New Century Energies Inc    44,293    1,345,400
Niagara Mohawk Holdings Inc †    72,680    1,012,978
Northern States Power Co    58,795    1,146,502
PECO Energy Co    71,748    2,493,243
PG&E Corp    147,012    3,013,746
Pinnacle West Capital Corp    23,500    718,219
PP & L Resources Inc    59,377    1,358,249
Public Service Enterprise Group    84,063    2,926,443
Reliant Energy Inc    112,934    2,583,365
Southern Co    260,050    6,111,175
Security Name
    Shares
    Value
                              
Texas Utilities Co    105,661    $           3,757,569
Unicom Corp    83,448    2,795,508
         
TOTAL ELECTRIC
—  VALUE            $         75,319,029
—  COST            $         77,602,095
 
ELECTRICAL COMPONENTS &
EQUIPMENT — 0.25%
Emerson Electric Co    165,032    $           9,468,711
Molex Inc    50,600    2,868,387
         
TOTAL ELECTRICAL COMPONENTS &
EQUIPMENT
—  VALUE            $         12,337,098
—  COST            $         10,607,048
 
ELECTRONICS  — 0.66%
Analog Devices Inc †    59,990    $           5,579,070
Johnson Controls Inc    32,858    1,868,799
Millipore Corp    17,225    665,316
Parker Hannifin Corp    41,831    2,146,453
PE Corp-PE Biosystems Group    38,586    4,642,378
Perkin Elmer Inc    17,648    735,701
Solectron Corp †    106,352    10,116,734
Tektronix Inc    18,410    715,689
Teradyne Inc †    56,740    3,744,840
Thermo Electron Corp †    61,303    919,545
Thomas & Betts Corp    21,793    694,652
       
TOTAL ELECTRONICS
—  VALUE            $         31,829,177
—  COST            $         20,085,745
 
ENGINEERING & CONSTRUCTION — 0.03%
Fluor Corp    29,408    $           1,349,107
Foster Wheeler Corp    15,952    141,574
         
TOTAL ENGINEERING & CONSTRUCTION
—  VALUE            $           1,490,681
—  COST            $           1,940,013
 
ENTERTAINMENT  — 0.05%
Harrah’s Entertainment Inc †    48,115    $           1,272,040
Mirage Resorts Inc †    73,225    1,121,258
         
TOTAL ENTERTAINMENT
—  VALUE            $           2,393,298
—  COST            $           2,764,549
ENVIRONMENTAL CONTROL  — 0.09%
Allied Waste Industries Inc †    50,915    $               448,688
Waste Management Inc    234,418    4,029,059
         
TOTAL ENVIRONMENTAL CONTROL
—  VALUE            $           4,477,747
—  COST            $         12,258,279
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
139
Master Investment Portfolio – S&P 500 Index Master Portfolio
Portfolio of Investments – December 31, 1999 – (Continued)
 
Security Name
    Shares
    Value
                              
FOOD —  1.92%
Albertson’s Inc    160,326    $           5,170,514
Archer-Daniels-Midland Co    236,583    2,883,355
Bestfoods    106,212    5,582,768
Campbell Soup Co    165,111    6,387,732
ConAgra Inc    186,381    4,205,221
General Mills Inc    116,686    4,171,524
Great Atlantic & Pacific Tea Co    14,838    413,609
Heinz (H J) Co    136,452    5,432,495
Hershey Foods Corp    53,535    2,542,913
Kellogg Co    154,449    4,758,960
Kroger Co †    316,160    5,967,520
Nabisco Group Holdings Corp    125,413    1,332,513
Quaker Oats Co    51,208    3,360,525
Ralston-Purina Group    123,746    3,449,420
Safeway Inc †    190,959    6,790,979
Sara Lee Corp    343,377    7,575,755
Super Value Inc    46,279    925,580
Sysco Corp    126,212    4,993,262
Unilever NV    216,889    11,806,895
Winn-Dixie Stores Inc    57,358    1,373,007
Wrigley (W M) Jr Co    44,437    3,685,494
         
TOTAL FOOD
—  VALUE            $         92,810,041
—  COST            $         95,478,258
 
FOREST PRODUCTS & PAPER — 0.65%
Boise Cascade Corp    22,043    $               892,742
Champion International Corp    36,981    2,290,511
Fort James Corp    85,028    2,327,642
Georgia-Pacific Corp    65,839    3,341,329
International Paper Co    157,147    8,868,984
Louisiana-Pacific Corp    41,771    595,237
Mead Corp    39,296    1,706,920
Potlatch Corp    11,371    507,431
Temple-Inland Inc    21,587    1,423,393
Westvaco Corp    38,863    1,267,905
Weyerhaeuser Co    83,345    5,985,213
Willamette Industries Inc    42,972    1,995,512
         
TOTAL FOREST PRODUCTS & PAPER
—  VALUE            $         31,202,819
—  COST            $         24,681,546
 
GAS —  0.07%
Eastern Enterprises    8,432    $               484,313
NICOR Inc    18,445    599,463
ONEOK Inc    12,234    307,379
Peoples Energy Corp    13,909    465,952
Sempra Energy    92,729    1,611,166
         
