N-CSR 1 a2152350zn-csr.txt N-CSR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-02224 --------------------------------------------- MML Series Investment Fund -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 1295 State Street, Springfield, MA 01111 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) David W. O'Leary 1295 State Street, Springfield, MA 01111 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 413-788-8411 ---------------- Date of fiscal year end: 12/31/2004 ------------ Date of reporting period: 12/31/2004 ----------- ITEM 1 REPORTS TO STOCKHOLDERS. MML SERIES INVESTMENT FUND ANNUAL REPORT FOR THE YEAR ENDED DECEMBER 31, 2004 [GRAPHIC] MML EQUITY INDEX FUND MML SMALL CAP EQUITY FUND INVEST INSURE RETIRE [MASSMUTUAL FINANCIAL GROUP(SM) LOGO] YOU CAN'T PREDICT. YOU CAN PREPARE(R). TABLE OF CONTENTS PORTFOLIO MANAGER REPORTS 1 PORTFOLIO OF INVESTMENTS 7 MML Equity Index Fund 7 MML Small Cap Equity Fund 13 STATEMENT OF ASSETS AND LIABILITIES 15 STATEMENT OF OPERATIONS 16 STATEMENT OF CHANGES IN NET ASSETS 17 FINANCIAL HIGHLIGHTS 18 NOTES TO FINANCIAL STATEMENTS 21 INDEPENDENT AUDITORS' REPORT 29 DIRECTORS AND OFFICERS (UNAUDITED) 30 FEDERAL TAX INFORMATION (UNAUDITED) 32 FUND EXPENSES (UNAUDITED) 33
THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS FOR THE MML SERIES INVESTMENT FUND. INVESTORS SHOULD CONSIDER A FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THIS AND OTHER INFORMATION ABOUT THE INVESTMENT COMPANY IS AVAILABLE IN THE PROSPECTUS. READ IT CAREFULLY BEFORE INVESTING. MML SERIES INVESTMENT FUND - LETTER TO SHAREHOLDERS [PHOTO OF DAVID O'LEARY] DAVID O'LEARY "IN MASSMUTUAL'S VIEW, INVESTORS SHOULD FOCUS ON THE LONG TERM, WITH A PORTFOLIO THAT IS APPROPRIATELY DIVERSIFIED BASED ON THEIR FINANCIAL GOALS, TIME HORIZON AND RISK COMFORT LEVEL. STAYING THE COURSE WITH TIME-TESTED PRINCIPLES, SUCH AS DIVERSIFICATION, HAS HISTORICALLY PROVEN TO BE A SOUND STRATEGY." A LOOK BACK AT 2004 During the first half of 2004, the strong market advance of 2003 lost much of its momentum, as unsettling geopolitical developments, a nebulous market environment and the uncertainty surrounding the U.S. presidential election weighed on investors' minds. Although the larger-cap and technology-oriented market indexes lost some traction in the first quarter, the S&P 500 Index(R)* held its ground and small-cap and international stocks advanced. The bond market also benefited from slightly lower interest rates. A seesaw of positives and negatives kept many investors from making definitive moves in the second quarter. Despite stronger economic growth and corporate profits, greater consumer confidence and improving employment statistics, higher oil prices, renewed inflation concerns and continued terrorist threats unnerved investors. As a result, many market indexes turned in nearly flat returns. In the third quarter, stocks lost ground as high energy prices, rising interest rates, presidential election jitters and the worst hurricane season in 40 years kept investors on the defensive. Bonds outperformed stocks, despite two increases in short-term interest rates by the Federal Reserve (Fed). As 2004 drew to a close, many investors saw gains in the major stock indexes for both the fourth quarter and the year itself. The fixed income rally that had buoyed bond prices for a good portion of the year slowed considerably in the middle of the fourth quarter. Underscoring investor preference for technology stocks over blue chips as 2004 wound down, the Nasdaq Composite Index and Dow Jones Industrial Average returned 14.69% and 7.48% for the quarter and 8.59% and 5.29% for the year, respectively. Small-cap stocks easily outdistanced large caps on both a quarterly basis and for the year. International stocks benefited from the continued weakening of the dollar relative to other currencies, as the MSCI EAFE Index outperformed nearly every other major equity index. Despite an investment trend away from fixed income and toward equities, many bond investors still notched positive returns for the year. As with much of the year, economic news in the fourth quarter was generally mixed. Many investors were encouraged by a swift resolution to the presidential election and reports of an overall improvement in economic fundamentals. However, gyrating oil prices, predictions about a weak holiday retailing season, weak statistics for new home sales and mortgage applications and concerns about corporate earnings kept an equity rally from sustaining momentum until the second half of the fourth quarter, when a series of economic reports pointed to solid expansion and an improved outlook. THE ROLE OF THE WEAKENING DOLLAR In the fourth quarter of 2004, the U.S. dollar declined dramatically relative to its key benchmark currencies, including the euro, the Japanese yen and the British pound. The strong performance of international markets in 2004 directly correlates to the dollar's weakness. Currency rates suddenly became a focus for investors, who wondered about the impact to their portfolios and whether a falling dollar could be both negative and positive. The answer seems to be yes - depending on your perspective. ---------- * Indexes are unmanaged, do not incur fees or expenses and cannot be purchased directly for investment. i Put simply, a dollar that is strengthening can buy more units of a foreign currency; a weakening dollar will buy fewer. When the dollar strengthens, the prices of goods and services produced abroad go down for American consumers, who have more purchasing power to buy foreign securities, and a better rate of exchange when traveling abroad. Viewed differently, a strong dollar means that U.S. companies have greater difficulty doing business internationally, as they must compete with the lower prices of foreign products. Conversely, when the value of the dollar declines, foreign products become more expensive for U.S. buyers, U.S. companies can offer more competitive pricing on products overseas, foreign travelers find the U.S. to be more affordable, and securities denominated in dollars become more attractive. On the other hand, the prices of foreign-produced goods become higher for U.S. buyers - whose travel to other countries may become cost-prohibitive and whose foreign securities purchasing power diminishes. OUTLOOK The weakening dollar notwithstanding, as we look toward 2005, there are various encouraging economic signs on the horizon. Inflation and interest rates are still low and economic expansion has been widely substantiated. Reports on personal income, consumer confidence and durable goods have suggested the economy may sustain above-average growth in the near term, all of which could translate into stronger corporate earnings figures and higher stock prices. The Fed will likely continue to raise interest rates at a measured pace - in tandem with a potentially stronger equity environment, this may present a challenge to bond investors. In summary, MassMutual continues to believe that investors should focus on the long term, with a portfolio that is appropriately diversified based on their financial goals, time horizon and risk comfort level. Staying the course with time-tested principles, such as diversification, has historically helped investors reach their goals, although past performance is no guarantee of future results. /s/ David W. O'Leary David W. O'Leary PRESIDENT THE OPINIONS EXPRESSED HEREIN ARE THOSE OF MASSMUTUAL AS OF JANUARY 1, 2005 AND ARE SUBJECT TO CHANGE WITHOUT NOTICE. THIS INFORMATION IS NOT TO BE CONSTRUED AS TAX, LEGAL OR INVESTMENT ADVICE. ii MML EQUITY INDEX FUND - PORTFOLIO MANAGER REPORT WHAT IS THE INVESTMENT OBJECTIVE OF THE MML EQUITY INDEX FUND? The Fund seeks to approximate as closely as practicable (before fees and expenses) the capitalization-weighted total rate of return of that portion of the U.S. market for publicly traded common stocks composed of larger-capitalized companies. The Fund pursues this objective by investing at least 80% of its assets in the equity securities of companies that make up the S&P 500 Index(R). HOW DID THE FUND PERFORM DURING 2004? For the 12 months ended December 31, 2004, the Fund's Class I shares returned 10.42%, nearly in line with the 10.88% return of the S&P 500 Index(R), a market-capitalization-weighted, unmanaged index of 500 common stocks. WHAT WAS THE INVESTMENT BACKDROP DURING THE PERIOD? While the U.S. economy continued to demonstrate signs of improvement during the first few months of 2004, a muted improvement in job growth dampened enthusiasm. Given the pace of economic growth, the sluggish job market implied a significant increase in corporate productivity, expected to translate into continued strong corporate profits. In this environment, value stocks continued to outpace growth stocks as they did in 2003. During the second quarter, the U.S. economy was positively impacted by a number of factors, including a rise in consumer confidence, rising corporate profits and improvements in the labor market, although the market was held back by a number of factors, including concerns of a Federal Reserve (Fed) interest rate hike and the handover of power in Iraq. The market gained some stability with both events taking place uneventfully at the end of June; however, investors remained cautious. Fixed-income markets struggled during the period, sparked by the rate increase and anticipation of further increases. In the third quarter, rapidly increasing oil prices, continued global instability and concerns over the lack of job growth tempered the performance of U.S. equity markets. The Fed raised the federal funds rate by 0.25% and affirmed its expectations that the flow of future economic data would support continued tightening at a measured pace. Bonds outperformed stocks for the quarter by approximately five percentage points. Global equity markets generally fared better than the U.S. equity markets, led by favorable performance across Europe. The U.S. economy rallied again in the fourth quarter. Economic growth, changing from a consumption-driven trend to one fueled by business and business investment, advanced slightly, although corporate executives were cautiously optimistic. Inflation remained relatively under control, and expectations continued that the Fed would maintain a measured pace of interest rate increases. Although the dollar, on a trade-weighted basis, continued to decline, the desirability of U.S. assets remained quite high. WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE? In the first quarter, sector performance was mixed. The financials sector provided the greatest contribution to the market's return; consumer staples and energy also helped boost Index performance. Conversely, the information technology sector, which drove the performance of the Index in 2003, lagged in the first quarter. Sector results were also mixed in the second quarter, as the financial services sector, which has the largest weight in the S&P 500, underperformed all other groups. On the other hand, the S&P's second-largest sector, information technology, advanced for the period. Energy was the best-performing sector. Continuing the trend of the prior two quarters, sector performance throughout the third quarter was mixed. The energy sector, driven by the rise in oil prices, advanced the most, while information technology turned in the worst performance, losing ground during the period. During the final quarter of 2004, all sectors generated results of 4.7% or better, with the information technology sector's double-digit advance leading the way. The financials sector also drove performance for the period. 1 MML EQUITY INDEX FUND INDUSTRY TABLE (% OF NET ASSETS) ON 12/31/04 Banking, Savings & Loans 11.8% Pharmaceuticals 8.5% Energy 7.2% Electrical Equipment & Electronics 6.8% Retail 5.7% Insurance 5.0% Computers & Information 4.4% Prepackaged Software 4.2% Financial Services 3.9% Broadcasting, Publishing & Printing 2.8% Electric Utilities 2.7% Medical Supplies 2.4% Cosmetics & Personal Care 2.3% Beverages 2.2% Communications 2.2% Telephone Utilities 2.2% Commercial Services 2.0% Foods 1.9% Aerospace & Defense 1.9% Transportation 1.9% Industrial - Diversified 1.9% Chemicals 1.6% Tobacco 1.3% Healthcare 1.1% Entertainment & Leisure 1.0% Automotive & Parts 1.0% Machinery & Components 0.9% Computers & Office Equipment 0.9% Data Processing & Preparation 0.8% Apparel, Textiles & Shoes 0.8% Metals & Mining 0.7% Household Products 0.6% Restaurants 0.6% Forest Products & Paper 0.5% Information Retrieval Services 0.4% Manufacturing 0.4% Computer Integrated Systems Design 0.4% Communications Equipment 0.4% Lodging 0.3% Home Construction, Furnishings & Appliances 0.3% Advertising 0.2% Building Materials & Construction 0.2% Real Estate 0.2% Containers 0.2% Air Transportation 0.1% Toys, Games 0.1% Photography Equipment/ Supplies 0.1% Retail - Grocery 0.1% Industrial - Distribution 0.1% Computer Programming Services 0.0% Travel 0.0% Futures 0.0% Short-Term Investments and Other Assets and Liabilities 0.8% ----- 100.0% =====
MML EQUITY INDEX FUND LARGEST STOCK HOLDINGS (12/31/04) General Electric Co. Exxon Mobil Corp. Microsoft Corp. Citigroup, Inc. Wal-Mart Stores, Inc. Pfizer, Inc. Bank of America Corp. Johnson & Johnson American International Group, Inc. International Business Machines Corp. 2 GROWTH OF A $10,000 INVESTMENT Hypothetical Investments in MML Equity Index Fund Class I and the S&P 500 Index. MML SERIES INVESTMENT FUND TOTAL RETURN
