UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-08274

MassMutual Select Funds

(Exact name of registrant as specified in charter)

1295 State Street, Springfield, MA 01111

(Address of principal executive offices) (Zip code)

Eric Wietsma

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: 12/31/11

Date of reporting period: 3/31/11

Item 1. Schedule of Investments.

MassMutual Select PIMCO Total Return Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 1.5%
PREFERRED STOCK — 1.5%
Electric — 1.5%
PPL Corp. 9.500%		400,000	$	21,296,000
TOTAL PREFERRED STOCK (Cost $21,450,000)				21,296,000
TOTAL EQUITIES (Cost $21,450,000)				21,296,000
	Principal Amount
BONDS & NOTES — 68.6%
CORPORATE DEBT — 44.1%
Agriculture — 0.8%
Reynolds American, Inc. 7.625% 6/01/16	$	10,000,000		11,884,580
Auto Manufacturers — 0.2%
Volkswagen International Finance NV FRN (a) 0.762% 10/01/12		3,100,000		3,100,961
Banks — 12.5%
American Express Bank FSB 5.500% 4/16/13		10,800,000		11,583,421
Australia & New Zealand Banking Group Ltd. (a) 2.125% 1/12/14		2,400,000		2,400,864
Banco Santander Brasil SA (a) 4.250% 1/14/16		1,400,000		1,396,500
Banco Santander Brazil SA FRN (a) 2.409% 3/18/14		1,200,000		1,190,778
Banco Santander Chile FRN (a) 1.903% 1/19/16		1,000,000		1,001,390
Bank of Nova Scotia (a) 1.650% 10/29/15		900,000		863,365
Barclays Bank PLC 2.375% 1/13/14		1,000,000		1,005,661
Barclays Bank PLC (a) 10.179% 6/12/21		11,700,000		14,860,287
BBVA Bancomer SA (a) 4.500% 3/10/16		500,000		501,059
BBVA Bancomer SA (a) 6.500% 3/10/21		1,000,000		988,162
BNP Paribas 5.000% 1/15/21		1,800,000		1,816,826
Credit Suisse New York 2.200% 1/14/14		800,000		803,054
Dexia Credit Local SA (a) 2.750% 4/29/14		47,645,000		47,340,406

	Principal Amount		Value
Export-Import Bank of Korea 4.000% 1/29/21	$	400,000	$	364,762
First Horizon National Corp. 4.500% 5/15/13		1,100,000		1,130,923
GMAC, Inc. 6.875% 9/15/11		2,500,000		2,546,875
GMAC, Inc. 7.500% 12/31/13		5,000,000		5,381,250
Groupe BPCE (a) 2.375% 10/04/13		400,000		399,746
HSBC Bank PLC (a) 2.000% 1/19/14		800,000		797,421
ICICI Bank Ltd. 5.500% 3/25/15		2,200,000		2,293,716
ING Bank NV (a) 2.500% 1/14/16		500,000		479,644
Intesa Sanpaolo SpA FRN (a) 2.713% 2/24/14		1,800,000		1,823,090
JP Morgan Chase Bank NA 6.000% 10/01/17		11,700,000		12,797,086
Korea Development Bank 8.000% 1/23/14		1,000,000		1,141,333
Nordea Bank AB (a) 2.125% 1/14/14		400,000		399,073
Regions Financial Corp. 6.375% 5/15/12		10,000,000		10,310,730
Resona Bank Ltd. VRN (a) 5.850% 9/29/49		6,200,000		6,130,659
The Royal Bank of Scotland PLC EUR (b) 3.625% 5/17/13		800,000		1,121,760
The Royal Bank of Scotland PLC 4.375% 3/16/16		5,200,000		5,232,999
The Royal Bank of Scotland PLC (a) 4.875% 8/25/14		10,000,000		10,383,240
The Royal Bank of Scotland PLC EUR (b) 5.500% 3/23/20		7,200,000		9,892,313
Santander UK PLC EUR (b) 1.000% 10/10/17		4,900,000		5,679,092
Sumitomo Mitsui Banking Corp. (a) 1.950% 1/14/14		1,000,000		990,337
UBS AG FRN 1.304% 1/28/14		2,100,000		2,119,211
Wachovia Corp. 5.625% 10/15/16		11,700,000		12,643,675
				179,810,708
Building Materials — 0.2%
Corporacion GEO SAB de CV (a) 9.250% 6/30/20		3,000,000		3,337,500

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

1

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

	Principal Amount		Value
Coal — 0.3%
Arch Western Finance LLC 6.750% 7/01/13	$	3,800,000	$	3,838,000
Diversified Financial — 14.4%
Ally Financial, Inc. 2.200% 12/19/12		700,000		717,105
Ally Financial, Inc. 6.875% 8/28/12		1,425,000		1,496,784
BM&F Bovespa SA (a) 5.500% 7/16/20		3,300,000		3,375,771
CIT Group, Inc. 7.000% 5/01/15		2,600,000		2,622,750
Citigroup, Inc. FRN 1.164% 2/15/13		1,300,000		1,303,842
Citigroup, Inc. FRN 1.753% 1/13/14		2,200,000		2,234,751
Citigroup, Inc. 5.000% 9/15/14		11,700,000		12,217,175
FCE Bank PLC EUR (b) 7.125% 1/16/12		10,000,000		14,597,154
FCE Bank PLC EUR (b) 7.125% 1/15/13		10,000,000		14,880,594
Federal National Mortgage Association 0.500% 10/30/12		2,100,000		2,094,428
Federal National Mortgage Association 1.000% 12/27/12		20,000,000		20,077,356
FIA Card Services NA (a) 7.125% 11/15/12		10,700,000		11,527,485
General Electric Capital Corp. 2.000% 9/28/12		400,000		408,234
General Electric Capital Services, Inc. 7.500% 8/21/35		11,700,000		13,696,991
GMAC LLC 6.625% 5/15/12		10,000,000		10,305,660
The Goldman Sachs Group, Inc. 6.750% 10/01/37		11,700,000		11,800,959
HSBC Finance Corp. 5.500% 4/15/11		1,925,000		1,927,069
HSBC Holdings PLC (c) 5.100% 4/05/21		12,700,000		12,765,164
International Lease Finance Corp. 5.400% 2/15/12		5,000,000		5,081,250
International Lease Finance Corp. (a) 6.750% 9/01/16		700,000		749,000
Macquarie Bank Ltd (Acquired 4/7/11, Cost $2,395,320) (c) (d) 6.625% 4/07/21		2,400,000		2,395,320
Macquarie Bank Ltd. (a) 2.600% 1/20/12		11,730,000		11,928,190

	Principal Amount		Value
Merrill Lynch & Co., Inc. 5.450% 2/05/13	$	900,000	$	954,050
Morgan Stanley FRN 2.812% 5/14/13		1,300,000		1,345,816
SLM Corp. 6.250% 1/25/16		100,000		104,250
SLM Corp. 8.000% 3/25/20		8,200,000		8,938,000
SLM Corp. 8.450% 6/15/18		10,000,000		11,200,000
Sydney Airport Finance (a) 5.125% 2/22/21		300,000		293,638
TNK-BP Finance SA (a) 7.250% 2/02/20		5,000,000		5,500,000
TNK-BP Finance SA (e) 7.250% 2/02/20		4,500,000		4,950,000
TNK-BP Finance SA (e) 7.500% 3/13/13		5,000,000		5,462,500
UBS AG/Stamford CT FRN 1.413% 2/23/12		9,600,000		9,676,695
				206,627,981
Electric — 0.4%
Majapahit Holding BV (a) 7.750% 1/20/20		5,300,000		5,962,500
Foods — 0.0%
Kraft Foods, Inc. 5.625% 11/01/11		459,000		471,686
Holding Company – Diversified — 0.2%
Noble Group Ltd. (a) 4.875% 8/05/15		1,000,000		1,035,000
Noble Group Ltd. (e) 6.625% 8/05/20		1,400,000		1,442,000
				2,477,000
Insurance — 5.3%
American International Group, Inc. 4.950% 3/20/12		19,900,000		20,497,577
American International Group, Inc. 5.050% 10/01/15		12,500,000		12,888,737
American International Group, Inc. 6.250% 5/01/36		5,000,000		4,944,180
American International Group, Inc. 6.400% 12/15/20		8,400,000		8,965,270
Cincinnati Financial Corp. 6.920% 5/15/28		26,742,000		28,255,223
				75,550,987
Investment Companies — 0.8%
Gerdau Holdings, Inc. (a) (e) 7.000% 1/20/20		10,000,000		11,075,000

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

2

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

	Principal Amount		Value
Iron & Steel — 0.3%
CSN Islands XI Corp. (a) 6.875% 9/21/19	$	2,000,000	$	2,220,000
GTL Trade Finance, Inc. (a) 7.250% 10/20/17		1,600,000		1,800,000
				4,020,000
Oil & Gas — 2.7%
BP Capital Markets PLC 3.125% 3/10/12		10,000,000		10,219,780
Chesapeake Energy Corp., Convertible 2.250% 12/15/38		400,000		367,500
Gazprom OAO Via Morgan Stanley Bank AG (e) 9.625% 3/01/13		2,500,000		2,840,000
Gazprom Via Gaz Capital SA (e) 9.250% 4/23/19		5,000,000		6,218,500
Novatek Finance Ltd. (a) 5.326% 2/03/16		400,000		411,354
Petrobras International Finance Co. 7.875% 3/15/19		2,300,000		2,700,395
Petroleos Mexicanos 5.500% 1/21/21		2,800,000		2,842,000
Ras Laffan LNG 3 (e) 5.500% 9/30/14		1,800,000		1,931,778
Reliance Holdings USA, Inc. (a) 4.500% 10/19/20		6,600,000		6,217,933
Transocean, Inc., Series C, Convertible 1.500% 12/15/37		4,500,000		4,381,875
				38,131,115
Retail — 0.0%
CVS Pass-Through Trust 6.943% 1/10/30		93,196		101,110
Savings & Loans — 3.7%
AK Transneft OJSC Via TransCapitalInvest Ltd. (e) 7.700% 8/07/13		15,000,000		16,795,200
Fibria Overseas Finance Ltd. (a) 7.500% 5/04/20		2,000,000		2,170,000
LBG Capital No.1 PLC GBP (b) 7.588% 5/12/20		5,415,000		8,208,968
LBG Capital No.1 PLC GBP (b) 7.867% 12/17/19		4,887,000		7,447,735
LBG Capital No.1 PLC GBP (b) 7.869% 8/25/20		2,906,000		4,428,852
Odebrecht Drilling Norbe VIII/IX Ltd. (a) 6.350% 6/30/21		400,000		421,500
RZD Capital Ltd. 5.739% 4/03/17		3,100,000		3,230,820
Vnesheconombank Via VEB Finance Ltd. (a) 5.450% 11/22/17		400,000		406,000

	Principal Amount		Value
Vnesheconombank Via VEB Finance Ltd. (a) 6.902% 7/09/20	$	9,500,000	$	10,223,900
				53,332,975
Telecommunications — 1.7%
AT&T, Inc. 5.500% 2/01/18		10,500,000		11,461,748
Deutsche Telekom International Finance BV GBP (b) 6.500% 4/08/22		3,300,000		5,812,761
Indosat Palapa Co. BV (a) 7.375% 7/29/20		5,000,000		5,494,000
Qtel International Finance Ltd. (a) 4.750% 2/16/21		200,000		186,500
Qwest Corp. FRN 3.560% 6/15/13		1,300,000		1,355,250
				24,310,259
Transportation — 0.6%
Asciano Finance (a) (c) 5.000% 4/07/18		9,000,000		8,951,220
TOTAL CORPORATE DEBT (Cost $608,883,503)				632,983,582
FLOATING RATE LOAN INTEREST — 0.1%
Diversified Financial — 0.1%
Petroleum Export Term Loan B 3.319% 12/20/12		1,558,000		1,550,210
TOTAL FLOATING RATE LOAN INTEREST (Cost $1,534,209)				1,550,210
MUNICIPAL OBLIGATIONS — 3.2%
Bay Area Toll Authority BAB 6.918% 4/01/40		6,300,000		6,443,388
Bay Area Toll Authority BAB 7.043% 4/01/50		10,500,000		10,715,460
Irvine Ranch Water District BAB 6.622% 5/01/40		6,700,000		6,852,023
Los Angeles Community College District BAB 6.750% 8/01/49		3,000,000		3,156,330
New York City Municipal Water Finance Authority BAB 6.124% 6/15/42		10,000,000		9,657,300
New York State Dormitory Authority 5.051% 9/15/27		600,000		563,052
San Diego County Regional Airport Authority BAB 6.628% 7/01/40		5,000,000		4,873,600
State of California BAB 5.700% 11/01/21		3,500,000		3,551,905

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

3

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

	Principal Amount		Value
Texas State Transportation Commission BAB 5.178% 4/01/30	$	400,000	$	393,112
				46,206,170
TOTAL MUNICIPAL OBLIGATIONS (Cost $46,788,096)				46,206,170
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 9.2%
Commercial MBS — 6.0%
Banc of America Large Loan, Inc., Series 2009-UB2, Class A4AA VRN (a) 5.679% 2/24/51		6,500,000		6,908,348
BCRR Trust, Series 2009-1, Class 2A2 VRN (a) 5.858% 7/17/40		31,036,000		31,865,059
Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3 VRN 6.211% 2/15/41		2,800,000		2,982,552
European Loan Conduit, Series 25X, Class A FRN EUR (b) (e) 1.243% 5/15/19		171,566		216,136
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4 5.700% 9/12/49		3,500,000		3,668,791
Morgan Stanley Reremic Trust, Series 2010-GG10, Class A4A VRN (a) 5.808% 8/15/45		25,000,000		26,885,155
Real Estate Capital PLC, Series 4, Class A1 FRN GBP (b) (e) 1.026% 10/20/14		8,550,000		13,235,832
				85,761,873
Other Loans ABS — 0.3%
Hillmark Funding (Acquired 3/18/11, Cost $3,543,500), Series 2006-1A, Class A1 FRN (a) (d) 0.563% 5/21/21		3,800,000		3,551,917
Penta CLO SA, Series 2007-1X, Class A1 FRN EUR (b) (e) (f) 1.478% 6/04/24		968,307		1,238,878
				4,790,795
WL Collateral CMO — 2.9%
Arran Residential Mortgages Funding PLC, Series 2010-1A, Class A1B FRN EUR (a) (b) 2.291% 5/16/47		927,703		1,315,789

	Principal Amount		Value
Arran Residential Mortgages Funding PLC, Series 2010-1A, Class A2B FRN EUR (a) (b) 2.491% 5/16/47	$	1,900,000	$	2,697,150
Chase Mortgage Finance Corp., Series 2006-A1, Class 4A1 FRN 6.000% 9/25/36		551,245		510,779
Granite Master Issuer PLC, Series 2006-4, Class A7 FRN EUR (b) (e) 0.997% 12/20/54		3,398,225		4,557,009
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 FRN 2.815% 9/25/35		6,464,874		6,072,452
Holmes Master Issuer PLC, Series 2011-1A, Class A3 EUR (a) (b) 2.339% 10/15/54		1,000,000		1,417,097
Indymac Index Mortgage Loan Trust, Series 2006-AR13, Class A3 VRN 5.482% 7/25/36		13,043,654		11,572,928
JP Morgan Mortgage Trust, Series 2005-A5, Class 1A2 FRN 5.198% 8/25/35		4,275,000		3,943,903
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class IIA1 VRN 2.759% 10/25/35		2,849,879		2,611,625
Wells Fargo Mortgage Backed Securities Trust, Series 2006-2, Class 1A1 5.000% 3/25/36		6,604,701		6,482,679
				41,181,411
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $121,018,142)				131,734,079
SOVEREIGN DEBT OBLIGATIONS — 1.8%
Canada Government Bond CAD (b) 1.500% 12/01/12		1,300,000		1,336,432
Canada Government Bond CAD (b) 1.750% 3/01/13		2,800,000		2,885,199
Canada Housing Trust No. 1 CAD (b) 2.750% 12/15/15		300,000		307,498
Canada Housing Trust No. 1 CAD (b) 3.350% 12/15/20		4,100,000		4,112,137
Canada Housing Trust No. 1 CAD (b) 4.000% 6/15/12		2,100,000		2,228,708
Canada Housing Trust No. 1 CAD (b) 4.550% 12/15/12		3,000,000		3,236,225
Canada Housing Trust No. 1 CAD (b) 4.800% 6/15/12		1,500,000		1,606,601

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

4

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

	Principal Amount		Value
Canada Housing Trust No. 1 (Acquired 3/04/11, Cost 408,100) CAD (d) 3.950% 12/15/11	$	400,000	$	420,270
Canadian Government Bond CAD (b) 2.500% 9/01/13		3,000,000		3,131,573
Canadian Government Bond CAD (b) 3.000% 12/01/15		400,000		418,715
Korea Housing Finance Corp. (a) 4.125% 12/15/15		400,000		408,441
Mexican Bonos MXN (b) 6.000% 6/18/15		9,900,000		808,158
Province of Ontario Canada 1.375% 1/27/14		1,900,000		1,894,984
Province of Ontario Canada CAD (b) 4.200% 3/08/18		100,000		107,034
Province of Ontario Canada CAD (b) 4.300% 3/08/17		700,000		758,736
Province of Ontario Canada CAD (b) 4.400% 6/02/19		1,300,000		1,392,830
Province of Ontario Canada CAD (b) 4.600% 6/02/39		700,000		730,563
Province of Ontario Canada CAD (b) 5.500% 6/02/18		300,000		344,788
Province of Quebec Canada CAD (b) 4.500% 12/01/16		100,000		109,556
Russian Foreign Bond (e) 3.625% 4/29/15		200,000		202,250
				26,440,698
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $25,790,023)				26,440,698
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 9.7%
Pass-Through Securities — 9.7%
Federal Home Loan Mortgage Corp. TBA Pool #6949 4.500% 2/01/39 (c)		2,000,000		2,032,031
Federal National Mortgage Association Pool #889304 4.000% 4/01/23		43,058		44,438
Pool #995703 4.000% 5/01/24		153,049		157,473
Pool #AH5938 4.000% 2/01/41		499,540		491,188
Pool #AE2466 4.000% 2/01/41		409,197		402,356
Pool #AH6056 4.000% 2/01/41		89,801		88,300
Pool #983629 4.500% 5/01/23		41,740		43,845

	Principal Amount		Value
Pool #931412 4.500% 6/01/24	$	854,399	$	896,151
Pool #932324 4.500% 12/01/39		595,694		606,979
Pool #AC8568 4.500% 1/01/40		323,167		329,289
Pool #AD1654 4.500% 3/01/40		1,381,603		1,411,232
Pool #AD7854 4.500% 6/01/40		2,399,755		2,445,219
Pool #AD9958 4.500% 8/01/40		517,292		527,093
Pool #AD8035 4.500% 8/01/40		799,605		814,754
Pool #AE7154 4.500% 9/01/40		263,769		268,766
Pool #AE3145 4.500% 9/01/40		363,487		370,373
Pool #AE3151 4.500% 9/01/40		303,588		309,339
Pool #AE1589 4.500% 10/01/40		471,742		480,680
Pool #AE8864 4.500% 11/01/40		1,000,000		1,018,946
Pool #AE5157 4.500% 11/01/40		399,960		407,538
Pool #932866 4.500% 12/01/40		426,122		434,195
Pool #AH2085 4.500% 12/01/40		281,264		286,593
Pool #AE3729 4.500% 1/01/41		964,246		982,513
Pool #AE0986 4.500% 1/01/41		1,051,593		1,071,516
Pool #AH3115 4.500% 1/01/41		526,781		536,761
Pool #AC9286 4.500% 2/01/41		958,486		976,645
Pool #AH4198 4.500% 2/01/41		755,682		769,999
Pool #AH0347 4.500% 2/01/41		363,026		369,903
Pool #MA0666 4.500% 3/01/41		276,593		281,833
Pool #AH8757 4.500% 3/01/41		36,552		37,245
Pool #AH7896 4.500% 3/01/41		244,218		248,845
Pool #AH6884 4.500% 3/01/41		313,807		319,752
Pool #AH6901 4.500% 3/01/41		127,707		130,126

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

5

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

	Principal Amount		Value
Pool #AH6691 4.500% 3/01/41	$	618,198	$	629,910
Pool #AH8987 4.500% 4/01/41		939,092		956,883
Pool #725205 5.000% 3/01/34		1,006,249		1,059,077
Pool #735288 5.000% 3/01/35		4,467,024		4,695,261
Pool #256714 5.500% 5/01/27		320,434		344,742
Pool #257325 5.500% 8/01/28		864,161		928,095
Pool #912872 5.500% 2/01/37		39,879		42,679
Pool #888129 5.500% 2/01/37		517,575		554,553
Pool #256597 5.500% 2/01/37		96,395		103,161
Pool #914803 5.500% 4/01/37		28,852		30,877
Pool #256673 5.500% 4/01/37		492,831		527,425
Pool #918069 5.500% 5/01/37		81,027		86,714
Pool #937466 5.500% 6/01/37		169,357		181,245
Pool #967740 5.500% 7/01/37		279,414		299,027
Pool #944822 5.500% 12/01/37		133,324		142,599
Pool #968385 5.500% 1/01/38		299,033		319,836
Pool #966577 5.500% 1/01/38		13,363		14,293
Pool #953591 5.500% 1/01/38		373,657		399,652
Pool #972295 5.500% 2/01/38		1,688,388		1,805,850
Pool #972539 5.500% 2/01/38		588,647		629,599
Pool #965682 5.500% 2/01/38		11,830		12,653
Pool #961426 5.500% 2/01/38		12,560		13,433
Pool #961440 5.500% 2/01/38		36,069		38,579
Pool #257072 5.500% 2/01/38		617,521		660,482
Pool #973880 5.500% 3/01/38		90,880		97,202
Pool #972447 5.500% 3/01/38		48,192		51,545

	Principal Amount		Value
Pool #970127 5.500% 3/01/38	$	892,160	$	954,228
Pool #962371 5.500% 3/01/38		1,676,662		1,793,308
Pool #962129 5.500% 3/01/38		280,060		299,544
Pool #953613 5.500% 3/01/38		29,404		31,449
Pool #981199 5.500% 4/01/38		722,941		773,010
Pool #979507 5.500% 4/01/38		400,297		428,020
Pool #929311 5.500% 4/01/38		20,642		22,078
Pool #983471 5.500% 5/01/38		292,804		313,083
Pool #983007 5.500% 5/01/38		49,271		52,683
Pool #975123 5.500% 5/01/38		284,258		303,946
Pool #929362 5.500% 5/01/38		282,102		301,640
Pool #889452 5.500% 5/01/38		279,951		299,427
Pool #986183 5.500% 6/01/38		89,029		95,195
Pool #985559 5.500% 6/01/38		812,549		868,824
Pool #985557 5.500% 6/01/38		369,114		394,678
Pool #985530 5.500% 6/01/38		57,096		61,050
Pool #984600 5.500% 6/01/38		294,524		314,922
Pool #984277 5.500% 6/01/38		768,807		822,774
Pool #979633 5.500% 6/01/38		392,274		419,442
Pool #963364 5.500% 6/01/38		94,946		101,522
Pool #934307 5.500% 6/01/38		168,698		180,381
Pool #934265 5.500% 6/01/38		299,899		320,669
Pool #934082 5.500% 6/01/38		633,707		677,596
Pool #987421 5.500% 7/01/38		13,448		14,379
Pool #982187 5.500% 7/01/38		268,172		286,745
Pool #981344 5.500% 7/01/38		600,217		641,787

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

6

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

	Principal Amount		Value
Pool #964072 5.500% 7/01/38	$	3,392,441	$	3,627,394
Pool #889679 5.500% 7/01/38		942,748		1,008,335
Pool #987751 5.500% 8/01/38		345,290		369,204
Pool #986422 5.500% 8/01/38		278,911		298,228
Pool #929831 5.500% 8/01/38		805,137		860,899
Pool #992723 5.500% 10/01/38		16,271		17,398
Pool #992694 5.500% 10/01/38		146,420		156,560
Pool #988731 5.500% 10/01/38		157,459		168,364
Pool #970650 5.500% 10/01/38		279,179		298,515
Pool #AA0005 5.500% 11/01/38		778,010		831,893
Pool #994126 5.500% 11/01/38		399,007		426,641
Pool #994119 5.500% 11/01/38		262,635		280,825
Pool #994118 5.500% 11/01/38		173,840		185,880
Pool #960080 5.500% 11/01/38		298,992		319,700
Pool #934647 5.500% 11/01/38		2,335,914		2,497,695
Pool #934645 5.500% 11/01/38		10,266		10,977
Pool #934613 5.500% 11/01/38		944,053		1,009,436
Pool #992256 5.500% 12/01/38		89,877		96,101
Pool #934217 5.500% 12/01/38		323,315		345,708
Pool #930255 5.500% 12/01/38		665,400		711,484
Pool #257496 5.500% 12/01/38		22,551		24,113
Pool #995258 5.500% 1/01/39		100,670		107,705
Pool #993100 5.500% 1/01/39		73,465		78,553
Pool #970966 5.500% 1/01/39		371,075		396,775
Pool #257533 5.500% 1/01/39		668,691		715,004
Pool #995502 5.500% 2/01/39		12,267		13,143