TOTAL GAS
—  VALUE            $           3,468,273
—  COST            $           3,873,551
 
Security Name
    Shares
    Value
                              
HAND/MACHINE TOOLS  — 0.11%
Black & Decker Corp    33,627    $           1,757,011
Grainger (W W) Inc    36,123    1,727,131
Milacron Inc    14,859    228,457
Snap-On Inc    23,453    622,970
Stanley Works    34,452    1,037,867
         
TOTAL HAND/MACHINE TOOLS
—  VALUE            $           5,373,436
—  COST            $           4,908,947
 
HEALTH CARE  — 2.24%
Allergan Inc    50,800    $           2,527,300
Bard (C R) Inc    19,978    1,058,834
Bausch & Lomb Inc    21,821    1,493,375
Baxter International Inc    110,721    6,954,663
Becton Dickinson & Co    96,061    2,569,632
Biomet Inc    43,468    1,738,720
Boston Scientific Corp †    152,221    3,329,834
Columbia/HCA Healthcare Corp    214,786    6,295,915
Guidant Corp †    115,111    5,410,217
Healthsouth Corp †    160,259    861,392
Humana Inc †    64,704    529,764
Johnson & Johnson    520,147    48,438,689
Mallinckrodt Group Inc    27,624    878,789
Manor Care Inc †    42,886    686,176
Medtronics Inc    444,856    16,209,441
St Jude Medical Inc †    32,653    1,002,039
Tenet Healthcare Corp †    119,123    2,799,391
United Healthcare Corp    66,303    3,522,347
Wellpoint Health Networks †    25,355    1,671,845
         
TOTAL HEALTH CARE
—  VALUE            $       107,978,363
—  COST            $         84,180,983
HOLDING COMPANIES-DIVERSIFIED — 0.15%
Seagrams Co Ltd    164,437    $           7,389,388
         
TOTAL HOLDING COMPANIES-DIVERSIFIED
—  VALUE            $           7,389,388
—  COST            $           6,502,452
 
HOME BUILDERS  — 0.03%
Centex Corp    23,215    $               573,120
Fleetwood Enterprises Inc    13,708    282,728
Kaufman & Broad Home Corp    17,979    434,867
Pulte Corp    17,087    384,458
         
TOTAL HOME BUILDERS
—  VALUE            $           1,675,173
—  COST            $           1,648,851
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
140
Master Investment Portfolio – S&P 500 Index Master Portfolio
Portfolio of Investments – December 31, 1999 – (Continued)
 
Security Name
    Shares
    Value
                              
HOME FURNISHINGS  — 0.10%
Leggett & Platt Inc    56,700    $           1,215,506
Maytag Corp    33,811    1,622,928
Whirlpool Corp    29,131    1,895,336
         
TOTAL HOME FURNISHINGS
—  VALUE            $           4,733,770
—  COST            $           4,062,818
 
HOUSEHOLD PRODUCTS/WARES — 0.30%
American Greetings Corp Class A    26,270    $               620,629
Avery-Dennison Corp    43,633    3,179,755
Clorox Co    90,052    4,536,370
Fortune Brands Inc    64,148    2,120,893
Jostens Inc    13,796    335,415
Newell Rubbermaid Inc    107,840    3,127,360
Tupperware Corp    22,621    383,143
         
TOTAL HOUSEHOLD PRODUCTS/WARES
—  VALUE            $         14,303,565
—  COST            $         12,785,042
 
INSURANCE —  2.91%
Aetna Inc    54,289    $           3,030,005
AFLAC Corp    101,382    4,783,963
Allstate Corp    303,349    7,280,376
American General Corp    94,773    7,190,901
American International Group Inc    585,625    63,320,703
Aon Corp    98,022    3,920,860
Chubb Corp    63,769    3,590,992
CIGNA Corp    70,827    5,706,000
Cincinnati Financial Corp    63,644    1,984,897
Conseco Inc    123,646    2,210,172
Hartford Financial Services Group    86,412    4,093,769
Jefferson-Pilot Corp    40,464    2,761,668
Lincoln National Corp    76,197    3,047,880
Loews Corp    41,313    2,507,183
Marsh & McLennan Companies Inc    100,335    9,600,805
MBIA Inc    38,539    2,035,341
MGIC Investment Corp    41,931    2,523,722
Progressive Corp Ohio    28,125    2,056,641
SAFECO Corp    51,422    1,279,122
St Paul Cos    86,993    2,930,577
Torchmark Corp    51,586    1,499,218
UNUM Provident Corp    91,610    2,937,246
         
TOTAL INSURANCE
—  VALUE            $       140,292,041
—  COST            $       108,341,003
 
Security Name
    Shares
    Value
                              
IRON/STEEL —  0.07%
Bethlehem Steel Corp †    50,451    $               422,527
Nucor Corp    33,724    1,848,497
USX —  U.S. Steel Group    34,183    1,128,039
         
TOTAL IRON/STEEL
—  VALUE            $           3,399,063
—  COST            $           3,375,440
 
LEISURE TIME  — 0.25%
Brunswick Corp    35,682    $               793,925
Carnival Corp Class A    232,789    11,130,224
         