FIVE YEAR SINCE INCEPTION ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL 1/1/04 - 12/31/04 1/1/00 - 12/31/04 5/1/97 - 12/31/04 ML Equity Index Fund Class I 10.42% -2.75% 6.63% S&P 500 Index 10.88% -2.30% 7.15%
Hypothetical Investments in MML Equity Index Fund Class II, Class III and the S&P 500 Index MML SERIES INVESTMENT FUND TOTAL RETURN
SINCE INCEPTION ONE YEAR AVERAGE ANNUAL 1/1/04 - 12/31/04 5/1/00 - 12/31/04 MML Equity Index Fund Class II 10.60% -2.58% MML Equity Index Fund Class III 10.77% -2.51% S&P 500 Index 10.88% -2.29%
[CHART] GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
CLASS I S&P 500 Index 5/1/97 $ 10,000 $ 10,000 12/97 $ 12,193 $ 12,255 12/98 $ 15,634 $ 15,757 12/99 $ 18,811 $ 19,073 12/00 $ 17,018 $ 17,338 12/01 $ 14,921 $ 15,279 12/02 $ 11,569 $ 11,903 12/03 $ 14,818 $ 15,316 12/04 $ 16,362 $ 16,981
[CHART]
CLASS II CLASS III S&P 500 INDEX 5/1/2000 $ 10,000 $ 10,000 $ 10,000 12/00 $ 9,137 $ 9,150 $ 9,162 12/01 $ 8,024 $ 8,024 $ 8,074 12/02 $ 6,236 $ 6,244 $ 6,290 12/03 $ 8,001 $ 8,016 $ 8,094 12/04 $ 8,849 $ 8,879 $ 8,974
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY ACCESSING THE WEBSITE AT www.massmutual.com. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE S&P 500 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S PROSPECTUS WITH REGARD TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. THE FUND'S RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER SHARE WITHOUT THE DEDUCTION OF ANY PRODUCT CHARGES. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. 3 MML SMALL CAP EQUITY FUND - PORTFOLIO MANAGER REPORT WHAT IS THE INVESTMENT OBJECTIVE OF THE MML SMALL CAP EQUITY FUND? This Fund seeks to achieve long-term growth of capital and income by investing primarily in a diversified portfolio of equity securities of smaller companies. HOW DID THE FUND PERFORM DURING 2004? For the 12 months ended December 31, 2004, the Fund's shares returned 16.36%, trailing the 18.33% return of the Russell 2000 Index, a broadly based, unmanaged index of 2000 small-capitalization common stocks. WHAT WAS THE INVESTMENT BACKGROUND DURING THE PERIOD? Equity markets recorded modest gains in the first quarter of 2004, as renewed concerns over terrorism and rising oil prices dampened investor psychology and enthusiasm after a strong start in January. Job growth improved during the period; other positive indicators included favorable corporate earnings, declining interest rates and healthy consumer spending. During the second quarter, equities posted only a slight gain, as a bit of a holding pattern set in due to anxiety over how much and when the Federal Reserve would raise interest rates. Investors got closure at the end of June, when the central bank boosted rates for the first time since May 2000 by a quarter of a percentage point. Equity markets, relieved, rose modestly. Additional economic measures released during the quarter were largely favorable, although a few wrinkles remained - namely jobs and oil. Third quarter equity market performance resembled a roller-coaster ride. Early in the quarter, factors such as higher interest rates, rising oil prices and weak economic data drove markets lower. Things turned around in the middle of August, when longer-term interest rates trended lower and bargain hunters feasted on attractive equity valuations. In September, however, headwinds - including record oil prices and presidential election uncertainty - cast a chill on the markets. Equity markets closed 2004 on a strong note, finishing a second straight year in positive territory. With a major element of uncertainty - political leadership - eliminated, investors refocused on major economic indicators, such as strengthening job creation and improved consumer confidence. WHAT FACTORS CONTRIBUTED TO THE FUND'S PERFORMANCE? During the first quarter of 2004, less-than-favorable stock selection hindered the Fund's progress. In particular, our choices in the consumer discretionary, financial services and health care sectors hampered performance. The Fund's emphasis on oil services companies in the energy sector and semiconductor names in the technology sector also detracted from results, as both areas experienced a significant price correction during the quarter. Conversely, the Fund experienced strong results in autos/transportation. In the second quarter, favorable stock selection, from the autos/transportation and financial services sectors to the producer durables and technology sectors, helped to drive returns. Several of the Fund's energy services holdings and companies specializing in electrical components and equipment realized particularly strong results. Additionally, in technology, the Fund's holdings significantly outperformed corresponding benchmark positions and in the consumer discretionary sector, our holdings added value. The Fund's health care stocks hampered performance somewhat, although the portfolio held only minimal positions. Performance for the Fund's technology holdings was weak in the third quarter, particularly for a few holdings in the semiconductor space. Our stock selection was also weak in the financial services and health care sectors. With respect to areas of strength, our results continued to be highly favorable in the other energy and autos and transportation sectors, where several energy services holdings and companies specializing in shipping realized particularly strong results. In the final quarter of 2004, our stock selection turned out to be largely favorable across most economic sectors, with particular strength in the financial services, materials and processing, and health care sectors. The portfolio's holdings in the autos and transportation sector, a leading area in 2004, also performed strongly. Areas of weakness relative to the Russell 2000 Index were the technology, producer durables and consumer discretionary sectors. 4 WHAT IS YOUR OUTLOOK? Our 2005 outlook for the U.S. stock market assumes that profit growth will decelerate from 2004 levels and settle in the 8% to 10% range. It is likely the market could face downward pressure on valuations as interest rates rise. If these two trends materialize, we may be faced with a lackluster year for equities. Conversely, the stock market should be able to take in stride rising interest rates, as long as the increases are gradual and inflation does not become troublesome. MML SMALL CAP EQUITY FUND INDUSTRY TABLE (% OF NET ASSETS) ON 12/31/04 Machinery & Components 13.1% Financial Services 10.5% Banking, Savings & Loans 9.2% Electrical Equipment & Electronics 8.9% Transportation 6.7% Energy 6.7% Insurance 6.0% Commercial Services 6.0% Medical Supplies 4.5% Broadcasting, Publishing & Printing 2.9% Pharmaceuticals 2.9% Chemicals 2.8% Retail 2.5% Industrial - Diversified 1.9% Home Construction, Furnishings & Appliances 1.8% Household Products 1.7% Apparel, Textiles & Shoes 1.5% Prepackaged Software 1.4% Restaurants 1.3% Air Transportation 1.1% Computer Related Services 0.9% Cosmetics & Personal Care 0.6% Telephone Utilities 0.2% Metals & Mining 0.2% Short-Term Investments and Other Assets and Liabilities 4.7% ----- 100.0% =====
MML SMALL CAP EQUITY FUND LARGEST STOCK HOLDINGS (12/31/04) Eaton Vance Corp. Roper Industries, Inc. The Commerce Group, Inc. Landstar System, Inc. Jefferies Group, Inc. Heartland Express, Inc. Coldwater Creek, Inc. Kaydon Corp. Teleflex, Inc. First Republic Bank 5 GROWTH OF A $10,000 INVESTMENT Hypothetical Investments in MML Small Cap Equity Fund and the Russell 2000 Index MML SERIES INVESTMENT FUND
TOTAL RETURN FIVE YEAR SINCE INCEPTION ONE YEAR AVERAGE ANNUAL AVERAGE ANNUAL 1/1/04 - 12/31/04 1/1/00 - 12/31/04 6/1/98 - 12/31/04 MML Small Cap Equity Fund 16.36% 9.60% 4.47% Russell 2000 Index 18.33% 6.61% 6.93%
[CHART] GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
MML SMALL CAP EQUITY FUND RUSSELL 2000 INDEX 6/1/98 $ 10,000 $ 10,000 12/98 $ 8,522 $ 9,307 12/99 $ 8,433 $ 11,286 12/00 $ 9,583 $ 10,945 12/01 $ 9,904 $ 11,217 12/02 $ 8,732 $ 8,919 12/03 $ 11,464 $ 13,134 12/04 $ 13,339 $ 15,541
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE; PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF SHARES OF THE FUND WILL FLUCTUATE WITH MARKET CONDITIONS SO THAT SHARES OF THE FUND, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE OF THE FUND MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED BY ACCESSING THE WEBSITE AT www.massmutual.com. INVESTORS SHOULD NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE RUSSELL 2000 INDEX IS UNMANAGED AND DOES NOT INCUR EXPENSES, AND CANNOT BE PURCHASED DIRECTLY BY INVESTORS. INVESTORS SHOULD READ THE FUND'S PROSPECTUS WITH REGARD TO THE FUND'S INVESTMENT OBJECTIVE, RISKS AND CHARGES AND EXPENSES IN CONJUNCTION WITH THESE FINANCIAL STATEMENTS. THE FUND'S RETURN REFLECTS CHANGES IN THE NET ASSET VALUE PER SHARE WITHOUT THE DEDUCTION OF ANY PRODUCT CHARGES. TOTAL RETURN FIGURES WOULD BE LOWER FOR THE PERIODS PRESENTED IF THEY REFLECTED THESE CHARGES. 6 MML EQUITY INDEX FUND - PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
NUMBER OF MARKET SHARES VALUE ----------- ------------- EQUITIES -- 99.2% ADVERTISING -- 0.2% Interpublic Group of Companies, Inc.* + 14,807 $ 198,414 Monster Worldwide, Inc.* 4,276 143,845 Omnicom Group, Inc. 6,706 565,450 ------------- 907,709 ------------- AEROSPACE & DEFENSE -- 1.9% Boeing Co. 29,969 1,551,495 General Dynamics Corp. 7,107 743,392 Goodrich Corp. 4,239 138,361 Honeywell International, Inc. 30,690 1,086,733 Lockheed Martin Corp. 15,940 885,467 Northrop Grumman Corp. 12,868 699,504 Raytheon Co. 16,088 624,697 Rockwell Collins, Inc. 6,368 251,154 United Technologies Corp. 18,311 1,892,442 ------------- 7,873,245 ------------- AIR TRANSPORTATION -- 0.1% Delta Air Lines, Inc.* + 4,499 33,653 Southwest Airlines Co. 28,240 459,747 ------------- 493,400 ------------- APPAREL, TEXTILES & SHOES -- 0.8% Coach, Inc.* 6,700 377,880 The Gap, Inc. 31,245 659,894 Jones Apparel Group, Inc. 4,496 164,419 Limited Brands 14,430 332,179 Liz Claiborne, Inc. 3,874 163,522 Nike, Inc. Cl. B 9,424 854,663 Nordstrom, Inc. 5,035 235,286 Reebok International Limited+ 2,156 94,864 VF Corp. 3,951 218,806 ------------- 3,101,513 ------------- AUTOMOTIVE & PARTS -- 1.0% AutoNation, Inc.* 9,600 184,416 Cooper Tire & Rubber Co.+ 2,346 50,556 Dana Corp. 5,303 91,901 Delphi Corp.+ 20,083 181,149 Ford Motor Co.+ 65,367 956,973 General Motors Corp.+ 20,130 806,408 Genuine Parts Co. 6,229 274,450 The Goodyear Tire & Rubber Co.* + 6,265 91,845 Harley-Davidson, Inc. 10,520 639,090 Navistar International Corp.* 2,474 $ 108,807 Paccar, Inc.+ 6,183 497,608 Visteon Corp.+ 4,612 45,059 ------------- 3,928,262 ------------- BANKING, SAVINGS & LOANS -- 11.8% AmSouth Bancorporation+ 12,659 327,868 Bank of America Corp. 143,992 6,766,184 Bank of New York Co., Inc. 27,845 930,580 BB&T Corp. 19,783 831,875 Capital One Financial Corp. 8,600 724,206 Citigroup, Inc. 185,044 8,915,420 Comerica, Inc.+ 6,169 376,432 Compass Bancshares, Inc. 3,800 184,946 Fannie Mae 34,576 2,462,157 Fifth Third Bancorp+ 20,363 962,763 First Horizon National Corp.+ 4,400 189,684 Freddie Mac 24,586 1,811,988 Golden West Financial Corp. 10,910 670,092 JP Morgan Chase & Co. 127,247 4,963,905 KeyCorp+ 14,510 491,889 M&T Bank Corp. 4,200 452,928 Marshall and Ilsley Corp. 8,000 353,600 Mellon Financial Corp. 15,194 472,685 National City Corp.+ 23,698 889,860 North Fork Bancorporation, Inc. 16,750 483,237 Northern Trust Corp. 8,488 412,347 Providian Financial Corp.* + 10,502 172,968 Regions Financial Corp. 16,470 586,167 SLM Corp. 15,542 829,787 Sovereign Bancorp, Inc.+ 11,677 263,316 State Street Corp. 12,022 590,521 SunTrust Banks, Inc. 12,790 944,925 Synovus Financial Corp. 11,063 316,181 U.S. Bancorp 67,132 2,102,574 Wachovia Corp. 57,351 3,016,663 Washington Mutual, Inc. 31,376 1,326,577 Wells Fargo & Co. 60,329 3,749,447 Zions Bancorp 3,193 217,220 ------------- 47,790,992 ------------- BEVERAGES -- 2.2% Anheuser-Busch Companies, Inc. 28,148 1,427,948 Brown-Forman Corp. Cl. B 4,380 213,218 The Coca-Cola Co. 86,676 3,608,322 Coca-Cola Enterprises, Inc. 16,774 $ 349,738 Coors (Adolph) Co. Cl. B+ 1,289 97,539 The Pepsi Bottling Group, Inc.+ 9,038 244,388 PepsiCo, Inc. 60,008 3,132,418 ------------- 9,073,571 ------------- BROADCASTING, PUBLISHING & PRINTING -- 2.8% Clear Channel Communications, Inc. 20,449 684,837 Comcast Corp. Cl. A* 79,118 2,633,047 Dow Jones & Co., Inc.+ 2,926 125,994 Gannett Co., Inc. 9,135 746,329 Knight Ridder, Inc.+ 2,755 184,420 The McGraw-Hill Companies, Inc. 6,830 625,218 Meredith Corp. 1,844 99,945 New York Times Co. Cl. A+ 5,265 214,812 Time Warner, Inc.* 163,408 3,176,652 Tribune Co. 11,409 480,775 Univision Communications, Inc. Cl. A* + 11,600 339,532 Viacom, Inc. Cl. B 60,768 2,211,348 ------------- 11,522,909 ------------- BUILDING MATERIALS & CONSTRUCTION -- 0.2% Louisiana-Pacific Corp. 3,856 103,109 Masco Corp. 15,467 565,010 Vulcan Materials Co. 3,610 197,142 ------------- 865,261 ------------- CHEMICALS -- 1.6% Air Products & Chemicals, Inc. 8,158 472,919 Ashland, Inc. 2,503 146,125 Dow Chemical Co. 33,568 1,661,952 Du Pont (E.I.) de Nemours & Co. 35,604 1,746,376 Eastman Chemical Co. 2,800 161,644 Engelhard Corp. 4,393 134,733 Great Lakes Chemical Corp.+ 1,855 52,849 Hercules, Inc.* 4,006 59,489 International Flavors & Fragrances, Inc. 3,346 143,343 Monsanto Co. 9,585 532,447 PPG Industries, Inc. 6,089 415,026 Praxair, Inc. 11,564 510,551 Rohm & Haas Co. 8,040 355,609 ------------- 6,393,063 -------------