	Principal Amount		Value
Pool #995845 5.500% 4/01/39	$	208,246	$	222,864
Pool #935063 5.500% 4/01/39		217,024		232,055
Pool #AC2235 5.500% 8/01/39		99,273		106,149
Pool #190399 5.500% 11/01/39		1,281,200		1,369,933
Pool #AD4567 5.500% 4/01/40		38,415		41,075
Federal National Mortgage Association TBA Pool #6330 4.000% 1/01/24 (c)		1,000,000		1,027,656
Pool #11264 4.500% 1/01/21 (c)		3,800,000		3,972,039
Pool #14170 4.500% 2/01/39 (c)		38,700,000		39,386,321
Pool #27350 5.000% 6/01/36 (c)		24,000,000		25,032,187
Pool #45577 5.500% 4/01/35 (c)		300,000		320,859
Pool #53246 6.000% 9/01/35 (c)		7,000,000		7,613,047
				139,170,383
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $138,848,154)				139,170,383
U.S. TREASURY OBLIGATIONS — 0.5%
U.S. Treasury Bonds & Notes — 0.5%
U.S. Treasury Inflation Index 2.000% 1/15/26		3,660,987		3,906,959
U.S. Treasury Inflation Index 2.375% 1/15/25		1,401,756		1,573,471
U.S. Treasury Inflation Index 2.375% 1/15/27		2,074,534		2,309,216
				7,789,646
TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,810,161)				7,789,646
TOTAL BONDS & NOTES (Cost $950,672,288)				985,874,768
TOTAL LONG-TERM INVESTMENTS (Cost $972,122,288)				1,007,170,768

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

7

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 34.9%
Commercial Paper — 2.3%
Bank of Nova Scotia 0.562% 8/09/12	$	1,100,000	$	1,099,701
Kells Funding LLC (a) 0.310% 5/12/11		8,700,000		8,696,928
Kells Funding LLC (a) 0.330% 5/03/11		6,870,000		6,867,985
Kells Funding LLC (a) 0.330% 5/11/11		4,700,000		4,698,277
Kells Funding LLC (a) 0.340% 5/06/11		4,700,000		4,698,446
Nissan Motor Acceptance Corp. (a) 0.600% 6/22/11		1,900,000		1,897,403
Straight-A Funding LLC (a) 0.230% 5/09/11		300,000		299,927
Straight-A Funding LLC (a) 0.250% 5/11/11		1,500,000		1,499,583
Straight-A Funding LLC (a) 0.250% 5/17/11		400,000		399,872
Straight-A Funding LLC (a) 0.250% 5/18/11		1,800,000		1,799,413
Straight-A Funding LLC (a) 0.250% 6/03/11		600,000		599,738
				32,557,273
Repurchase Agreements — 17.4%
Bank of America Repurchase Agreement, dated 3/31/11, 0.140%, due 4/01/11 (i)		19,000,000		19,000,000
Barclays Capital Repurchase Agreement, dated 3/31/11, 0.130%, due 4/01/11 (j)		13,300,000		13,300,000
Barclays Capital Repurchase Agreement, dated 3/31/11, 0.140%, due 4/01/11 (k)		21,200,000		21,200,000
Credit Suisse First Boston Repurchase Agreement, dated 3/31/11, 0.140%, due 4/01/11 (l)		14,200,000		14,200,000
Goldman Sachs & Co. Repurchase Agreement, dated 3/31/11, 0.160%, due 4/01/11 (m)		10,000,000		10,000,000
JP Morgan Chase Bank Repurchase Agreement, dated 3/31/2011, 0.140%, due 4/01/11 (n)		100,000,000		100,000,000
Morgan Stanley Repurchase Agreement, dated 3/31/2011, 0.140%, due 4/01/11 (o)		57,000,000		57,000,000

	Principal Amount		Value
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (p)	$	14,126,232	$	14,126,232
				248,826,232
U.S. Treasury Bills — 15.2%
U.S. Treasury Bill 0.140% 9/08/11		17,500,000		17,488,917
U.S. Treasury Bill 0.156% 8/25/11		7,700,000		7,695,044
U.S. Treasury Bill 0.164% 9/01/11		29,600,000		29,580,486
U.S. Treasury Bill 0.170% 8/04/11		18,800,000		18,788,821
U.S. Treasury Bill 0.175% 8/11/11		28,700,000		28,681,729
U.S. Treasury Bill (g) (h) 0.175% 8/18/11		42,800,000		42,773,717
U.S. Treasury Bill (h) 0.175% 6/09/11		60,000		59,979
U.S. Treasury Bill 0.177% 6/09/11		180,000		179,939
U.S. Treasury Bill 0.180% 7/14/11		5,900,000		5,897,307
U.S. Treasury Bill 0.181% 6/09/11		40,000		39,986
U.S. Treasury Bill 0.185% 7/21/11		8,290,000		8,285,809
U.S. Treasury Bill 0.186% 6/23/11		400,000		399,845
U.S. Treasury Bill 0.186% 6/16/11		3,900,000		3,899,094
U.S. Treasury Bill (g) (h) 0.190% 7/07/11		33,760,000		33,745,429
U.S. Treasury Bill 0.254% 8/25/11		6,800,000		6,795,726
U.S. Treasury Bill (h) 0.298% 7/28/11		13,320,000		13,312,929
				217,624,757
TOTAL SHORT-TERM INVESTMENTS (Cost $499,008,262)				499,008,262
TOTAL INVESTMENTS — 105.0% (Cost $1,471,130,550) (q)				1,506,179,030
Other Assets/(Liabilities) — (5.0)%				(71,687,464	)
NET ASSETS — 100.0%			$	1,434,491,566

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

8

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

	Principal Amount			Value
SECURITIES SOLD SHORT — (0.5)%
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — (0.5)%
Pass-Through Securities — (0.5)%
Federal National Mortgage Association TBA Pool #45577 5.500% 4/01/35 (c)	$	(7,000,000	)	$	(7,486,718	)
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $(7,474,844))					(7,486,718	)
TOTAL SECURITIES SOLD SHORT — (0.5)% (Cost $(7,474,844))				$	(7,486,718	)

Notes to Portfolio of Investments

ABS Asset-Backed Security

BAB Build America Bonds

CAD Canadian Dollar

CLO Collateralized Loan Obligation

CMO Collateralized Mortgage Obligation

EUR Euro

FRN Floating Rate Note

GBP British Pound

MBS Mortgage-Backed Security

MXN Mexican Peso

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, these securities amounted to a value of $294,840,001 or 20.55% of net assets.

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

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

(d) Restricted security. Certain securities are restricted as to resale. At March 31, 2011, these securities amounted to a value of $6,367,507 or 0.44% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(e) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At March 31, 2011, these securities amounted to a value of $70,165,083 or 4.89% of net assets.

(f) This security is valued in good faith under procedures established by the Board of Trustees.

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

(h) A portion of this security is held as collateral for open swap agreements and written options outstanding. (Note 2).

(i) Maturity value of $19,000,073. Collateralized by U.S. Government Agency obligations with a rate of 2.250%, maturity date of 3/31/16, and an aggregate market value, including accrued interest, of $19,409,503.

(j) Maturity value of $13,300,048. Collateralized by U.S. Government Agency obligations with a rate of 8.750%, maturity date of 8/15/20, and an aggregate market value, including accrued interest, of $13,617,514.

(k) Maturity value of $21,200,082. Collateralized by U.S. Government Agency obligations with a rate of 0.300%, maturity date of 11/23/12, and an aggregate market value, including accrued interest, of $21,632,516.

(l) Maturity value of $14,200,055. Collateralized by U.S. Government Agency obligations with a rate ranging from 1.375% - 2.625%, maturity date ranging from 5/15/13 - 4/30/16, and an aggregate market value, including accrued interest, of $14,544,610.

(m) Maturity value of $10,000,044. Collateralized by U.S. Government Agency obligations with a rate of 5.000%, maturity date of 5/01/38, and an aggregate market value, including accrued interest, of $10,335,254.

(n) Maturity value of $100,000,389. Collateralized by U.S. Government Agency obligations with a rate of 1.375%, maturity date of 2/15/13, and an aggregate market value, including accrued interest, of $102,070,663.

(o) Maturity value of $57,000,219. Collateralized by U.S. Government Agency obligations with a rate ranging from 1.750% - 3.500%, maturity date ranging from 7/31/15 - 5/15/20, and an aggregate market value, including accrued interest, of $58,461,937.

(p) Maturity value of $14,126,235. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/01/25, and an aggregate market value, including accrued interest, of $14,411,392.

(q) See Note 3 for aggregate cost for federal tax purposes.

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

9

MassMutual Select Strategic Bond Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 0.3%
COMMON STOCK — 0.0%
Pipelines — 0.0%
SemGroup Corp. Class A (a)		245	$	6,899
TOTAL COMMON STOCK (Cost $7,576)				6,899
CONVERTIBLE PREFERRED STOCK — 0.0%
Auto Manufacturers — 0.0%
Motors Liquidation Co. Series C 6.250% (a)		6,475		47,332
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $149,913)				47,332
PREFERRED STOCK — 0.3%
Auto Manufacturers — 0.0%
Motors Liquidation Co. 7.375% (a)		5,000		34,000
Diversified Financial — 0.2%
Citigroup Capital XII 8.500%		12,300		323,859
Citigroup Capital XIII 7.875%		1,800		49,320
				373,179
U.S. Government Agencies — 0.1%
Federal Home Loan Mortgage Corp. 8.375% (a)		42,725		72,632
Federal National Mortgage Association 0.000% (a)		1,300		3,705
Federal National Mortgage Association 8.250% (a)		29,475		50,108
				126,445
TOTAL PREFERRED STOCK (Cost $2,301,778)				533,624
TOTAL EQUITIES (Cost $2,459,267)				587,855
	Principal Amount
BONDS & NOTES — 98.9%
CORPORATE DEBT — 27.1%
Aerospace & Defense — 0.2%
The Boeing Co. 4.875% 2/15/20	$	100,000		106,854
The Boeing Co. 6.000% 3/15/19		130,000		149,578
Raytheon Co. 3.125% 10/15/20		120,000		109,955
				366,387

	Principal Amount		Value
Agriculture — 0.3%
Altria Group, Inc. 9.250% 8/06/19	$	180,000	$	234,913
Reynolds American, Inc. 6.750% 6/15/17		175,000		200,121
Reynolds American, Inc. 7.250% 6/01/12		60,000		64,015
				499,049
Airlines — 0.2%
Continental Airlines, Inc. (b) 6.750% 9/15/15		20,000		20,175
Delta Air Lines, Inc. Series 2007-1 Class A (b) 6.821% 2/10/24		274,714		286,390
United Air Lines, Inc. 9.750% 1/15/17		129,199		146,641
				453,206
Auto Manufacturers — 0.0%
Motors Liquidation Co. (c) 8.250% 7/15/23		80,000		22,800
Motors Liquidation Co. EUR (c) (d) 8.375% 7/05/33		40,000		15,731
				38,531
Banks — 4.7%
BAC Capital Trust XIV VRN 5.630% 9/29/49		30,000		23,100
Bank of America Corp. 4.500% 4/01/15		20,000		20,768
Bank of America Corp. 5.625% 7/01/20		300,000		308,003
Bank of America Corp. 7.625% 6/01/19		170,000		196,894
Bank of Tokyo-Mitsubishi UFJ Ltd. (b) 3.850% 1/22/15		110,000		114,005
Barclays Bank PLC (b) 6.050% 12/04/17		130,000		135,443
Commonwealth Bank of Australia (b) 3.750% 10/15/14		200,000		207,629
Commonwealth Bank of Australia (b) 5.000% 10/15/19		110,000		113,590
Credit Agricole SA VRN (b) 8.375% 10/29/49		490,000		524,300
Glitnir Banki HF (Acquired 6/15/06, Cost $310,000) VRN (b) (c) (e) 6.693% 6/15/16		420,000		4
Glitnir Banki HF (Acquired 7/28/06, Cost $290,000) (b) (c) (e) 6.330% 7/28/11		290,000		88,450
Glitnir Banki HF (Acquired 9/20/07, Cost $98,989) VRN (b) (c) (e) 1.000% 9/14/16		100,000		1

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

10

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

	Principal Amount		Value
Glitnir Banki HF (Acquired 9/25/07, Cost $389,126) (b) (c) (e) 6.375% 9/25/12	$	390,000	$	118,950
Hypothekenbank in Essen (b) 5.000% 1/20/12		100,000		103,730
ICICI Bank Ltd. VRN (b) 6.375% 4/30/22		148,000		147,260
ICICI Bank Ltd. VRN (f) 6.375% 4/30/22		180,000		179,100
Intesa Sanpaolo SPA (b) 3.625% 8/12/15		140,000		135,302
Landsbanki Islands HF (Acquired 8/25/06, Cost $669,826) (b) (c) (e) 6.100% 8/25/11		670,000		53,600
Lloyds TSB Bank PLC (b) 5.800% 1/13/20		90,000		90,089
Lloyds TSB Bank PLC 6.375% 1/21/21		310,000		323,050
Nordea Bank AB (b) 3.700% 11/13/14		280,000		289,933
Rabobank Nederland 11.000% 6/29/49		210,000		273,525
Royal Bank of Scotland Group PLC 3.950% 9/21/15		20,000		20,015
Royal Bank of Scotland Group PLC 4.875% 3/16/15		180,000		187,087
Royal Bank of Scotland Group PLC 5.000% 11/12/13		70,000		70,938
Royal Bank of Scotland Group PLC 5.000% 10/01/14		220,000		220,619
Royal Bank of Scotland Group PLC 5.050% 1/08/15		80,000		80,018
Royal Bank of Scotland Group PLC 6.400% 10/21/19		380,000		391,208
Royal Bank of Scotland Group PLC VRN 7.640% 3/29/49		200,000		159,000
RSHB Capital SA for OJSC Russian Agricultural Bank (b) 6.299% 5/15/17		190,000		199,025
Santander US Debt SA Unipersonal (b) 2.485% 1/18/13		200,000		196,323
Santander US Debt SA Unipersonal (b) 3.724% 1/20/15		400,000		386,820
State Street Corp. 4.956% 3/15/18		310,000		319,443
Sumitomo Mitsui Banking Corp. (b) 3.100% 1/14/16		200,000		197,883
Sumitomo Mitsui Banking Corp. (b) 3.150% 7/22/15		260,000		258,844
UBS AG 3.875% 1/15/15		310,000		317,724
Wachovia Capital Trust III VRN 5.570% 3/29/49		200,000		183,500

	Principal Amount		Value
Wachovia Corp. 5.250% 8/01/14	$	790,000	$	844,882
Wachovia Corp. 5.625% 10/15/16		330,000		356,616
Wells Fargo & Co. 3.676% 6/15/16		170,000		171,005
Wells Fargo & Co. 5.300% 8/26/11		180,000		183,410
Wells Fargo Capital 5.950% 12/15/36		310,000		305,242
				8,496,328
Beverages — 0.4%
Anheuser-Busch InBev Worldwide, Inc. 5.000% 4/15/20		100,000		104,581
Anheuser-Busch InBev Worldwide, Inc. 5.375% 1/15/20		260,000		279,059
Diageo Capital PLC 4.828% 7/15/20		300,000		310,098
				693,738
Chemicals — 0.0%
Potash Corp. of Saskatchewan, Inc. 4.875% 3/30/20		50,000		51,845
Coal — 0.1%
Consol Energy, Inc. (b) 6.375% 3/01/21		160,000		160,200
Commercial Services — 0.1%
Service Corp. International 7.500% 4/01/27		135,000		128,250
Service Corp. International 7.625% 10/01/18		10,000		10,925
				139,175
Diversified Financial — 7.5%
American Express Co. VRN 6.800% 9/01/66		190,000		193,800
Boeing Capital Corp. 4.700% 10/27/19		150,000		158,369
Citigroup, Inc. 5.500% 10/15/14		80,000		86,288
Citigroup, Inc. 6.010% 1/15/15		290,000		316,916
Citigroup, Inc. 6.375% 8/12/14		30,000		33,163
Citigroup, Inc. 6.875% 3/05/38		660,000		725,303
Countrywide Financial Corp. 5.800% 6/07/12		10,000		10,519
Countrywide Financial Corp. 6.250% 5/15/16		360,000		384,332
Credit Suisse Guernsey Ltd. VRN 5.860% 5/29/49		170,000		164,900

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

11

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

	Principal Amount		Value
Federal Agricultural Mortgage Corp. 3.875% 8/19/11	$	410,000	$	414,948
Federal Home Loan Mortgage Corp. 0.875% 10/28/13		330,000		327,334
Federal National Mortgage Association 0.010% 10/09/19		2,500,000		1,698,438
Federal National Mortgage Association 4.625% 5/01/13		950,000		1,019,017
FIA Card Services NA (b) 7.125% 11/15/12		450,000		484,801
Financing Corp. Fico Strip 0.010% 6/06/13		240,000		233,149
General Electric Capital Corp. VRN 6.375% 11/15/67		990,000		1,017,225
General Electric Capital Corp. 6.875% 1/10/39		190,000		212,039
The Goldman Sachs Group, Inc. 3.625% 8/01/12		60,000		61,876
The Goldman Sachs Group, Inc. 4.750% 7/15/13		30,000		31,790
The Goldman Sachs Group, Inc. 5.250% 10/15/13		80,000		85,907
The Goldman Sachs Group, Inc. 5.300% 2/14/12		20,000		20,779
The Goldman Sachs Group, Inc. 5.375% 3/15/20		350,000		355,367
The Goldman Sachs Group, Inc. 5.450% 11/01/12		150,000		159,426
The Goldman Sachs Group, Inc. 6.000% 6/15/20		240,000		253,710
The Goldman Sachs Group, Inc. 6.250% 2/01/41		430,000		428,219
HSBC Finance Corp. (b) 6.676% 1/15/21		410,000		425,574
International Lease Finance Corp. (b) 6.750% 9/01/16		720,000		770,400
JPMorgan Chase & Co. 4.250% 10/15/20		120,000		114,685
JPMorgan Chase & Co. 5.125% 9/15/14		820,000		880,122
JPMorgan Chase & Co. 5.150% 10/01/15		600,000		642,724
Kaupthing Bank (Acquired 10/06/06, Cost $99,469) (b) (c) (e) 5.750% 10/04/11		100,000		28,000
Kaupthing Bank HF (Acquired 2/28/08, Cost $1,507,428) (b) (c) (e) 7.625% 2/28/15		1,800,000		504,000
Kaupthing Bank HF (Acquired 5/19/06, Cost $149,208) (b) (c) (e) 7.125% 5/19/16		375,000		4

	Principal Amount		Value
Lehman Brothers Holdings Capital Trust VII VRN (c) 5.857% 11/29/49	$	310,000	$	31
Lehman Brothers Holdings, Inc. (c) 6.500% 7/19/17		440,000		44
Lehman Brothers Holdings, Inc. Series I (c) 6.750% 12/28/17		1,320,000		132
MBNA Capital A Series A 8.278% 12/01/26		110,000		112,750
Merrill Lynch & Co., Inc. 6.875% 4/25/18		110,000		122,176
Morgan Stanley Series F 5.550% 4/27/17		200,000		210,369
Morgan Stanley Series F 5.625% 1/09/12		460,000		477,607
MUFG Capital Finance 1 Ltd. FRN 6.346% 7/29/49		180,000		180,266
SLM Corp. 5.000% 4/15/15		20,000		20,137
SLM Corp. 5.050% 11/14/14		120,000		121,131
SLM Corp. 5.625% 8/01/33		90,000		76,945
				13,564,712
Electric — 1.7%
The Cleveland Electric Illuminating Co. 5.650% 12/15/13		190,000		205,726
The Cleveland Electric Illuminating Co. 5.700% 4/01/17		20,000		21,268
Dominion Resources, Inc. 5.700% 9/17/12		510,000		542,088
Duke Energy Corp. 5.625% 11/30/12		595,000		637,390
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10.000% 12/01/20		495,000		524,539
Exelon Corp. 5.625% 6/15/35		290,000		270,312
FirstEnergy Corp. Series B 6.450% 11/15/11		8,000		8,240
FirstEnergy Corp. Series C 7.375% 11/15/31		480,000		519,938
NRG Energy, Inc. 7.375% 1/15/17		150,000		156,375
Pacific Gas & Electric Co. 5.800% 3/01/37		130,000		131,423

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

12

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

	Principal Amount		Value
Pacific Gas & Electric Co. 8.250% 10/15/18	$	20,000	$	25,547
				3,042,846
Environmental Controls — 0.2%
Waste Management, Inc. 6.375% 11/15/12		300,000		325,200
Foods — 0.4%
Kraft Foods, Inc. 5.375% 2/10/20		530,000		559,545
The Kroger Co. 6.400% 8/15/17		30,000		34,517
Safeway, Inc. 3.950% 8/15/20		90,000		85,127
				679,189
Health Care – Services — 0.4%
Roche Holdings, Inc. (b) 6.000% 3/01/19		220,000		249,364
UnitedHealth Group, Inc. 5.700% 10/15/40		120,000		116,988
UnitedHealth Group, Inc. 5.800% 3/15/36		70,000		69,541
UnitedHealth Group, Inc. 6.000% 2/15/18		110,000		122,346
WellPoint, Inc. 5.875% 6/15/17		20,000		22,433
WellPoint, Inc. 7.000% 2/15/19		150,000		177,795
				758,467
Household Products — 0.2%
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (b) 6.875% 2/15/21		350,000		352,625
Insurance — 0.8%
American International Group, Inc. (b) 3.750% 11/30/13		100,000		102,073
American International Group, Inc. 6.250% 3/15/37		570,000		521,550
MetLife Capital Trust IV (b) 7.875% 12/15/37		200,000		215,000
MetLife, Inc. 6.400% 12/15/36		260,000		250,406
Teachers Insurance & Annuity Association of America (b) 6.850% 12/16/39		260,000		293,157
				1,382,186
Iron & Steel — 0.1%
Steel Dynamics, Inc. 6.750% 4/01/15		140,000		143,325
Steel Dynamics, Inc. 7.625% 3/15/20		40,000		42,900
				186,225

	Principal Amount		Value
Lodging — 0.1%
Inn of the Mountain Gods Resort & Casino (b) 8.750% 11/30/20	$	15,000	$	14,738
Inn of the Mountain Gods Resort & Casino (b) 8.750% 11/30/20		33,000		17,985
MGM Mirage 7.625% 1/15/17		50,000		47,187
MGM Resorts International 10.375% 5/15/14		10,000		11,450
MGM Resorts International 11.125% 11/15/17		20,000		22,900
Station Casinos, Inc. (c) 7.750% 8/15/16		200,000		20
				114,280
Manufacturing — 0.1%
Tyco International Group SA 6.000% 11/15/13		230,000		254,620
Media — 1.6%
Comcast Corp. 6.500% 1/15/15		1,195,000		1,352,348
Echostar DBS Corp. 7.000% 10/01/13		95,000		102,600
News America, Inc. 6.200% 12/15/34		20,000		20,114
News America, Inc. 6.650% 11/15/37		30,000		31,464
Reed Elsevier Capital, Inc. 8.625% 1/15/19		250,000		316,808
Time Warner Cable, Inc. 5.875% 11/15/40		190,000		178,533
Time Warner Cable, Inc. 6.200% 7/01/13		250,000		274,865
Time Warner Cable, Inc. 6.750% 6/15/39		180,000		188,203
Time Warner Cable, Inc. 8.250% 4/01/19		260,000		316,740
Time Warner Entertainment Co. LP 8.375% 7/15/33		20,000		24,465
TL Acquisitions, Inc. (b) 10.500% 1/15/15		20,000		20,400
United Business Media Ltd. (b) 5.750% 11/03/20		130,000		126,454
				2,952,994
Mining — 1.2%
Barrick Gold Corp. 6.950% 4/01/19		140,000		167,433
BHP Billiton Finance USA Ltd. 6.500% 4/01/19		470,000		554,951
Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/01/17		270,000		297,675