TOTAL LEISURE TIME
—  VALUE            $         11,924,149
—  COST            $         11,133,423
 
LODGING —  0.08%
Hilton Hotels Corp    100,112    $               963,578
Marriott International    95,283    3,007,370
         
TOTAL LODGING
—  VALUE            $           3,970,948
—  COST            $           3,919,019
 
MACHINERY —  0.46%
Briggs & Stratton Corp    9,122    $               489,167
Caterpillar Inc    135,328    6,368,874
Cummins Engine Co Inc    15,900    768,169
Deere & Co    89,327    3,874,559
Dover Corp    79,663    3,614,709
Ingersoll-Rand Co    63,286    3,484,685
McDermott International Inc    23,106    209,398
NACCO Industries Inc Class A    3,027    168,188
Rockwell International Corp    73,145    3,501,817
         
TOTAL MACHINERY
—  VALUE            $         22,479,566
—  COST            $         18,440,998
 
MANUFACTURERS  — 5.74%
Cooper Industries Inc    36,420    $           1,472,734
Corning Inc    92,903    11,978,681
Crane Co    26,543    527,542
Danaher Corp    51,856    2,502,052
Eastman Kodak Co    120,341    7,972,591
Eaton Corp    27,696    2,011,422
FMC Corp †    12,392    710,217
General Electric Co    1,239,186    191,764,034
Illinois Tool Works Inc    107,786    7,282,292
ITT Industries Inc    34,073    1,139,316
Minnesota Mining & Manufacturing Co    152,721    14,947,568
National Service Industries Inc    15,998    471,941
Pall Corp    48,399    1,043,603
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
141
Master Investment Portfolio – S&P 500 Index Master Portfolio
Portfolio of Investments – December 31, 1999 – (Continued)
 
Security Name
    Shares
    Value
                              
Polaroid Corp    17,470    $              328,654
PPG Industries Inc    66,344    4,150,647
Textron Inc    57,334    4,396,801
Tyco International Ltd    633,078    24,610,907
         
TOTAL MANUFACTURERS
—  VALUE            $       277,311,002
—  COST            $       143,990,320
 
MEDIA —  3.40%
CBS Corp †    288,983    $         18,476,851
Clear Channel Communications Inc †    127,745    11,401,241
Comcast Corp Class A    284,258    14,372,795
Disney (Walt) Co    781,324    22,853,727
Dow Jones & Co Inc    34,936    2,375,648
Gannett Co Inc    106,280    8,668,463
Knight-Ridder Inc    30,498    1,814,631
McGraw-Hill Inc    75,095    4,627,729
MediaOne Group Inc †    229,855    17,655,737
Meredith Corp    20,197    841,962
New York Times Co Class A    66,704    3,276,834
Time Warner Inc    487,770    35,332,839
Times Mirror Co Class A    23,181    1,553,127
Tribune Co    90,382    4,976,659
Viacom Inc Class B †    264,159    15,965,110
         
TOTAL MEDIA
—  VALUE            $       164,193,353
—  COST            $         91,189,951
 
METAL FABRICATE/HARDWARE — 0.04%
Allegheny Technologies Inc    37,270    $               836,246
Timken Co    24,501    500,739
Worthington Industries Inc    36,040    596,913
         
TOTAL METAL FABRICATE/HARDWARE
—  VALUE            $           1,933,898
—  COST            $           2,569,460
 
METALS-DIVERSIFIED  — 0.47%
Alcan Aluminum Ltd    86,465    $           3,561,277
Alcoa Inc    139,199    11,553,517
Freeport McMoRan Inc †    63,424    1,339,832
Inco Ltd †    70,437    1,655,270
Phelps Dodge Corp    22,901    1,537,230
Placer Dome Inc    120,056    1,290,602
Reynolds Metals Co    24,353    1,866,049
         
TOTAL METALS-DIVERSIFIED
—  VALUE            $         22,803,777
—  COST            $         15,205,426
 
Security Name
    Shares
    Value
                              
MINING —  0.10%
Barrick Gold Corp    147,998    $           2,617,715
Homestake Mining Co    92,085    719,414
Newmont Mining Corp    64,155    1,571,798
         
TOTAL MINING
—  VALUE            $           4,908,927
—  COST            $           6,518,262
 
OFFICE/BUSINESS EQUIPMENT — 0.22%
Pitney Bowes Inc    102,053    4,930,436
Xerox Corp    252,366    5,725,554
         
TOTAL OFFICE/BUSINESS EQUIPMENT
—  VALUE            $         10,655,990
—  COST            $         13,290,457
 
OIL & GAS PRODUCERS — 4.87%
Amerada Hess Corp    34,891    $           1,980,064
Anadarko Petroleum Corp    46,745    1,595,173
Apache Corp    41,497    1,532,795
Atlantic Richfield Corp    122,330    10,581,545
Burlington Resources Inc    70,978    2,346,710
Chevron Corp    248,501    21,526,399
Coastal Corp    81,860    2,900,914
Conoco Inc Class B    238,785    5,939,776
Exxon Mobil Corp    1,305,075    105,140,105
Helmerich & Payne Inc    19,470    424,689
Kerr-McGee Corp    32,874    2,038,188
Occidental Petroleum Corp    133,734    2,891,998
Phillips Petroleum Co    96,587    4,539,589
Rowan Co Inc †    32,475    704,302
Royal Dutch Petroleum Corp    811,574    49,049,504
Sunoco Inc    35,137    825,720
Texaco Inc    206,300    11,204,669
Tosco Corp    43,600    1,185,375
Transocean Sedco Forex Inc    40,219    1,354,873
Union Pacific Resources Group    97,483    1,242,908
Unocal Corp    92,813    3,115,036
USX —  Marathon Group    118,377    2,922,432
         