The accompanying notes are an integral part of the financial statements. 7
NUMBER OF MARKET SHARES VALUE ----------- ------------- COMMERCIAL SERVICES -- 2.0% Allied Waste Industries, Inc.* 11,360 $ 105,421 Apollo Group, Inc. Cl. A* 6,588 531,717 Block (H&R), Inc.+ 5,874 287,826 Cendant Corp. 37,842 884,746 Cintas Corp. 6,190 271,493 Convergys Corp.* 5,116 76,689 Donnelley (R.R.) & Sons Co. 7,822 276,038 eBay, Inc.* 23,720 2,758,162 Ecolab, Inc.+ 9,216 323,758 Equifax, Inc. 4,859 136,538 Fluor Corp.+ 2,927 159,551 Moody's Corp. 5,246 455,615 Paychex, Inc. 13,497 459,978 PerkinElmer, Inc. 4,608 103,634 Quest Diagnostics, Inc. 3,664 350,095 Robert Half International, Inc. 6,280 184,820 Ryder System, Inc. 2,382 113,788 Waste Management, Inc. 20,753 621,345 ------------ 8,101,214 ------------ COMMUNICATIONS -- 2.2% ADC Telecommunications, Inc.* 27,448 73,561 Andrew Corp.* 5,761 78,522 Avaya, Inc.* + 16,176 278,227 Ciena Corp.* 19,241 64,265 Citizens Communications Co. 12,201 168,252 L-3 Communications Holdings, Inc. 3,800 278,312 Lucent Technologies, Inc.* + 153,879 578,585 Network Appliance, Inc.* + 12,820 425,880 Nextel Communications, Inc. Cl. A* 39,730 1,191,900 Qualcomm, Inc. 58,160 2,465,984 SBC Communications, Inc. 118,546 3,054,930 Scientific-Atlanta, Inc. 5,510 181,885 Tellabs, Inc.* 14,912 128,094 ------------ 8,968,397 ------------ COMMUNICATIONS EQUIPMENT -- 0.4% Motorola, Inc. 86,010 1,479,372 ------------ COMPUTER INTEGRATED SYSTEMS DESIGN -- 0.4% Autodesk, Inc. 8,180 310,431 Computer Sciences Corp.* 6,787 382,583 Parametric Technology Corp.* 9,034 53,210 Sun Microsystems, Inc.* 118,808 639,187 Teradyne, Inc.* 6,960 $ 118,807 Unisys Corp.* 11,915 121,295 ------------ 1,625,513 ------------ COMPUTER PROGRAMMING SERVICES -- 0.0% Mercury Interactive Corp.* + 3,370 153,503 ------------ COMPUTERS & INFORMATION -- 4.4% Apple Computer, Inc.* 13,826 890,394 Cisco Systems, Inc.* 234,773 4,531,119 Comverse Technology, Inc.* 7,022 171,688 Dell, Inc.* 88,547 3,731,371 EMC Corp.* 85,932 1,277,809 Gateway, Inc.* 12,490 75,065 International Business Machines Corp. 59,344 5,850,132 International Game Technology 12,316 423,424 Jabil Circuit, Inc.* + 7,178 183,613 Lexmark International, Inc.* 4,664 396,440 Solectron Corp.* 34,381 183,251 Symbol Technologies, Inc.+ 8,535 147,655 ------------ 17,861,961 ------------ COMPUTERS & OFFICE EQUIPMENT -- 0.9% Electronic Data Systems Corp. 17,871 412,820 Hewlett-Packard Co. 107,815 2,260,881 Pitney Bowes, Inc. 8,302 384,217 Xerox Corp.* 34,014 578,578 ------------ 3,636,496 ------------ CONTAINERS -- 0.2% Ball Corp. 4,020 176,800 Bemis Co., Inc. 3,866 112,462 Pactiv Corp.* 5,359 135,529 Sealed Air Corp.* 2,991 159,331 Temple-Inland, Inc. 2,038 139,399 ------------ 723,521 ------------ COSMETICS & PERSONAL CARE -- 2.3% Alberto-Culver Co. 3,207 155,764 Avon Products, Inc. 16,956 656,197 Colgate-Palmolive Co. 18,977 970,863 The Gillette Co. 35,783 1,602,363 Kimberly-Clark Corp. 17,703 1,165,034 The Procter & Gamble Co. 90,408 4,979,673 ------------ 9,529,894 ------------ DATA PROCESSING & PREPARATION -- 0.8% Affiliated Computer Services, Inc. Cl. A* + 4,600 276,874 Automatic Data Processing, Inc. 20,904 $ 927,092 First Data Corp. 29,533 1,256,334 Fiserv, Inc.* 7,021 282,174 IMS Health, Inc. 8,324 193,200 NCR Corp.* 3,350 231,920 ------------ 3,167,594 ------------ ELECTRIC UTILITIES -- 2.7% AES Corp.* 23,449 320,548 Allegheny Energy, Inc.* + 5,020 98,944 Ameren Corp.+ 6,481 324,957 American Electric Power Co.+ 14,257 489,585 Calpine Corp.* + 20,471 80,656 CenterPoint Energy, Inc.+ 11,363 128,402 Cinergy Corp. 6,563 273,218 CMS Energy Corp.* + 5,538 57,872 Consolidated Edison, Inc.+ 8,750 382,812 Constellation Energy Group, Inc. 5,925 258,982 Dominion Resources, Inc. 11,878 804,616 DTE Energy Co.+ 6,037 260,376 Duke Energy Corp. 33,635 851,975 Edison International 11,730 375,712 Entergy Corp. 8,160 551,534 Exelon Corp.+ 23,636 1,041,639 FirstEnergy Corp. 11,857 468,470 FPL Group, Inc.+ 6,686 499,778 NiSource, Inc. 9,446 215,180 PG&E Corp.* 14,421 479,931 Pinnacle West Capital Corp. 3,200 142,112 PPL Corp. 6,689 356,390 Progress Energy, Inc.+ 8,872 401,369 Public Service Enterprise Group, Inc.+ 8,598 445,118 Southern Co.+ 26,487 887,844 Teco Energy, Inc.+ 7,361 112,918 TXU Corp.+ 8,777 566,643 ------------ 10,877,581 ------------ ELECTRICAL EQUIPMENT & ELECTRONICS -- 6.8% Advanced Micro Devices, Inc.* + 12,760 280,975 Altera Corp.* 13,320 275,724 American Power Conversion Corp. 7,130 152,582 Analog Devices, Inc. 13,570 501,004 Applied Micro Circuits Corp.* 10,300 43,363 Broadcom Corp. Cl. A* 11,553 372,931 Emerson Electric Co. 14,957 1,048,486 Freescale Semiconductor, Inc. Cl. B* 14,325 263,007
The accompanying notes are an integral part of the financial statements. 8
NUMBER OF MARKET SHARES VALUE ----------- ------------- General Electric Co. 377,093 $ 13,763,894 Intel Corp. 225,402 5,272,153 JDS Uniphase Corp.* + 51,388 162,900 Johnson Controls, Inc. 6,750 428,220 Kla-Tencor Corp.* + 7,006 326,339 Linear Technology Corp. 11,030 427,523 LSI Logic Corp.* 13,828 75,777 Maxim Integrated Products, Inc. 11,660 494,267 Micron Technology, Inc.* + 21,917 270,675 Molex, Inc.+ 6,790 203,700 National Semiconductor Corp. 12,896 231,483 Novellus Systems, Inc. 5,150 143,633 Nvidia Corp.* 6,000 141,360 PMC-Sierra, Inc.* 6,189 69,626 Power-One, Inc.* 3,020 26,938 Qlogic Corp.* 3,300 121,209 Rockwell Automation, Inc. 6,568 325,444 Sanmina-SCI Corp.* + 18,652 157,982 Texas Instruments, Inc. 61,926 1,524,618 Xilinx, Inc. 12,411 367,986 ------------- 27,473,799 ------------- ENERGY -- 7.2% Amerada Hess Corp. 3,253 267,982 Anadarko Petroleum Corp. 8,922 578,235 Apache Corp. 11,700 591,669 BJ Services Co. 5,800 269,932 Burlington Resources, Inc. 14,200 617,700 ChevronTexaco Corp. 75,544 3,966,815 ConocoPhillips 24,664 2,141,575 Devon Energy Corp. 17,370 676,040 Dynegy, Inc. Cl. A* + 14,427 66,653 El Paso Corp. 22,846 237,598 EOG Resources, Inc. 4,200 299,712 Exxon Mobil Corp. 229,934 11,786,417 Halliburton Co. 15,765 618,619 Kerr-McGee Corp. 5,446 314,724 KeySpan Corp. 5,780 228,021 Kinder Morgan, Inc. 4,390 321,041 Marathon Oil Corp. 12,405 466,552 Nabors Industries Limited* 5,315 272,606 Nicor, Inc.+ 1,589 58,698 Noble Corp.* 4,840 240,742 Occidental Petroleum Corp. 14,004 817,273 Peoples Energy Corp. 1,357 59,640 Rowan Companies, Inc.* 3,821 98,964 Schlumberger Limited 21,139 1,415,256 Sempra Energy+ 8,317 305,068 Sunoco, Inc. 2,693 220,045 Transocean, Inc.* + 11,527 488,630 Unocal Corp. 9,457 $ 408,921 Valero Energy Corp. 9,100 413,140 The Williams Companies, Inc. 19,818 322,835 Xcel Energy, Inc. 14,472 263,390 XTO Energy, Inc. 9,300 329,034 ------------- 29,163,527 ------------- ENTERTAINMENT & LEISURE -- 1.0% Brunswick Corp. 3,239 160,330 Harrah's Entertainment, Inc.+ 4,023 269,098 News Corp., Inc. Cl. A+ 92,200 1,720,452 The Walt Disney Co. 73,422 2,041,132 ------------- 4,191,012 ------------- FINANCIAL SERVICES -- 3.9% American Express Co. 44,772 2,523,798 Apartment Investment & Management Co. Cl. A 3,400 131,036 Archstone-Smith Trust 6,200 237,460 Bear Stearns Companies, Inc. 3,718 380,389 CIT Group, Inc. 7,500 343,650 Countrywide Financial Corp. 20,154 745,900 E Trade Financial Corp.* 13,300 198,835 Federated Investors, Inc. Cl. B 3,900 118,560 Franklin Resources, Inc. 8,928 621,835 The Goldman Sachs Group, Inc. 17,325 1,802,493 Huntington Bancshares, Inc.+ 8,234 204,039 Janus Capital Group, Inc. 8,550 143,725 Lehman Brothers Holdings, Inc. 9,672 846,107 MBNA Corp. 45,621 1,286,056 Merrill Lynch & Co., Inc. 33,169 1,982,511 Morgan Stanley 39,191 2,175,884 PNC Financial Services Group, Inc. 10,049 577,215 Price (T. Rowe) Group, Inc. 4,500 279,900 ProLogis Trust 6,500 281,645 The Schwab (Charles) Corp.+ 48,761 583,182 Simon Property Group, Inc. 7,700 497,959 ------------- 15,962,179 ------------- FOODS -- 1.9% Archer-Daniels-Midland Co. 23,261 518,953 Campbell Soup Co. 14,702 439,443 ConAgra Foods, Inc. 18,872 $ 555,780 General Mills, Inc.+ 13,008 646,628 Heinz (H. J.) Co. 12,522 488,233 Hershey Foods Corp. 8,844 491,196 Kellogg Co. 14,764 659,360 The Kroger Co.* + 26,418 463,372 McCormick & Co., Inc. 4,900 189,140 Safeway, Inc.* 15,960 315,050 Sara Lee Corp. 28,365 684,731 Starbucks Corp.* 14,230 887,383 SuperValu, Inc. 4,821 166,421 Sysco Corp.+ 22,830 871,421 Wrigley (Wm.) Jr. Co. 8,034 555,872 ------------- 7,932,983 ------------- FOREST PRODUCTS & PAPER -- 0.5% Georgia-Pacific Corp. 9,270 347,440 International Paper Co. 17,389 730,338 MeadWestvaco Corp. 7,201 244,042 OfficeMax, Inc. 3,142 98,596 Plum Creek Timber Co., Inc. 6,600 253,704 Weyerhaeuser Co. 8,490 570,698 ------------- 2,244,818 ------------- HEALTHCARE -- 1.1% Caremark Rx, Inc.* 16,600 654,538 Express Scripts, Inc.* 2,800 214,032 HCA, Inc. 14,976 598,441 Health Management Associates, Inc. Cl. A 8,700 197,664 Humana, Inc.* 5,703 169,322 Laboratory Corp. of America Holdings* 5,000 249,100 Manor Care, Inc. 3,132 110,967 Tenet Healthcare Corp.* + 16,659 182,916 UnitedHealth Group, Inc. 23,240 2,045,817 ------------- 4,422,797 ------------- HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 0.3% Centex Corp.+ 4,446 264,893 KB Home 1,671 174,452 Leggett & Platt, Inc. 6,850 194,745 Maytag Corp.+ 2,786 58,785 Pulte Homes, Inc. 4,522 288,504 Whirlpool Corp.+ 2,369 163,958 ------------- 1,145,337 ------------- HOUSEHOLD PRODUCTS -- 0.6% Black & Decker Corp.+ 2,950 260,573 The Clorox Co. 5,470 322,347 Corning, Inc.* 49,791 586,040 Fortune Brands, Inc. 5,180 399,792 Newell Rubbermaid, Inc. 9,835 237,909
The accompanying notes are an integral part of the financial statements. 9
NUMBER OF MARKET SHARES VALUE ----------- ------------- Sherwin-Williams Co. 5,129 $ 228,907 Snap-On, Inc. 2,153 73,977 The Stanley Works+ 3,005 147,215 ------------- 2,256,760 ------------- INDUSTRIAL - DISTRIBUTION -- 0.1% Grainger (W.W.), Inc. 3,332 221,978 ------------- INDUSTRIAL - DIVERSIFIED -- 1.9% 3M Co. 27,972 2,295,662 Cooper Industries Limited Cl. A 3,414 231,776 Danaher Corp. 11,010 632,084 Eaton Corp. 5,394 390,310 Illinois Tool Works, Inc. 10,543 977,125 ITT Industries, Inc. 3,337 281,810 Textron, Inc. 4,932 363,982 Tyco International Limited 71,874 2,568,777 ------------- 7,741,526 ------------- INFORMATION RETRIEVAL SERVICES -- 0.4% Yahoo!, Inc.* 48,816 1,839,387 ------------- INSURANCE -- 5.0% ACE Limited 10,200 436,050 Aetna, Inc. 5,249 654,813 AFLAC, Inc. 18,120 721,901 Allstate Corp. 24,804 1,282,863 Ambac Financial Group, Inc. 3,875 318,254 American International Group, Inc. 93,070 6,111,907 Aon Corp. 11,246 268,330 Chubb Corp. 6,873 528,534 Cigna Corp. 4,940 402,956 Cincinnati Financial Corp. 6,083 269,234 The Hartford Financial Services Group, Inc.+ 10,558 731,775 Jefferson-Pilot Corp. 4,920 255,643 Lincoln National Corp. 6,341 295,998 Loews Corp. 6,658 468,057 Marsh & McLennan Companies, Inc. 18,642 613,322 MBIA, Inc.+ 5,175 327,474 Metlife, Inc. 26,832 1,086,964 MGIC Investment Corp. 3,589 247,318 Principal Financial Group, Inc. 11,200 458,528 Progressive Corp. 7,148 606,436 Prudential Financial, Inc. 18,600 1,022,256 Safeco Corp. 4,559 238,162 St. Paul Travelers Companies 23,963 888,308 Torchmark Corp. 3,926 224,332 UnumProvident Corp. 10,670 191,420 WellPoint, Inc.* 10,603 $ 1,219,345 XL Capital Limited Cl. A+ 5,027 390,347 ------------- 20,260,527 ------------- LODGING -- 0.3% Hilton Hotels Corp. 13,791 313,607 Marriott International, Inc. Cl. A 8,164 514,169 Starwood Hotels & Resorts Worldwide, Inc. 7,440 434,496 ------------- 1,262,272 ------------- MACHINERY & COMPONENTS -- 0.9% Baker Hughes, Inc. 11,898 507,688 Caterpillar, Inc. 12,252 1,194,693 Cummins, Inc. 1,539 128,953 Deere & Co. 8,843 657,919 Dover Corp. 7,335 307,630 Ingersoll-Rand Co. Cl. A 6,283 504,525 Pall Corp.+ 4,592 132,938 Parker-Hannifin Corp. 4,314 326,742 ------------- 3,761,088 ------------- MANUFACTURING -- 0.4% American Standard Companies, Inc.* 7,700 318,164 Applied Materials, Inc.* 60,706 1,038,073 Avery Dennison Corp. 3,928 235,562 Millipore Corp.* + 1,815 90,405 ------------- 1,682,204 ------------- MEDICAL SUPPLIES -- 2.4% Agilent Technologies, Inc.* 17,383 418,930 Allergan, Inc. 4,707 381,596 Applied Biosystems Group-Applera Corp. 7,238 151,347 Bard (C.R.), Inc. 3,720 238,006 Bausch & Lomb, Inc. 1,892 121,958 Baxter International, Inc. 21,992 759,604 Becton, Dickinson & Co. 8,948 508,246 Biomet, Inc. 9,055 392,896 Boston Scientific Corp.* 30,122 1,070,837 Fisher Scientific International* 4,100 255,758 Guidant Corp. 11,188 806,655 Medtronic, Inc. 43,181 2,144,800 St. Jude Medical, Inc.* 12,644 530,163 Stryker Corp. 14,300 689,975 Tektronix, Inc. 3,120 94,255 Thermo Electron Corp.* 5,854 176,732 Waters Corp.* 4,200 196,518 Zimmer Holdings, Inc.* 8,722 698,807 ------------- 9,637,083 ------------- METALS & MINING -- 0.7% Alcoa, Inc. 31,088 $ 976,785 Allegheny Technologies, Inc. 3,144 68,130 Freeport-McMoRan Copper & Gold, Inc. Cl. B+ 6,333 242,111 Newmont Mining Corp.+ 15,809 702,078 Nucor Corp.+ 5,712 298,966 Phelps Dodge Corp. 3,385 334,844 United States Steel Corp.+ 4,054 207,767 ------------- 2,830,681 ------------- PHARMACEUTICALS -- 8.5% Abbott Laboratories 55,798 2,602,977 AmerisourceBergen Corp. 4,076 239,180 Amgen, Inc.* 45,206 2,899,965 Biogen Idec, Inc.* + 12,037 801,785 Bristol-Myers Squibb Co. 69,542 1,781,666 Cardinal Health, Inc.+ 15,469 899,522 Chiron Corp.* + 6,660 221,978 Eli Lilly & Co. 40,380 2,291,565 Forest Laboratories, Inc.* + 13,280 595,741 Genzyme Corp.* 8,100 470,367 Gilead Sciences, Inc.* 15,344 536,887 Hospira, Inc.* 5,539 185,556 Johnson & Johnson 106,012 6,723,281 King Pharmaceuticals, Inc.* 8,867 109,951 McKesson Corp. 10,587 333,067 Medco Health Solutions, Inc.* 9,720 404,352 Medimmune, Inc.* 8,864 240,303 Merck & Co., Inc. 79,343 2,550,084 Mylan Laboratories, Inc.+ 9,800 173,264 Pfizer, Inc. 268,427 7,218,002 Schering-Plough Corp. 52,688 1,100,125 Sigma-Aldrich Corp. 2,484 150,183 Watson Pharmaceutical, Inc.* 3,970 130,256 Wyeth 47,656 2,029,669 ------------- 34,689,726 ------------- PHOTOGRAPHY EQUIPMENT/SUPPLIES -- 0.1% Eastman Kodak Co.+ 10,260 330,885 ------------- PREPACKAGED SOFTWARE -- 4.2% Adobe Systems, Inc. 8,606 539,940 BMC Software, Inc.* 8,065 150,009 Citrix Systems, Inc.* 6,092 149,437 Computer Associates International, Inc.+ 20,923 649,868 Compuware Corp.* 13,878 89,791 Electronic Arts, Inc.* 10,900 672,312 Intuit, Inc.* 6,910 304,109