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

13

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

	Principal Amount		Value
Rio Tinto Finance USA Ltd. 1.875% 11/02/15	$	20,000	$	19,251
Rio Tinto Finance USA Ltd. 3.500% 11/02/20		350,000		326,270
Rio Tinto Finance USA Ltd. 6.500% 7/15/18		150,000		172,708
Teck Resources Ltd. 9.750% 5/15/14		8,000		9,720
Teck Resources Ltd. 10.250% 5/15/16		9,000		10,822
Vale Overseas Ltd. 6.875% 11/21/36		361,000		384,415
Vedanta Resources PLC (b) 8.750% 1/15/14		190,000		202,587
				2,145,832
Oil & Gas — 2.7%
Apache Corp. 5.100% 9/01/40		360,000		334,662
BP Capital Markets PLC 3.125% 10/01/15		480,000		482,684
Conoco, Inc. 6.950% 4/15/29		155,000		185,063
ConocoPhillips 6.500% 2/01/39		120,000		136,609
Hess Corp. 7.300% 8/15/31		185,000		216,906
Hess Corp. 7.875% 10/01/29		90,000		111,127
Hess Corp. 8.125% 2/15/19		180,000		225,963
Kerr-McGee Corp. 6.950% 7/01/24		290,000		320,774
Kerr-McGee Corp. 7.875% 9/15/31		360,000		410,643
Noble Energy, Inc. 8.250% 3/01/19		300,000		377,432
Pemex Project Funding Master Trust 6.625% 6/15/35		623,000		624,939
Petrobras International Finance Co. 5.375% 1/27/21		340,000		341,026
Petrobras International Finance Co. 5.750% 1/20/20		142,000		146,492
Petrobras International Finance Co. 6.125% 10/06/16		166,000		183,951
QEP Resources, Inc. 6.875% 3/01/21		180,000		189,000
SandRidge Energy, Inc. (b) 9.875% 5/15/16		160,000		177,600
Shell International Finance BV 4.375% 3/25/20		330,000		340,657
Total Capital SA 4.450% 6/24/20		40,000		40,836
				4,846,364

	Principal Amount		Value
Pharmaceuticals — 0.4%
Giant Funding Corp. (b) 8.250% 2/01/18	$	50,000	$	51,312
Pfizer, Inc. 6.200% 3/15/19		370,000		426,371
Wyeth 5.950% 4/01/37		200,000		213,811
				691,494
Pipelines — 0.8%
El Paso Natural Gas Co. 8.375% 6/15/32		289,000		353,977
Kinder Morgan Energy Partners LP 5.000% 12/15/13		100,000		108,116
Kinder Morgan Energy Partners LP 5.850% 9/15/12		20,000		21,273
Kinder Morgan Energy Partners LP 6.000% 2/01/17		200,000		222,571
Southern Natural Gas Co. 8.000% 3/01/32		5,000		6,101
Tennessee Gas Pipeline Co. 7.625% 4/01/37		50,000		59,009
Williams Cos., Inc. 7.750% 6/15/31		126,000		149,641
Williams Cos., Inc. Series A 7.500% 1/15/31		388,000		453,920
				1,374,608
Retail — 0.4%
CVS Caremark Corp. 6.600% 3/15/19		100,000		114,708
CVS Caremark Corp. (b) 9.350% 1/10/23		240,000		248,604
CVS Pass-Through Trust (b) 5.298% 1/11/27		13,461		13,114
CVS Pass-Through Trust 5.880% 1/10/28		138,639		140,316
CVS Pass-Through Trust 6.036% 12/10/28		134,068		137,018
CVS Pass-Through Trust 6.943% 1/10/30		111,835		121,332
Wal-Mart Stores, Inc. 6.200% 4/15/38		50,000		54,894
				829,986
Savings & Loans — 0.4%
ASIF Global Financing XIX (b) 4.900% 1/17/13		20,000		20,900
The Goldman Sachs Capital II VRN 5.793% 6/01/43		390,000		336,375
ILFC E-Capital Trust II VRN (b) 6.250% 12/21/65		10,000		8,400

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

14

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

	Principal Amount		Value
Resona Preferred Global Securities Cayman Ltd. VRN (b) 7.191% 12/29/49	$	385,000	$	383,739
				749,414
Semiconductors — 0.0%
National Semiconductor Corp. 6.600% 6/15/17		30,000		33,012
Telecommunications — 2.0%
America Movil SAB de CV 5.000% 3/30/20		100,000		103,109
America Movil SAB de CV 5.625% 11/15/17		160,000		176,225
AT&T, Inc. 5.500% 2/01/18		410,000		447,554
AT&T, Inc. 6.550% 2/15/39		170,000		177,180
Cellco Partnership/Verizon Wireless Capital LLC 8.500% 11/15/18		50,000		64,241
Deutsche Telekom International Finance BV 5.750% 3/23/16		315,000		352,671
Intelsat Jackson Holdings SA (b) 7.250% 10/15/20		180,000		180,000
Intelsat Jackson Holdings SA (b) 8.500% 11/01/19		65,000		69,875
Intelsat Jackson Holdings SA 9.500% 6/15/16		30,000		31,650
Qwest Corp. 6.875% 9/15/33		100,000		100,125
Qwest Corp. 7.500% 10/01/14		55,000		62,837
Rogers Communications, Inc. 6.800% 8/15/18		120,000		140,284
SBC Communications, Inc. 5.100% 9/15/14		230,000		251,518
Telefonica Emisiones SAU 5.134% 4/27/20		130,000		129,345
Verizon Communications, Inc. 4.600% 4/01/21		290,000		288,759
Verizon Communications, Inc. 6.000% 4/01/41		580,000		577,754
Verizon Communications, Inc. 6.100% 4/15/18		240,000		268,986
Verizon Global Funding Corp. 7.375% 9/01/12		190,000		206,707
				3,628,820

	Principal Amount		Value
Transportation — 0.1%
Kansas City Southern de Mexico SA de CV 12.500% 4/01/16	$	98,000	$	119,070
TOTAL CORPORATE DEBT (Cost $52,195,347)				48,930,403
MUNICIPAL OBLIGATIONS — 1.3%
Birmingham Commercial Development Authority 5.500% 4/01/41		20,000		19,625
Imperial Irrigation District 5.125% 11/01/38		30,000		27,460
Kentucky Higher Education Student Loan Corp. FRN 1.504% 5/01/34		200,000		193,872
Los Angeles Department of Airports 5.000% 5/15/35		40,000		37,958
Los Angeles Department of Airports 5.000% 5/15/40		10,000		9,237
Los Angeles Department of Airports 5.250% 5/15/39		30,000		28,766
Los Angeles Department of Water & Power 6.574% 7/01/45		120,000		124,228
Municipal Electric Authority of Georgia 6.637% 4/01/57		130,000		123,500
Municipal Electric Authority of Georgia 6.655% 4/01/57		80,000		75,211
New York Liberty Development Corp. 5.250% 10/01/35		160,000		152,789
New York State Environmental Facilities Corp. 5.125% 6/15/38		50,000		49,598
North Texas Higher Education Authority FRN 1.203% 7/01/30		415,000		396,902
Port Authority of New York & New Jersey 5.000% 1/15/41		120,000		115,322
San Francisco City & County Public Utilities Commission 5.000% 11/01/39		30,000		28,096
San Mateo County Community College District 5.000% 9/01/38		60,000		58,169
State of California 7.300% 10/01/39		230,000		242,477
State of Illinois 5.665% 3/01/18		180,000		179,656
State of Illinois 5.877% 3/01/19		180,000		179,775

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

15

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

	Principal Amount		Value
Tennessee Valley Authority 5.250% 9/15/39	$	210,000	$	219,912
Triborough Bridge & Tunnel Authority 5.000% 11/15/37		50,000		48,776
				2,311,329
TOTAL MUNICIPAL OBLIGATIONS (Cost $2,307,545)				2,311,329
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 15.0%
Agency Collateral CMO — 0.4%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K006, Class AX1 VRN 1.073% 1/25/20		635,116		36,137
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K007, Class X1 VRN 1.244% 4/25/20		1,379,573		106,933
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K009, Class X1 VRN 1.521% 8/25/20		787,274		74,656
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K008, Class X1 VRN 1.687% 6/25/20		1,682,604		180,395
NCUA Guaranteed Notes, Series 2010-C1, Class APT 2.650% 10/29/20		257,089		249,055
NCUA Guaranteed Notes, Series 2010-C1, Class A2 2.900% 10/29/20		20,000		19,395
				666,571
Automobile ABS — 0.3%
Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class A (b) 3.150% 3/20/17		60,000		60,007
Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A (b) 4.640% 5/20/16		180,000		192,287
Hertz Vehicle Financing LLC, Series 2009-2A, Class A2 (b) 5.290% 3/25/16		300,000		327,482
				579,776

	Principal Amount		Value
Commercial MBS — 2.2%
Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A4 VRN 5.196% 9/10/47	$	650,000	$	698,182
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 VRN 5.890% 7/10/38		310,000		338,513
GS Mortgage Securities Corp. II, Series 2005-GG4, Class AABA 4.680% 7/10/39		156,124		158,614
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class AAB 4.664% 7/15/30		79,284		82,135
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5 4.739% 7/15/30		1,500,000		1,584,594
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4 VRN 5.485% 3/12/51		280,000		282,749
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-8, Class A3 VRN 5.965% 8/12/49		10,000		10,666
Morgan Stanley Capital I, Series 2007-IQ14, Class A4 VRN 5.692% 4/15/49		900,000		936,817
				4,092,270
Home Equity ABS — 2.3%
ACE Securities Corp., Series 2006-SD2, Class A FRN 0.550% 12/25/45		403,297		375,546
ACE Securities Corp., Series 2002-HE3, Class M1 FRN 2.050% 10/25/32		1,131,743		927,497
Bear Stearns Asset Back Securities Trust, Series 2005-SD4, Class 2A1 FRN 0.650% 12/25/42		159,288		147,068
Countrywide Home Equity Loan Trust, Series 2005-G, Class 2A FRN 0.485% 12/15/35		144,118		74,543
Delta Funding Home Equity Loan Trust, Series 1999-1, Class A6F 6.340% 12/15/28		1,275		1,282
Greenpoint Mortgage Funding Trust, Series 2005-HE4, Class 2A1A FRN 0.470% 7/25/30		379,378		327,514
GSAA Home Equity Trust, Series 2006-19, Class A3A FRN 0.490% 12/25/36		1,516,639		835,966

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

16

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

	Principal Amount		Value
HSI Asset Securitization Corp. Series 2005-II, Class 2A4 VRN STEP 0.640% 11/25/35	$	2,400,000	$	1,183,091
Lehman XS Trust, Series 2005-5N, Class 1A1 FRN 0.550% 11/25/35		173,384		130,991
Structured Asset Securities Corp., Series 2002-AL1, Class A3 3.450% 2/25/32		121,551		104,950
				4,108,448
Manufactured Housing ABS — 2.2%
Greenpoint Manufactured Housing, Series 2000-6, Class A3 FRN 2.253% 11/22/31		150,000		125,442
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2 FRN 2.255% 3/13/32		200,000		166,551
Greenpoint Manufactured Housing, Series 2001-2, Class IA2 FRN 2.266% 2/20/32		150,000		127,193
Greenpoint Manufactured Housing, Series 1999-2, Class A2 FRN 3.252% 3/18/29		200,000		152,262
Greenpoint Manufactured Housing, Series 1999-3, Class 2A2 FRN 3.754% 6/19/29		75,000		48,941
Greenpoint Manufactured Housing, Series 1999-4, Class A2 FRN 3.754% 2/20/30		75,000		52,287
Greenpoint Manufactured Housing, Series 2000-7, Class A2 FRN 3.754% 11/17/31		275,000		226,890
Origen Manufactured Housing, Series 2005-B, Class A3 5.605% 5/15/22		3,000,000		3,020,087
				3,919,653
Student Loans ABS — 1.3%
Brazos Higher Education Authority, Series 2011-1, Class A3 FRN 1.359% 11/25/33		400,000		375,817
Illinois Student Assistance Commission, Series 2010-1, Class A3 FRN 1.203% 7/25/45		700,000		664,636
Keycorp Student Loan Trust, Series 2003-A, Class 1A2 FRN 0.563% 10/25/32		189,206		175,995
SLM Student Loan Trust, Series 2003-11, Class A6 FRN (b) 0.600% 12/15/25		300,000		284,371
SLM Student Loan Trust, Series 2001-4, Class B FRN 0.803% 1/25/21		600,000		567,532

	Principal Amount		Value
SLM Student Loan Trust, Series 2003-4, Class A5E FRN (b) 1.060% 3/15/33	$	293,683	$	285,858
				2,354,209
WL Collateral CMO — 6.3%
Bear Stearns Alt-A Trust, Series 2004-11, Class IIA6A VRN 5.134% 11/25/34		624,932		568,853
Countrywide Alternative Loan Trust, Series 2005-44, Class 1A1 FRN 0.580% 10/25/35		222,761		129,051
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 FRN 0.584% 11/20/35		415,784		251,905
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R3, Class AF FRN (b) 0.650% 9/25/35		385,138		342,497
Deutsche Mortgage Securities, Inc., Series 2005-WF1, Class 1A3 VRN (b) 5.214% 6/26/35		970,000		931,319
GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF FRN 0.600% 9/25/35		350,657		291,052
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3 VRN 2.943% 10/25/35		406,283		327,581
Harborview Mortgage Loan Trust, Series 2006-2, Class 1A VRN 2.841% 2/25/36		199,125		131,039
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 FRN 0.640% 12/25/34		36,663		21,587
MASTR Adjustable Rate Mortgages Trust, Series 2003-3, Class 3A4 VRN 2.448% 9/25/33		1,046,725		910,788
MASTR Adjustable Rate Mortgages Trust, Series 2007-R5, Class A1 VRN (b) 2.709% 11/25/35		1,419,099		894,411
MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1 VRN 2.965% 1/25/36		363,421		296,483
MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F FRN (b) 0.600% 5/25/35		349,419		299,928
Morgan Stanley Mortgage Loan Trust, Series 2006-3AR, Class 2A3 VRN 2.617% 3/25/36		287,946		169,752
Prime Mortgage Trust, Series 2006-DR1, Class 1A1 (b) 5.500% 5/25/35		480,426		462,528

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

17

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

	Principal Amount		Value
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (b) 6.000% 5/25/35	$	192,783	$	188,002
Prime Mortgage Trust, Series 2006-DR1, Class 2A2 (b) 6.000% 5/25/35		1,514,023		1,379,745
Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 4A1 FRN 2.462% 3/25/46		1,150,463		691,809
WaMu Mortgage Pass Through Certificates, Series 2005-AR15, Class A1A1 FRN 0.510% 11/25/45		304,490		255,585
WaMu Mortgage Pass Through Certificates, Series 2005-AR8, Class 1A1A FRN 0.520% 7/25/45		62,106		53,514
WaMu Mortgage Pass Through Certificates, Series 2005-AR13, Class A1A1 FRN 0.540% 10/25/45		235,945		202,563
WaMu Mortgage Pass Through Certificates, Series 2006-AR13, Class 1A FRN 1.192% 10/25/46		1,601,050		1,074,373
WaMu Mortgage Pass Through Certificates, Series 2006-AR14, Class 2A3 VRN 5.602% 11/25/36		1,940,000		1,458,634
				11,332,999
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $28,411,520)				27,053,926
SOVEREIGN DEBT OBLIGATIONS — 0.7%
Province of Ontario Canada 2.700% 6/16/15		660,000		672,591
Province of Ontario Canada 4.400% 4/14/20		310,000		320,882
United Mexican States 6.750% 9/27/34		155,000		174,840
				1,168,313
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,147,540)				1,168,313

	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 33.9%
Collateralized Mortgage Obligations — 0.9%
Federal Home Loan Mortgage Corp. Series 3738, Class BP 4.000% 12/15/38	$	400,000	$	381,546
Government National Mortgage Association
Series 2010-H28 Class FE 0.660% 12/20/60		388,229		385,741
Series 2011-H08 Class FG 0.740% 3/20/61		300,000		299,250
Series 2011-H09 Class AF 0.781% 3/20/61		200,000		200,012
Series 2010-14, Class SC 4.539% 8/20/35		499,971		67,052
Series 2009-87, Class TS 5.847% 7/20/35		288,288		40,033
Series 2011-40 Class SA 5.870% 2/16/36		1,100,000		164,730
Series 2005-81, Class SD 6.047% 12/20/34		268,811		30,417
Series 2009-35, Class SP 6.147% 5/16/37		579,490		74,307
Series 2005-13, Class SD 6.547% 2/20/35		194,334		32,979
				1,676,067
Pass-Through Securities — 33.0%
Federal Home Loan Mortgage Corp.
Pool #1N1640 5.111% 1/01/37		276,138		287,716
Pool #1N1637 5.515% 1/01/37		639,563		670,838
Pool #1N2654 5.625% 11/23/35		170,000		175,814
Pool #1J1368 5.653% 10/01/36		175,354		185,897
Federal Home Loan Mortgage Corp. TBA (g) Pool #2789 4.000% 12/01/39		100,000		98,195
Federal National Mortgage Association
Pool #993117 4.500% 1/01/39		139,524		142,167
Pool #AA0856 4.500% 1/01/39		335,880		342,244
Pool #AA2450 4.500% 2/01/39		111,241		113,349
Pool #AA3495 4.500% 2/01/39		451,806		460,365

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

18

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

	Principal Amount		Value
Pool #935520 4.500% 8/01/39	$	360,283	$	367,108
Pool #AD5481 4.500% 5/01/40		5,203,930		5,302,520
Pool #AD6914 4.500% 6/01/40		533,062		543,161
Pool #AD8685 4.500% 8/01/40		774,428		789,100
Pool #974965 5.000% 4/01/38		3,234,430		3,386,044
Pool #AE2266 5.000% 3/01/40		717,173		750,791
Pool #709406 5.500% 7/01/33		3,283,410		3,530,307
Pool #937948 5.500% 6/01/37		54,524		58,437
Pool #950385 5.779% 8/01/37		56,435		59,201
Pool #481473 6.000% 2/01/29		460		503
Pool #867557 6.000% 2/01/36		13,635		14,900
Pool #AE0469 6.000% 12/01/39		2,956,857		3,216,506
Federal National Mortgage Association TBA
Pool #2043 3.500% 9/01/25 (g)		200,000		200,516
Pool #6057 4.000% 12/01/39 (g)		1,500,000		1,470,820
Pool #27350 5.000% 6/01/36 (g)		1,300,000		1,360,125
Pool #27350 5.000% 6/01/36 (g)		4,200,000		4,380,633
Pool #45577 5.500% 4/01/35 (g)		1,500,000		1,599,316
Pool #45577 5.500% 4/01/36 (g)		4,100,000		4,385,078
Pool #53246 6.000% 4/01/35 (g)		400,000		434,047
Pool #53246 6.000% 9/01/35 (g)		2,500,000		2,718,945
Government National Mortgage Association
Pool #487588 6.000% 4/15/29		12,208		13,431
Pool #595077 6.000% 10/15/32		2,041		2,247
Pool #596620 6.000% 10/15/32		1,847		2,034
Pool #598000 6.000% 12/15/32		85		94
Pool #604706 6.000% 10/15/33		277,423		307,127
Pool #636251 6.000% 3/15/35		28,411		31,382

	Principal Amount		Value
Pool #782034 6.000% 1/15/36	$	309,636	$	342,402
Pool #658029 6.000% 7/15/36		265,531		292,634
Government National Mortgage Association TBA
Pool #3236 4.000% 5/01/40 (g)		200,000		200,031
Pool #8299 4.500% 7/01/39 (g)		800,000		825,438
Pool #1019 4.500% 1/01/40 (g)		7,200,000		7,416,562
Pool #1019 4.500% 1/01/40 (g)		7,400,000		7,597,719
Pool #11555 5.000% 5/01/38 (g)		100,000		106,078
Pool #1400 5.000% 3/01/39 (g)		2,300,000		2,440,516
Pool #16730 5.500% 4/01/36 (g)		1,600,000		1,732,750
Pool #2889 5.500% 7/01/36 (g)		200,000		216,031
Residual Funding Principal Strip 0.010% 10/15/19		1,280,000		947,156
				59,518,275
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $60,534,166)				61,194,342
U.S. TREASURY OBLIGATIONS — 20.9%
U.S. Treasury Bonds & Notes — 20.9%
U.S. Treasury Bond 4.375% 11/15/39		220,000		215,274
U.S. Treasury Bond 4.375% 5/15/40		480,000		469,388
U.S. Treasury Bond 4.750% 2/15/41		2,480,000		2,578,037
U.S. Treasury Inflation Index 2.125% 2/15/40		580,682		613,708
U.S. Treasury Inflation Index (i) 2.375% 1/15/27		939,000		1,045,224
U.S. Treasury Inflation Index 3.875% 4/15/29		2,062,691		2,759,494
U.S. Treasury Note 0.500% 11/15/13		30,000		29,550
U.S. Treasury Note 1.375% 2/15/13		70,000		70,835
U.S. Treasury Note 2.000% 1/31/16		180,000		178,706
U.S. Treasury Note 2.125% 2/29/16		8,610,000		8,583,766
U.S. Treasury Note 2.750% 2/28/18		3,770,000		3,741,725

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

19

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

	Principal Amount		Value
U.S. Treasury Note 2.875% 3/31/18	$	7,940,000	$	7,929,455
U.S. Treasury Note 3.500% 5/15/20		1,760,000		1,783,994
U.S. Treasury Note 3.625% 2/15/21		3,980,000		4,036,902
United States Treasury Strip Principal 0.010% 11/15/24		830,000		467,421
United States Treasury Strip Principal 0.010% 2/15/25		2,660,000		1,477,514
United States Treasury Strip Principal 0.010% 11/15/27		3,920,000		1,864,031
				37,845,024
TOTAL U.S. TREASURY OBLIGATIONS (Cost $37,530,237)				37,845,024
TOTAL BONDS & NOTES (Cost $182,126,355)				178,503,337
	Units
PURCHASED OPTIONS — 0.0%
Options on Futures — 0.0%
Eurodollar Call, Expires 12/16/11, Strike 99.375		45		281
U.S. Treasury Note 10 Year Call, Expires 4/21/11, Strike 122.000		22		2,134
U.S. Treasury Note 10 Year Call, Expires 5/20/11, Strike 122.000		2		531
U.S. Treasury Note 10 Year Call, Expires 5/20/11, Strike 122.500		64		12,000
U.S. Treasury Note 30 Year Put, Expires 5/20/11, Strike 110.000		22		1,375
				16,321
TOTAL PURCHASED OPTIONS (Cost $34,004)				16,321
	Number of Shares
WARRANTS — 0.0%
Pipelines — 0.0%
SemGroup Corp., Expires 11/30/14, Strike 25.00 (a)		258		2,644
TOTAL WARRANTS (Cost $0)				2,644
TOTAL LONG-TERM INVESTMENTS (Cost $184,619,626)				179,110,157

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 20.3%
Discount Notes — 8.8%
Farmer Mac Discount Notes 0.010% 4/28/11	$	1,850,000	$	1,849,778
Federal Home Loan Bank Discount Notes 0.010% 4/29/11		4,150,000		4,149,481
Federal Home Loan Mortgage Corp. 0.010% 4/18/11		1,750,000		1,749,882
Federal Home Loan Mortgage Corp. (i) 0.010% 5/09/11		196,000		195,964
Federal Home Loan Mortgage Corp. (i) 0.010% 5/11/11		213,000		212,965
Federal National Mortgage Association 0.010% 4/25/11		3,500,000		3,499,650
Federal National Mortgage Association 0.010% 4/27/11		2,250,000		2,249,756
Federal National Mortgage Association (i) 0.010% 5/09/11		29,000		28,994
World Bank Discount Notes 0.010% 4/19/11		1,990,000		1,989,841
				15,926,311
Repurchase Agreement — 6.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (h)		10,807,815		10,807,815
U.S. Treasury Bills — 5.5%
U.S. Treasury Bill 0.010% 5/19/11		10,000,000		9,997,473
U.S. Treasury Bill (i) 0.010% 6/02/11		19,000		18,994
				10,016,467
TOTAL SHORT-TERM INVESTMENTS (Cost $36,750,593)				36,750,593
TOTAL INVESTMENTS — 119.5% (Cost $221,370,219) (j)				215,860,750
Other Assets/(Liabilities) — (19.5)%				(35,162,535	)
NET ASSETS — 100.0%			$	180,698,215

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

20

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

Notes to Portfolio of Investments

ABS Asset-Backed Security

CMO Collateralized Mortgage Obligation

EUR Euro

FRN Floating Rate Note

MBS Mortgage-Backed Security

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Non-income producing security.

(b) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, these securities amounted to a value of $14,437,087 or 7.99% of net assets.

(c) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At March 31, 2011, these securities amounted to a value of $831,767 or 0.46% of net assets.

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

(e) Restricted security. Certain securities are restricted as to resale. At March 31, 2011, these securities amounted to a value of $793,009 or 0.44% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(f) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At March 31, 2011, these securities amounted to a value of $179,100 or 0.10% of net assets.