TOTAL OIL & GAS PRODUCERS
—  VALUE            $       235,042,764
—  COST            $       170,481,951
 
OIL & GAS SERVICES  — 0.44%
Baker Hughes Inc    126,058    $           2,655,097
Halliburton Co    167,918    6,758,700
Schlumberger Ltd    207,742    11,685,488
         
TOTAL OIL & GAS SERVICES
—  VALUE            $         21,099,285
—  COST            $         18,232,858
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
142
Master Investment Portfolio – S&P 500 Index Master Portfolio
Portfolio of Investments – December 31, 1999 – (Continued)
 
Security Name
    Shares
    Value
                              
PACKAGING & CONTAINERS — 0.13%
Ball Corp    11,780    $               463,838
Bemis Co    20,358    709,985
Crown Cork & Seal Co    47,391    1,060,374
Owens Illinois Inc †    60,369    1,512,998
Pactiv Corp †    65,875    699,922
Sealed Air Corp †    32,207    1,668,725
         
TOTAL PACKAGING & CONTAINERS
—  VALUE            $           6,115,842
—  COST            $           9,121,867
 
PHARMACEUTICALS  — 5.99%
Abbott Laboratories    576,420    $         20,931,251
ALZA Corp †    37,839    1,310,175
American Home Products Corp    494,953    19,519,709
Bristol-Myers Squibb Co    750,938    48,200,833
Cardinal Health Inc    103,852    4,971,915
Lilly (Eli) & Co    413,744    27,513,976
Merck & Co Inc    884,208    59,297,199
Pfizer Inc    1,465,296    47,530,539
Pharmacia & Upjohn Inc    192,356    8,656,020
Schering-Plough Corp    556,114    23,461,059
Warner Lambert Co    323,703    26,523,415
Watson Pharmaceutical Inc †    35,421    1,268,515
         
TOTAL PHARMACEUTICALS
—  VALUE            $       289,184,606
—  COST            $       213,451,375
 
PIPELINES —  0.51%
Columbia Energy Group    32,122    $           2,031,717
Consolidated Natural Gas Co    36,891    2,395,609
El Paso Energy Corp    77,357    3,002,419
Enron Corp    271,020    12,026,513
Williams Co Inc    165,460    5,056,871
         
TOTAL PIPELINES
—  VALUE            $         24,513,129
—  COST            $         17,444,082
 
RETAIL —  6.40%
AutoZone Inc †    57,606    $           1,861,381
Bed Bath & Beyond Inc †    41,600    1,445,600
Best Buy Co Inc †    77,898    3,909,506
Circuit City Stores Inc    77,063    3,472,651
Consolidated Stores Corp †    42,302    687,408
CVS Corp    149,244    5,960,432
Darden Restaurants Inc    51,880    940,325
Dayton-Hudson Corp    167,774    12,320,903
Dillards Inc Class A    41,422    836,207
Dollar General Corp    85,424    1,943,396
Federated Department Stores Inc †    79,767    4,033,219
Gap Inc    325,148    14,956,808
Security Name
    Shares
    Value
                              
Harcourt General Inc    27,581    $           1,110,135
Home Depot Inc    862,041    59,103,686
IKON Office Solutions Inc    53,983    367,759
Kmart Corp †    190,809    1,920,016
Kohls Corp †    62,134    4,485,298
Limited Inc    81,938    3,548,940
Longs Drug Stores Corp    15,054    388,581
Lowe’s Co Inc    142,840    8,534,690
May Department Stores Co    127,673    4,117,454
McDonald’s Corp    513,168    20,687,085
Nordstrom Inc    54,615    1,430,230
Office Depot Inc †    138,149    1,511,005
Penney (J C) Co Inc    101,249    2,018,652
Pep Boys (The)  — Manny Moe & Jack    20,775    189,572
Rite Aid Corp    100,031    1,119,097
Sears Roebuck & Co    145,124    4,417,212
Staples Inc †    177,729    3,687,877
Tandy Corp    73,625    3,621,430
TJX Companies Inc    122,203    2,497,524
Toys R Us Inc †    96,075    1,375,073
Tricon Global Restaurants †    59,032    2,280,111
Wal-Mart Stores Inc    1,681,610    116,241,291
Walgreen Co    380,778    11,137,757
Wendy’s International Inc    47,843    986,762
         
TOTAL RETAIL
—  VALUE            $       309,145,073
—  COST            $       172,421,820
 
SEMICONDUCTORS  — 3.62%
Advanced Micro Devices Inc †    55,827    $           1,615,494
Applied Materials Inc †    142,318    18,029,912
Intel Corp    1,255,365    103,332,232
KLA Instruments Corp †    33,748    3,758,684
LSI Logic Corp †    55,154    3,722,895
Micron Technology Inc †    95,676    7,438,779
National Semiconductor †    64,381    2,756,312
Texas Instruments Inc    298,263    28,894,228
Xilinx Inc †    111,400    5,065,224
         