The accompanying notes are an integral part of the financial statements. 10
NUMBER OF MARKET SHARES VALUE ----------- ------------- Microsoft Corp. 387,528 $ 10,350,873 Novell, Inc.* 13,976 94,338 Oracle Corp.* 182,861 2,508,853 Siebel Systems, Inc.* 18,118 190,239 SunGard Data Systems, Inc.* 10,300 291,799 Symantec Corp.* 22,600 582,176 Veritas Software Corp.* 15,546 443,838 ------------- 17,017,582 ------------- REAL ESTATE -- 0.2% Equity Office Properties Trust 14,460 421,075 Equity Residential 10,000 361,800 ------------- 782,875 ------------- RESTAURANTS -- 0.6% Darden Restaurants, Inc. 5,692 157,896 McDonald's Corp. 44,877 1,438,757 Wendy's International, Inc. 4,075 159,984 Yum! Brands, Inc. 10,398 490,578 ------------- 2,247,215 ------------- RETAIL -- 5.7% AutoZone, Inc.* 2,954 269,730 Bed Bath & Beyond, Inc.* 10,750 428,172 Best Buy Co., Inc. 11,630 691,055 Big Lots, Inc.* 4,174 50,631 Circuit City Stores, Inc.+ 7,100 111,044 Costco Wholesale Corp. 16,442 795,957 CVS Corp. 14,303 644,636 Dillards, Inc. Cl. A 3,001 80,637 Dollar General Corp. 11,714 243,300 Family Dollar Stores, Inc.+ 6,051 188,973 Federated Department Stores, Inc. 6,063 350,381 The Home Depot, Inc. 78,437 3,352,397 J.C. Penney Co., Inc. 10,309 426,793 Kohl's Corp.* 12,223 601,005 Lowe's Companies, Inc. 27,882 1,605,724 The May Department Stores Co. 10,432 306,701 Office Depot, Inc.* 11,265 195,560 RadioShack Corp. 5,705 187,580 Sears, Roebuck and Co. 7,629 389,308 Staples, Inc. 17,773 599,128 Target Corp. 32,268 1,675,677 Tiffany & Co. 5,192 165,988 TJX Companies, Inc.+ 17,476 439,172 Toys R Us, Inc.* 7,662 156,841 Walgreen Co. 36,604 1,404,495 Wal-Mart Stores, Inc. 150,912 7,971,172 ------------- 23,332,057 ------------- RETAIL - GROCERY -- 0.1% Albertson's, Inc.+ 13,147 $ 313,950 ------------- TELEPHONE UTILITIES -- 2.2% Alltel Corp. 10,967 644,421 AT&T Corp. 28,684 546,717 BellSouth Corp. 65,520 1,820,801 CenturyTel, Inc. 4,931 174,903 Qwest Communications International, Inc.* 66,058 293,298 Sprint Corp. (FON Group) 52,135 1,295,555 Verizon Communications, Inc. 99,029 4,011,665 ------------- 8,787,360 ------------- TOBACCO -- 1.3% Altria Group, Inc. 73,429 4,486,512 Reynolds American, Inc.+ 5,400 424,440 UST, Inc. 6,022 289,718 ------------- 5,200,670 ------------- TOYS, GAMES -- 0.1% Hasbro, Inc. 6,391 123,858 Mattel, Inc. 14,889 290,187 ------------- 414,045 ------------- TRANSPORTATION -- 1.9% Burlington Northern Santa Fe Corp. 13,286 628,561 Carnival Corp. 22,585 1,301,574 CSX Corp. 7,665 307,213 FedEx Corp. 10,803 1,063,987 Norfolk Southern Corp. 14,089 509,881 Union Pacific Corp. 9,217 619,843 United Parcel Service, Inc. Cl. B 39,900 3,409,854 ------------- 7,840,913 ------------- TRAVEL -- 0.0% Sabre Holdings Corp. 4,931 109,271 ------------- TOTAL EQUITIES (COST $373,180,319) 403,171,478 ------------- PRINCIPAL AMOUNT ----------- SHORT-TERM INVESTMENTS -- 7.5% CASH EQUIVALENTS -- 6.9%** American AAdvanage Select Money Market Fund 325,065 325,065 Bank of America Bank Note 2.260% 02/15/2005 $ 242,843 242,843 Bank of America Bank Note 2.270% 01/18/2005 $ 566,633 $ 566,633 Bank of America Bank Note 2.270% 03/03/2005 1,052,318 1,052,318 Bank of America Bank Note 2.300% 06/09/2005 566,633 566,633 Bank of Montreal Eurodollar Time Deposit 2.125% 02/02/2005 246,890 246,890 Bank of Montreal Eurodollar Time Deposit 2.260% 01/28/2005 256,537 256,537 BGI Institutional Money Market Fund 2,914,112 2,914,112 BNP Paribas Eurodollar Time Deposit 2.300% 01/03/2005 161,895 161,895 Calyon Eurodollar Time Deposit 2.435% 03/16/2005 692,911 692,911 Canadian Imperial Bank of Commerce Bank Note 2.030% 05/18/2005 1,618,951 1,618,951 Citigroup Eurodollar Time Deposit 2.080% 01/28/2005 635,438 635,438 Den Danske Bank Eurodollar Time Deposit 2.260% 01/20/2005 971,371 971,371 Dexia Group Eurodollar Time Deposit 2.040% 01/21/2005 323,790 323,790 Federal Home Loan Bank Discount Note 2.184% 01/05/2005 1,005,605 1,005,605 Fortis Bank Eurodollar Time Deposit 2.140% 01/12/2005 323,790 323,790 Fortis Bank Eurodollar Time Deposit 2.200% 02/11/2005 242,843 242,843 Fortis Bank Eurodollar Time Deposit 2.260% 01/05/2005 1,335,635 1,335,635 Freddie Mac Discount Note 2.184% 01/04/2005 1,131,413 1,131,413 Freddie Mac Discount Note 2.228% 02/01/2005 302,051 302,051
The accompanying notes are an integral part of the financial statements. 11
PRINCIPAL MARKET AMOUNT VALUE ----------- ------------- Freddie Mac Discount Note 2.277% 02/01/2005 $ 1,413,534 $ 1,413,534 General Electric Capital Corp. 2.294% 01/21/2005 460,969 460,969 General Electric Capital Corp. 2.295% 01/10/2005 788,681 788,681 HBOS Halifax Bank of Scotland Eurodollar Time Deposit 2.025% 01/21/2005 372,359 372,359 Lloyds TSB Bank Eurodollar Time Deposit 2.280% 02/02/2005 396,643 396,643 Merrill Lynch Premier Institutional Money Market Fund 534,256 534,256 Merrimac Cash Fund, Premium Class 1,214,213 1,214,213 Morgan Stanley Dean Witter & Co. 2.393% 07/19/2005 1,068,508 1,068,508 Royal Bank of Canada Eurodollar Time Deposit 2.250% 01/19/2005 809,476 809,476 Royal Bank of Canada Eurodollar Time Deposit 2.260% 02/01/2005 647,580 647,580 Royal Bank of Scotland Eurodollar Time Deposit 2.015% 01/21/2005 934,135 934,135 Royal Bank of Scotland Eurodollar Time Deposit 2.270% 02/02/2005 485,685 485,685 Royal Bank of Scotland Eurodollar Time Deposit 2.360% 02/17/2005 80,948 80,948 Toronto Dominion Bank Eurodollar Time Deposit 2.420% 03/01/2005 809,476 809,476 Wells Fargo Eurodollar Time Deposit 2.270% 01/25/2005 202,369 202,369 Wells Fargo Eurodollar Time Deposit 2.310% 01/28/2005 809,476 809,476 Wells Fargo Eurodollar Time Deposit 2.320% 01/14/2005 1,939,503 1,939,503 ------------- 27,884,535 ------------- REPURCHASE AGREEMENT -- 0.5% Investors Bank & Trust Company Repurchase Agreement, dated 12/31/2004, 1.75%, due 01/03/2005(a) $ 2,030,018 $ 2,030,018 ------------- U.S. TREASURY BILLS -- 0.1% U.S. Treasury Bill 2.140% 03/24/2005 385,000 383,152 ------------- TOTAL SHORT-TERM INVESTMENTS (COST $30,297,676) 30,297,705 ------------- TOTAL INVESTMENTS -- 106.7% (COST $403,477,995)*** 433,469,183 OTHER ASSETS/ (LIABILITIES) -- (6.7%) (27,132,777) ------------- NET ASSETS -- 100.0% $ 406,336,406 =============
NOTES TO PORTFOLIO OF INVESTMENTS * Non-income producing security. ** Represents investments of security lending collateral. (NOTE 2). *** See Note 7 for aggregate cost for Federal tax purposes. + Denotes all or a portion of security on loan. (a) Maturity value of $2,030,314. Collateralized by U.S. Government Agency obligation with a rate of 5.875%, maturity date of 5/25/2015, and an aggregate market value, including accrued interest, of $2,131,519. The accompanying notes are an integral part of the financial statements. 12 MML SMALL CAP EQUITY FUND - PORTFOLIO OF INVESTMENTS DECEMBER 31, 2004
NUMBER OF MARKET SHARES VALUE ----------- ------------- EQUITIES -- 95.3% AIR TRANSPORTATION -- 1.1% SkyWest, Inc.+ 56,800 $ 1,139,408 ------------- APPAREL, TEXTILES & SHOES -- 1.5% Carter's, Inc.* + 44,900 1,526,151 ------------- BANKING, SAVINGS & LOANS -- 9.2% Alabama National Bancorp 5,900 380,550 First Republic Bank 45,100 2,390,300 First State Bancorp 11,300 415,388 Hanmi Financial Corp. 41,300 1,484,322 Pacific Capital Bancorp 69,554 2,364,140 UMB Financial Corp. 8,400 475,944 Webster Financial Corp. 34,680 1,756,195 ------------- 9,266,839 ------------- BROADCASTING, PUBLISHING & PRINTING -- 2.9% Gray Television, Inc. 107,100 1,660,050 Lin TV Corp. Cl. A* 66,800 1,275,880 ------------- 2,935,930 ------------- CHEMICALS -- 2.8% MacDermid, Inc. 39,600 1,429,560 Spartech Corp. 52,500 1,422,225 ------------- 2,851,785 ------------- COMMERCIAL SERVICES -- 6.0% ADVO, Inc. 56,100 1,999,965 Arbitron, Inc.* 57,800 2,264,604 G&K Services, Inc. Cl. A 41,400 1,797,588 ------------- 6,062,157 ------------- COMPUTER RELATED SERVICES -- 0.9% eSpeed, Inc. Cl. A* 70,000 865,900 ------------- COSMETICS & PERSONAL CARE -- 0.6% Revlon, Inc. Cl. A* 262,700 604,210 ------------- ELECTRICAL EQUIPMENT & ELECTRONICS -- 8.9% Baldor Electric Co. 56,500 1,555,445 Cognex Corp. 52,800 1,473,120 Micrel, Inc.* + 136,400 1,503,128 Mykrolis Corp.* 143,400 2,031,978 Teleflex, Inc. 46,600 2,420,404 ------------- 8,984,075 ------------- ENERGY -- 6.7% Headwaters, Inc.* 45,400 1,293,900 Rowan Companies, Inc.* 36,100 934,990 St. Mary Land & Exploration Co. 22,800 951,672 Unit Corp.* 48,500 1,853,185 W-H Energy Services, Inc.* 77,200 1,726,192 ------------- 6,759,939 ------------- FINANCIAL SERVICES -- 10.5% Chittenden Corp. 73,450 $ 2,110,219 Eaton Vance Corp. 61,500 3,207,225 Fidelity Bankshares, Inc. 37,100 1,586,396 Jefferies Group, Inc.+ 64,800 2,610,144 Piper Jaffray Cos.* 22,200 1,064,490 ------------- 10,578,474 ------------- HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 1.8% Fossil, Inc.* 72,350 1,855,054 ------------- HOUSEHOLD PRODUCTS -- 1.7% Trex Company, Inc.* + 33,200 1,741,008 ------------- INDUSTRIAL - DIVERSIFIED -- 1.9% Carlisle Companies, Inc. 29,300 1,902,156 ------------- INSURANCE -- 6.0% The Commerce Group, Inc. 46,000 2,807,840 HCC Insurance Holdings, Inc. 50,500 1,672,560 IPC Holdings Limited 37,000 1,609,870 ------------- 6,090,270 ------------- MACHINERY & COMPONENTS -- 13.1% Actuant Corp. Cl. A* 33,500 1,747,025 Global Power Equipment Group, Inc.* 202,800 1,995,552 Helix Technology Corp. 101,400 1,763,346 IDEX Corp. 56,300 2,280,150 Kaydon Corp.+ 74,000 2,443,480 Roper Industries, Inc. 49,200 2,989,884 ------------- 13,219,437 ------------- MEDICAL SUPPLIES -- 4.5% Coherent, Inc.* 58,900 1,792,916 Dionex Corp.* 28,500 1,615,095 Mine Safety Appliances Co. 21,900 1,110,330 ------------- 4,518,341 ------------- METALS & MINING -- 0.2% Foundation Coal Holdings, Inc.* + 6,400 147,584 ------------- PHARMACEUTICALS -- 2.9% Taro Pharmaceutical Industries Limited* + 37,400 1,272,722 Valeant Pharmaceuticals International+ 62,200 1,638,970 ------------- 2,911,692 ------------- PREPACKAGED SOFTWARE -- 1.4% Dendrite International, Inc.* 71,100 1,379,340 ------------- RESTAURANTS -- 1.3% RARE Hospitality International, Inc.* 42,000 $ 1,338,120 ------------- RETAIL -- 2.5% Coldwater Creek, Inc.* 82,000 2,531,340 ------------- TELEPHONE UTILITIES -- 0.2% Iowa Telecommunications Services, Inc.+ 6,900 148,833 ------------- TRANSPORTATION -- 6.7% Heartland Express, Inc. 115,415 2,593,375 Landstar System, Inc.* 37,000 2,724,680 Robinson (C.H.) Worldwide, Inc.+ 26,700 1,482,384 ------------- 6,800,439 ------------- TOTAL EQUITIES (COST $69,160,640) 96,158,482 ------------- PRINCIPAL AMOUNT ----------- SHORT-TERM INVESTMENTS -- 17.4% CASH EQUIVALENTS -- 12.1%** American AAdvanage Select Money Market Fund 141,612 141,612 Bank of America Bank Note 2.260% 02/15/2005 $ 105,793 105,793 Bank of America Bank Note 2.270% 01/18/2005 246,849 246,849 Bank of America Bank Note 2.270% 03/03/2005 458,434 458,434 Bank of America Bank Note 2.300% 06/09/2005 246,849 246,849 Bank of Montreal Eurodollar Time Deposit 2.125% 02/02/2005 107,556 107,556 Bank of Montreal Eurodollar Time Deposit 2.260% 01/28/2005 111,759 111,759 BGI Institutional Money Market Fund 1,269,510 1,269,510 BNP Paribas Eurodollar Time Deposit 2.300% 01/03/2005 70,528 70,528
The accompanying notes are an integral part of the financial statements. 13