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

(h) Maturity value of $10,807,818. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/15/40, and an aggregate market value, including accrued interest, of $11,025,539.

(i) A portion of this security is held as collateral for open futures contracts and written options outstanding. (Note 2).

(j) See Note 3 for aggregate cost for federal tax purposes.

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

21

MassMutual Select Strategic Balanced Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 67.6%
COMMON STOCK — 67.2%
Aerospace & Defense — 0.8%
United Technologies Corp.		6,532	$	552,934
Agriculture — 0.8%
British American Tobacco PLC		6,019		241,877
Japan Tobacco, Inc.		42		150,315
Philip Morris International, Inc.		2,334		153,181
				545,373
Auto Manufacturers — 1.2%
Daimler AG (a)		2,222		156,804
General Motors Co. (a)		7,402		229,684
Nissan Motor Co. Ltd.		17,400		154,379
Paccar, Inc.		4,735		247,877
				788,744
Automotive & Parts — 0.9%
Bridgestone Corp.		3,800		79,019
Johnson Controls, Inc.		11,837		492,064
				571,083
Banks — 5.1%
Banco Bilbao Vizcaya Argentaria SA		10,723		130,183
Bank of America Corp.		40,790		543,731
Barclays PLC		40,005		179,464
BB&T Corp.		4,573		125,529
BNP Paribas		2,791		204,237
China Merchants Bank Co. Ltd.		48,900		135,213
DnB NOR ASA		9,765		149,836
Erste Group Bank AG		1,556		78,530
Fifth Third Bancorp		5,229		72,579
HSBC Holdings PLC		6,911		71,068
Huntington Bancshares, Inc.		2,024		13,439
KBC Groep NV (a)		2,725		102,510
Lloyds Banking Group PLC (a)		122,116		113,843
Regions Financial Corp.		6,989		50,740
Standard Chartered PLC		6,395		165,880
State Street Corp.		2,451		110,148
Sumitomo Mitsui Financial Group, Inc.		4,618		143,570
SVB Financial Group (a)		572		32,564
U.S. Bancorp		4,127		109,077
UniCredit SpA		48,019		118,758
Wells Fargo & Co.		22,127		701,426
Zions Bancorp		629		14,505
				3,366,830
Beverages — 1.3%
The Coca-Cola Co.		8,418		558,534
PepsiCo, Inc.		2,573		165,727
Pernod-Ricard SA		1,711		160,003
				884,264

	Number of Shares		Value
Biotechnology — 0.9%
Biogen Idec, Inc. (a)		3,151	$	231,252
Celgene Corp. (a)		4,234		243,582
Dendreon Corp. (a)		2,564		95,970
Intercell AG (a)		2,070		26,415
				597,219
Building Materials — 0.3%
Daikin Industries Ltd.		3,800		113,799
Nippon Sheet Glass Co. Ltd.		40,000		115,412
				229,211
Chemicals — 1.8%
Air Products & Chemicals, Inc.		855		77,104
The Dow Chemical Co.		8,592		324,348
E.I. du Pont de Nemours & Co.		8,838		485,825
Huabao International Holdings Ltd.		60,000		92,651
Lanxess AG		2,325		173,918
				1,153,846
Commercial Services — 0.5%
Experian PLC		10,481		129,826
Genpact Ltd. (a)		1,033		14,958
MasterCard, Inc. Class A		465		117,050
McKesson Corp.		704		55,651
Visa, Inc. Class A		501		36,884
				354,369
Computers — 3.6%
Apple, Inc. (a)		3,555		1,238,740
Cognizant Technology Solutions Corp. Class A (a)		2,378		193,569
EMC Corp. (a)		6,761		179,505
Fujitsu LTD		20,000		113,008
Hewlett-Packard Co.		5,422		222,139
International Business Machines Corp.		2,061		336,087
SanDisk Corp. (a)		1,083		49,916
				2,332,964
Cosmetics & Personal Care — 1.5%
Colgate-Palmolive Co.		2,696		217,729
L’Oreal		1,245		145,006
The Procter & Gamble Co.		10,081		620,990
Shiseido Co. Ltd.		1,300		22,505
				1,006,230
Distribution & Wholesale — 0.5%
Marubeni Corp.		15,000		108,019
Mitsui & Co. Ltd.		11,100		198,967
				306,986
Diversified Financial — 2.8%
American Express Co.		2,615		118,198
Citigroup, Inc. (a)		101,935		450,553
CME Group, Inc.		346		104,336

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

22

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

	Number of Shares		Value
Credit Suisse Group		4,052	$	172,191
The Goldman Sachs Group, Inc.		3,922		621,519
Invesco Ltd.		3,440		87,926
Morgan Stanley		5,826		159,166
ORIX Corp.		620		58,065
TD Ameritrade Holding Corp.		2,120		44,244
				1,816,198
Electric — 1.6%
CMS Energy Corp.		1,580		31,031
Constellation Energy Group, Inc.		402		12,514
Enel SpA		28,140		177,368
International Power PLC		11,643		57,524
NextEra Energy, Inc.		4,840		266,781
Northeast Utilities		3,210		111,066
NV Energy, Inc.		6,754		100,567
PG&E Corp.		3,333		147,252
Public Service Enterprise Group, Inc.		2,713		85,487
SCANA Corp.		555		21,850
Xcel Energy, Inc.		417		9,962
				1,021,402
Electrical Components & Equipment — 0.8%
Mitsubishi Electric Corp.		22,000		256,644
Schneider Electric SA		1,414		241,687
				498,331
Electronics — 0.6%
HON HAI Precision Industry Co. Ltd. GDR (Taiwan) (b)		16,402		116,782
Koninklijke Philips Electronics NV		6,514		208,060
Premier Farnell PLC		18,824		81,938
				406,780
Engineering & Construction — 0.3%
Fluor Corp.		2,895		213,246
Food Services — 0.3%
Sodexo		2,286		166,843
Foods — 1.1%
Campbell Soup Co.		1,866		61,783
General Mills, Inc.		4,789		175,038
Sysco Corp.		6,642		183,983
Unilever NV		8,805		276,474
				697,278
Forest Products & Paper — 0.2%
Stora Enso Oyj Class R		6,366		75,827
UPM-Kymmene OYJ		3,807		80,511
				156,338
Gas — 1.1%
Centrica PLC		37,232		194,186
Gaz De France		4,986		203,440
Perusahaan Gas Negara PT		152,000		67,964
Sempra Energy		1,837		98,280

	Number of Shares		Value
Snam Rete Gas SpA		29,032	$	163,259
				727,129
Health Care – Products — 0.6%
Baxter International, Inc.		616		33,122
Covidien PLC		5,200		270,088
Hengan International Group Co. Ltd.		9,000		66,683
				369,893
Health Care – Services — 0.5%
Aetna, Inc.		87		3,256
DaVita, Inc. (a)		375		32,066
Humana, Inc. (a)		600		41,964
Thermo Fisher Scientific, Inc. (a)		1,045		58,050
UnitedHealth Group, Inc.		3,310		149,612
WellPoint, Inc.		1,101		76,839
				361,787
Holding Company – Diversified — 0.2%
Hutchison Whampoa Ltd.		9,000		106,352
Home Builders — 0.2%
Lennar Corp. Class A		3,065		55,538
NVR, Inc. (a)		134		101,304
				156,842
Household Products — 0.2%
Reckitt Benckiser Group PLC		3,046		156,444
Insurance — 2.7%
ACE Ltd.		2,407		155,733
Aflac, Inc.		1,689		89,146
Allianz SE		1,040		145,921
Berkshire Hathaway, Inc. Class B (a)		1,488		124,442
The Dai-ichi Life Insurance Co. Ltd.		63		95,053
Everest Re Group Ltd.		180		15,872
ING Groep NV (a)		16,302		206,909
MetLife, Inc.		6,271		280,502
Prudential Financial, Inc.		3,781		232,834
Prudential PLC		11,135		126,255
RenaissanceRe Holdings Ltd.		1,608		110,936
XL Group PLC		3,924		96,530
Zurich Financial Services AG		399		111,711
				1,791,844
Internet — 0.9%
Amazon.com, Inc. (a)		1,982		357,018
Google, Inc. Class A (a)		364		213,380
				570,398
Investment Companies — 0.2%
Man Group PLC		29,070		114,884
Iron & Steel — 0.2%
JFE Holdings, Inc.		4,900		143,383
Leisure Time — 0.5%
Carnival Corp.		7,875		302,085

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

23

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

	Number of Shares		Value
Lodging — 0.4%
Genting Singapore PLC (a)		37,000	$	60,051
Intercontinental Hotels Group PLC		8,836		181,348
Starwood Hotels & Resorts Worldwide, Inc.		792		46,031
				287,430
Machinery – Construction & Mining — 0.4%
Rio Tinto PLC		3,701		261,135
Machinery – Diversified — 0.1%
Mitsubishi Heavy Industries Ltd.		19,000		86,352
Manufacturing — 2.7%
3M Co.		4,519		422,527
Cookson Group PLC (a)		8,172		90,437
FUJIFILM Holdings Corp.		4,800		148,651
General Electric Co.		10,500		210,525
Honeywell International, Inc.		6,394		381,786
Parker Hannifin Corp.		409		38,724
Siemens AG		2,209		302,596
Tyco International Ltd.		3,478		155,710
				1,750,956
Media — 2.2%
Comcast Corp. Class A		8,371		206,931
Gannett Co., Inc.		5,277		80,369
Time Warner, Inc.		24,188		863,512
The Walt Disney Co.		6,503		280,214
				1,431,026
Mining — 1.4%
Alcoa, Inc.		10,876		191,961
First Quantum Minerals Ltd.		1,389		179,689
Freeport-McMoRan Copper & Gold, Inc.		7,684		426,846
Kinross Gold Corp.		6,022		94,911
				893,407
Oil & Gas — 7.7%
Anadarko Petroleum Corp.		1,397		114,442
Apache Corp.		1,974		258,436
BG Group PLC		8,922		221,642
BP PLC		25,426		185,179
Cairn Energy PLC (a)		10,104		74,993
Chevron Corp.		6,675		717,095
ConocoPhillips		2,246		179,366
Devon Energy Corp.		3,095		284,028
Ensco PLC Sponsored ADR (United Kingdom)		800		46,272
EOG Resources, Inc.		3,363		398,549
Exxon Mobil Corp.		13,779		1,159,227
Hess Corp.		1,087		92,623
JX Holdings, Inc.		21,800		146,766
Noble Energy, Inc.		262		25,322
Occidental Petroleum Corp.		5,314		555,260
Royal Dutch Shell PLC Class A		13,066		474,872

	Number of Shares		Value
Tullow Oil PLC		4,204	$	97,768
				5,031,840
Oil & Gas Services — 1.2%
Baker Hughes, Inc.		1,819		133,569
Cameron International Corp. (a)		1,171		66,864
Halliburton Co.		1,628		81,140
Schlumberger Ltd.		5,198		484,765
				766,338
Pharmaceuticals — 4.2%
Abbott Laboratories		11,361		557,257
Bayer AG		3,190		247,020
Cardinal Health, Inc.		6,486		266,769
GlaxoSmithKline PLC		9,002		171,776
Medco Health Solutions, Inc. (a)		1,080		60,653
Merck & Co., Inc.		15,032		496,206
Pfizer, Inc.		23,719		481,733
Sanofi-Aventis		3,218		226,006
Shire Ltd.		4,517		131,157
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		2,954		148,202
				2,786,779
Pipelines — 0.0%
SemGroup Corp. Class A (a)		77		2,168
Real Estate — 0.7%
China Overseas Land & Investment Ltd.		54,000		110,861
China Resources Land Ltd.		46,000		86,075
Hang Lung Properties Ltd.		18,000		78,686
Sun Hung Kai Properties Ltd.		10,000		158,067
				433,689
Real Estate Investment Trusts (REITS) — 0.0%
Regency Centers Corp.		356		15,479
Retail — 2.1%
AutoZone, Inc. (a)		388		106,141
Cie Financiere Richemont SA		1,793		103,536
Coach, Inc.		580		30,183
CVS Caremark Corp.		3,643		125,028
Darden Restaurants, Inc.		1,163		57,138
The Home Depot, Inc.		5,018		185,967
Kohl’s Corp.		1,343		71,233
Lowe’s Cos., Inc.		3,668		96,945
PPR		899		137,781
Staples, Inc.		7,024		136,406
Target Corp.		1,953		97,670
Yum! Brands, Inc.		4,008		205,931
				1,353,959
Semiconductors — 2.1%
Analog Devices, Inc.		2,311		91,007
Applied Materials, Inc.		5,359		83,708
ASML Holding NV		2,939		129,630

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

24

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

	Number of Shares		Value
Broadcom Corp. Class A		4,535	$	178,588
Infineon Technologies AG		13,507		138,458
Intersil Corp. Class A		3,191		39,728
KLA-Tencor Corp.		2,152		101,940
Lam Research Corp. (a)		3,150		178,479
Marvell Technology Group Ltd. (a)		2,646		41,145
NVIDIA Corp. (a)		2,661		49,122
Samsung Electronics Co., Ltd.		175		148,467
Xilinx, Inc.		6,645		217,956
				1,398,228
Software — 2.2%
Adobe Systems, Inc. (a)		6,272		207,980
Citrix Systems, Inc. (a)		628		46,133
Infosys Technologies Ltd. Sponsored ADR (India)		1,769		126,837
Microsoft Corp.		26,978		684,162
Oracle Corp.		11,084		369,873
				1,434,985
Telecommunications — 4.5%
American Tower Corp. Class A (a)		855		44,306
AT&T, Inc.		10,696		327,298
Cable & Wireless Worldwide PLC		1,892		1,592
Cisco Systems, Inc.		30,249		518,770
Juniper Networks, Inc. (a)		4,779		201,100
KDDI Corp.		18		110,473
Koninklijke KPN NV		10,239		174,603
Motorola Mobility Holdings, Inc. (a)		3,830		93,452
QUALCOMM, Inc.		5,030		275,795
Sprint Nextel Corp. (a)		46,150		214,136
Telefonica SA		6,377		159,659
Verizon Communications, Inc.		11,350		437,429
Vodafone Group PLC		117,194		331,824
ZTE Corp. Class H		15,800		73,812
				2,964,249
Transportation — 1.0%
East Japan Railway		1,900		104,406
Norfolk Southern Corp.		6,974		483,089
Union Pacific Corp.		811		79,746
				667,241
Water — 0.1%
American Water Works Co., Inc.		1,708		47,909
TOTAL COMMON STOCK (Cost $37,272,536)				44,080,680
PREFERRED STOCK — 0.4%
Auto Manufacturers — 0.3%
Volkswagen AG 2.010% (Germany)		1,227		199,462

	Number of Shares		Value
Diversified Financial — 0.1%
Citigroup Capital XII 8.500%		1,275	$	33,571
Citigroup Capital XIII 7.875%		700		19,180
				52,751
U.S. Government Agencies — 0.0%
Federal Home Loan Mortgage Corp. 8.375% (a)		11,350		19,295
Federal National Mortgage Association 0.000% (a)		400		1,140
Federal National Mortgage Association 8.250% (a)		7,175		12,197
				32,632
TOTAL PREFERRED STOCK (Cost $647,254)				284,845
TOTAL EQUITIES (Cost $37,919,790)				44,365,525
	Principal Amount
BONDS & NOTES — 30.5%
CORPORATE DEBT — 8.9%
Aerospace & Defense — 0.1%
The Boeing Co. 4.875% 2/15/20	$	40,000		42,742
Raytheon Co. 3.125% 10/15/20		10,000		9,163
				51,905
Agriculture — 0.1%
Altria Group, Inc. 9.250% 8/06/19		30,000		39,152
Reynolds American, Inc. 7.625% 6/01/16		30,000		35,654
				74,806
Airlines — 0.2%
Continental Airlines 2007-1 Class A 5.983% 10/19/23		48,231		50,160
Delta Air Lines, Inc. Series 2007-1 Class A (c) 6.821% 2/10/24		39,245		40,913
Northwest Airlines, Inc. 7.575% 9/01/20		59,178		62,285
United Air Lines, Inc. 9.750% 1/15/17		9,229		10,474
				163,832
Auto Manufacturers — 0.1%
Motors Liquidation Co. EUR (d) (e) 8.375% 7/05/33		90,000		35,395

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

25

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

	Principal Amount		Value
Banks — 1.3%
Bank of America Corp. 4.500% 4/01/15	$	120,000	$	124,609
Bank of America Corp. 7.625% 6/01/19		60,000		69,492
Export-Import Bank of Korea (c) 5.250% 2/10/14		5,000		5,346
Glitnir Banki HF (Acquired 6/15/06, Cost $140,000) VRN (c) (e) (f) 6.693% 6/15/16		140,000		2
Glitnir Banki HF (Acquired 7/28/06, Cost $160,000) (c) (e) (f) 6.330% 7/28/11		160,000		48,800
Glitnir Banki HF (Acquired 9/25/07, Cost $99,776) (c) (e) (f) 6.375% 9/25/12		100,000		30,500
Hypothekenbank in Essen (c) 5.000% 1/20/12		20,000		20,746
Landsbanki Islands HF (Acquired 8/25/06, Cost $279,927) (c) (e) (f) 6.100% 8/25/11		280,000		22,400
Lloyds TSB Bank PLC 6.375% 1/21/21		50,000		52,105
Royal Bank of Scotland Group PLC 3.950% 9/21/15		110,000		110,083
Royal Bank of Scotland Group PLC 4.875% 3/16/15		30,000		31,181
Santander US Debt SA Unipersonal (c) 3.781% 10/07/15		100,000		96,658
State Street Corp. 4.956% 3/15/18		50,000		51,523
UBS AG/Stamford CT 4.875% 8/04/20		40,000		40,332
Wachovia Capital Trust III VRN 5.570% 3/29/49		50,000		45,875
Wachovia Corp. 5.750% 2/01/18		50,000		55,082
Wells Fargo & Co. 3.676% 6/15/16		20,000		20,118
				824,852
Beverages — 0.1%
Anheuser-Busch InBev Worldwide, Inc. 5.375% 1/15/20		50,000		53,665
Diageo Capital PLC 4.828% 7/15/20		40,000		41,347
PepsiCo, Inc. 7.900% 11/01/18		4,000		5,077
				100,089
Coal — 0.0%
Consol Energy, Inc. (c) 6.375% 3/01/21		20,000		20,025

	Principal Amount		Value
Diversified Financial — 2.5%
American Express Co. 8.125% 5/20/19	$	60,000	$	74,860
Citigroup, Inc. 6.010% 1/15/15		70,000		76,497
Citigroup, Inc. 8.125% 7/15/39		60,000		75,211
Federal Agricultural Mortgage Corp. 3.875% 8/19/11		90,000		91,086
Federal Home Loan Mortgage Corp. 0.875% 10/28/13		50,000		49,596
Federal National Mortgage Association 0.000% 10/09/19		420,000		285,338
Federal National Mortgage Association 4.625% 5/01/13		160,000		171,624
General Electric Capital Corp. 2.250% 11/09/15		110,000		105,673
General Electric Capital Corp. 4.375% 9/16/20		10,000		9,718
General Electric Capital Corp. 4.625% 1/07/21		70,000		68,938
General Electric Capital Corp. 6.875% 1/10/39		40,000		44,640
The Goldman Sachs Group, Inc. 5.375% 3/15/20		70,000		71,073
The Goldman Sachs Group, Inc. 6.000% 6/15/20		90,000		95,141
The Goldman Sachs Group, Inc. 6.250% 2/01/41		50,000		49,793
International Lease Finance Corp. (c) 6.500% 9/01/14		20,000		21,350
International Lease Finance Corp. (c) 6.750% 9/01/16		10,000		10,700
JPMorgan Chase & Co. 3.400% 6/24/15		80,000		80,491
JPMorgan Chase & Co. 4.250% 10/15/20		20,000		19,114
Kaupthing Bank HF (Acquired 2/25/08, Cost $368,482) (c) (e) (f) 7.625% 2/28/15		440,000		123,200
Kaupthing Bank HF (Acquired 5/19/06, Cost $99,472) (c) (e) (f) 7.125% 5/19/16		100,000		1
Lehman Brothers Holdings Capital Trust VII VRN (e) 5.857% 11/29/49		130,000		13
Lehman Brothers Holdings, Inc. (e) 6.500% 7/19/17		30,000		3
Lehman Brothers Holdings, Inc. Series I (e) 6.750% 12/28/17		290,000		29

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

26

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

	Principal Amount		Value
MUFG Capital Finance 1 Ltd. FRN 6.346% 7/29/49	$	100,000	$	100,148
				1,624,237
Electric — 0.4%
Dominion Resources, Inc. 5.200% 8/15/19		60,000		63,955
Energy Future Holdings Corp. 11.250% 11/01/17		9,601		7,465
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc. 10.000% 12/01/20		21,000		22,253
FirstEnergy Corp. Series C 7.375% 11/15/31		70,000		75,824
NRG Energy, Inc. 7.375% 1/15/17		40,000		41,700
Pacific Gas & Electric Co. 5.800% 3/01/37		30,000		30,329
				241,526
Foods — 0.1%
Kraft Foods, Inc. 5.375% 2/10/20		60,000		63,345
Health Care – Services — 0.2%
HCA, Inc. 7.500% 11/15/95		50,000		41,000
HCA, Inc. 7.690% 6/15/25		10,000		9,525
Roche Holdings, Inc. (c) 6.000% 3/01/19		20,000		22,669
UnitedHealth Group, Inc. 3.875% 10/15/20		20,000		19,040
UnitedHealth Group, Inc. 5.700% 10/15/40		10,000		9,749
UnitedHealth Group, Inc. 5.800% 3/15/36		20,000		19,869
WellPoint, Inc. 7.000% 2/15/19		30,000		35,559
				157,411
Household Products — 0.2%
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (c) 6.875% 2/15/21		100,000		100,750
Insurance — 0.2%
MetLife, Inc. 4.750% 2/08/21		20,000		20,046
MetLife, Inc. 5.875% 2/06/41		40,000		40,330
Teachers Insurance & Annuity Association of America (c) 6.850% 12/16/39		40,000		45,101
				105,477

	Principal Amount		Value
Lodging — 0.1%
Inn of the Mountain Gods Resort & Casino (c) 1.250% 11/30/20	$	13,000	$	7,062
Inn of the Mountain Gods Resort & Casino (c) 8.750% 11/30/20		6,000		5,895
MGM Mirage 6.625% 7/15/15		5,000		4,737
MGM Resorts International 10.375% 5/15/14		5,000		5,725
MGM Resorts International 11.125% 11/15/17		15,000		17,175
Station Casinos, Inc. (e) 7.750% 8/15/16		55,000		5
				40,599
Media — 0.5%
Comcast Corp. 5.150% 3/01/20		100,000		104,096
Comcast Corp. 6.950% 8/15/37		10,000		10,887
Reed Elsevier Capital, Inc. 8.625% 1/15/19		30,000		38,017
Time Warner Cable, Inc. 4.125% 2/15/21		10,000		9,344
Time Warner Cable, Inc. 6.750% 6/15/39		20,000		20,912
Time Warner Cable, Inc. 8.250% 4/01/19		80,000		97,458
Time Warner, Inc. 4.700% 1/15/21		10,000		9,958
United Business Media Ltd. (c) 5.750% 11/03/20		20,000		19,454
				310,126
Mining — 0.5%
Barrick Gold Corp. 6.950% 4/01/19		30,000		35,878
BHP Billiton Finance USA Ltd. 6.500% 4/01/19		60,000		70,845
Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/01/17		40,000		44,100
Rio Tinto Finance USA Ltd. 9.000% 5/01/19		90,000		118,271
Teck Resources Ltd. 9.750% 5/15/14		2,000		2,430
Teck Resources Ltd. 10.250% 5/15/16		3,000		3,608
Vale Overseas Ltd. 6.875% 11/21/36		70,000		74,540
				349,672