TOTAL SEMICONDUCTORS
—  VALUE            $       174,613,760
—  COST            $         75,366,825
 
SOFTWARE —  9.57%
Adobe Systems Inc    46,726    $           3,142,324
America Online Inc †    838,542    63,257,512
Autodesk Inc    20,332    686,205
Automatic Data Processing    234,757    12,647,533
BMC Software Inc †    90,534    7,237,062
Citrix Systems Inc †    30,070    3,698,610
Computer Associates International Inc    203,896    14,259,977
Compuware Corp †    136,195    5,073,264
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
143
Master Investment Portfolio – S&P 500 Index Master Portfolio
Portfolio of Investments – December 31, 1999 – (Continued)
 
Security Name
    Shares
    Value
                              
First Data Corp    161,323    $           7,955,240
IMS Health Inc    119,883    3,259,319
Microsoft Corp †    1,943,474    226,900,590
Novell Inc †    128,514    5,132,528
Oracle Corp †    538,861    60,386,111
Parametric Technology Corp †    103,203    2,792,931
PeopleSoft Inc †    90,560    1,930,060
Shared Medical System Corp    10,340    526,694
Yahoo! Inc †    99,540    43,069,714
         
TOTAL SOFTWARE
—  VALUE            $       461,955,674
—  COST            $       206,608,210
 
TELECOMMUNICATION EQUIPMENT — 4.97%
ADC Telecommunications †    49,901    $           3,620,941
Andrew Corp †    32,217    610,109
Comverse Technology Inc †    23,500    3,401,625
General Instrument Corp †    65,466    5,564,610
Lucent Technologies Inc    1,176,833    88,041,819
Motorola Inc    229,918    33,855,426
Nortel Networks Corp    502,367    50,739,067
QUALCOMM Inc †    245,196    43,185,146
Scientific-Atlanta Inc    28,973    1,611,623
Tellabs Inc †    148,663    9,542,306
         
TOTAL TELECOMMUNICATION EQUIPMENT
—  VALUE            $       240,172,672
—  COST            $         85,508,910
 
TELECOMMUNICATIONS  — 0.93%
Global Crossing Ltd †    283,449    $         14,172,450
NEXTEL Communications Class A †    133,682    13,785,956
Sprint Corp (PCS Group) †    164,107    16,820,957
         
TOTAL TELECOMMUNICATIONS
—  VALUE            $         44,779,363
—  COST            $         15,127,390
 
TELEPHONE —  6.71%
Alltel Corp    114,284    $           9,449,858
AT & T Corp    1,208,638    61,338,379
Bell Atlantic Corp    587,785    36,185,514
BellSouth Corp    713,419    33,396,927
CenturyTel Inc    52,469    2,485,719
GTE Corp    368,665    26,013,924
MCI WorldCom Inc †    1,063,259    56,419,154
SBC Communications Inc    1,290,288    62,901,540
Sprint Corp    328,630    22,120,907
U.S. West Inc    191,430    13,782,960
         
TOTAL TELEPHONE
—  VALUE            $       324,094,882
—  COST            $       209,737,582
 
Security Name
    Shares
    Value
                              
TEXTILES —  0.01%
Springs Industries Inc Class A    7,142    $               285,234
         
TOTAL TEXTILES
—  VALUE            $               285,234
—  COST            $               288,318
 
TOBACCO —  0.47%
Philip Morris Co Inc    899,120    $         20,848,345
UST Inc    67,406    1,697,789
         
TOTAL TOBACCO
—  VALUE            $         22,546,134
—  COST            $         33,540,360
 
TOYS/GAMES/HOBBIES  — 0.07%
Hasbro Inc    75,412    $           1,437,541
Mattel Inc    159,572    2,094,383
         
TOTAL TOYS/GAMES/HOBBIES
—  VALUE            $           3,531,924
—  COST            $           5,755,424
 
TRANSPORTATION  — 0.45%
Burlington Northern Santa Fe Corp    177,184    $           4,296,712
CSX Corp    83,427    2,617,522
FDX Corp †    113,457    4,644,646
Kansas City Southern Industries Inc    41,791    3,118,653
Norfolk Southern Corp    145,750    2,987,875
Union Pacific Corp    94,580    4,126,053
         
TOTAL TRANSPORTATION
—  VALUE            $         21,791,461
—  COST            $         23,262,453
 
TRUCKING & LEASING  — 0.01%
Ryder System Inc    26,060    $               636,841
         
TOTAL TRUCKING & LEASING
—  VALUE            $               636,841
—  COST            $               724,416
         
TOTAL COMMON STOCKS
—  VALUE            $     4,647,088,660
—  COST            $     2,955,509,045
 
(Continued)
 
The accompanying notes are an integral part of the financial statements.
144
Master Investment Portfolio – S&P 500 Index Master Portfolio
Portfolio of Investments – December 31, 1999 – (Continued)
 