PRINCIPAL MARKET AMOUNT VALUE ----------- ------------- Calyon Eurodollar Time Deposit 2.435% 03/16/2005 $ 301,861 $ 301,861 Canadian Imperial Bank of Commerce Bank Note 2.030% 05/18/2005 705,283 705,283 Citigroup Eurodollar Time Deposit 2.080% 01/28/2005 276,824 276,824 Den Danske Bank Eurodollar Time Deposit 2.260% 01/20/2005 423,170 423,170 Dexia Group Eurodollar Time Deposit 2.040% 01/21/2005 141,057 141,057 Federal Home Loan Bank Discount Note 2.184% 01/05/2005 438,084 438,084 Fortis Bank Eurodollar Time Deposit 2.140% 01/12/2005 141,057 141,057 Fortis Bank Eurodollar Time Deposit 2.200% 02/11/2005 105,793 105,793 Fortis Bank Eurodollar Time Deposit 2.260% 01/05/2005 581,859 581,859 Freddie Mac Discount Note 2.184% 01/04/2005 492,891 492,891 Freddie Mac Discount Note 2.228% 02/01/2005 131,586 131,586 Freddie Mac Discount Note 2.277% 02/01/2005 615,795 615,795 General Electric Capital Corp. 2.294% 01/21/2005 200,818 200,818 General Electric Capital Corp. 2.295% 01/10/2005 343,583 343,583 HBOS Halifax Bank of Scotland Eurodollar Time Deposit 2.025% 01/21/2005 162,215 162,215 Lloyds TSB Bank Eurodollar Time Deposit 2.280% 02/02/2005 172,794 172,794 Merrill Lynch Premier Institutional Money Market Fund 232,744 232,744 Merrimac Cash Fund, Premium Class 528,962 528,962 Morgan Stanley Dean Witter & Co. 2.393% 07/19/2005 $ 465,487 $ 465,487 Royal Bank of Canada Eurodollar Time Deposit 2.250% 01/19/2005 352,642 352,642 Royal Bank of Canada Eurodollar Time Deposit 2.260% 02/01/2005 282,113 282,113 Royal Bank of Scotland Eurodollar Time Deposit 2.015% 01/21/2005 406,948 406,948 Royal Bank of Scotland Eurodollar Time Deposit 2.270% 02/02/2005 211,585 211,585 Royal Bank of Scotland Eurodollar Time Deposit 2.360% 02/17/2005 35,264 35,264 Toronto Dominion Bank Eurodollar Time Deposit 2.420% 03/01/2005 352,642 352,642 Wells Fargo Eurodollar Time Deposit 2.270% 01/25/2005 88,160 88,160 Wells Fargo Eurodollar Time Deposit 2.310% 01/28/2005 352,642 352,642 Wells Fargo Eurodollar Time Deposit 2.320% 01/14/2005 844,929 844,929 ------------- 12,147,678 ------------- REPURCHASE AGREEMENT -- 5.3% Investors Bank & Trust Company Repurchase Agreement, dated 12/31/2004, 1.75%, due 01/03/2005(a) 5,375,141 5,375,141 ------------- TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST) 17,522,819 ------------- TOTAL INVESTMENTS -- 112.7% (COST $86,683,459)*** 113,681,301 OTHER ASSETS/ (LIABILITIES) -- (12.7%) (12,766,704) ------------- NET ASSETS -- 100.0% $ 100,914,597 =============
NOTES TO PORTFOLIO OF INVESTMENTS * Non-income producing security. ** Represents investments of security lending collateral. (NOTE 2). *** See Note 7 for aggregate cost for Federal tax purposes. + Denotes all or a portion of security on loan. (a) Maturity value of $5,375,925. Collaterized by U.S. Government Agency obligation with a rate of 4.126%, maturity date of 02/01/2033, and an aggregate market value, including accrued interest, of $5,643,898. The accompanying notes are an integral part of the financial statements. 14 MML SERIES INVESTMENT FUND - FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES DECEMBER 31, 2004
MML MML EQUITY SMALL CAP INDEX EQUITY FUND FUND -------------- -------------- ASSETS: Investments, at value (NOTE 2)(a) $ 403,171,478 $ 96,158,482 Short-term investments, at value (NOTE 2)(b) 30,297,705 17,522,819 -------------- -------------- Total Investments(c) 433,469,183 113,681,301 -------------- -------------- Cash - 1,627 Receivables from: Investments sold 357,222 - Fund shares sold 23,550 45,637 Interest and dividends 566,409 63,907 -------------- -------------- Total assets 434,416,364 113,792,472 -------------- -------------- LIABILITIES: Payables for: Investments purchased - 610,441 Fund shares repurchased 51,064 27,249 Variation margin on open futures contracts (NOTE 2) 2,750 - Securities on loan (NOTE 2) 27,884,535 12,147,678 Directors' fees and expenses (NOTE 3) 33,144 8,726 Affiliates (NOTE 3): Investment management fees 34,053 54,580 Administration fees 42,943 - Accrued expenses and other liabilities 31,469 29,201 -------------- -------------- Total liabilities 28,079,958 12,877,875 -------------- -------------- NET ASSETS $ 406,336,406 $ 100,914,597 ============== ============== NET ASSETS CONSIST OF: Paid-in capital $ 391,561,349 $ 73,993,478 Distributions in excess of net investment income (10,102) (7,904) Accumulated net realized gain (loss) on investments and futures contracts (15,284,575) (68,819) Net unrealized appreciation on investments and futures contracts 30,069,734 26,997,842 -------------- -------------- NET ASSETS $ 406,336,406 $ 100,914,597 ============== ============== Shares outstanding: 7,937,656 ============== Net asset value, offering price and redemption price per share: $ 12.71 ============== Class I shares: Net assets $ 85,138,011 ============== Shares outstanding 5,712,676 ============== Net asset value, offering price and redemption price per share $ 14.90 ============== Class II shares: Net assets $ 184,271,177 ============== Shares outstanding 12,374,179 ============== Net asset value, offering price and redemption price per share $ 14.89 ============== Class III shares: Net assets $ 136,927,218 ============== Shares outstanding 9,213,017 ============== Net asset value, offering price and redemption price per share $ 14.86 ============== (a) Cost of investments: $ 373,180,319 $ 69,160,640 (b) Cost of short-term investments: $ 30,297,676 $ 17,522,819 (c) Securities on loan with market value of: $ 26,729,027 $ 11,715,677
The accompanying notes are an integral part of the financial statements. 15 STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004
MML MML EQUITY SMALL CAP INDEX EQUITY FUND FUND -------------- -------------- INVESTMENT INCOME (NOTE 2): Dividends(a) $ 8,067,833 $ 747,032 Interest(b) 52,528 42,120 -------------- -------------- Total investment income 8,120,361 789,152 -------------- -------------- EXPENSES (NOTE 2): Investment management fees (NOTE 3) 401,854 580,751 Custody fees 61,689 15,952 Trustee reporting 5,039 4,411 Audit and legal fees 27,923 23,319 Proxy fees 921 126 Shareholder reporting fees 19,585 2,326 Directors' fees (NOTE 3) 36,827 8,092 Administration fees (NOTE 3): Class I 241,990 - Class II 350,614 - Class III 68,329 - -------------- -------------- Total expenses 1,214,771 634,977 Class II Administration fees waived (NOTE 3) (111,436) - Class III Administration fees waived (NOTE 3) (68,329) - -------------- -------------- Net expenses 1,035,006 634,977 -------------- -------------- NET INVESTMENT INCOME (LOSS) 7,085,355 154,175 -------------- -------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investment transactions (5,834,571) 2,541,228 Closed futures contracts 505,241 - -------------- -------------- Net realized gain (loss) (5,329,330) 2,541,228 -------------- -------------- Net change in unrealized appreciation (depreciation) on: Investments 38,250,052 11,469,589 Open futures contracts (10,845) - -------------- -------------- Net unrealized gain 38,239,207 11,469,589 -------------- -------------- NET REALIZED AND UNREALIZED GAIN 32,909,877 14,010,817 -------------- -------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 39,995,232 $ 14,164,992 ============== ============== (a) Net of withholding tax of: $ - $ - (b) Including securities lending income of: $ 19,210 $ 6,137
The accompanying notes are an integral part of the financial statements. 16 STATEMENTS OF CHANGES IN NET ASSETS
MML EQUITY INDEX FUND ------------------------------------- YEAR YEAR ENDED ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 ----------------- ----------------- INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income $ 7,085,355 $ 5,321,954 Net realized gain (loss) on investment transactions and futures contracts (5,329,330) (2,518,982) Net change in unrealized appreciation on investments and futures contracts 38,239,207 84,005,759 ----------------- ----------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 39,995,232 86,808,731 DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2): From net investment income - - Class I (1,343,883) (913,733) Class II (3,190,498) (2,486,104) Class III (2,549,489) (1,931,671) ----------------- ----------------- TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME (7,083,870) (5,331,508) ----------------- ----------------- FROM NET REALIZED GAINS - - ----------------- ----------------- NET FUND SHARE TRANSACTIONS (NOTE 5): Class I 1,433 4,695,413 Class II (19,877,415) 26,828,374 Class III (11,810,653) (7,355,331) ----------------- ----------------- NET FUND SHARE TRANSACTIONS (NOTE 5) (31,686,635) 24,168,456 ----------------- ----------------- TOTAL INCREASE IN NET ASSETS 1,224,727 105,645,679 NET ASSETS: Beginning of year 405,111,679 299,466,000 ----------------- ----------------- End of year $ 406,336,406 $ 405,111,679 ================= ================= Distributions in excess of net investment income included in net assets at end of the year $ (10,102) $ (12,524) ================= ================= MML SMALL CAP EQUITY FUND ------------------------------------- YEAR YEAR ENDED ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 ----------------- ----------------- INCREASE (DECREASE) IN NET ASSETS: OPERATIONS: Net investment income $ 154,175 $ 141,322 Net realized gain (loss) on investment transactions and futures contracts 2,541,228 2,035,667 Net change in unrealized appreciation on investments and futures contracts 11,469,589 17,469,139 ----------------- ----------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 14,164,992 19,646,128 DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2): From net investment income (159,391) (142,999) Class I - - Class II - - Class III - - ----------------- ----------------- TOTAL DISTRIBUTIONS FROM NET INVESTMENT INCOME (159,391) (142,999) ----------------- ----------------- FROM NET REALIZED GAINS (1,804,441) - ----------------- ----------------- NET FUND SHARE TRANSACTIONS (NOTE 5): Class I - - Class II - - Class III - - ----------------- ----------------- NET FUND SHARE TRANSACTIONS (NOTE 5) 2,809,366 4,892,753 ----------------- ----------------- TOTAL INCREASE IN NET ASSETS 15,010,526 24,395,882 NET ASSETS: Beginning of year 85,904,071 61,508,189 ----------------- ----------------- End of year $ 100,914,597 $ 85,904,071 ================= ================= Distributions in excess of net investment income included in net assets at end of the year $ (7,904) $ (5,072) ================= =================
The accompanying notes are an integral part of the financial statements. 17 FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
CLASS I ------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/04 12/31/03 12/31/02 12/31/01 12/31/00 ---------- ---------- ---------- ---------- ------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 13.71 $ 10.83 $ 14.14 $ 16.27 $ 18.13 ---------- ---------- ---------- ---------- ------------ INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income 0.22*** 0.16*** 0.14*** 0.14*** 0.16*** Net realized and unrealized gain (loss) on investments 1.21 2.88 (3.31) (2.14) (1.88) ---------- ---------- ---------- ---------- ------------ Total income (loss) from investment operations 1.43 3.04 (3.17) (2.00) (1.72) ---------- ---------- ---------- ---------- ------------ LESS DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (0.24) (0.16) (0.14) (0.07) (0.14) From net realized gains - - - (0.06) - ---------- ---------- ---------- ---------- ------------ Total distributions (0.24) (0.16) (0.14) (0.13) (0.14) ---------- ---------- ---------- ---------- ------------ NET ASSET VALUE, END OF PERIOD $ 14.90 $ 13.71 $ 10.83 $ 14.14 $ 16.27 ========== ========== ========== ========== ============ TOTAL RETURN(a) 10.42% 28.08% (22.46)% (12.32)% (9.53)% RATIOS / SUPPLEMENTAL DATA: Net assets, end of period (000's) $ 85,138 $ 78,597 $ 58,454 $ 81,535 $ 82,798 Ratio of expenses to average daily net assets: Before expense waiver 0.44% 0.44% 0.44% 0.45% 0.45% After expense waiver# N/A N/A N/A N/A 0.45% Net investment income to average daily net assets 1.60% 1.37% 1.16% 0.92% 0.89% Portfolio turnover rate 4% 5% 6% 5% 3%
CLASS II -------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED 12/31/04 12/31/03 12/31/02 12/31/01 12/31/00+ ---------- ---------- ---------- ---------- ------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 13.70 $ 10.82 $ 14.13 $ 16.26 $ 17.96 ---------- ---------- ---------- ---------- ------------ INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income 0.25*** 0.19*** 0.17*** 0.16*** 0.13*** Net realized and unrealized gain (loss) on investments 1.20 2.87 (3.32) (2.14) (1.68) ---------- ---------- ---------- ---------- ------------ Total income (loss) from investment operations 1.45 3.06 (3.15) (1.98) (1.55) ---------- ---------- ---------- ---------- ------------ LESS DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (0.26) (0.18) (0.16) (0.09) (0.15) From net realized gains - - - (0.06) - ---------- ---------- ---------- ---------- ------------ Total distributions (0.26) (0.18) (0.16) (0.15) (0.15) ---------- ---------- ---------- ---------- ------------ NET ASSET VALUE, END OF PERIOD $ 14.89 $ 13.70 $ 10.82 $ 14.13 $ 16.26 ========== ========== ========== ========== ============ TOTAL RETURN(a) 10.60% 28.31% (22.29)% (12.18)% (8.63)%** RATIOS / SUPPLEMENTAL DATA: Net assets, end of period (000's) $ 184,271 $ 188,869 $ 125,942 $ 74,636 $ 56,998 Ratio of expenses to average daily net assets: Before expense waiver 0.33% 0.33% 0.33% 0.34% 0.34%* After expense waiver## 0.27% 0.25% 0.26% 0.29% 0.29%* Net investment income to average daily net assets 1.75% 1.56% 1.37% 1.08% 1.10%* Portfolio turnover rate 4% 5% 6% 5% 3%**