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

27

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

	Principal Amount		Value
Oil & Gas — 0.9%
Anadarko Finance Co. Series B 7.500% 5/01/31	$	10,000	$	11,040
Anadarko Petroleum Corp. 6.375% 9/15/17		20,000		22,014
Apache Corp. 5.100% 9/01/40		40,000		37,185
BP Capital Markets PLC 3.125% 10/01/15		60,000		60,335
Chesapeake Energy Corp. 6.625% 8/15/20		30,000		31,950
ConocoPhillips 6.500% 2/01/39		20,000		22,768
Devon Energy Corp. 7.950% 4/15/32		30,000		38,914
Hess Corp. 6.000% 1/15/40		30,000		30,326
Hess Corp. 8.125% 2/15/19		10,000		12,553
Kerr-McGee Corp. 6.950% 7/01/24		40,000		44,245
Kerr-McGee Corp. 7.875% 9/15/31		10,000		11,407
Pemex Project Funding Master Trust 6.625% 6/15/35		111,000		111,345
Petrobras International Finance Co. 5.375% 1/27/21		20,000		20,060
Petrobras International Finance Co. 5.750% 1/20/20		22,000		22,696
Petrobras International Finance Co. 6.125% 10/06/16		26,000		28,812
QEP Resources, Inc. 6.875% 3/01/21		20,000		21,000
SandRidge Energy, Inc. (c) 9.875% 5/15/16		30,000		33,300
Shell International Finance BV 6.375% 12/15/38		40,000		45,204
Total Capital SA 4.450% 6/24/20		10,000		10,209
				615,363
Oil & Gas Services — 0.0%
Cie Generale de Geophysique-Veritas 7.750% 5/15/17		10,000		10,512
Pharmaceuticals — 0.1%
Giant Funding Corp. (c) 8.250% 2/01/18		10,000		10,262
Pfizer, Inc. 6.200% 3/15/19		50,000		57,618
				67,880

	Principal Amount		Value
Pipelines — 0.3%
Enterprise Products Operating LLC 6.500% 1/31/19	$	50,000	$	56,829
Kinder Morgan Energy Partners LP 6.850% 2/15/20		40,000		45,828
Southern Natural Gas Co. 8.000% 3/01/32		30,000		36,607
Williams Cos., Inc. 7.875% 9/01/21		40,000		49,778
Williams Partners LP 5.250% 3/15/20		10,000		10,432
				199,474
Retail — 0.3%
CVS Caremark Corp. 6.600% 3/15/19		50,000		57,354
CVS Caremark Corp. (c) 9.350% 1/10/23		90,000		93,226
CVS Pass-Through Trust 5.880% 1/10/28		28,594		28,940
				179,520
Savings & Loans — 0.3%
El Paso Performance-Linked Trust (c) 7.750% 7/15/11		40,000		40,571
ILFC E-Capital Trust II VRN (c) 6.250% 12/21/65		190,000		159,600
				200,171
Telecommunications — 0.4%
America Movil SAB de CV 5.625% 11/15/17		30,000		33,042
AT&T, Inc. 5.800% 2/15/19		80,000		88,863
Cellco Partnership/Verizon Wireless Capital LLC 8.500% 11/15/18		40,000		51,393
Qwest Corp. 6.875% 9/15/33		10,000		10,012
Verizon Communications, Inc. 4.600% 4/01/21		30,000		29,872
Verizon Communications, Inc. 6.000% 4/01/41		80,000		79,690
				292,872
Transportation — 0.0%
Kansas City Southern de Mexico SA de CV 12.500% 4/01/16		16,000		19,440
TOTAL CORPORATE DEBT (Cost $7,348,960)				5,849,279
MUNICIPAL OBLIGATIONS — 0.2%
Los Angeles Department of Airports 5.250% 5/15/39		20,000		19,177

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

28

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

	Principal Amount		Value
New York Liberty Development Corp. 5.250% 10/01/35	$	20,000	$	19,099
New York State Environmental Facilities Corp. 5.125% 6/15/38		10,000		9,919
Port Authority of New York & New Jersey 5.000% 1/15/41		10,000		9,610
San Mateo County Community College District 5.000% 9/01/38		10,000		9,695
State of Illinois 5.665% 3/01/18		20,000		19,962
State of Illinois 5.877% 3/01/19		20,000		19,975
Tennessee Valley Authority 5.250% 9/15/39		40,000		41,888
				149,325
TOTAL MUNICIPAL OBLIGATIONS (Cost $145,446)				149,325
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 3.5%
Agency Collateral CMO — 0.2%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K007, Class X1 VRN 1.244% 4/25/20		198,500		15,386
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K009, Class X1 VRN 1.521% 8/25/20		99,655		9,450
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates, Series K008, Class X1 VRN 1.687% 6/25/20		199,125		21,349
GS Mortgage Securities Corp. II, Series 2011-GC3, Class X 1.345% 3/10/44		400,000		24,504
NCUA Guaranteed Notes, Series 2010-C1, Class APT 2.650% 10/29/20		39,552		38,316
				109,005
Commercial MBS — 0.7%
Extended Stay America Trust, Series 2010-ESHA, Class A (c) 2.951% 11/05/27		99,355		97,757
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 VRN 5.890% 7/10/38		25,000		27,300
GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4 VRN 5.808% 8/10/45		60,000		63,733

	Principal Amount		Value
GS Mortgage Securities Corp. II, Series 2001-1285, Class C (c) 6.712% 8/15/18	$	90,000	$	91,227
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4 5.372% 9/15/39		60,000		64,062
LB-UBS Commercial Mortgage Trust, Series 2006-C3, Class A4 VRN 5.661% 3/15/39		30,000		32,021
Mach One Trust Commercial Mortgage-Backed, Series 2004-1A, Class X (Acquired 7/28/04, Cost $180,089) VRN (c) (f) 0.989% 5/28/40		1,370,756		20,561
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4 VRN 5.485% 3/12/51		60,000		60,589
Morgan Stanley Capital I, Series 2006-IQ11, Class A4 VRN 5.726% 10/15/42		25,000		27,131
Mutual Fund Fee Trust, Series 2000-3 (c) (e) (g) 9.070% 7/01/08		655,398		7
				484,388
Home Equity ABS — 0.8%
MASTR Asset Backed Securities Trust, Series 2005-AB1, Class A5A STEP 5.712% 11/25/35		660,000		286,718
Morgan Stanley Capital Inc., Series 2003-NC9, Class M FRN 1.375% 9/25/33		283,952		221,922
Residential Asset Mortgage Products, Inc., Series 2002-RS4, Class AII FRN 0.890% 8/25/32		2,790		2,225
				510,865
Manufactured Housing ABS — 0.1%
Greenpoint Manufactured Housing, Series 2001-2, Class IIA2 FRN 2.255% 3/13/32		25,000		20,819
Greenpoint Manufactured Housing, Series 2001-2, Class IA2 FRN 2.266% 2/20/32		25,000		21,199
Greenpoint Manufactured Housing, Series 2000-7, Class A2 FRN 3.754% 11/17/31		75,000		61,879
				103,897
WL Collateral CMO — 1.7%
Banc of America Funding Corp., Series 2004-B, Class 6A1 FRN 3.344% 12/20/34		119,185		69,742

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

29

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

	Principal Amount		Value
Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-R2, Class 2A1 (c) 7.000% 6/25/35	$	125,896	$	126,884
MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1 VRN (c) 5.456% 5/25/36		227,404		200,244
MASTR Reperforming Loan Trust, Series 2005-1, Class 1A1 (c) 6.000% 8/25/34		39,219		37,013
MLCC Mortgage Investors, Inc., Series 2004-B, Class A3 FRN 3.202% 5/25/29		69,579		63,723
Prime Mortgage Trust, Series 2006-DR1, Class 1A2 (c) 6.000% 5/25/35		77,113		75,201
Structured Asset Securities Corp., Series 2005-RF1, Class A FRN (c) 0.600% 3/25/35		424,261		350,060
Structured Asset Securities Corp., Series 2005-RF3, Class 1A FRN (c) 0.600% 6/25/35		123,323		101,008
WaMu Mortgage Pass Through Certificates, Series 2004-AR12, Class A2A FRN 0.640% 10/25/44		49,444		41,953
Washington Mutual, Inc., Series 2004-AR14, Class A1 VRN 2.580% 1/25/35		46,018		44,365
				1,110,193
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $2,662,318)				2,318,348
SOVEREIGN DEBT OBLIGATIONS — 0.1%
Mexico Government International Bond 6.050% 1/11/40		10,000		10,300
Russia Government International Bond STEP (b) 7.500% 3/31/30		34,600		40,331
United Mexican States 6.750% 9/27/34		17,000		19,176
				69,807
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $64,014)				69,807
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 11.9%
Collateralized Mortgage Obligations — 0.7%
Federal Home Loan Mortgage Corp.
Series 3738, Class BP 4.000% 12/15/38		100,000		95,387

	Principal Amount		Value
Government National Mortgage Association
Series 2010-H20, Class AF 0.590% 10/20/60	$	139,426	$	137,608
Series 2010-H26, Class LF 0.610% 8/20/58		99,610		99,361
Series 2005-26, Class SC 6.497% 10/20/33		937,957		104,281
				436,637
Pass-Through Securities — 11.2%
Federal Home Loan Banks 0.460% 3/14/12		70,000		70,038
Federal Home Loan Mortgage Corp. Pool #1N2654 5.625% 11/23/35		140,000		144,788
Federal Home Loan Mortgage Corp. TBA Pool #270 3.500% 10/01/40 (h)		100,000		93,976
Federal National Mortgage Association
Pool #974701 4.500% 4/01/38		193,064		197,083
Pool #AD1593 4.500% 2/01/40		685,848		698,842
Pool #944103 5.735% 7/01/37		168,421		178,458
Pool #595775 6.000% 8/01/31		7,105		7,794
Pool #896048 6.000% 6/01/36		216,813		236,258
Pool #831669 6.000% 7/01/36		165,056		179,963
Pool #AE0469 6.000% 12/01/39		337,927		367,601
Pool #902990 6.500% 11/01/36		14,268		15,982
Federal National Mortgage Association Principal Strip 0.000% 2/01/19		30,000		19,480
Federal National Mortgage Association TBA
Pool #2043 3.500% 9/01/25 (h)		100,000		100,258
Pool #27350 5.000% 6/01/36 (h)		400,000		418,500
Pool #27350 5.000% 6/01/36 (h)		600,000		625,805
Pool #45577 5.500% 4/01/35 (h)		500,000		534,766
Pool #45577 5.500% 4/01/35 (h)		400,000		426,484
Pool #53246 6.000% 9/01/35 (h)		300,000		326,273

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

30

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

	Principal Amount		Value
Government National Mortgage Association
Pool #783050 5.000% 7/20/40	$	94,334	$	100,215
Pool #4772 5.000% 8/20/40		95,107		101,036
Pool #575499 6.000% 1/15/32		44,969		49,510
Pool #579631 6.000% 2/15/32		23,612		25,988
Pool #582351 6.500% 10/15/32		31,213		35,204
Government National Mortgage Association TBA
1.000% 5/20/61 (h)		190,000		189,417
Pool #8299 4.500% 7/01/39 (h)		100,000		103,180
Pool #1019 4.500% 1/01/40 (h)		700,000		721,055
Pool #1019 4.500% 1/01/40 (h)		900,000		924,047
Pool #1400 5.000% 3/01/39 (h)		300,000		318,328
Residual Funding Principal Strip 0.010% 10/15/19		180,000		133,194
				7,343,523
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $7,718,536)				7,780,160
U.S. TREASURY OBLIGATIONS — 5.9%
U.S. Treasury Bonds & Notes — 5.9%
U.S. Treasury Bond 4.375% 11/15/39		490,000		479,473
U.S. Treasury Bond 4.375% 5/15/40		70,000		68,452
U.S. Treasury Bond 4.750% 2/15/41		340,000		353,441
U.S. Treasury Inflation Index 2.125% 2/15/40		71,312		75,368
U.S. Treasury Inflation Index 2.375% 1/15/27		10,919		12,154
U.S. Treasury Inflation Index (i) 2.500% 1/15/29		348,694		394,787
U.S. Treasury Inflation Index 3.875% 4/15/29		13,394		17,919
U.S. Treasury Note 2.000% 1/31/16		20,000		19,856
U.S. Treasury Note 2.125% 2/29/16		630,000		628,080
U.S. Treasury Note 2.750% 2/28/18		160,000		158,800

	Principal Amount		Value
U.S. Treasury Note 2.875% 3/31/18	$	590,000	$	589,216
U.S. Treasury Note 3.500% 5/15/20		70,000		70,954
U.S. Treasury Note 3.625% 2/15/21		980,000		994,011
				3,862,511
TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,870,668)				3,862,511
TOTAL BONDS & NOTES (Cost $21,809,942)				20,029,430
	Units
PURCHASED OPTIONS — 0.0%
Options on Futures — 0.0%
Eurodollar Call, Expires 12/16/11, Strike 99.375		5		31
U.S. Treasury Note 10 Year Call, Expires 4/21/11, Strike 122.000		2		194
U.S. Treasury Note 10 Year Call, Expires 5/20/11, Strike 122.500		6		1,125
U.S. Treasury Note 30 Year Put, Expires 5/20/11, Strike 110.000		2		125
				1,475
TOTAL PURCHASED OPTIONS (Cost $3,111)				1,475
	Number of Shares
WARRANTS — 0.0%
Pipelines — 0.0%
SemGroup Corp., Expires 11/30/14, Strike 25.00 (a)		81		830
TOTAL WARRANTS (Cost $0)				830
TOTAL LONG-TERM INVESTMENTS (Cost $59,732,843)				64,397,260
	Principal Amount
SHORT-TERM INVESTMENTS — 9.6%
Discount Notes — 0.4%
Federal Home Loan Mortgage Corp. 0.010% 4/19/11	$	200,000		199,977

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

31

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

	Principal Amount		Value
Federal Home Loan Mortgage Corp. 0.010% 12/01/11	$	90,000	$	89,860
				289,837
Repurchase Agreement — 9.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (j)		6,005,747		6,005,747
TOTAL SHORT-TERM INVESTMENTS (Cost $6,295,584)				6,295,584
TOTAL INVESTMENTS — 107.7% (Cost $66,028,427) (k)				70,692,844
Other Assets/(Liabilities) — (7.7)%				(5,051,403	)
NET ASSETS — 100.0%			$	65,641,441

Notes to Portfolio of Investments

ABS Asset-Backed Security

ADR American Depositary Receipt

CMO Collateralized Mortgage Obligation

EUR Euro

FRN Floating Rate Note

GDR Global Depositary Receipt

MBS Mortgage-Backed Security

STEP Step Up Bond

TBA To Be Announced

VRN Variable Rate Note

WL Whole Loan

(a) Non-income producing security.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At March 31, 2011, these securities amounted to a value of $157,113 or 0.24% of net assets.

(c) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, these securities amounted to a value of $2,078,493 or 3.17% of net assets.

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

(e) Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At March 31, 2011, these securities amounted to a value of $260,355 or 0.40% of net assets.

(f) Restricted security. Certain securities are restricted as to resale. At March 31, 2011, these securities amounted to a value of $245,464 or 0.37% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(g) This security is valued in good faith under procedures established by the Board of Trustees.

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

(i) A portion of this security is held as collateral for open futures contracts and written options outstanding. (Note 2).

(j) Maturity value of $6,005,748. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 8/15/39, and an aggregate market value, including accrued interest, of $6,131,825.

(k) See Note 3 for aggregate cost for federal tax purposes.

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

32

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 63.6%
COMMON STOCK — 62.2%
Aerospace & Defense — 0.8%
The Boeing Co.		16,374	$	1,210,530
L-3 Communications Holdings, Inc.		800		62,648
Lockheed Martin Corp.		11,600		932,640
Northrop Grumman Corp.		8,490		532,408
Raytheon Co.		7,930		403,399
Spirit AeroSystems Holdings, Inc. Class A (a)		27,951		717,502
United Technologies Corp.		13,333		1,128,638
				4,987,765
Agriculture — 0.7%
Altria Group, Inc.		22,770		592,703
British American Tobacco Malaysia		13,600		215,632
British American Tobacco PLC		8,223		330,446
Chaoda Modern Agriculture Holdings Ltd.		822,339		512,974
Cresud SA Sponsored ADR (Argentina)		6,000		108,600
IOI Corp.		62,200		118,165
KT&G Corp.		8,005		416,388
Lorillard, Inc.		2,632		250,066
Philip Morris International, Inc.		14,245		934,899
SLC Agricola SA		40,600		570,462
				4,050,335
Airlines — 0.0%
Southwest Airlines Co.		3,600		45,468
Apparel — 0.0%
China Dongxiang Group Co.		373,548		117,996
Auto Manufacturers — 1.2%
Bayerische Motoren Werke AG		3,140		262,137
Daihatsu Motor Co. Ltd.		17,950		261,546
Daimler AG (a)		11,470		809,425
Dongfeng Motor Group Co. Ltd. Class H		101,500		173,849
Ford Motor Co. (a)		42,500		633,675
Fuji Heavy Industries Ltd.		90,030		580,140
General Motors Co. (a)		32,300		1,002,269
Guangzhou Automobile Group Co. Ltd.		244,283		298,367
Honda Motor Co. Ltd.		19,160		717,220
Suzuki Motor Corp.		55,237		1,234,499
Toyota Motor Corp.		14,310		572,399
Yulon Motor Co. Ltd.		157,000		290,067
				6,835,593
Automotive & Parts — 0.5%
Aisin Seiki Co. Ltd.		10,140		352,060
Autoliv, Inc.		800		59,384

	Number of Shares		Value
BorgWarner, Inc. (a)		3,600	$	286,884
Bridgestone Corp.		16,500		343,110
Cheng Shin Rubber Industry Co. Ltd.		84,750		196,592
Denso Corp.		11,570		383,905
Futaba Industrial Co. Ltd. (a)		21,910		121,989
Magna International, Inc. Class A		1,300		62,283
Mando Corp.		600		94,745
Sumitomo Electric Industries Ltd.		22,500		311,343
Toyota Industries Corp.		26,221		785,842
TRW Automotive Holdings Corp. (a)		1,300		71,604
				3,069,741
Banks — 3.7%
Banco do Brasil SA		5,200		94,117
Banco Macro SA Class B Sponsored ADR (Argentina)		2,200		88,066
Banco Santander Brasil SA		19,500		236,487
Banco Santander Chile Sponsored ADR (Chile)		2,700		234,225
Banco Santander SA		90,667		1,056,693
Bank of America Corp.		157,478		2,099,182
The Bank of Kyoto Ltd.		20,990		185,725
Bank of New York Mellon Corp.		42,469		1,268,549
BNP Paribas		10,140		742,015
Capital One Financial Corp.		3,500		181,860
DBS Group Holdings Ltd.		24,000		279,056
Deutsche Bank AG		7,020		412,786
DnB NOR ASA		26,970		413,832
HSBC Holdings PLC		126,376		1,299,558
HSBC Holdings PLC		30,000		314,817
Intesa Sanpaolo		133,290		394,661
Lloyds Banking Group PLC (a)		490,900		457,645
Mitsubishi UFJ Financial Group, Inc.		107,110		494,473
Northern Trust Corp.		6,649		337,437
Oversea-Chinese Banking Corp. Ltd.		100,900		767,350
Sberbank of Russian Federation		454,800		1,709,955
Siam Commercial Bank PCL		100		350
Siam Commercial Bank PCL		134,116		478,203
Societe Generale		4,020		261,391
Standard Chartered PLC		11,750		304,784
State Bank of India		11,380		703,828
State Street Corp.		12,818		576,041
Sumitomo Mitsui Financial Group, Inc.		12,130		377,112
SunTrust Banks, Inc.		6,300		181,692
Turkiye Garanti Bankasi AS		94,636		442,681
U.S. Bancorp		47,287		1,249,795
UniCredit SpA		313,480		775,282
United Overseas Bank Ltd.		13,300		198,347
Wells Fargo & Co.		93,231		2,955,423
				21,573,418

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

33

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Beverages — 0.6%
China Huiyuan Juice Group Ltd.		69,000	$	46,916
The Coca-Cola Co.		6,891		457,218
Coca-Cola Enterprises, Inc.		2,600		70,980
Constellation Brands, Inc. Class A (a)		4,999		101,380
Diageo PLC Sponsored ADR (United Kingdom)		16,604		1,265,557
Dr. Pepper Snapple Group, Inc.		4,700		174,652
Fomento Economico Mexicano SAB de CV Series B Sponsored ADR (Mexico)		3,300		193,710
Fraser and Neave Ltd.		110,900		529,178
Hokkaido Coca-Cola Bottling Co. Ltd.		2,700		13,297
Kirin Holdings Co. Ltd.		40,700		534,805
Mikuni Coca-Cola Bottling Co. Ltd.		5,100		45,189
Molson Coors Brewing Co. Class B		1,400		65,646
				3,498,528
Biotechnology — 0.4%
Amgen, Inc. (a)		11,218		599,602
Biogen Idec, Inc. (a)		1,000		73,390
Celgene Corp. (a)		5,300		304,909
CSL Ltd.		18,121		669,489
Life Technologies Corp. (a)		9,305		487,768
				2,135,158
Building Materials — 0.1%
Rinnai Corp.		4,700		311,902
Chemicals — 1.9%
Agrium, Inc.		429		39,580
Albemarle Corp.		1,200		71,724
BASF SE		12,940		1,121,930
Bayer AG Sponsored ADR (Germany)		400		31,088
China BlueChemical Ltd.		302,100		247,370
The Dow Chemical Co.		26,161		987,578
Eastman Chemical Co.		800		79,456
EI du Pont de Nemours & Co.		18,056		992,538
FMC Corp.		19,119		1,623,777
Formosa Chemicals & Fibre Corp.		47,000		178,075
Hitachi Chemical Co. Ltd.		16,900		343,567
JSR Corp.		4,000		79,134
Lanxess AG		3,260		243,859
The Lubrizol Corp.		700		93,772
LyondellBasell Industries NV Class A (a)		1,800		71,190
Nan Ya Plastics Corp.		59,000		173,792
Potash Corporation of Saskatchewan, Inc.		6,200		365,366
PPG Industries, Inc.		800		76,168
Praxair, Inc.		3,195		324,612
PTT Chemical PCL		151,492		739,895
Samsung Fine Chemicals Co. Ltd.		4,200		305,506
Shin-Etsu Chemical Co. Ltd.		22,788		1,132,825

	Number of Shares		Value
Sociedad Quimica y Minera de Chile SA Sponsored ADR (Chile)		5,000	$	276,300
Sumitomo Chemical Co. Ltd.		251,870		1,256,625
Ube Industries Ltd.		131,400		418,622
Uralkali GDR (Russia) (b)		1,100		45,617
				11,319,966
Coal — 0.7%
Alliance Resource Partners LP		4,360		355,035
Bumi Resources Tbk PT		1,611,600		618,764
China Shenhua Energy Co. Ltd.		73,138		344,399
CONSOL Energy, Inc.		42,820		2,296,437
Kuzbassrazrezugol (a)		632,300		252,920
Mongolian Mining Corp. (a)		149,400		190,629
				4,058,184
Commercial Services — 0.3%
Donnelley (R.R.) & Sons Co.		2,049		38,767
Jiangsu Expressway Co. Ltd.		75,400		85,143
McKesson Corp.		8,822		697,379
PLUS Expressways		334,481		494,556
Visa, Inc. Class A		5,600		412,272
Western Union Co.		3,300		68,541
Xiamen International Port Co. Ltd.		470,700		96,072
				1,892,730
Computers — 2.9%
Accenture PLC Class A		1,349		74,154
Apple, Inc. (a)		17,587		6,128,190
Asustek Computer		13,700		118,447
Cognizant Technology Solutions Corp. Class A (a)		2,700		219,780
Compal Electronics, Inc.		66,282		65,769
Computer Sciences Corp.		2,330		113,541
Dell, Inc. (a)		46,432		673,728
EMC Corp. (a)		30,100		799,155
Hewlett-Packard Co.		44,468		1,821,854
HTC Corp.		36,100		1,412,644
International Business Machines Corp.		25,648		4,182,419
Lexmark International, Inc. Class A (a)		4,275		158,346
Research In Motion Ltd. (a)		1,100		62,227
SanDisk Corp. (a)		11,315		521,508
Seagate Technology (a)		2,200		31,680
TDK Corp.		5,180		306,080
Teradata Corp. (a)		2,078		105,355
Western Digital Corp. (a)		3,379		126,003
				16,920,880