Security Name
      Interest
Rate
      Maturity
Date
      Principal
      Value
SHORT TERM INSTRUMENTS  — 4.67%
CASH EQUIVALENTS  — 1.02%
Goldman Sachs Financial Square Prime Obligation Fund††      5.40%        01/03/00      $  44,072,532        $     44,072,532  
Investors Bank & Trust Depositary Receipt††      5.53%        01/03/00      5,100,000        5,100,000  
                             
  
                                      $     49,172,532  
 
REPURCHASE AGREEMENTS  — 3.33%
Morgan Stanley Tri-party Repurchase Agreement dated 12/31/99, due 01/03/00 with a maturity value of
$160,491,184 and an effective yield of 2.40%, collateralized by U.S. Treasury Notes with a rate of
6.25%, a maturity of 04/30/01 and market value of $163,671,231.		      2.40%        01/03/00      $160,459,092        $   160,459,092  
                             
  
 
U.S. TREASURY BILLS  — 0.32%
U.S. Treasury Bills† ††      5.04% *      03/23/00      $  15,750,000        $     15,572,534  
                             
  
  TOTAL SHORT TERM INSTRUMENTS
  —  VALUE                            $   225,204,158  
  —  COST                            $   225,192,218  
 
TOTAL INVESTMENTS IN SECURITIES
(Cost $3,180,701,263) ** (Notes 1 and 3)                       100.93 %      $4,872,292,818  
Other Assets and Liabilities, Net                       (0.93 )%      (44,767,792 )
                    
     
  
  TOTAL NET ASSETS                     100.00 %      $4,827,525,026  
                    
     
  
 
†   
Non-income earning securities.
††  
Represents investment of collateral received from securities lending transactions. See Note 4.
†† †
These U.S. Treasury Bills are held in segregated accounts in connection with the Master Portfolio’s holdings of S&P 500 futures contracts. See Note 1.
*   
Yield to Maturity.
 
** 
Cost for federal income tax purposes is $3,183,525,561 and net unrealized appreciation consists of:
 
Gross Unrealized Appreciation    $1,830,907,457  
Gross Unrealized Depreciation    $  (142,140,200 )
    
  
NET UNREALIZED APPRECIATION    $1,688,767,257  
    
  
 
The accompanying notes are an integral part of the financial statements.
145
Master Investment Portfolio – S&P 500 Index Master Portfolio
Financial Statements
 
Statement of Assets & Liabilities
 
     December 31, 1999
Assets
Investments:
In securities, at market value (see cost below) (Note 1)    $4,872,292,818
Receivables:
     Dividends and interest    4,418,560
     Receivable for daily variation margin on open financial futures contracts    413,112
    
Total Assets    4,877,124,490
    
 
Liabilities
Payables:
     Collateral for securities loaned (Note 4)    49,172,532
     Due to Bank    4,859
     Due to BGI (Note 2)    422,073
    
Total Liabilities    49,599,464
    
 
Total Net Assets    $4,827,525,026
    
 
Investments at Cost    $3,180,701,263
 
The accompanying notes are an integral part of the financial statements.
146
Master Investment Portfolio – S&P 500 Index Master Portfolio
Financial Statements – (Continued)
 
Statements of Operations
 
       For the
Period Ended
December 31, 
 1999*
      For the Year
Ended
February 28, 
 1999
Net Investment Income
     Dividends†      $  44,329,664      $  36,647,898  
     Interest††      9,795,587      8,379,792  
       
    
  
Total Investment Income      54,125,251      45,027,690  
       
    
  
 
Expenses (Note 2)
     Advisory Fees      1,821,793      1,353,414  
       
    
  
Total Expenses      1,821,793      1,353,414  
       
    
  
Net Investment Income      52,303,458      43,674,276  
       
    
  
Realized And Unrealized Gain (Loss) On Investments
Net realized gain (loss) on sale of investments      147,202,745      143,991,139  
Net realized gain (loss) on sale of futures contracts      23,076,772      37,982,701  
Net change in unrealized appreciation (depreciation) of investments      549,246,681      265,023,900  
Net change in unrealized appreciation (depreciation) of future contracts      12,849,150      (14,225,550 )
       
    
  
Net Gain (Loss) on Investments      732,375,348      432,772,190  
       
    
  
 
Net Increase (Decrease) In Net Assets Resulting From Operations      $784,678,806      $476,446,466  
       
    
  
 
† Net of foreign withholding tax of:      $           28,773      $             5,288  
††  Interest income includes securities lending income of:      $         272,312      $           78,935  
* For the ten months ended December 31, 1999. The Master Portfolio changed its fiscal year end from February
28 to December 31.		          
 