* ANNUALIZED. ** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED. *** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD. + FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2000. # COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN FEES AND EXPENSES OF THE FUND FOR THE YEAR ENDED DECEMBER 31, 2000. ## COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000 THROUGH DECEMBER 31, 2000, THE YEARS ENDED DECEMBER 31, 2001, 2002, 2003 AND 2004. (a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE DOES NOT REFLECT EXPENSES THAT APPLY AT THE SEPARATE ACCOUNT LEVEL OR TO RELATED INSURANCE PRODUCTS. INCLUSION OF THESE CHARGES WOULD REDUCE THE TOTAL RETURN FIGURES FOR ALL PERIODS SHOWN. The accompanying notes are an integral part of the financial statements. 18
CLASS III --------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED 12/31/04 12/31/03 12/31/02 12/31/01 12/31/00+ ---------- ---------- ---------- ---------- ------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 13.67 $ 10.80 $ 14.10 $ 16.27 $ 17.96 ---------- ---------- ---------- ---------- ------------ INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income 0.26*** 0.20*** 0.18*** 0.19*** 0.15*** Net realized and unrealized gain (loss) on investments 1.21 2.86 (3.31) (2.19) (1.67) ---------- ---------- ---------- ---------- ------------ Total income (loss) from investment operations 1.47 3.06 (3.13) (2.00) (1.52) ---------- ---------- ---------- ---------- ------------ LESS DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (0.28) (0.19) (0.17) (0.11) (0.17) From net realized gains - - - (0.06) - ---------- ---------- ---------- ---------- ------------ Total distributions (0.28) (0.19) (0.17) (0.17) (0.17) ---------- ---------- ---------- ---------- ------------ NET ASSET VALUE, END OF PERIOD $ 14.86 $ 13.67 $ 10.80 $ 14.10 $ 16.27 ========== ========== ========== ========== ============ TOTAL RETURN(a) 10.77% 28.38% (22.18)% (12.30)% (8.50)%** RATIOS / SUPPLEMENTAL DATA: Net assets, end of period (000's) $ 136,927 $ 137,646 $ 115,070 $ 154,588 $ 34,111 Ratio of expenses to average daily net assets: Before expense waiver 0.19% 0.19% 0.19% 0.20% 0.20%* After expense waiver## 0.14% 0.14% 0.14% 0.15% 0.15%* Net investment income to average daily net assets 1.88% 1.67% 1.46% 1.32% 1.25%* Portfolio turnover rate 4% 5% 6% 5% 3%**
* ANNUALIZED. ** PERCENTAGE REPRESENTS RESULTS FOR THE PERIOD AND ARE NOT ANNUALIZED. *** PER SHARE AMOUNT CALCULATED ON THE AVERAGE SHARES METHOD. + FOR THE PERIOD FROM MAY 1, 2000 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31, 2000. ## COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN FEES AND EXPENSES OF THE FUND FOR THE PERIOD MAY 1, 2000 THROUGH DECEMBER 31, 2000, THE YEARS ENDED DECEMBER 31, 2001, 2002, 2003 AND 2004. (a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE DOES NOT REFLECT EXPENSES THAT APPLY AT THE SEPARATE ACCOUNT LEVEL OR TO RELATED INSURANCE PRODUCTS. INCLUSION OF THESE CHARGES WOULD REDUCE THE TOTAL RETURN FIGURES FOR ALL PERIODS SHOWN. The accompanying notes are an integral part of the financial statements. 19
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/04 12/31/03 12/31/02 12/31/01 12/31/00 ---------- ---------- ---------- ---------- ------------ NET ASSET VALUE, BEGINNING OF YEAR $ 11.14 $ 8.50 $ 9.67 $ 9.40 $ 8.34 ---------- ---------- ---------- ---------- ------------ INCOME (LOSS) FROM INVESTMENT OPERATIONS: Net investment income 0.02 0.02 0.02 0.05 0.08 Net realized and unrealized gain (loss) on investments 1.80 2.64 (1.17) 0.27 1.06 ---------- ---------- ---------- ---------- ------------ Total income (loss) from investment operations 1.82 2.66 (1.15) 0.32 1.14 ---------- ---------- ---------- ---------- ------------ LESS DISTRIBUTIONS TO SHAREHOLDERS: From net investment income (0.02) (0.02) (0.02) (0.05) (0.08) From net realized gains (0.23) - - - - ---------- ---------- ---------- ---------- ------------ Total distributions (0.25) (0.02) (0.02) (0.05) (0.08) ---------- ---------- ---------- ---------- ------------ NET ASSET VALUE, END OF YEAR $ 12.71 $ 11.14 $ 8.50 $ 9.67 $ 9.40 ========== ========== ========== ========== ============ TOTAL RETURN(a) 16.36% 31.29% (11.84)% 3.36% 13.63% RATIOS / SUPPLEMENTAL DATA: Net assets, end of year (000's) $ 100,915 $ 85,904 $ 61,508 $ 57,096 $ 42,661 Ratio of expenses to average daily net assets: Before expense waiver 0.71% 0.73% 0.77% 0.69% 0.80% After expense waiver# N/A 0.73%(b) 0.76%(b) N/A 0.76% Net investment income to average daily net assets 0.17% 0.20% 0.25% 0.59% 1.12% Portfolio turnover rate 39% 43% 44% 97% 65%
# COMPUTED AFTER GIVING EFFECT TO AN AGREEMENT BY MASSMUTUAL TO WAIVE CERTAIN FEES AND EXPENSES OF THE FUND, FOR THE YEARS ENDED DECEMBER 31, 2000 AND 2002. (a) TOTAL RETURN INFORMATION SHOWN IN THE FINANCIAL HIGHLIGHTS TABLE DOES NOT REFLECT EXPENSES THAT APPLY AT THE SEPARATE ACCOUNT LEVEL OR TO RELATED INSURANCE PRODUCTS. INCLUSION OF THESE CHARGES WOULD REDUCE THE TOTAL RETURN FIGURES FOR ALL PERIODS SHOWN. (b) THE FUND HAS ENTERED INTO AN AGREEMENT WITH CERTAIN BROKERS TO REBATE A PORTION OF BROKERAGE COMMISSIONS. THE REBATED COMMISSIONS ARE USED TO REDUCE OPERATING EXPENSES OF THE FUND. The accompanying notes are an integral part of the financial statements. 20 NOTES TO FINANCIAL STATEMENTS 1. THE FUND MML Series Investment Fund ("MML Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a no-load, 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 14, 1993, as amended. The following are two series of the Trust (each individually referred to as a "Fund" or collectively as the "Funds"): MML Equity Index Fund ("Equity Index Fund") and MML Small Cap Equity Fund ("Small Cap Equity Fund"). The MML Trust was established by Massachusetts Mutual Life Insurance Company ("MassMutual") for the purpose of providing vehicles for the investment of assets of various separate investment accounts established by MassMutual and by life insurance companies which are subsidiaries of MassMutual. Shares of MML Trust are not offered to the general public. The Equity Index Fund offers three classes of shares: Class I, Class II and Class III. Each share class invests in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees borne by the classes. Because each class will have different fees and expenses, performance and share prices among the classes will vary. The classes of shares are offered to different types of investors, as outlined in the Fund's Prospectus. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America ("generally accepted accounting principles"). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. INVESTMENT VALUATION Equity securities are valued on the basis of valuations furnished by a pricing service, authorized by the Trustees, which provides the last reported sale price for securities listed on a national securities exchange or the official closing price on the NASDAQ National Market System, or in the case of over-the-counter securities not so listed, the last reported bid price. Debt securities (other than short-term obligations with a remaining maturity of sixty days or less) are valued on the basis of valuations furnished by a pricing service, authorized by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data. Short-term securities with a remaining maturity of sixty days or less are valued at either amortized cost or at original cost plus accrued interest, whichever approximates current market value. 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. Securities are typically valued on the basis of valuations furnished by a primary pricing service or, if no such valuation is available, from a secondary pricing service. However, valuation methods approved by the Trust's Board of Trustees which are intended to reflect fair value may be used when pricing service information is not readily available or when a security's value is believed to have been materially affected by a significant event, such as a natural disaster, an economic event like a bankruptcy filing, or a substantial fluctuation in domestic or foreign markets, that has occurred after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market). In such a case, a Fund's value for a security is likely to be different from the last quoted market price or pricing service information. Due to the subjective and variable nature of fair value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset's sale. 21 Portfolio securities traded on more than one national securities exchange are valued at the last price on the business day as of which such value is being determined at the close of the exchange representing the principal market for such securities. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against U.S. dollars last quoted by any major bank. If such quotations are not available, the rate of exchange is determined in accordance with policies established by the Trustees. SECURITIES LENDING Each Fund may lend its securities to qualified brokers; however, securities lending cannot exceed 33% of the total assets of the Funds taken at current value. The loans are collateralized at all times with cash or securities with a market value at least equal to 100% of the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional collateral is delivered to the Fund the next business day. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the borrower of the securities fail financially. The Funds receive compensation for lending their securities. At December 31, 2004, the Funds loaned securities having the following market values, collateralized by cash, which was invested in short-term instruments in the following amounts:
SECURITIES ON LOAN COLLATERAL ------------------ ------------- Equity Index Fund $ 26,729,027 $ 27,884,535 Small Cap Equity Fund 11,715,677 12,147,678
REPURCHASE AGREEMENTS Each Fund may enter into repurchase agreements with certain banks and broker/dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Funds, through their custodian, take possession of the securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets remains sufficient to protect the Funds in the event of default by the seller. Collateral for certain tri-party repurchase agreements is held at the counterparty's custodian in a segregated account for the benefit of the Funds and the counterparty. In connection with transactions in repurchase agreements, if the seller defaults and the value of the collateral declines or if the seller enters insolvency proceedings, realization of collateral by the Funds may be delayed or limited. ACCOUNTING FOR INVESTMENTS Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed on the specific identification cost method. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. FEDERAL INCOME TAX It is each Fund's intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"), applicable to a regulated investment company. Under such provisions, the Funds will not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, no Federal income tax provision is required. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income 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. 22 During the year ended December 31, 2004, the following amounts were reclassified due to the differences between book and tax accounting:
ACCUMULATED NET REALIZED UNDISTRIBUTED PAID-IN GAIN (LOSS) ON NET INVESTMENT CAPITAL INVESTMENTS INCOME ---------- -------------- -------------- Equity Index Fund $ (48,163) $ 47,226 $ 937 Small Cap Equity Fund 1 (2,385) 2,384
FOREIGN CURRENCY TRANSLATION The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions and the difference between the amounts of dividends recorded on the books of the Funds and the amount actually received. FORWARD FOREIGN CURRENCY CONTRACTS Each Fund may enter into forward foreign currency contracts in order to hedge the effect of currency movements of foreign denominated securities or obligations. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange and interest rates. Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. Forward foreign currency contracts involve a risk of loss from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in foreign currency values and interest rates. The notional or contractual amounts of these instruments represent the investments the Funds have in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions are considered. At December 31, 2004, the Funds had no open forward foreign currency contracts. FORWARD COMMITMENTS Each Fund may purchase or sell securities on a "when issued" or delayed delivery or on a forward commitment basis. The Funds use forward commitments to manage interest rate exposure or as a temporary substitute for purchasing or selling particular debt securities. Delivery and payment for securities purchased on a forward commitment basis can take place a month or more after the date of the transaction. The Funds instruct the custodian to segregate assets in a separate account with a current market value at least equal to the amount of its forward purchase commitments. The price of the underlying security and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Forward commitments are valued on the basis of valuations furnished by a pricing service, authorized by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, 23 type of issue, trading characteristics and other market data. Securities for which no market quotation is available, are valued at fair value in accordance with procedures approved by and determined in good faith by the Trustees, although the actual calculation may be done by others. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the value of the forward commitment. When a forward commitment contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished. Forward commitments involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. The Funds could also be exposed to loss if they cannot close out their forward commitments because of an illiquid secondary market, or the inability of counterparties to perform. The Funds monitor exposure to ensure counterparties are creditworthy and concentration of exposure is minimized. At December 31, 2004, the Funds had no open forward commitments. FINANCIAL FUTURES CONTRACTS The Funds may purchase or sell financial futures contracts and options on such futures contracts for the purpose of hedging the market risk on existing securities or as a substitute for the purchase of securities. Futures contracts are contracts for delayed delivery of securities at a specific future date and at a specific price or yield. Upon entering into a contract, the Funds deposit and maintain as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. When the contract is closed, each Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. A summary of open futures contracts for the Equity Index Fund at December 31, 2004, is as follows:
NOTIONAL NET NUMBER OF CONTRACT UNREALIZED CONTRACTS TYPE EXPIRATION DATE VALUE APPRECIATION ------------------- ------------- --------------- ------------ ------------ EQUITY INDEX FUND BUYS 11 S&P 500 Index 03/17/05 $ 3,337,675 $ 78,546
ALLOCATION OF OPERATING ACTIVITY In maintaining the records for the Equity Index Fund, 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 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 are prorated among the classes to which the expense relates based on the relative net assets of each. 3. MANAGEMENT FEES AND OTHER TRANSACTIONS INVESTMENT MANAGEMENT FEES Under agreements between the Trust and MassMutual on behalf of each Fund, MassMutual is responsible for providing investment management services for each Fund. In return for this service, MassMutual receives advisory fees monthly based on the following annual rates. For the Equity Index Fund, MassMutual receives a fee from the Fund at an annual rate of 0.10% of the average daily net asset value of the Fund. 24 For the Small Cap Equity Fund, MassMutual receives a fee from the Fund at an annual rate of 0.65% of the first $100,000,000, 0.60% of the next $100,000,000, 0.55% of the next $300,000,000 and 0.50% of any excess over $500,000,000 of the average daily net asset value of the Fund. MassMutual has entered into an investment sub-advisory agreement with Babson Capital Management LLC ("Babson Capital"), (formerly known as David L. Babson & Company Inc.) pursuant to which Babson Capital serves as the Small Cap Equity Fund's sub-adviser providing day-to-day management of the Fund's investments. Babson Capital is a wholly-owned subsidiary of DLB Acquisition Corporation, which is a controlled subsidiary of MassMutual. Babson Capital receives a fee from MassMutual equal to an annual rate of 0.25% of the average daily net assets under management of the Fund. MassMutual has also entered into an investment sub-advisory agreement with Northern Trust Investments, N.A. ("Northern Trust") for the Equity Index Fund. MassMutual pays a sub-advisory fee to Northern Trust based upon the aggregate net assets under management which include (1) the average daily net assets of the Equity Index Fund, and (2) the average daily net assets of all other funds or accounts of MassMutual or its affiliates for which Northern Trust provides sub-advisory services and which have substantially the same investment objectives, policies and investment strategies. ADMINISTRATION & SHAREHOLDER SERVICE FEES For the Equity Index Fund, under a separate administrative and shareholder services agreement between the Fund and MassMutual, MassMutual provides certain administrative and shareholder services and bears some class specific administrative expenses. In return for these services, MassMutual receives an administrative services fee monthly based upon the average daily net assets of the applicable class of shares of the Fund at the following annual rates: 0.30% on the first $100,000,000, 0.28% on the next $150,000,000 and 0.26% on assets in excess of $250,000,000 of Class I shares of the Fund, 0.19% of the average daily net assets of Class II shares of the Fund, and for Class III shares, an amount not to exceed 0.05% of the average daily net assets of the Fund. EXPENSE WAIVERS For the Small Cap Equity Fund, MassMutual has agreed, at least through April 30, 2005, to bear the expenses of the Fund to the extent that the aggregate expenses (excluding the Fund's management fee, interest, taxes, brokerage commissions and extraordinary expenses) incurred during the Fund's fiscal year exceed 0.11% of the average daily net assets of the Fund for such year. For Class II and Class III of the Equity Index Fund, MassMutual has agreed, at least through April 30, 2005, to bear the expenses of the Fund, to the extent that the aggregate expenses (excluding the Fund's management and administrative fees, interest, taxes, brokerage commissions and extraordinary expenses) incurred during the Fund's fiscal year exceed 0.05% of the average daily net assets of the Fund for such year. MassMutual has also agreed to waive certain administrative and shareholder service fees payable by the Fund on account of Class II or Class III shares. EXPENSE REDUCTIONS The Small Cap Equity Fund has entered into an agreement with certain brokers whereby the brokers will rebate, in cash, a portion of brokerage commissions and such cash will be applied to reduce fund expenses. The amount earned by the Fund under such an agreement is presented as a reduction of the expenses in the statement of operations. For the year ended December 31, 2004, there was no expense reduction under this agreement. OTHER Certain officers and trustees of the Funds are also officers of MassMutual. The compensation of each trustee who is not an officer or employee of MassMutual is borne by the Funds. DEFERRED COMPENSATION Trustees of the Funds that are not employees of MassMutual or its subsidiaries may elect to defer receipt of their annual fees in accordance with terms of the Non-Qualified Deferred Compensation Plan. Any amounts deferred shall accrue interest at a rate equal to eight percent (8%) per annum. For the year ended December 31, 2004, no significant amounts have been deferred. 25 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, 2004, were as follows:
LONG-TERM U.S. OTHER LONG-TERM GOVERNMENT SECURITIES SECURITIES --------------------- --------------- PURCHASES Equity Index Fund $ - $ 15,643,905 Small Cap Equity Fund - 36,726,714 SALES Equity Index Fund $ - $ 45,944,963 Small Cap Equity Fund - 32,652,163
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:
YEAR ENDED DECEMBER 31, 2004 YEAR ENDED DECEMBER 31, 2003 SHARES AMOUNT SHARES AMOUNT ---------- --------------- ---------- --------------- EQUITY INDEX FUND CLASS I Sold 1,190,416 $ 16,724,615 1,373,601 $ 16,523,967 Issued as reinvestment of dividends 90,073 1,343,884 66,793 913,733 Redeemed (1,299,529) (18,067,066) (1,104,652) (12,742,287) ---------- --------------- ---------- --------------- Net increase (decrease) (19,040) $ 1,433 335,742 $ 4,695,413 ========== =============== ========== =============== EQUITY INDEX FUND CLASS II Sold 1,537,829 $ 21,537,619 3,785,872 $ 45,312,735 Issued as reinvestment of dividends 213,984 3,190,498 181,866 2,486,104 Redeemed (3,163,722) (44,605,532) (1,822,195) (20,970,465) ---------- --------------- ---------- --------------- Net increase (decrease) (1,411,909) $ (19,877,415) 2,145,543 $ 26,828,374 ========== =============== ========== =============== EQUITY INDEX FUND CLASS III Sold 19,216 $ 267,033 766,101 $ 8,254,570 Issued as reinvestment of dividends 171,337 2,549,488 141,618 1,931,671 Redeemed (1,043,953) (14,627,174) (1,499,750) (17,541,572) ---------- --------------- ---------- --------------- Net increase (decrease) (853,400) $ (11,810,653) (592,031) $ (7,355,331) ========== =============== ========== =============== SMALL CAP EQUITY FUND Sold 1,158,338 $ 13,270,784 1,543,870 $ 14,782,305 Issued as reinvestment of dividends 154,079 1,963,832 12,718 142,999 Redeemed (1,084,794) (12,425,250) (1,081,987) (10,032,551) ---------- --------------- ---------- --------------- Net increase (decrease) 227,623 $ 2,809,366 474,601 $ 4,892,753 ========== =============== ========== ===============
6. FOREIGN SECURITIES The 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 issued by 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. 26 7. FEDERAL INCOME TAX INFORMATION At December 31, 2004, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a Federal income tax basis, were as follows:
FEDERAL TAX BASIS TAX BASIS NET UNREALIZED INCOME TAX UNREALIZED UNREALIZED APPRECIATION/ COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------- ------------ ------------- -------------- Equity Index Fund $ 408,584,626 $ 67,282,198 $ (42,397,641) $ 24,884,557 Small Cap Equity Fund 86,990,030 28,219,593 (1,528,322) 26,691,271
At December 31, 2004, the following Funds had available, for Federal income tax purposes, unused capital losses:
EXPIRING EXPIRING EXPIRING 2010 2011 2012 ------------ ------------- -------------- Equity Index Fund $ 6,501,477 $ 110,945 $ 2,367,627
Net capital loss carryforwards may be applied against any net realized taxable gains in each succeeding year, or until their respective expiration dates, whichever occurs first. Certain differences exist from the amounts reflected in the Statement of Changes in Net Assets primarily due to the character of short-term capital gains treated as ordinary income for tax purposes. The tax character of distributions paid during the year ended December 31, 2004 was as follows:
ORDINARY LONG TERM RETURN OF INCOME CAPITAL GAIN CAPITAL ------------ ------------- -------------- Equity Index Fund $ 7,083,870 $ - $ - Small Cap Equity Fund 516,795 1,447,037 -
The tax character of distributions paid during the year ended December 31, 2003 was as follows:
ORDINARY LONG TERM RETURN OF INCOME CAPITAL GAIN CAPITAL ------------ ------------ -------------- Equity Index Fund $ 5,331,508 $ - $ - Small Cap Equity Fund 142,999 - -
At December 31, 2004, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED OTHER ORDINARY CAPITAL LOSS TEMPORARY UNREALIZED INCOME CARRYOVER DIFFERENCES APPRECIATION* ------------- ------------ ------------- ------------- Equity Index Fund $ - $ (8,980,049) $ (1,207,997) $ 24,963,103 Small Cap Equity Fund 358,180 - (128,332) 26,691,271
* INCLUDES UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS, DERIVATIVES AND FOREIGN CURRENCY DENOMINATED ASSETS AND LIABILITIES IF ANY. The following Funds elected to defer to January 1, 2005 post-October losses:
AMOUNT ------------- Equity Index Fund $ 1,178,443 Small Cap Equity Fund 120,428
27 8. PROXY VOTING (UNAUDITED) A description of the policies and procedures that each Fund's investment adviser and sub-advisers use to vote proxies relating to the Fund's portfolio securities is available, without charge, upon request, by calling 1-888-309-3539, and on the Securities and Exchange Commission's website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available, without charge, upon request, on the MassMutual website at http://www.massmutual.com/retire and on the Securities and Exchange Commission's website at http://www.sec.gov. 9. QUARTERLY REPORTING (UNAUDITED) The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed and copied at the SEC's Public Reference Room, which may be obtained by calling 1-800-SEC-0330. 28 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF MML SERIES INVESTMENT FUND We have audited the accompanying statement of assets and liabilities, including the portfolios of investments, of the MML Equity Index Fund and the MML Small Cap Equity Fund (collectively the "Funds") which are components of the MML Series Investment Fund ("The MML Trust"), as of December 31, 2004, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the MML Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion of the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2004 by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of December 31, 2004, and the results of their operations, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America. /s/ Deloitte & Touche LLP Deloitte & Touche LLP Boston, Massachusetts February 11, 2005 29 TRUSTEES AND OFFICERS (UNAUDITED) The following table lists the Trust's trustees and officers as of December 31, 2004; their address and age; their position with the Trust; the length of time holding that position with the Trust; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called "public companies") or in registered investment companies. The Trust's Statement of Additional Information includes additional information about the Trust's trustees and is available, without charge, upon request by calling 1-888-309-3539 or by writing MML Series Investment Fund, c/o Massachusetts Mutual Life Insurance Company, 1295 State Street, Springfield, Massachusetts 01111-0111, Attention: Retirement Services Marketing. DISINTERESTED TRUSTEES