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

34

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Cosmetics & Personal Care — 0.5%
Beiersdorf AG		1,170	$	71,420
Colgate-Palmolive Co.		11,023		890,218
The Procter & Gamble Co.		31,114		1,916,622
				2,878,260
Distribution & Wholesale — 0.7%
Adani Enterprises Ltd.		40,700		607,235
Marubeni Corp.		40,400		290,930
Mitsubishi Corp.		64,520		1,791,016
Mitsui & Co. Ltd.		75,452		1,352,476
				4,041,657
Diversified Financial — 1.7%
Ameriprise Financial, Inc.		1,200		73,296
Citigroup, Inc. (a)		468,271		2,069,758
Credit Suisse Group		9,460		402,005
The Goldman Sachs Group, Inc.		9,307		1,474,880
Guinness Peat Group (a)		451,870		272,954
Housing Development Finance Corp. Ltd.		64,370		1,005,276
JP Morgan Chase & Co.		69,962		3,225,248
Morgan Stanley		29,089		794,711
RHJ International (a) (c)		11,800		95,321
UBS AG (a)		26,100		468,490
				9,881,939
Electric — 2.0%
Adani Power Ltd. (a)		183,000		463,806
The AES Corp. (a)		26,473		344,149
American Electric Power Co., Inc.		12,394		435,525
CEZ AS		8,300		424,104
Cia Energetica de Minas Gerais Sponsored ADR (Brazil)		9,020		173,815
CMS Energy Corp.		14,506		284,898
Dominion Resources, Inc.		5,100		227,970
E-CL SA		117,500		299,869
Edison International		1,700		62,203
Enel SpA		90,500		570,426
Entergy Corp.		6,167		414,484
Exelon Corp.		9,006		371,407
Federal Hydrogeneration (a)		5,397		272
Fortum OYJ (a)		25,720		874,752
International Power PLC		127,400		629,433
National Grid PLC		109,300		1,044,019
NextEra Energy, Inc.		15,921		877,566
NRG Energy, Inc. (a)		6,100		131,394
Pampa Energia SA Sponsored ADR (Argentina)		7,200		102,024
PG&E Corp.		6,819		301,263
Power Grid Corp. of India Ltd.		14,537		32,897
PPL Corp.		22,965		581,015
RusHydro (a)		837,700		41,885
RusHydro (a)		1,425		7,253

	Number of Shares		Value
RusHydro Sponsored ADR (Russia) (a)		222,700	$	1,133,543
Scottish & Southern Energy PLC		32,500		657,441
The Southern Co.		15,475		589,752
Tenaga Nasional		18,375		37,896
Wisconsin Energy Corp.		5,130		156,465
YTL Power International Bhd		853,705		648,493
				11,920,019
Electrical Components & Equipment — 0.3%
Bharat Heavy Electricals Ltd.		20,990		968,191
Delta Electronics, Inc.		156,000		618,216
Energizer Holdings, Inc. (a)		600		42,696
Hitachi Ltd.		47,700		245,988
				1,875,091
Electronics — 1.0%
Agilent Technologies, Inc. (a)		13,700		613,486
Arrow Electronics, Inc. (a)		1,700		71,196
Fanuc Ltd.		2,450		368,288
Garmin Ltd.		1,400		47,404
Hana Microelectronics PCL		127,299		101,014
Hon Hai Precision Industry Co. Ltd.		71,280		249,800
Hoya Corp.		28,920		659,896
Koninklijke Philips Electronics NV (a)		25,890		826,938
Koninklijke Philips Electronics NV Sponsored ADR (Netherlands) (a)		2,000		64,340
LG Display Co. Ltd.		5,600		175,326
Mettler-Toledo, Inc. (a)		2,083		358,276
Murata Manufacturing Co. Ltd.		8,170		588,342
NGK Insulators Ltd.		19,700		352,175
Nippon Electric Glass Co. Ltd.		21,190		300,094
PerkinElmer, Inc.		9,100		239,057
TE Connectivity Ltd.		4,300		149,726
Waters Corp. (a)		5,743		499,067
				5,664,425
Engineering & Construction — 0.5%
JGC Corp.		29,530		686,451
KBR, Inc.		14,285		539,544
Kinden Corp.		22,440		204,221
Larsen & Toubro Ltd.		8,200		304,596
McDermott International, Inc. (a)		30,303		769,393
Okumura Corp.		78,230		327,520
Toda Corp.		74,200		291,446
				3,123,171
Entertainment — 0.1%
International Game Technology		21,432		347,841
Paradise Co. Ltd.		23,600		118,328
Toho Co. Ltd.		15,450		221,590
				687,759

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

35

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Foods — 1.2%
BIM Birlesik Magazalar AS		10,500	$	353,229
ConAgra Foods, Inc.		6,800		161,500
Cosan Ltd. Class A		39,200		505,680
General Mills, Inc.		21,000		767,550
H.J. Heinz Co.		4,882		238,339
Kraft Foods, Inc. Class A		37,394		1,172,676
Nestle SA		29,257		1,678,759
Safeway, Inc.		1,496		35,216
Sara Lee Corp.		54,747		967,380
Unilever NV		11,950		375,225
Unilever NV NY Shares		4,500		141,120
Unilever PLC		7,900		240,929
Unilever PLC Sponsored ADR (United Kingdom)		5,000		153,100
				6,790,703
Forest Products & Paper — 0.2%
International Paper Co.		6,526		196,955
MeadWestvaco Corp.		2,400		72,792
Sino-Forest Corp. (a)		31,340		817,846
				1,087,593
Gas — 0.7%
Beijing Enterprises Holdings Ltd.		223,822		1,282,310
China Resources Gas Group Ltd.		132,000		180,431
Gaz De France		38,400		1,566,807
Sempra Energy		3,200		171,200
Tokyo Gas Co. Ltd.		136,988		621,444
				3,822,192
Health Care – Products — 1.2%
Becton, Dickinson & Co.		900		71,658
Cie Generale d’Optique Essilor International SA		14,217		1,056,441
Covidien PLC		7,349		381,707
Hologic, Inc. (a)		48,697		1,081,073
Johnson & Johnson		54,240		3,213,720
Medtronic, Inc.		29,500		1,160,825
Mindray Medical International Ltd. ADR (Cayman Islands) (a)		2,900		73,080
Stryker Corp.		600		36,480
Terumo Corp.		4,440		234,063
				7,309,047
Health Care – Services — 1.1%
Aetna, Inc.		28,238		1,056,948
CIGNA Corp.		11,005		487,302
DaVita, Inc. (a)		7,000		598,570
HealthSouth Corp. (a)		13,434		335,581
Humana, Inc. (a)		10,122		707,933
Life Healthcare Group Holdings Ltd.		100,600		236,211
Raffles Medical Group Ltd.		97,100		172,387
Thermo Fisher Scientific, Inc. (a)		11,445		635,770
UnitedHealth Group, Inc.		17,900		809,080

	Number of Shares		Value
WellPoint, Inc.		19,655	$	1,371,723
				6,411,505
Holding Company – Diversified — 0.7%
Hutchison Whampoa Ltd.		49,600		586,117
Keppel Corp. Ltd.		85,920		839,056
Leucadia National Corp.		2,000		75,080
LG Corp.		3,200		238,305
LVMH Moet Hennessy Louis Vuitton SA		5,480		867,304
Noble Group Ltd.		84,954		143,939
Tianjin Development Holdings (a)		951,403		815,881
Wharf Holdings Ltd.		73,610		509,562
				4,075,244
Home Builders — 0.3%
Daiwa House Industry Co. Ltd.		21,880		267,234
MRV Engenharia e Participacoes SA		59,000		471,957
Pulte Group, Inc. (a)		38,100		281,940
Sekisui House Ltd.		62,490		581,719
				1,602,850
Household Products — 0.3%
Hypermarcas SA (a)		123,400		1,632,585
Kimberly-Clark Corp.		500		32,635
				1,665,220
Insurance — 2.5%
ACE Ltd.		21,836		1,412,789
AIA Group Ltd. (a)		69,800		215,204
Allianz SE		2,810		394,268
Allstate Corp.		5,923		188,233
Amlin PLC		17,900		109,614
Arch Capital Group Ltd. (a)		3,567		353,811
Assicurazioni Generali SpA		11,620		251,691
Axis Capital Holdings Ltd.		1,878		65,580
China Life Insurance Co. Ltd.		80,000		299,686
China Life Insurance Co. Ltd. Sponsored ADR (China)		5,599		313,824
China Pacific Insurance Group Co. Ltd.		13,300		55,716
The Chubb Corp.		9,800		600,838
CNA Financial Corp.		1,600		47,280
Endurance Specialty Holdings Ltd.		10,396		507,533
Fidelity National Financial, Inc. Class A		43,302		611,857
ING Groep NV (a)		18,910		240,010
Lincoln National Corp.		1,700		51,068
MetLife, Inc.		5,088		227,586
Millea Holdings, Inc.		55,275		1,477,898
Mitsui Sumitomo Insurance Group Holdings, Inc.		36,866		839,435
Muenchener Rueckversicherungs AG		1,230		193,420
NKSJ Holdings, Inc.		99,690		640,851
PartnerRe Ltd.		2,057		162,997

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

36

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Ping An Insurance Group Co. of China Ltd.		23,581	$	238,700
Platinum Underwriters Holdings Ltd.		4,371		166,491
Powszechny Zaklad Ubezpieczen SA		1,200		150,383
Principal Financial Group, Inc.		5,444		174,807
The Progressive Corp.		12,769		269,809
Prudential PLC		8,800		99,780
RenaissanceRe Holdings Ltd.		4,394		303,142
Sony Financial Holdings, Inc.		9,800		192,505
Torchmark Corp.		1,100		73,128
Transatlantic Holdings, Inc.		2,567		124,936
The Travelers Cos., Inc.		20,085		1,194,656
Unum Group		1,531		40,189
Validus Holdings Ltd.		6,584		219,445
Xl Group PLC		62,742		1,543,453
Zurich Financial Services AG		1,719		481,282
				14,533,895
Internet — 0.6%
Check Point Software Technologies Ltd. (a)		1,600		81,680
eBay, Inc. (a)		13,247		411,187
Expedia, Inc.		1,796		40,697
Google, Inc. Class A (a)		3,590		2,104,494
Symantec Corp. (a)		35,418		656,650
VeriSign, Inc.		2,100		76,041
				3,370,749
Investment Companies — 0.1%
Cheung Kong Infrastructure Holdings Ltd.		52,900		250,437
RHJ International (a)		52,900		427,028
				677,465
Iron & Steel — 0.2%
Magnitogorsk Iron & Steel Works GDR (Russia) (b)		17,900		261,877
Magnitogorsk Iron & Steel Works Sponsored GDR (Russia) (b)		23,100		338,069
POSCO		800		367,116
POSCO ADR (Republic of Korea)		3,600		411,444
Shougang Concord International Enterprises Co. Ltd. (a)		542,200		73,736
				1,452,242
Lodging — 0.0%
Wyndham Worldwide Corp.		1,600		50,896
Machinery – Construction & Mining — 0.1%
Ingersoll-Rand PLC		1,000		48,310
Komatsu Ltd.		12,900		435,311
Tadano Ltd.		5,900		37,664
				521,285
Machinery – Diversified — 0.2%
CNH Global NV (a)		1,300		63,115

	Number of Shares		Value
Eaton Corp.		1,300	$	72,072
Kubota Corp.		92,220		860,520
				995,707
Manufacturing — 1.1%
3M Co.		9,265		866,277
Cheil Industries, Inc.		2,800		296,905
General Electric Co.		192,073		3,851,064
Pall Corp.		2,600		149,786
Parker Hannifin Corp.		800		75,744
Siemens AG		8,770		1,201,343
Tyco International Ltd.		4,200		188,034
				6,629,153
Media — 1.1%
Charter Communications, Inc. Class A (a)		1,900		96,197
Comcast Corp. Class A		69,406		1,715,716
DISH Network Corp. Class A (a)		7,515		183,065
Kabel Deutschland Holding AG (a)		9,440		500,589
Liberty Global, Inc. Class A (a)		1,800		74,538
The McGraw-Hill Cos., Inc.		1,900		74,860
News Corp. Class A		26,700		468,852
Rogers Communications, Inc. Class B		11,700		425,880
Singapore Press Holdings Ltd.		59,090		184,794
Time Warner Cable, Inc.		3,504		249,975
Time Warner, Inc.		7,028		250,900
Viacom, Inc. Class B		17,396		809,262
Vivendi		28,160		803,742
The Walt Disney Co.		14,800		637,732
				6,476,102
Metal Fabricate & Hardware — 0.1%
Catcher Technology Co. Ltd.		29,000		143,584
Precision Castparts Corp.		3,885		571,794
Tenaris SA Sponsored ADR (Luxembourg)		1,465		72,459
				787,837
Mining — 4.1%
Alamos Gold, Inc.		33,450		529,266
Alcoa, Inc.		32,900		580,685
Anglo American PLC		16,200		832,951
Anglo Platinum Ltd.		1,004		103,276
AngloGold Ashanti Ltd. Sponsored ADR (South Africa)		2,600		124,670
Antofagasta PLC		40,100		874,527
Barrick Gold Corp.		42,750		2,219,153
BHP Billiton Ltd.		57,418		2,751,906
Eldorado Gold Corp.		72,287		1,178,811
Freeport-McMoRan Copper & Gold, Inc.		15,886		882,467
Goldcorp, Inc.		43,015		2,142,147
Harmony Gold Mining Co. Ltd. Sponsored ADR (South Africa)		49,700		739,039

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

37

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
IAMGOLD Corp.		51,992	$	1,144,864
IAMGOLD Corp.		23,633		520,925
Impala Platinum Holdings Ltd.		3,600		103,899
Katanga Mining Ltd. (a)		67,840		121,055
Kinross Gold Corp.		23,053		363,085
Kinross Gold Corp.		82,944		1,307,256
MMC Norilsk Nickel Sponsored ADR (Russia)		14,600		385,553
Newcrest Mining Ltd.		43,130		1,781,978
Newmont Mining Corp.		29,890		1,631,396
Petropavlovsk PLC		6,600		105,558
Polyus Gold Co. Sponsored ADR (Russia)		34,300		1,203,812
Rio Tinto Ltd.		16,422		1,437,048
Silver Wheaton Corp.		26,200		1,136,032
Teck Resources Ltd. Class B		1,240		65,745
				24,267,104
Office Equipment/Supplies — 0.3%
Canon, Inc.		20,655		898,907
Pitney Bowes, Inc.		1,383		35,529
Xerox Corp.		63,667		678,054
				1,612,490
Oil & Gas — 8.0%
Anadarko Petroleum Corp.		11,240		920,781
Apache Corp.		10,800		1,413,936
BG Group PLC		83,000		2,061,902
BP PLC		104,698		762,522
BP PLC Sponsored ADR (United Kingdom)		21,500		949,010
Canadian Natural Resources Ltd.		16,500		815,595
Cenovus Energy, Inc.		500		19,690
Chevron Corp.		39,163		4,207,281
Cimarex Energy Co.		800		92,192
ConocoPhillips		29,931		2,390,290
Daylight Energy Ltd.		56,420		658,185
Devon Energy Corp.		14,301		1,312,403
Eni SpA		30,420		746,734
ENSCO PLC ADR (United Kingdom)		900		52,056
EOG Resources, Inc.		8,300		983,633
Exxon Mobil Corp.		86,434		7,271,692
Gazprom OAO Sponsored ADR (Russia)		26,200		849,120
Hess Corp.		10,122		862,496
Inpex Corp.		167		1,256,283
KazMunaiGas Exploration Production GDR (Kazakhstan) (b)		200		4,503
KazMunaiGas Exploration Production GDR (Kazakhstan) (b)		40,100		902,250
Marathon Oil Corp.		18,881		1,006,546
Noble Corp.		1,500		68,430
Occidental Petroleum Corp.		22,938		2,396,792

	Number of Shares		Value
OGX Petroleo e Gas Participacoes SA (a)		24,600	$	296,077
Petroleo Brasileiro SA Sponsored ADR (Brazil)		134,027		4,763,320
Pride International, Inc. (a)		900		38,655
PTT PCL		38,749		451,843
PTT Public Co. Ltd.		100		1,170
Quicksilver Resources, Inc. (a)		46,700		668,277
Reliance Industries Ltd.		32,020		752,781
Repsol YPF SA		14,800		507,863
Rosneft Oil Co. GDR (Russia) (b)		81,200		741,762
Royal Dutch Shell PLC ADR (United Kingdom)		8,624		628,345
Sasol Ltd.		1,800		104,251
SM Energy Co.		14,084		1,044,892
Statoil ASA		19,570		543,125
Suncor Energy, Inc.		9,305		417,309
Talisman Energy, Inc.		7,600		187,903
Total SA		18,061		1,099,492
Total SA Sponsored ADR (France)		17,100		1,042,587
Tupras Turkiye Petrol Rafine		13,000		381,481
Valero Energy Corp.		18,835		561,660
Whiting Petroleum Corp. (a)		4,900		359,905
Woodside Petroleum Ltd.		6,500		314,342
				46,911,362
Oil & Gas Services — 1.3%
Complete Production Services, Inc. (a)		12,025		382,515
Global Industries Ltd. (a)		55,443		542,787
Halliburton Co.		25,000		1,246,000
National Oilwell Varco, Inc.		18,100		1,434,787
Oceaneering International, Inc. (a)		800		71,560
Schlumberger Ltd.		27,005		2,518,486
Technip SA		1,670		178,387
Transocean Ltd. (a)		7,800		608,010
Weatherford International Ltd. (a)		21,645		489,177
				7,471,709
Packaging & Containers — 0.1%
Ball Corp.		2,000		71,700
Crown Holdings, Inc. (a)		7,500		289,350
				361,050
Pharmaceuticals — 3.5%
Abbott Laboratories		23,550		1,155,128
Allergan, Inc.		3,100		220,162
AmerisourceBergen Corp.		11,702		462,931
Astellas Pharma, Inc.		7,270		268,072
AstraZeneca PLC Sponsored ADR (United Kingdom)		1,200		55,344
Bayer AG		8,780		679,885
Bristol-Myers Squibb Co.		126,824		3,351,958
Cardinal Health, Inc.		1,677		68,975

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

38

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Cephalon, Inc. (a)		7,800	$	591,084
Dainippon Sumitomo Pharma Co. Ltd.		1,000		9,317
Eli Lilly & Co.		11,100		390,387
Endo Pharmaceuticals Holdings, Inc. (a)		2,318		88,455
Forest Laboratories, Inc. (a)		3,355		108,367
Gilead Sciences, Inc. (a)		16,182		686,764
GlaxoSmithKline PLC ADR (United Kingdom)		1,900		72,979
Kyowa Hakko Kirin Co. Ltd.		31,610		296,415
Mead Johnson Nutrition Co. Class A		16,032		928,734
Medco Health Solutions, Inc. (a)		14,835		833,134
Merck & Co., Inc.		59,396		1,960,662
Mitsubishi Tanabe Pharma Corp.		15,100		245,071
Mylan, Inc. (a)		32,130		728,387
Novartis AG		14,070		762,836
Perrigo Co.		6,300		500,976
Pfizer, Inc.		150,368		3,053,974
PharMerica Corp. (a)		200		2,288
Roche Holding AG		4,220		602,791
Sanofi-Aventis		11,220		788,000
Sanofi-Aventis ADR (France)		1,700		59,874
Shionogi & Co. Ltd.		17,160		292,739
Shire PLC Sponsored ADR (United Kingdom)		400		34,840
Sinopharm Group Co.		72,900		259,453
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		22,285		1,118,038
				20,678,020
Pipelines — 0.4%
China Gas Holdings Ltd.		70,200		34,616
El Paso Corp.		138,946		2,501,028
The Williams Cos., Inc.		2,000		62,360
				2,598,004
Real Estate — 0.8%
AFI Development PLC GDR (Cyprus) (a) (b)		37,000		90,990
AFI Development PLC, Class B		37,000		38,133
Capitaland Ltd.		92,200		241,610
Cheung Kong Holdings		28,300		460,938
Cyrela Brazil Realty SA		50,300		476,920
Global Logistic Properties Ltd. (a)		46,900		69,632
IRSA Inversiones y Representaciones SA Sponsored ADR (Argentina)		6,900		95,634
LSR Group GDR (Russia) (c)		79,800		654,360
Mitsui Fudosan Co. Ltd.		12,900		209,441
NTT Urban Development Corp.		100		83,794
The St. Joe Co. (a)		81,400		2,040,698
				4,462,150

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 0.3%
Japan Real Estate Investment Corp.		9	$	84,664
Japan Retail Fund Investment Corp.		20		31,306
The Link REIT		290,633		912,167
Nippon Building Fund, Inc.		12		116,401
Parkway Life REIT		2,200		2,987
Simon Property Group, Inc.		3,200		342,912
				1,490,437
Retail — 0.8%
Advance Auto Parts, Inc.		1,077		70,673
Coach, Inc.		1,300		67,652
CVS Caremark Corp.		23,312		800,068
Darden Restaurants, Inc.		800		39,304
Limited Brands, Inc.		2,442		80,293
Macy’s, Inc.		2,000		48,520
McDonald’s Corp.		7,654		582,393
Polo Ralph Lauren Corp.		600		74,190
Ports Design Ltd.		1,200		2,771
Ross Stores, Inc.		700		49,784
Seven & I Holdings Co. Ltd.		18,414		469,758
Wal-Mart Stores, Inc.		33,752		1,756,792
Yamada Denki Co. Ltd.		3,200		213,071
Zhongsheng Group Holdings Ltd. (a)		173,500		323,598
				4,578,867
Semiconductors — 1.2%
Advanced Micro Devices, Inc. (a)		62,000		533,200
Altera Corp.		1,900		83,638
Analog Devices, Inc.		1,800		70,884
ASM International NV (a)		3,572		141,416
Broadcom Corp. Class A		5,232		206,036
Infineon Technologies AG		31,580		323,721
Intel Corp.		62,728		1,265,224
KLA-Tencor Corp.		1,500		71,055
Lam Research Corp. (a)		1,300		73,658
Marvell Technology Group Ltd. (a)		18,200		283,010
MediaTek, Inc.		24,027		275,999
Micron Technology, Inc. (a)		5,100		58,446
National Semiconductor Corp.		2,224		31,892
Rohm Co. Ltd.		5,860		363,867
Samsung Electronics Co. Ltd.		1,500		1,272,570
Taiwan Semiconductor Manufacturing Co. Ltd.		328,000		786,431
Texas Instruments, Inc.		28,734		993,047
				6,834,094
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc. (a)		1,415		58,723
SembCorp Marine Ltd.		57,230		265,359
				324,082
Software — 1.6%
Activision Blizzard, Inc.		52,700		578,119
Adobe Systems, Inc. (a)		5,800		192,328

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

39

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Autodesk, Inc. (a)		1,700	$	74,987
BMC Software, Inc. (a)		1,700		84,558
CA, Inc.		45,049		1,089,285
Electronic Arts, Inc. (a)		24,713		482,645
Fidelity National Information Services, Inc.		1,396		45,635
Intuit, Inc. (a)		1,500		79,650
Microsoft Corp. (d)		189,971		4,817,665
Oracle Corp.		59,741		1,993,557
				9,438,429
Telecommunications — 5.9%
Amdocs Ltd. (a)		2,357		67,999
America Movil SAB de C.V. Sponsored ADR (Mexico)		13,900		807,590
American Tower Corp. Class A (a)		11,329		587,069
AT&T, Inc. (d)		114,134		3,492,500
Axiata Group (a)		173,500		274,110
BCE, Inc.		1,500		54,510
BT Group PLC		224,400		670,290
CenturyTel, Inc.		7,059		293,302
China Mobile Ltd.		154,200		1,424,540
China Telecom Corp. Ltd. Class H		370,300		226,430
China Unicom Ltd.		144,400		240,131
Chunghwa Telecom Co. Ltd.		115,708		360,445
Chunghwa Telecom Co. Ltd. Sponsored ADR (Taiwan)		22,704		707,457
Cisco Systems, Inc.		112,862		1,935,583
Comverse Technology, Inc. (a)		30,567		229,558
Corning, Inc.		74,808		1,543,289
Deutsche Telekom AG Sponsored ADR (Germany)		3,000		46,260
Far EasTone Telecommunications Co. Ltd.		190,000		284,361
France Telecom SA		18,487		414,700
General Communication, Inc. Class A (a)		3,000		32,820
Harris Corp.		1,200		59,520
KDDI Corp.		171		1,049,496
Koninklijke KPN NV		28,954		493,745
KT Corp.		2,000		70,893
KT Corp. Sponsored ADR (Republic of Korea) (a)		27,660		540,200
MetroPCS Communications, Inc. (a)		13,400		217,616
Millicom International Cellular SA		1,600		153,872
MobileOne Ltd.		126,200		241,360
Motorola Solutions, Inc. (a)		7,757		346,660
NII Holdings, Inc. (a)		1,300		54,171
Nippon Telegraph & Telephone Corp.		14,670		658,123
Nokia OYJ Sponsored ADR (Finland)		3,800		32,338
NTT DoCoMo, Inc.		1,110		1,931,831
Philippine Long Distance Telephone Co. Sponsored ADR (Philippines)		4,200		224,700