The accompanying notes are an integral part of the financial statements.
147
Master Investment Portfolio – S&P 500 Index Master Portfolio
Financial Statements – (Continued)
 
Statements of Changes in Net Assets
 
     For the
Period Ended
December 31, 1999*
    For the
Year Ended
February 28, 1999
    For the
Year Ended
February 28, 1998
Increase (Decrease) In Net Assets
 
Operations:
     Net investment income (loss)    $     52,303,458    $     43,674,276    $     35,530,147
     Net realized gain (loss) on sales of investments    170,279,517    181,973,840    71,368,439
     Net change in unrealized appreciation (depreciation) of investments    562,095,831    250,798,350    463,085,650
    
 
 
Net increase (decrease) in net assets resulting from operations    784,678,806    476,446,466    569,984,236
    
 
 
 
Net increase (decrease) in net assets resulting from beneficial interest transactions    355,753,442    856,583,098    299,742,532
    
 
 
 
Increase (Decrease) in Net Assets    1,140,432,248    1,333,029,564    869,726,768
    
 
 
 
Net Assets:
Beginning net assets    $3,687,092,778    $2,354,063,214    $1,484,336,446
    
 
 
 
Ending net assets    $4,827,525,026    $3,687,092,778    $2,354,063,214
    
 
 
 
*
For the ten months ended December 31, 1999. The Master Portfolio changed its fiscal year end from February 28 to December 31.
 
The accompanying notes are an integral part of the financial statements.
148
Master Investment Portfolio – S&P 500 Index Master Portfolio
Notes to Financial Statements
 
 
Significant Accounting Policies
1. Significant Accounting Policies
Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. MIP was organized on October 20, 1993 as a Delaware business trust pursuant to an Agreement and Declaration of Trust dated May 14, 1993, and had no operations prior to March 1, 1994. MIP currently issues, the following separate portfolios (the “Master Portfolios”), the Asset Allocation, Bond Index, LifePath Income (formerly Lifepath 2000), LifePath 2010, LifePath 2020, LifePath 2030, LifePath 2040, Money Market, S&P 500 Index, Extended Index, International Index and U.S. Equity Index Master Portfolios. These financial statements relate to the S&P 500 Index Master Portfolio.
 
The following significant accounting policies are consistently followed by MIP in the preparation of its financial statements, and such policies are in conformity with generally accepted accounting principles for investment companies. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.
 
The Board of Trustees of MIP approved a change in fiscal year-end from February 28 to December 31 for the S&P 500 Index Master Portfolio on February 10, 1999. Accordingly, the financial statements are presented for the ten-month period ended December 31, 1999.
 
Security Valuation
The equity securities of the Master Portfolio are valued at the last reported sale price on the primary securities exchange or national securities market on which such securities are traded. Securities not listed on an exchange or national securities market, or securities in which there was no last reported sales price, are valued at the most recent bid prices. Debt securities are generally traded in the over-the-counter market and are valued at a price deemed best to reflect fair value as quoted by dealers who make markets in those securities or by an independent pricing source. U.S. Government obligations are valued at the last reported bid price. Debt securities maturing in 60 days or less are valued at amortized cost, which approximates market value. Any securities, restricted securities or other assets for which market quotations are not readily available, are valued at fair value as determined in good faith in accordance with policies approved by MIP ’s Board of Trustees.
 
Security Transactions and Income Recognition
Security transactions are accounted for on the date the securities are purchased or sold (trade date). Dividend income is recognized on the ex-dividend date, and interest income is recognized on a daily accrual basis. Realized gains or losses are reported on the basis of identified cost of securities delivered. Original issue discount and discount on securities purchased are accreted as interest income using a constant yield to maturity method. Premiums on securities purchased are not amortized.
 
Federal Income Taxes
The Master Portfolio intends to qualify as a partnership for federal income tax purposes. The Master Portfolio therefore believes that it will not be subject to any federal income tax on its income and net realized capital gains (if any). However, each investor in a Master Portfolio will be taxed on its allocable share of the partnership’s income and capital gains for the purposes of determining its federal income tax liability. The determination of such share will be made in accordance with the applicable sections of the Internal Revenue Code of 1986, as amended (the “Code”).
 
It is intended that the Master Portfolio’s assets, income and allocations will be managed in such a way that a regulated investment company investing in the Master Portfolio will be able to satisfy the requirements of Subchapter M of the Code, assuming that the regulated investment company invested all of its assets in the Master Portfolio.
Master Investment Portfolio – S&P 500 Index Master Portfolio
Notes to Financial Statements – (Continued)
 
 
Futures
Contracts
The S&P 500 Index Master Portfolio may purchase long futures contracts to gain exposure to market changes as this may be more efficient or cost effective than actually buying the securities. A futures contract is an agreement between two parties to buy and sell a security at a set price on a future date and is exchange traded. Upon entering into a futures contract, the S&P 500 Index Master Portfolio is required to pledge to the broker an amount of cash, U.S. Government securities or other high-quality debt securities equal to the minimum “initial margin ” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as unrealized gains or losses. When the contract is closed, the Master Portfolio records a 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. Pursuant to regulations and/or published positions of the Securities and Exchange Commission, the Master Portfolio is required to segregate cash, U.S. Government obligations or high quality, liquid debt instruments in connection with long futures transactions in an amount generally equal to the entire futures contract amount. Risks of entering into futures contracts include the possibility that there may be an illiquid market and that a change in the value of the contracts may not correlate with changes in the value of the underlying securities. As of December 31, 1999, the S&P 500 Index Master Portfolio had the following open long futures contracts outstanding.
 