TERM NUMBER OF OF OFFICE** PORTFOLIOS IN AND FUND POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS AND AGE TRUST SERVED PAST 5 YEARS TRUSTEE HELD BY TRUSTEE ------------------------ ----------- ----------- -------------------------------- ------------- ------------------------------- Richard H. Ayers Trustee of Since 1999 Retired. 39 Director, Applera Corporation; Age: 62 the Trust Director (since 2002), Instron Corporation. Mary E. Boland Trustee of Since 1973 Attorney at Law (since 2004); 39 Director (since 1999), Age: 65 the Trust Attorney at Law (1965-2004), BankNorth Massachusetts; Egan, Flanagan and Cohen, P.C. Director (since 1999), (law firm), Springfield, MA. Massachusetts Educational Financing Authority. Richard W. Greene Trustee of Since 1999 Retired; Vice President for 39 Age: 69 the Trust Investments and Treasurer (1998-2000), University of Rochester (private university). F. William Marshall, Jr. Trustee of Since 1996 Consultant (since 1999); 39 Trustee (since 2000), Board II Age: 62 the Trust Chairman (1999), Family Bank, Oppenheimer Funds. F.S.B. (formerly SIS Bank); Executive Vice President (1999), Peoples Heritage Financial Group; President, Chief Executive Officer and Director (1993-1999), SIS Bancorp, Inc. and SIS Bank (formerly, Springfield Institution for Savings). Allan W. Blair Trustee of Since 2003 President and Chief Executive 39 Director (since 2001), Future Age: 56 the Trust Officer (since 1996), Economic Works, Inc. Development Council of Western Massachusetts; President and Chief Operating Officer (since 1993), Westmass Area Development Corporation; President and Chief Operating Officer (since 1984), Westover Metropolitan Development Corporation. R. Alan Hunter, Jr. Trustee of Since 2003 Retired. 39 Age: 58 the Trust
30 INTERESTED TRUSTEES
TERM NUMBER OF OF OFFICE** PORTFOLIOS IN AND FUND POSITION(S) LENGTH PRINCIPAL COMPLEX OTHER NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY DIRECTORSHIPS AND AGE TRUST SERVED PAST 5 YEARS TRUSTEE HELD BY TRUSTEE ------------------------ ----------- ----------- -------------------------------- ------------- ------------------------------- Stuart H. Reese Chairman Since 1999 Executive Vice President and 41 Chairman (since 1999), Age: 49 and Chief Investment Officer (since President (1995-1999), Trustee of 1999), Chief Executive Director MassMutual Corporate Investors the Trust (1997-1999), MassMutual; and MassMutual Participation Chairman and Chief Executive Investors (closed-end Officer (since 2001), President investment companies); and Chief Executive Officer Director (since 1999), Merrill (1999-2001), Babson Capital Lynch Derivative Products; Management LLC (investment Chairman (since 1999), adviser). Director (since 1996), Antares Capital Corporation (finance company); Director (since 1996), HYP Management, Inc. (managing member of MassMutual High Yield Partners LLC), and MMHC Investment, Inc. (investor in funds sponsored by MassMutual); Director (since 1994), MassMutual Corporate Value Partners Limited (investor in debt and equity securities) and MassMutual Corporate Value Limited (parent of MassMutual Corporate Value Partners Limited); President (since 1997), MassMutual/ Darby CBO IM Inc. (manager of MassMutual/ Darby CBO LLC, a high yield bond fund); Advisory Board Member (since 1995), Kirtland Capital Partners. Frederick C. Castellani Trustee of Since 2001 Executive Vice President (since 39 Age: 58 the Trust 2001), Senior Vice President (1996-2001), MassMutual. Robert E. Joyal Trustee of Since 2003 Retired; President (2001-2003), 41 Trustee (since 2003), Age: 59 the Trust Managing Director (2000-2001) President (1999-2003), and Executive Director MassMutual Corporate Investors (1999-2000), David L. Babson & and MassMutual Participation Company Inc.; Executive Director Investors (closed-end (1997-1999), Massachusetts investment companies); Mutual Life Insurance Company. Director (since 1996), Antares Capital Corporation (bank loan syndication); Director (since 1996), First Israel Mezzanine Investors Ltd. (general partner and manager of The Israel Mezzanine Fund, L.P.); Director (since 2003), Pemco Aviation Group, Inc.
31 PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES
NUMBER OF PORTFOLIOS IN FUND POSITION(S) LENGTH PRINCIPAL COMPLEX NAME, ADDRESS*, HELD WITH OF TIME OCCUPATION(S) DURING OVERSEEN BY AND AGE TRUST SERVED PAST 5 YEARS OFFICER ------------------ ---------------- ------- ----------------------------------------------------- ------------- David W. O'Leary President of the Since Senior Vice President (since 2001), MassMutual; 14 Age: 44 Trust 2004 Senior Vice President (1999-2001), Vice President (1996-1999), Aetna Financial Services. James S. Collins Chief Financial Since Vice President (since 1999), Second Vice President 39 Age: 46 Officer and 2000 (1990-1999), MassMutual. Treasurer of Trust Thomas M. Kinzler Vice President Since Vice President and Associate General Counsel (since 59 Age: 49 and Secretary 1999 1999), Second Vice President and Associate General of the Trust Counsel (1996-1999), MassMutual. Toby Slodden Vice President Since Executive Vice President (since 2003), Senior Vice 39 Age: 47 of the Trust 2003 President (1999-2003), Vice President (1997-1999), MassMutual. Michael A. Chong Vice President Since Vice President, Compliance (since 2004), Vice 59 Age: 47 and Chief 2004 President and Associate General Counsel (1999-2004), Compliance Second Vice President (1996-1999), MassMutual. Officer of the Trust Ian W. Sheridan Vice President Since Vice President (since 2003), MassMutual; Vice 39 Age: 39 of the Trust 2004 President of Marketing and Business Development (1999-2003), Automatic Data Processing (ADP).
* The address of each Trustee and Principal Officer is the same as that for the Trust; 1295 State Street, Springfield, Massachusetts 01111. ** Each Trustee of the Trust serves until the next meeting of shareholders called for the purpose of electing Trustees and until the election and qualification of his successor or until he dies, resigns or is removed. Notwithstanding the foregoing, a Trustee shall retire and cease to serve as a Trustee as of the first board meeting following the date on which the Trustee attains the age of seventy-two years. FEDERAL TAX INFORMATION (UNAUDITED) For corporate shareholders, a portion of the ordinary dividends paid during the Fund's year ended December 31, 2004 qualified for the dividends received deduction, as follows: Equity Index Fund 100.00% Small Cap Equity Fund 100.00%
32 FUND EXPENSES DECEMBER 31, 2004 EXPENSE EXAMPLES The following information is in regards to expenses for the six month period ended December 31, 2004: As a shareholder of the Funds, you incur ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested for the six month period ended December 31, 2004. ACTUAL EXPENSES The first line of each table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Operating Expenses Incurred" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of each table on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. 33 The Funds incur ongoing operating expenses during the normal course of business, such as management fees and other expenses. The following tables, assuming a $1,000 investment in a class of shares, disclose the ending account value and operating expenses incurred for the six months ended December 31, 2004, based on, (1) the Fund's actual return and actual expenses, and (2) a hypothetical annualized 5% return and the Fund's actual expenses: EQUITY INDEX FUND CLASS I
OPERATING BEGINNING ENDING EXPENSE VALUE VALUE INCURRED* ----------- ---------- --------- 1) Actual $ 1,000.00 $ 1,069.10 $ 2.34 2) Hypothetical 1,000.00 1,022.87 2.29
---------- * EXPENSES ARE CALCULATED USING THE ANNUALIZED EXPENSE RATIO FOR THE SIX MONTHS ENDED DECEMBER 31, 2004 OF 0.45%, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE PERIOD, DIVIDED BY THE NUMBER OF DAYS IN THE YEAR. CLASS II
OPERATING BEGINNING ENDING EXPENSE VALUE VALUE INCURRED* ----------- ---------- --------- 1) Actual $ 1,000.00 $ 1,070.10 $ 1.51 2) Hypothetical 1,000.00 1,023.68 1.48
---------- * EXPENSES ARE CALCULATED USING THE ANNUALIZED EXPENSE RATIO FOR THE SIX MONTHS ENDED DECEMBER 31, 2004 OF 0.29%, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE PERIOD, DIVIDED BY THE NUMBER OF DAYS IN THE YEAR. CLASS III
OPERATING BEGINNING ENDING EXPENSE VALUE VALUE INCURRED* ----------- ---------- --------- 1) Actual $ 1,000.00 $ 1,070.80 $ 0.78 2) Hypothetical 1,000.00 1,024.38 0.76
---------- * EXPENSES ARE CALCULATED USING THE ANNUALIZED EXPENSE RATIO FOR THE SIX MONTHS ENDED DECEMBER 31, 2004 OF 0.15%, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE PERIOD, DIVIDED BY THE NUMBER OF DAYS IN THE YEAR. SMALL CAP EQUITY FUND
OPERATING BEGINNING ENDING EXPENSE VALUE VALUE INCURRED* ----------- ---------- --------- 1) Actual $ 1,000.00 $ 1,109.90 $ 3.71 2) Hypothetical 1,000.00 1,021.62 3.56
* EXPENSES ARE CALCULATED USING THE ANNUALIZED EXPENSE RATIO FOR THE SIX MONTHS ENDED DECEMBER 31, 2004 OF 0.70%, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE PERIOD, DIVIDED BY THE NUMBER OF DAYS IN THE YEAR. 34 [MASSMUTUAL FINANCIAL GROUP(SM) LOGO] Massachusetts Mutual Life Insurance Company and affiliates, Springfield, MA 01111-0001 www.massmutual.com MassMutual Financial Group is a marketing designation (or fleet name) for Massachusetts Mutual Life Insurance Company (MassMutual) and its affiliates. L4540-2 205 ITEM 2 CODE OF ETHICS. As of December 31, 2004, the Registrant adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. For the year ended December 31, 2004, there were no amendments to a provision of the Code of Ethics. A copy of its Code of Ethics is filed with this Form N-CSR under item 10 (a). ITEM 3 AUDIT COMMITTEE FINANCIAL EXPERT. The Registrant's Board of Trustees has determined that Richard H. Ayers and Richard W. Greene, both members of the Audit Committee, are audit committee financial experts as defined by the Securities and Exchange Commission (the "SEC"). Mr. Ayers and Mr. Greene are "independent" as defined by the SEC for purposes of audit committee financial expert determinations. ITEM 4 PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) AUDIT FEES: The aggregate fees paid and accrued by the Registrant for professional services rendered by its independent auditors, Deloitte & Touche LLP, for the audit of the Registrant's annual financial statements for 2004 and 2003 were $38,100 and $35,968, respectively. (b) AUDIT RELATED FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for 2004 and 2003. (c) TAX FEES: The aggregate fees paid or accrued by the Registrant for professional services rendered by Deloitte & Touche LLP for the review of Form 1120-RIC, Form 8613, excise distribution projections, distribution calculation and reasonable out of pocket expenses for 2004 and 2003 were $5,414 and $6,057, respectively. (d) ALL OTHER FEES: No such fees were billed to the Registrant by Deloitte & Touche LLP for 2004 or 2003. (e) (1) AUDIT COMMITTEE PRE-APPROVAL POLICY: All services to be performed for the Registrant by Deloitte & Touche LLP must be pre-approved by the audit committee. All services performed during 2004 and 2003 were pre-approved by the committee. (2) Not applicable. (f) Not applicable. (g) Not applicable. (h) Not applicable. ITEM 5 AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to this filing. ITEM 6 SCHEDULE OF INVESTMENTS Not applicable to this filing. ITEM 7 DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 8 PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable to this filing. ITEM 9 SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable to this filing. ITEM 10 CONTROLS AND PROCEDURES. (a) The Registrant's Principal Executive Officer and Principal Financial Officer concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) were effective based as of a date within 90 days prior to the filing date of this report (the "Evaluation Date"), based on their evaluation of the effectiveness of the Registrant's disclosure controls and procedures as of the Evaluation Date. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal half-year (the Registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 11 (EXHIBITS): (a)(1) Code of Ethics Described in Item 2 is attached. (a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a) are attached hereto as Exhibit 99CERT. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b), under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is attached hereto as Exhibit 99.906CERT. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) MML Series Investment Fund By (Signature and Title): /s/ David W. O'Leary -------------------------------------------- David W. O'Leary, President and Principal Executive Officer Date 2/24/05 ---------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities, and on the dates indicated. By (Signature and Title): /s/ David W. O'Leary -------------------------------------------- David W. O'Leary, President and Principal Executive Officer Date 2/24/05 ---------- By (Signature and Title): /s/ James S. Collins --------------------------------------------------- James S. Collins, Treasurer and Principal Financial Officer Date 3/1/05 ----------