	Number of Shares		Value
Polycom, Inc. (a)		12,925	$	670,161
QUALCOMM, Inc.		47,345		2,595,926
Qwest Communications International, Inc.		108,535		741,294
Rogers Communications, Inc. Class B		1,700		61,793
Singapore Telecommunications Ltd.		268,528		643,689
SK Telecom Co. Ltd.		3,230		481,430
Swisscom AG		820		365,608
Telecom Argentina SA Sponsored ADR (Argentina)		2,200		54,560
Telecom Egypt		127,924		373,466
Telecom Italia SpA		155,180		238,961
Telefonica SA		46,160		1,155,695
Telefonica SA Sponsored ADR (Spain)		7,700		194,194
Telekom Austria AG		10,240		149,914
Telekom Malaysia		131,400		175,344
Telekomunikasi Indonesia Tbk PT		193,300		162,761
Telenor ASA		11,570		190,406
Telstra Corp. Ltd.		91,016		265,313
TELUS Corp.		4,300		219,857
Turk Telekomunikasyon AS		70,120		352,598
Turkcell Iletisim Hizmetleri AS		31,754		189,399
Verizon Communications, Inc.		57,109		2,200,981
VimpelCom Ltd. Sponsored ADR (Bermuda)		32,500		458,900
Vivo Participacoes SA Sponsored ADR (Brazil)		33,200		1,340,616
Vodafone Group PLC		322,100		911,998
Vodafone Group PLC Sponsored ADR (United Kingdon)		23,800		684,250
Windstream Corp.		6,216		80,000
				34,726,583
Textiles — 0.1%
Kuraray Co. Ltd.		27,910		359,696
Toys, Games & Hobbies — 0.1%
Mattel, Inc.		17,827		444,427
Nintendo Co. Ltd.		930		251,228
				695,655
Transportation — 1.2%
All America Latina Logistica SA		26,000		213,395
Asciano Group		67,000		120,512
Canadian Pacific Railway Ltd.		7,702		495,547
Canadian Pacific Railway Ltd.		8,062		518,230
China South Locomotive and Rolling Stock Corp.		111,900		114,672
Container Corp. of India Ltd.		3,660		98,054
East Japan Railway		21,513		1,182,153
Guangshen Railway Co. Ltd.		450,400		171,880
Mitsui O.S.K. Lines Ltd.		38,050		219,115
Novorossiysk Commercial Sea Port GDR (Russia) (b)		45,979		463,928

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

40

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Ryder System, Inc.		900	$	45,540
Tianjin Port Development Holdings Ltd.		1,485,500		360,317
Union Pacific Corp.		23,102		2,271,620
Viterra, Inc.		12,900		156,476
West Japan Railway Co.		110		420,949
				6,852,388
Water — 0.1%
American Water Works Co., Inc.		11,477		321,930
TOTAL COMMON STOCK (Cost $318,405,925)				363,133,720
CONVERTIBLE PREFERRED STOCK — 0.1%
Agriculture — 0.0%
Bunge Ltd. 4.875%		1,100		115,390
Insurance — 0.0%
XL Group PLC 10.750%		3,400		114,376
Savings & Loans — 0.1%
Omnicare Capital Trust II 4.000%		4,900		219,961
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $355,237)				449,727
PREFERRED STOCK — 1.3%
Auto Manufacturers — 0.3%
General Motors Co. 4.750%		17,600		848,320
Volkswagen AG (a)		6,818		1,108,340
				1,956,660
Banks — 0.2%
HSBC Holdings PLC 8.000%		15,000		409,200
Itau Unibanco Holding SA 2.730%		22,600		538,474
UBS AG 9.375%		15,100		416,307
				1,363,981
Diversified Financial — 0.1%
Citigroup Capital XIII 7.875%		10,733		294,084
Foods — 0.2%
Cia Brasileira de Distribuicao Grupo Pao de Acucar Class A 0.980%		24,814		1,020,130

	Number of Shares		Value
Iron & Steel — 0.0%
Usinas Siderurgicas de Minas Gerais SA Class A 2.720%		11,600	$	140,324
Mining — 0.2%
Vale SA Class A 2.550%		38,000		1,103,004
Oil & Gas — 0.1%
SandRidge Energy, Inc. (c) 7.000%		2,500		464,063
Real Estate Investment Trusts (REITS) — 0.1%
Health Care REIT, Inc. 6.500%		7,500		390,750
Savings & Loans — 0.1%
GMAC Capital Trust I VRN 8.125%		30,000		765,000
TOTAL PREFERRED STOCK (Cost $6,576,472)				7,497,996
TOTAL EQUITIES (Cost $325,337,634)				371,081,443
	Principal Amount
BONDS & NOTES — 25.7%
CORPORATE DEBT — 10.1%
Agriculture — 0.1%
Wilmar International Ltd., Convertible 0.000% 12/18/12	$	400,000		515,000
Auto Manufacturers — 0.0%
Hyundai Motor Manufacturing Czech (c) 4.500% 4/15/15		153,000		156,785
Banks — 1.1%
BBVA Bancomer SA/Texas (c) 6.500% 3/10/21		536,000		529,655
BBVA Bancomer SA/Texas (c) 7.250% 4/22/20		279,000		281,670
Export-Import Bank of Korea 4.125% 9/09/15		1,000,000		1,026,194
Hana Bank (c) 4.500% 10/30/15		137,000		141,095
Korea Development Bank 4.375% 8/10/15		519,000		538,823
Kreditanstalt fuer Wiederaufbau, Convertible EUR (e) 3.250% 6/27/13		900,000		1,324,968
Lloyds TSB Bank PLC STEP GBP (e) 13.000% 12/31/29		465,000		954,819

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

41

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
The Mie Bank Ltd., Convertible JPY (e) 1.000% 10/31/11	$	5,000,000	$	59,960
Swedish Export Credit TRY (e) 10.500% 9/29/15		410,600		273,822
UBS AG/Stamford CT 4.875% 8/04/20		1,339,000		1,350,100
				6,481,106
Beverages — 0.0%
Cott Beverages, Inc. 8.125% 9/01/18		76,000		81,130
Biotechnology — 0.3%
Amylin Pharmaceuticals, Inc., Convertible 3.000% 6/15/14		579,000		497,940
Gilead Sciences, Inc., Convertible 0.500% 5/01/11		187,000		203,830
Gilead Sciences, Inc., Convertible 0.625% 5/01/13		671,000		817,781
Gilead Sciences, Inc., Convertible (c) 1.625% 5/01/16		153,000		177,098
				1,696,649
Building Materials — 0.1%
Building Materials Corp. of America (c) 6.875% 8/15/18		114,000		116,565
Interline Brands, Inc. 7.000% 11/15/18		33,000		33,825
Texas Industries, Inc. 9.250% 8/15/20		303,000		327,240
				477,630
Chemicals — 0.1%
CF Industries, Inc. 7.125% 5/01/20		264,000		299,640
Phibro Animal Health Corp. (c) 9.250% 7/01/18		54,000		57,645
				357,285
Coal — 0.2%
Bumi Investment Pte Ltd. (c) 10.750% 10/06/17		251,000		283,329
Consol Energy, Inc. 8.000% 4/01/17		775,000		848,625
				1,131,954
Commercial Services — 0.0%
Hertz Corp. (c) 7.500% 10/15/18		85,000		87,975
Computers — 0.3%
SanDisk Corp., Convertible 1.000% 5/15/13		1,126,000		1,104,887
SunGard Data Systems, Inc. (c) 7.375% 11/15/18		202,000		206,545

	Principal Amount		Value
Telvent GIT SA, Convertible (c) 5.500% 4/15/15	$	352,000	$	409,200
				1,720,632
Cosmetics & Personal Care — 0.0%
Alberto-Culver Co. 5.150% 6/01/20		90,000		92,979
Diversified Financial — 0.6%
Ally Financial, Inc. 4.500% 2/11/14		947,000		947,000
Ford Motor Credit Co. LLC 5.750% 2/01/21		762,000		752,474
Ford Motor Credit Co. LLC 6.625% 8/15/17		116,000		123,801
Ford Motor Credit Co. LLC 7.000% 4/15/15		100,000		108,243
Ford Motor Credit Co. LLC 8.000% 12/15/16		200,000		227,036
HSBC Finance Corp. (c) 6.676% 1/15/21		110,000		114,178
Hyundai Capital Services, Inc. (c) 4.375% 7/27/16		200,000		201,063
Pinafore LLC/Pinafore, Inc. (c) 9.000% 10/01/18		75,000		81,375
TNK-BP Finance SA (c) 6.625% 3/20/17		486,000		520,020
TNK-BP Finance SA (c) 7.500% 7/18/16		200,000		224,000
				3,299,190
Electric — 0.2%
Calpine Corp. (c) 7.500% 2/15/21		80,000		82,800
Calpine Corp. (c) 7.875% 7/31/20		184,000		195,500
Empresa Distribuidora Y Comercializadora Norte (c) 9.750% 10/25/22		80,000		82,400
Korea Electric Power Corp. STEP 0.000% 4/01/16		409,000		283,778
Korea Electric Power Corp. (b) 5.125% 4/23/34		508,000		537,808
NRG Energy, Inc. (c) 8.250% 9/01/20		109,000		113,360
				1,295,646
Electrical Components & Equipment — 0.2%
Suzlon Energy Ltd., Convertible 0.000% 6/12/12		325,000		369,687
Suzlon Energy Ltd., Convertible 0.000% 10/11/12		498,000		541,575
Suzlon Energy Ltd., Convertible (Acquired 12/02/09, Cost $427,800) (f) 0.000% 7/25/14		465,000		394,088
				1,305,350

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

42

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Electronics — 0.0%
Thermo Fisher Scientific, Inc. 3.200% 5/01/15	$	167,000	$	170,970
Foods — 0.2%
Kraft Foods, Inc. 4.125% 2/09/16		398,000		412,937
Olam International Ltd., Convertible 6.000% 10/15/16		800,000		1,029,439
				1,442,376
Forest Products & Paper — 0.2%
Sino Forest Corp., Convertible (b) (c) 5.000% 8/01/13		47,000		66,094
Sino-Forest Corp., Convertible (Acquired 12/02/19, Cost $1,082,093), Convertible (c) (f) 5.000% 8/01/13		918,000		1,290,937
				1,357,031
Health Care – Products — 0.5%
DJO Finance LLC / DJO Finance Corp. (c) 9.750% 10/15/17		75,000		78,750
Fresenius Finance Jersey Ltd. EUR (e) 5.625% 8/14/11		500,000		901,693
Hologic, Inc. Convertible STEP 2.000% 12/15/37		1,123,000		1,365,849
Kinetic Concepts, Inc., Convertible (c) 3.250% 4/15/15		110,000		136,812
SonoSite, Inc., Convertible 3.750% 7/15/14		114,000		127,253
				2,610,357
Health Care – Services — 0.1%
DaVita, Inc. 6.375% 11/01/18		169,000		170,690
DaVita, Inc. 6.625% 11/01/20		150,000		151,875
				322,565
Holding Company – Diversified — 0.5%
Hutchison Whampoa International Ltd. (b) 4.625% 9/11/15		565,000		598,527
Hutchison Whampoa International Ltd. (c) 4.625% 9/11/15		365,000		386,626
Hutchison Whampoa International Ltd. (b) 6.250% 1/24/14		165,000		182,066
Hutchison Whampoa International Ltd. (c) 7.625% 4/09/19		386,000		461,959
REI Agro Ltd., Convertible (Acquired 12/02/09, Cost $614,910) (c) (f) 5.500% 11/13/14		618,000		668,985

	Principal Amount		Value
Votorantim Cimentos SA (c) 7.250% 4/05/41	$	368,000	$	365,774
				2,663,937
Investment Companies — 0.0%
Hongkong Land CB Ltd., Convertible (b) 2.750% 12/21/12		100,000		181,050
Iron & Steel — 0.2%
CSN Islands XII Corp. (c) 7.000% 9/29/49		376,000		369,044
Evraz Group SA (b) (c) 8.250% 11/10/15		100,000		112,125
Evraz Group SA (c) 8.875% 4/24/13		140,000		153,818
Evraz Group SA (c) 9.500% 4/24/18		200,000		234,400
Tata Steel Ltd., Convertible 1.000% 9/05/12		300,000		363,000
				1,232,387
Media — 0.0%
Ono Finance II PLC (c) 10.875% 7/15/19		153,000		163,710
Mining — 0.0%
Anglo American PLC, Convertible (b) (c) 4.000% 5/07/14		100,000		193,750
Multi-National — 0.1%
European Investment Bank EUR (e) 3.625% 10/15/11		187,000		268,193
European Investment Bank EUR (e) 4.375% 4/15/13		383,000		566,731
				834,924
Oil & Gas — 1.1%
BP Capital Markets PLC 3.125% 10/01/15		209,000		210,169
Chesapeake Energy Corp., Convertible 2.500% 5/15/37		674,000		732,132
China Petroleum & Chemical Corp., Convertible HKD (e) 0.000% 4/24/14		5,300,000		786,972
Daylight Energy Ltd. CAD (e) 6.250% 12/31/14		232,000		258,443
Essar Energy PLC, Convertible 4.250% 2/01/16		500,000		485,000
Linn Energy LLC/Linn Energy Finance Corp. (c) 7.750% 2/01/21		339,000		361,882
McMoRan Exploration Co., Convertible (c) 5.250% 10/06/11		83,000		96,073
McMoRan Exploration Co., Convertible 5.250% 10/06/11		146,000		168,995

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

43

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Pemex Project Funding Master Trust 6.625% 6/15/35	$	376,000	$	377,170
PetroBakken Energy Ltd., Convertible (b) (c) 3.125% 2/08/16		900,000		877,500
Petroleos Mexicanos 6.000% 3/05/20		621,000		659,191
Petroleum Co. of Trinidad & Tobago Ltd. (c) 9.750% 8/14/19		130,000		157,625
Reliance Holdings USA, Inc. (c) 4.500% 10/19/20		323,000		304,302
Reliance Holdings USA, Inc. (c) 6.250% 10/19/40		250,000		236,515
SM Energy Co., Convertible 3.500% 4/01/27		292,000		417,925
				6,129,894
Oil & Gas Services — 0.1%
Acergy SA, Convertible 2.250% 10/11/13		100,000		123,000
Subsea 7, Inc., Convertible 2.800% 6/06/11		400,000		387,500
				510,500
Packaging & Containers — 0.0%
Crown Cork & Seal Co., Inc. 7.500% 12/15/96		77,000		63,621
Pharmaceuticals — 0.3%
Giant Funding Corp. (c) 8.250% 2/01/18		39,000		40,024
Mylan, Inc., Convertible 1.250% 3/15/12		783,000		862,279
Omnicare, Inc., Convertible 3.750% 12/15/25		554,000		713,967
Valeant Pharmaceuticals International (c) 6.750% 10/01/17		113,000		111,305
Valeant Pharmaceuticals International (c) 7.000% 10/01/20		189,000		183,330
				1,910,905
Real Estate — 1.0%
CapitaLand Ltd., Convertible SGD (e) 2.100% 11/15/16		750,000		590,936
CapitaLand Ltd., Convertible SGD (e) 2.950% 6/20/22		2,000,000		1,485,522
CapitaLand Ltd., Convertible SGD (e) 3.125% 3/05/18		1,750,000		1,437,856
Keppel Land Ltd., Convertible SGD (e) 2.500% 6/23/13		200,000		166,601
Pyrus Ltd., Convertible, (Acquired 12/20/10, Cost $500,000) (b) (c) (f) 7.500% 12/20/15		500,000		507,500
Yanlord Land Group Ltd. (c) 9.500% 5/04/17		377,000		373,682

	Principal Amount		Value
Yanlord Land Group Ltd., Convertible SGD (e) 5.850% 7/13/14	$	750,000	$	611,315
Ying Li International Real Estate Ltd., Convertible SGD (e) 4.000% 3/03/15		750,000		511,702
				5,685,114
Savings & Loans — 1.1%
Aldar Funding Ltd., Convertible 5.767% 11/10/11		223,000		222,443
Dana Gas Sukuk Ltd., Convertible 7.500% 10/31/12		2,780,000		2,515,900
IOI Capital Bhd, Convertible 0.000% 12/18/11		449,000		635,559
Odebrecht Drilling Norbe VIII/IX Ltd. (c) 6.350% 6/30/21		440,000		463,650
Paka Capital Ltd., Convertible 0.000% 3/12/13		300,000		303,000
Rafflesia Capital Ltd., Convertible VRN 1.250% 10/04/11		800,000		1,241,040
Zeus Cayman, Convertible JPY (e) 0.000% 8/19/13		106,000,000		1,287,088
				6,668,680
Semiconductors — 0.6%
Advanced Micro Devices, Inc. 8.125% 12/15/17		142,000		147,680
Advanced Micro Devices, Inc., Convertible 6.000% 5/01/15		1,353,000		1,395,281
Intel Corp., Convertible 2.950% 12/15/35		564,000		580,215
Intel Corp., Convertible (c) 3.250% 8/01/39		1,091,000		1,283,289
				3,406,465
Telecommunications — 0.7%
GCI, Inc. 7.250% 2/15/14		213,000		215,130
Intelsat Jackson Holdings SA (c) 7.500% 4/01/21		406,000		407,015
Intelsat Subsidiary Holding Co. SA 8.500% 1/15/13		195,000		195,585
Intelsat Subsidiary Holding Co. SA 8.875% 1/15/15		41,000		42,333
Reliance Communications Ltd., Convertible 0.000% 3/01/12		1,400,000		1,648,501
Reliance Communications Ltd., Convertible 0.000% 5/10/11		503,000		628,197

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

44

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SBA Communications Corp., Convertible 1.875% 5/01/13	$	281,000	$	320,340
SBA Communications Corp., Convertible 4.000% 10/01/14		233,000		340,180
				3,797,281
Transportation — 0.2%
Inversiones Alsacia SA (c) 8.000% 8/18/18		566,000		535,572
Nagoya Railroad Co. Ltd., Convertible JPY (e) 0.000% 3/30/12		2,000,000		23,828
Viterra, Inc. (c) 5.950% 8/01/20		382,000		382,123
				941,523
TOTAL CORPORATE DEBT (Cost $55,384,935)				58,986,351
FLOATING RATE LOAN INTEREST — 0.4%
Mining — 0.1%
PT Multi Daerah Bersaing Term Loan 7.303% 4/13/12		366,106		369,767
Oil & Gas — 0.3%
Globalspace Energy Corp. Term Loan 1.000% 12/01/15		462,000		462,000
Obsidian Natural Gas Trust Term Loan, (Acquired 3/14/11, Cost $1,412,369) (f) 7.000% 11/02/15		1,425,195		1,453,699
				1,915,699
TOTAL FLOATING RATE LOAN INTEREST (Cost $2,235,349)				2,285,466
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.2%
Commercial MBS — 0.2%
Banc of America Large Loan, Inc., Series 2010-HLTN, Class HLTN FRN (c) 2.005% 11/15/15		1,409,273		1,333,373
Other ABS — 0.0%
Latitude CLO Ltd., Series 2005-1I, Class SUB 0.000% 12/15/17		100,000		55,000
TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $1,251,167)				1,388,373

	Principal Amount		Value
SOVEREIGN DEBT OBLIGATIONS — 8.0%
Australia Government Bond AUD (e) 5.750% 6/15/11	$	1,431,000	$	1,483,070
Brazil Notas do Tesouro Nacional Serie B BRL (e) 6.000% 5/15/15		1,187,000		1,462,957
Brazil Notas do Tesouro Nacional Serie F BRL (e) 10.000% 1/01/21		4,815,000		2,502,202
Bundesrepublik Deutschland EUR (e) 3.500% 7/04/19		1,634,000		2,362,157
Bundesrepublik Deutschland EUR (e) 4.000% 7/04/16		2,513,000		3,777,351
Bundesrepublik Deutschland EUR (e) 4.000% 1/04/18		741,000		1,111,788
Bundesrepublik Deutschland EUR (e) 4.250% 7/04/18		387,000		589,113
Canadian Government Bond CAD (e) 3.500% 6/01/20		792,000		827,699
Canadian Government Bond CAD (e) 4.000% 6/01/16		645,000		705,488
Deutsche Bundesrepublik Inflation Linked EUR (e) 1.500% 4/15/16		377,735		563,538
Federal Republic of Germany (c) 1.500% 9/21/12		1,581,000		1,604,296
Federal Republic of Germany (b) (c) 1.500% 9/21/12		50,000		50,737
Hong Kong Government Bond HKD (e) 2.030% 3/18/13		11,800,000		1,554,714
Hong Kong Government Bond HKD (e) 4.130% 2/22/13		3,700,000		506,437
Korea Development Bank 4.000% 9/09/16		596,000		602,337
Malaysia Government Bond MYR (e) 3.461% 7/31/13		4,116,000		1,365,134
Malaysia Government Bond MYR (e) 3.756% 4/28/11		2,800,000		925,623
Mexico Cetes MXN (e) 0.010% 9/08/11		9,129,900		752,566
Mexico Cetes MXN (e) 0.010% 9/22/11		13,360,060		1,098,776
Mexico Cetes MXN (e) 4.459% 8/11/11		9,348,440		773,100
Mexico Cetes MXN (e) 9.785% 8/11/11		9,378,280		775,588
Mexico Cetes MXN (e) 9.791% 8/11/11		4,674,220		386,584
Netherlands Government Bond EUR (e) 3.750% 7/15/14		312,000		461,931
New Zealand Government Bond NZD (e) 6.204% 2/15/16		276,000		327,351

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

45

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
Poland Government Bond PLN (e) 3.000% 8/24/16	$	2,273,848	$	815,017
Republic of Brazil BRL (e) 10.000% 1/01/17		8,742,000		4,750,864
Republic of Germany EUR (e) 4.250% 7/04/17		1,596,000		2,428,345
Socialist Republic of Vietnam (b) (c) 6.750% 1/29/20		100,000		103,750
Turkey Government Bond TRY (e) 4.000% 4/01/20		566,608		408,979
Turkey Government Bond TRY (e) 10.000% 1/09/13		277,000		182,538
Turkey Government Bond TRY (e) 10.500% 1/15/20		2,218,000		1,535,599
Ukraine Government Bond (c) 6.875% 9/23/15		113,000		116,955
Ukraine Government Bond (c) 7.750% 9/23/20		301,000		310,406
United Kingdom Gilt GBP (e) 4.750% 3/07/20		3,701,170		6,456,344
United Kingdom Gilt GBP (e) 9.000% 7/12/11		1,762,570		2,894,441
Vietnam Government International Bond (b) (c) 6.750% 1/29/20		100,000		103,750
TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $46,872,960)				46,677,525
U.S. TREASURY OBLIGATIONS — 7.0%
U.S. Treasury Bonds & Notes — 7.0%
U.S. Treasury Inflation Index 2.375% 1/15/27		990,535		1,102,590
U.S. Treasury Note 2.125% 11/30/14		2,593,700		2,641,116
U.S. Treasury Note 2.250% 1/31/15		3,191,000		3,257,313
U.S. Treasury Note 2.375% 2/28/15		4,600,000		4,712,664
U.S. Treasury Note 2.500% 3/31/15		4,393,000		4,518,956
U.S. Treasury Note 2.625% 12/31/14		4,667,700		4,833,258
U.S. Treasury Note 2.625% 2/29/16		1,202,300		1,227,050
U.S. Treasury Note 2.625% 8/15/20		7,004,000		6,571,448
U.S. Treasury Note 2.625% 11/15/20		2,349,400		2,192,651

	Principal Amount		Value
U.S. Treasury Note (g) 3.500% 5/15/20	$	9,537,600	$	9,667,624
				40,724,670
TOTAL U.S. TREASURY OBLIGATIONS (Cost $41,147,335)				40,724,670
TOTAL BONDS & NOTES (Cost $146,891,746)				150,062,385
	Number of Shares
MUTUAL FUNDS — 3.6%
Diversified Financial — 3.6%
BlackRock Liquidity Funds TempFund Portfolio		5,690		5,690
Consumer Staples Select Sector SPDR Fund		16,801		503,022
Dragon Capital - Vietnam Enterprise Investments Ltd. (a)		36,880		78,186
Energy Select Sector SPDR Fund		42,951		3,427,919
Financial Select Sector SPDR Fund		49,891		818,711
Health Care Select Sector SPDR Fund		17,420		577,124
iShares Dow Jones US Telecommunications Sector Index Fund		9,117		217,167
Market Vectors - Gold Miners ETF		222,505		13,363,650
SPDR KBW Regional Banking ETF		11,201		297,947
Technology Select Sector SPDR Fund		27,700		722,139
Utilities Select Sector SPDR Fund		20,500		653,950
Vanguard Telecommunication Services ETF		300		20,571
Vinaland Ltd. (a)		190,740		178,368
				20,864,444
TOTAL MUTUAL FUNDS (Cost $17,160,965)				20,864,444
	Units
PURCHASED OPTIONS — 0.1%
Diversified Financial — 0.0%
Market Vectors Gold Miners, Put, Expires 1/21/12, Strike 50.00		370		102,120
Market Vectors Gold Miners, Put, Expires 4/22/11, Strike 54.00		200		789
Market Vectors Gold Miners, Put, Expires 9/17/11, Strike 50.00		210		31,080
Market Vectors Gold Miners, Put, Expires 9/17/11, Strike 56.00		230		71,300
				205,289