S&P 500 Index Master Portfolio
 
Number of  Contracts   
Type
    Expiration
Date		    Notional
Contract Value		    Net Unrealized
Appreciation
    484    S & P 500 Index   
3/17/00
   
$179,588,200
   
$9,872,575
 
The S&P 500 Index Master Portfolio has pledged to brokers U.S. Treasury Bills for initial margin requirements with a par value of $15,750,000.
 
Repurchase
Agreements
Transactions involving purchases of securities under agreements to resell such securities at a specified price and time (“repurchase agreements ”) are treated as collateralized financing transactions and are recorded at their contracted resale amounts. These repurchase agreements, if any, are detailed in the Master Portfolio’s Portfolio of Investments. The adviser to the Master Portfolio may pool the Master Portfolio’s cash and invest in repurchase agreements entered into by the other Master Portfolios. The Master Portfolio’s prospectus requires that the cash investments be fully collateralized based on values that are marked to market daily. The collateral is generally held by an agent bank under a tri-party agreement. It is the advisor’s responsibility to value collateral daily and to obtain additional collateral as necessary to maintain the value at equal to or greater than 102% of market value. The repurchase agreements entered into on December 31, 1999, by the Master Portfolio are collateralized by U.S. Government Securities.
 
2.
Agreements and
Other
Transactions with
Affiliates
Pursuant to an Investment Advisory Contract with the Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment guidance and policy direction in connection with the management of the Master Portfolio ’s assets. BGFA is entitled to receive 0.05% of the average daily net assets of the S&P 500 Index Master Portfolio as compensation for advisory services. BGFA is an indirect subsidiary of Barclays Bank PLC.
 
Investors Bank & Trust Company (“IBT”) serves as the custodian to the Master Portfolio. IBT will not be entitled to receive fees for its custodial services so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as SubAdministrator of the Master Portfolio.
Master Investment Portfolio – S&P 500 Index Master Portfolio
Notes to Financial Statements – (Continued)
 
 
Stephens Inc. ( “Stephens”), is the sponsor and placement agent for the Master Portfolios.
 
The MIP has entered into administration services arrangements with BGI and Stephens, as co-administrators, who have agreed jointly to provide general administration services to the Master Portfolio, such as managing and coordinating third-party service relationships. BGI and Stephens are not entitled to compensation for providing administration services to the Master Portfolio. BGI and Stephens may delegate certain of their administration duties to sub-administrators.
 
Certain officers and trustees of MIP are also officers of Stephens. As of December 31, 1999, these officers of Stephens collectively owned less than 1% of the Master Portfolio’s outstanding beneficial interests.
 
3. Investment
Portfolio
Transactions
Purchases and sales of investments, exclusive of short-term securities, for the Master Portfolio were as follows:
 
     S&P 500  Index
Master Portfolio
Aggregate Purchases
and Sales of:		    Period ended
Dec. 31, 1999*		    Year ended
Feb. 28, 1999
 
U.S. GOVERNMENT
OBLIGATIONS:
     Purchases at cost    $                    0    $                      0
     Sales proceeds    0    0
OTHER SECURITIES:
     Purchases at cost    $751,324,556    $1,187,951,471
     Sales proceeds    269,734,128    275,613,257
 
*
For the ten months ended December 31, 1999. The Master Portfolio changed its fiscal year end from February 28 to December 31.
 
4. Portfolio
Securities
Loaned
As of December 31, 1999, the S&P 500 Index Master Portfolio had loaned securities which were collateralized by cash. The Master Portfolio receives transaction fees for providing services in connection with the securities lending program. The risk to the Portfolio of securities lending are that the borrower may not provide additional collateral when required or return the securities when due. The value of the securities on loan and the value of the related collateral were as follows:
 
     Securities    Collateral
S&P 500 Index Master Portfolio    $47,645,223    $49,172,532
 
5. Financial
Highlights
The ratios of expenses in net investment income to average net assets and the portfolio turnover rates, excluding short-term securities, for the Master Portfolio are as follows:
 
     For the
Period Ended
December 31,
1999 *		    For the
Year Ended
February 28,
1999		    For the
Year Ended
February 29,
1998
    S &P 500 Index Master Portfolio
     Ratio of expenses to average net
    assets†		    0.05%    0.05 %    0.05 %
     Ratio of net investment income
    to average net assets†		    1.44%    1.61 %    1.89 %
     Portfolio turnover    7%    11 %    6 %
 
*
For the ten months ended December 31, 1999. The Master Portfolio changed their fiscal year-end from February 28 to December 31.
†
Annualized for period of less that one year.
Master Investment Portfolio – S&P 500 Index Master Portfolio
Report of Independent Auditors
 
To the Interestholders and Board of Trustees of
Master Investment Portfolio:
 
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of the S&P 500 Index Master Portfolio (one portfolio comprising Master Investment Portfolio) as of December 31, 1999, the related statements of operations for the ten-month period then ended and for the year-ended February 28, 1999, and the statements of changes in net assets for the ten-month period then ended and for each of the years in the two-year period ended February 28, 1999. These financial statements are the responsibility of the Trust ’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
 
We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 1999 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
 
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the S&P 500 Index Master Investment Portfolio as of December 31, 1999, the results of its operations and the changes in its net assets for the periods indicated above in conformity with generally accepted accounting principles.
 
/s/ KPMG LLP
 
San Francisco, California
February 11, 2000


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