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

46

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Units		Value
Foods — 0.0%
General Mills, Inc. Call, Expires 7/16/11, Strike 38.00		72	$	5,184
Internet — 0.0%
Google, Inc. Class A, Call, Expires 6/18/11, Strike 575.00		13		43,160
Oil & Gas — 0.0%
Quicksilver Resources, Inc., Call, Expires 4/16/11, Strike 15.00		144		1,296
TOTAL PURCHASED OPTIONS (Cost $502,596)				254,929
STRUCTURED OPTIONS (OVER THE COUNTER TRADED) — 0.1%
Diversified Financial — 0.1%
DJ Euro Stoxx 50, Expires 7/07/11, Broker Credit Suisse International (h)		390		5,224
DJ Euro Stoxx 50, Expires 8/05/11, Broker Credit Suisse International (i)		602		29,266
DJ Euro Stoxx 50, Expires 9/16/11, Broker JP Morgan Chase Bank (j)		763		201,356
Euro Stoxx Index, Expires 12/16/11, Broker UBS AG (k)		293		(220	)
MSCI Europe ex-UK, Expires 9/01/11, Broker Deutsche Bank (l)		31,244		225,883
S&P 500 Index, Expires 3/16/12, Broker JP Morgan Chase Bank NA (m)		1,461		20,383
Taiwan Index, Expires 12/21/11, Broker Citigroup NA (n)		2,765		(38,363	)
Taiwan Index, Expires 12/19/11, Broker Citigroup NA (o)		1,731		(5,713	)
				437,816
TOTAL STRUCTURED OPTIONS (OVER THE COUNTER TRADED) (Cost $0)				437,816
	Number of Shares
WARRANTS — 0.0%
Auto Manufacturers — 0.0%
Ford Motor Co., Expires 1/01/13, Strike 9.20 (a)		44,770		285,633
Banks — 0.0%
Bank of America Corp., Expires 1/16/19, Strike 13.30 (a)		22,509		172,644
Insurance — 0.0%
Citigroup, Inc., Expires 10/18/28, Strike 0.19 (a)		20,700		3,933

	Number of Shares		Value
Mining — 0.0%
Kinross Gold Corp., Expires 9/03/13, Strike 32.00 (a)		7,400	$	10,915
TOTAL WARRANTS (Cost $450,555)				473,125
TOTAL LONG-TERM INVESTMENTS (Cost $490,343,496)				543,174,142
	Principal Amount
SHORT-TERM INVESTMENTS — 6.3%
Time Deposits — 0.0%
Brown Brothers Time Deposit 0.030% 4/01/11	$	761		761
U.S. Treasury Bills — 6.3%
U.S. Treasury Bill 0.010% 4/14/11		747,000		746,964
U.S. Treasury Bill 0.010% 4/21/11		661,000		660,952
U.S. Treasury Bill 0.010% 5/05/11		615,000		614,941
U.S. Treasury Bill 0.010% 6/02/11		21,300,000		21,294,903
U.S. Treasury Bill 0.010% 6/09/11		9,000,000		8,997,887
U.S. Treasury Bill 0.010% 6/16/11		300,000		299,953
U.S. Treasury Bill 0.010% 6/23/11		4,400,000		4,399,159
				37,014,759
TOTAL SHORT-TERM INVESTMENTS (Cost $37,015,520)				37,015,520
TOTAL INVESTMENTS — 99.3% (Cost $527,359,016) (p)				580,189,662
Other Assets/(Liabilities) —0.7%				3,956,492
NET ASSETS — 100.0%			$	584,146,154

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

47

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

	Number of Shares			Value
EQUITIES SOLD SHORT — (0.1)%
Auto Manufacturers — (0.1)%
Nissan Motor Co. Ltd.		(33,200	)	$	(294,561	)
TOTAL EQUITIES SOLD SHORT (Cost $(278,219))					(294,561	)
TOTAL SECURITIES SOLD SHORT (Cost $(278,219))					(294,561	)

Notes to Portfolio of Investments

ABS Asset-Backed Security

ADR American Depositary Receipt

AUD Australian Dollar

BRL Brazilian Real

CAD Canadian Dollar

CLO Collateralized Loan Obligation

EUR Euro

FRN Floating Rate Note

GBP British Pound

GDR Global Depositary Receipt

HKD Hong Kong Dollar

JPY Japanese Yen

MBS Mortgage-Backed Security

MXN Mexican Peso

MYR Malaysian Ringgit

NZD New Zealand Dollar

PLN Polish Zloty

SGD Singapore Dollar

STEP Step Up Bond

TRY New Turkish Lira

VRN Variable Rate Note

(a) Non-income producing security.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At March 31, 2011, these securities amounted to a value of $6,363,653 or 1.09% of net assets.

(c) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, these securities amounted to a value of $19,903,440 or 3.41% of net assets.

(d) These securities are held as collateral for written options. (Note 2).

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

(f) Restricted security. Certain securities are restricted as to resale. At March 31, 2011, these securities amounted to a value of $4,315,209 or 0.74% of net assets. The Funds

generally bear the costs, if any, associated with the disposition of restricted securities.

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

(h) Credit Suisse International DJ EuroStoxx 50 Structured Option is issued in units. Each unit represents a structure based on the DJ EuroStoxx 50 Index, with an initial reference strike of 2,803.75. Each unit contains (a) one written put on the index at a strike price of 2,523.375 and (b) one call option on the index with a strike of 2,943.9375. The Fund holds 390 units of the structure. On March 31, 2011, the EuroStoxx 50 Index was 2,910.91. At this time, the value of the structured option was $5,224 based on a price of $13.40 per unit. The option expires on July 7, 2011.

(i) Credit Suisse International DJ EuroStoxx 50 Structured Option is issued in units. Each unit represents a structure based on the DJ EuroStoxx 50 Index, with an initial reference strike of 2,819.34. Each unit contains (a) one written put on the index at a strike price of 2,650.18 and (b) one call option on the index with a strike of 2,819.34. The Fund holds 602 units of the structure. On March 31, 2011, the DJ EuroStoxx 50 Index was 2,910.91. At this time, the value of the structured option was $29,266 based on a price of $48.61 per unit. The option expires on August 15, 2011.

(j) JP Morgan Chase Bank DJ EuroStoxx 50 Structured Option is issued in units. Each unit represents a structure based on the DJ EuroStoxx 50 Index, with an initial reference strike of 2,622.91. Each unit contains (a) one written put on the index at a strike price of 2,461.601 and (b) 1.1 call options on the index with a strike of 2,622.91. The Fund holds 763 units of the structure. On March 31, 2011, the DJ EuroStoxx 50 Index was 2,910.91. At this time, the value of the structured option was $201,356 based on a price of $264.07 per unit. The option expires on September 16, 2011.

(k) UBS AG DJ EuroStoxx Index Structured Option is issued in units. Each unit represents a structure based on the DJ EuroStoxx 50 Index, with an initial reference strike of 2,901.28. Each unit contains (a) one written put on the index at a strike price of 2,437.08 and (b) one call option on the index with a strike of 3,069.55. The Fund holds 293 units of the structure. On March 31, 2011, the EuroStoxx 50 Index was 2,910.91. At this time, the value of the structured option was $(220) based on a price of $(0.751) per unit. The option expires on December 16, 2011.

(l) Deutsche Bank MSCI Europe ex-UK Structured Option is issued in units. Each unit represents a structure based on the MSCI Europe ex-UK Index, with an initial reference strike of 96.0170. Each unit contains (a) one written put on the index at a strike price of 90.7361 and (b) one call option on the index with a strike 96.0170. The Fund holds 31,244 units of the structure. On March 31, 2011, the MSCI Europe ex-UK Index was 104.00. At this time, the value of the structured option was $225,883 based on a price of $7.23 per unit. The option expires on September 1, 2011.

(m) JP Morgan Chase Bank S&P 500 Index Structured Option is issued in units. Each unit represents a structure based on the S&P 500 Index, with an initial reference strike of 1,300.35. Each unit contains (a) one written put on the index at a strike price of 1,131.30 and (b) one call option on the index with a strike of 1,379.67. The Fund holds 1,461 units of the

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

48

MassMutual Select BlackRock Global Allocation Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments (continued)

structure. On March 31, 2011, the S&P 500 Index was 1,325.83. At this time, the value of the structured option was $20,383 based on a price of $13.95 per unit. The option expires on March 16, 2012.

(n) Citigroup NA Taiwan Index Structured Option is issued in units. Each unit represents a structure based on the Taiex Index. Each unit contains (a) one written put on the index at a strike price of 8,400 and (b) one call option on the index with a strike of 9,000. The Fund holds 2,765 units of the structure. On March 31, 2011, the Taiex Index was 8,683.30. At this time, the value of the structured option was $(38,363) based on a price of $(13.874) per unit. The option expires on December 21, 2011.

(o) Citigroup NA Taiwan Index Structured Option is issued in units. Each unit represents a structure based on the Taiex Index. Each unit contains (a) one written put on the index at a strike price of USD 243.4051 and (b) one call option on the index with a strike of USD 290.8066. The Fund holds 1,731 units of the structure. On March 31, 2011, the Taiex Index was TWD 8,683.30. At this time, the value of the structured option was $(5,713) based on a price of $(3.2678) per unit. The option expires on December 19, 2011.

(p) See Note 3 for aggregate cost for federal tax purposes.

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

49

MassMutual Select Diversified Value Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.9%
COMMON STOCK — 97.9%
Advertising — 0.6%
Omnicom Group, Inc.		39,002	$	1,913,438
Aerospace & Defense — 2.1%
General Dynamics Corp.		10,900		834,504
Northrop Grumman Corp.		49,183		3,084,266
Spirit AeroSystems Holdings, Inc. Class A (a)		3,900		100,113
United Technologies Corp.		28,100		2,378,665
				6,397,548
Agriculture — 1.7%
Altria Group, Inc.		44,500		1,158,335
Archer-Daniels-Midland Co.		14,500		522,145
Lorillard, Inc.		4,600		437,046
Philip Morris International, Inc.		38,200		2,507,066
Reynolds American, Inc.		16,800		596,904
				5,221,496
Apparel — 0.1%
VF Corp.		3,400		335,002
Auto Manufacturers — 0.4%
General Motors Co. (a)		43,745		1,357,407
Automotive & Parts — 0.9%
The Goodyear Tire & Rubber Co. (a)		73,725		1,104,400
Johnson Controls, Inc.		40,982		1,703,622
				2,808,022
Banks — 7.6%
Bank of America Corp.		193,052		2,573,383
Bank of New York Mellon Corp.		90,317		2,697,769
BOK Financial Corp.		1,700		87,856
Capital One Financial Corp.		10,300		535,188
City National Corp.		1,300		74,165
Commerce Bancshares, Inc.		1,900		76,836
Fifth Third Bancorp		151,170		2,098,239
M&T Bank Corp.		2,600		230,022
PNC Financial Services Group, Inc.		43,817		2,760,033
State Street Corp.		66,485		2,987,836
U.S. Bancorp		112,542		2,974,485
Wells Fargo & Co.		200,021		6,340,666
				23,436,478
Beverages — 1.8%
Coca-Cola Enterprises, Inc.		83,017		2,266,364
Constellation Brands, Inc. Class A (a)		6,100		123,708
Dr. Pepper Snapple Group, Inc.		3,200		118,912
Molson Coors Brewing Co. Class B		4,200		196,938
PepsiCo, Inc.		41,587		2,678,619
				5,384,541

	Number of Shares		Value
Biotechnology — 1.0%
Amgen, Inc. (a)		50,107	$	2,678,219
Biogen Idec, Inc. (a)		5,500		403,645
				3,081,864
Chemicals — 1.3%
Air Products & Chemicals, Inc.		21,853		1,970,704
Albemarle Corp.		2,000		119,540
Ashland, Inc.		1,700		98,192
E.I. du Pont de Nemours & Co.		17,200		945,484
Eastman Chemical Co.		1,700		168,844
FMC Corp.		3,700		314,241
International Flavors & Fragrances, Inc.		2,100		130,830
RPM International, Inc.		5,300		125,769
The Valspar Corp.		2,700		105,570
				3,979,174
Coal — 0.4%
CONSOL Energy, Inc.		24,610		1,319,834
Commercial Services — 0.5%
Alliance Data Systems Corp. (a)		1,300		111,657
H&R Block, Inc.		6,600		110,484
McKesson Corp.		12,100		956,505
Quanta Services, Inc. (a)		4,600		103,178
Western Union Co.		13,900		288,703
				1,570,527
Computers — 2.0%
Dell, Inc. (a)		41,000		594,910
Hewlett-Packard Co.		27,171		1,113,196
International Business Machines Corp.		26,300		4,288,741
Lexmark International, Inc. Class A (a)		1,700		62,968
				6,059,815
Cosmetics & Personal Care — 0.7%
The Procter & Gamble Co.		34,888		2,149,101
Distribution & Wholesale — 0.0%
Ingram Micro, Inc. Class A (a)		5,700		119,871
Diversified Financial — 7.6%
American Express Co.		25,600		1,157,120
Ameriprise Financial, Inc.		46,499		2,840,159
CIT Group, Inc. (a)		4,300		182,965
Citigroup, Inc. (a)		606,845		2,682,255
Discover Financial Services		109,172		2,633,229
The Goldman Sachs Group, Inc.		12,100		1,917,487
JP Morgan Chase & Co.		207,832		9,581,055
Legg Mason, Inc.		63,031		2,274,789
The NASDAQ OMX Group, Inc. (a)		4,600		118,864
Raymond James Financial, Inc.		4,800		183,552
				23,571,475

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

50

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

	Number of Shares		Value
Electric — 3.6%
Alliant Energy Corp.		2,800	$	109,004
Ameren Corp.		5,200		145,964
American Electric Power Co., Inc.		10,200		358,428
Calpine Corp. (a)		141,450		2,244,811
Consolidated Edison, Inc.		6,800		344,896
Dominion Resources, Inc.		13,400		598,980
DPL, Inc.		3,100		84,971
DTE Energy Co.		6,200		303,552
Duke Energy Corp.		33,900		615,285
Edison International		12,400		453,716
Exelon Corp.		9,500		391,780
Great Plains Energy, Inc.		3,000		60,060
Integrys Energy Group, Inc.		2,000		101,020
MDU Resources Group, Inc.		4,100		94,177
NextEra Energy, Inc.		8,200		451,984
NV Energy, Inc.		9,700		144,433
OGE Energy Corp.		2,900		146,624
Pepco Holdings, Inc.		4,900		91,385
PPL Corp.		80,120		2,027,036
Public Service Enterprise Group, Inc.		54,121		1,705,353
SCANA Corp.		2,700		106,299
TECO Energy, Inc.		5,900		110,684
Westar Energy, Inc.		3,200		84,544
Wisconsin Energy Corp.		5,000		152,500
Xcel Energy, Inc.		13,300		317,737
				11,245,223
Electrical Components & Equipment — 0.1%
Energizer Holdings, Inc. (a)		1,600		113,856
Molex, Inc.		3,500		87,920
				201,776
Electronics — 0.1%
Arrow Electronics, Inc. (a)		4,900		205,212
Avnet, Inc. (a)		6,200		211,358
				416,570
Engineering & Construction — 1.1%
ABB Ltd. Sponsored ADR (Switzerland) (a)		71,815		1,737,205
Foster Wheeler AG (a)		40,921		1,539,448
KBR, Inc.		3,500		132,195
URS Corp. (a)		1,700		78,285
				3,487,133
Environmental Controls — 0.0%
Nalco Holding Co.		3,000		81,930
Foods — 1.7%
ConAgra Foods, Inc.		36,125		857,969
Corn Products International, Inc.		2,500		129,550
General Mills, Inc.		15,300		559,215
Hormel Foods Corp.		7,400		206,016
The J.M. Smucker Co.		3,200		228,448

	Number of Shares		Value
Kellogg Co.		46,242	$	2,496,143
The Kroger Co.		14,400		345,168
Ralcorp Holdings, Inc. (a)		1,300		88,959
Smithfield Foods, Inc. (a)		3,500		84,210
Tyson Foods, Inc. Class A		8,000		153,520
				5,149,198
Forest Products & Paper — 1.2%
AbitibiBowater, Inc. (a)		35,563		955,578
Domtar Corp.		1,200		110,136
International Paper Co.		9,700		292,746
MeadWestvaco Corp.		6,900		209,277
Weyerhaeuser Co.		88,119		2,167,727
				3,735,464
Gas — 0.3%
Atmos Energy Corp.		2,700		92,070
Energen Corp.		2,800		176,736
NiSource, Inc.		6,000		115,080
Sempra Energy		5,100		272,850
Southern Union Co.		4,700		134,514
UGI Corp.		2,400		78,960
				870,210
Hand & Machine Tools — 0.6%
Stanley Black & Decker, Inc.		23,174		1,775,129
Health Care – Products — 3.6%
Alere, Inc. (a)		34,056		1,332,952
Baxter International, Inc.		12,300		661,371
Becton, Dickinson & Co.		5,500		437,910
Covidien PLC		59,145		3,071,991
Johnson & Johnson		34,700		2,055,975
Kinetic Concepts, Inc. (a)		2,100		114,282
Medtronic, Inc.		60,725		2,389,529
St. Jude Medical, Inc.		7,400		379,324
Zimmer Holdings, Inc. (a)		9,300		562,929
				11,006,263
Health Care – Services — 3.1%
Aetna, Inc.		12,200		456,646
CIGNA Corp.		8,200		363,096
Community Health Systems, Inc. (a)		2,600		103,974
Coventry Health Care, Inc. (a)		4,200		133,938
HCA Holdings, Inc. (a)		38,472		1,303,047
Health Net, Inc. (a)		2,700		88,290
Humana, Inc. (a)		5,100		356,694
Laboratory Corporation of America Holdings (a)		3,300		304,029
Lincare Holdings, Inc.		1,400		41,524
MEDNAX, Inc. (a)		600		39,966
Quest Diagnostics, Inc.		3,800		219,336
Thermo Fisher Scientific, Inc. (a)		8,400		466,620
UnitedHealth Group, Inc.		97,860		4,423,272

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

51

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

	Number of Shares		Value
Universal Health Services, Inc. Class B		2,700	$	133,407
WellPoint, Inc.		17,500		1,221,325
				9,655,164
Holding Company – Diversified — 0.1%
Leucadia National Corp.		5,300		198,962
Home Builders — 0.1%
D.R. Horton, Inc.		6,700		78,055
Lennar Corp. Class A		3,700		67,044
Toll Brothers, Inc. (a)		4,400		86,988
				232,087
Household Products — 0.5%
Avery Dennison Corp.		2,300		96,508
The Clorox Co.		5,900		413,413
Kimberly-Clark Corp.		13,100		855,037
The Scotts Miracle-Gro Co. Class A		1,400		80,990
Tupperware Brands Corp.		1,700		101,507
				1,547,455
Housewares — 0.6%
Newell Rubbermaid, Inc.		87,769		1,679,021
Insurance — 5.6%
ACE Ltd.		7,600		491,720
Aflac, Inc.		16,800		886,704
Alleghany Corp. (a)		204		67,520
Allied World Assurance Co. Holdings Ltd.		1,200		75,228
The Allstate Corp.		23,600		750,008
American Financial Group, Inc.		6,300		220,626
Arch Capital Group Ltd. (a)		3,400		337,246
Assurant, Inc.		5,900		227,209
Axis Capital Holdings Ltd.		7,200		251,424
The Chubb Corp.		18,200		1,115,842
Cincinnati Financial Corp.		5,600		183,680
Everest Re Group Ltd.		1,300		114,634
HCC Insurance Holdings, Inc.		3,900		122,109
Loews Corp.		26,200		1,128,958
Markel Corp. (a)		500		207,225
MetLife, Inc.		57,564		2,574,838
Principal Financial Group, Inc.		7,200		231,192
The Progressive Corp.		35,200		743,776
Reinsurance Group of America, Inc. Class A		2,300		144,394
RenaissanceRe Holdings Ltd.		3,300		227,667
Torchmark Corp.		4,700		312,456
The Travelers Cos., Inc.		57,078		3,394,999
Unum Group		100,693		2,643,191
Validus Holdings Ltd.		2,200		73,326
W.R. Berkley Corp.		5,100		164,271
White Mountains Insurance Group Ltd.		600		218,520
XL Group PLC		9,900		243,540
				17,152,303

	Number of Shares		Value
Internet — 1.1%
AOL, Inc. (a)		52,678	$	1,028,801
eBay, Inc. (a)		68,551		2,127,823
Expedia, Inc.		6,000		135,960
IAC/InterActiveCorp (a)		5,800		179,162
				3,471,746
Iron & Steel — 0.0%
Reliance Steel & Aluminum Co.		2,100		121,338
Leisure Time — 0.5%
Carnival Corp.		30,300		1,162,308
Royal Caribbean Cruises Ltd. (a)		5,900		243,434
				1,405,742
Lodging — 0.2%
Hyatt Hotels Corp. Class A (a)		3,800		163,552
Wyndham Worldwide Corp.		14,100		448,521
				612,073
Machinery – Construction & Mining — 0.0%
Terex Corp. (a)		2,000		74,080
Machinery – Diversified — 0.1%
AGCO Corp. (a)		2,500		137,425
Flowserve Corp.		1,700		218,960
				356,385
Manufacturing — 6.1%
3M Co.		15,300		1,430,550
General Electric Co.		552,382		11,075,259
Harsco Corp.		36,877		1,301,389
Honeywell International, Inc.		39,377		2,351,201
ITT Corp.		5,100		306,255
Siemens AG Sponsored ADR (Germany)		14,273		1,960,254
Tyco International Ltd.		10,200		456,654
				18,881,562
Media — 5.2%
CBS Corp. Class B		132,806		3,325,462
Comcast Corp. Class A		217,546		5,377,737
DIRECTV Class A (a)		31,019		1,451,689
DISH Network Corp. Class A (a)		9,500		231,420
News Corp. Class A		61,500		1,079,940
Time Warner, Inc.		41,300		1,474,410
Viacom, Inc. Class B		65,638		3,053,480
				15,994,138
Mining — 0.5%
Vulcan Materials Co.		35,077		1,599,511
Office Equipment/Supplies — 0.0%
Pitney Bowes, Inc.		4,400		113,036
Oil & Gas — 8.7%
Chevron Corp.		82,839		8,899,394
ConocoPhillips		44,500		3,553,770

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

52

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

	Number of Shares		Value
Devon Energy Corp.		8,600	$	789,222
Exxon Mobil Corp.		54,526		4,587,272
Hess Corp.		45,488		3,876,033
Marathon Oil Corp.		15,900		847,629
Murphy Oil Corp.		2,700		198,234
Nabors Industries Ltd. (a)		6,200		188,356
Newfield Exploration Co. (a)		2,900		220,429
Patterson-UTI Energy, Inc.		3,200		94,048
Total SA Sponsored ADR (France)		54,828		3,342,863
Valero Energy Corp.		12,800		381,696
				26,978,946
Oil & Gas Services — 1.4%
Schlumberger Ltd.		42,028		3,919,531
Tidewater, Inc.		1,100		65,835
Weatherford International Ltd. (a)		16,800		379,680
				4,365,046
Packaging & Containers — 0.3%
Ball Corp.		8,200		293,970
Bemis Co., Inc.		2,300		75,463
Crown Holdings, Inc. (a)		4,200		162,036
Greif, Inc. Class A		1,400		91,574
Sealed Air Corp.		6,500		173,290
Sonoco Products Co.		2,600		94,198
				890,531
Pharmaceuticals — 5.0%
Abbott Laboratories		25,600		1,255,680
AmerisourceBergen Corp.		8,900		352,084
Bristol-Myers Squibb Co.		121,335		3,206,884
Cardinal Health, Inc.		8,000		329,040
Eli Lilly & Co.		23,300		819,461
Endo Pharmaceuticals Holdings, Inc. (a)		4,800		183,168
Forest Laboratories, Inc. (a)		13,000		419,900
Gilead Sciences, Inc. (a)		17,100		725,724
Herbalife Ltd.		1,800		146,448
Merck & Co., Inc.		76,759		2,533,815
Patterson Cos., Inc.		2,700		86,913
Pfizer, Inc.		137,547		2,793,579
Sanofi-Aventis ADR (France)		69,158		2,435,745
Warner Chilcott PLC Class A		5,500		128,040
				15,416,481
Pipelines — 1.5%
El Paso Corp.		255,821		4,604,778
Retail — 5.3%
Advance Auto Parts, Inc.		1,700		111,554
AutoZone, Inc. (a)		1,000		273,560
Big Lots, Inc. (a)		1,600		69,488
CVS Caremark Corp.		94,078		3,228,757
Darden Restaurants, Inc.		3,900		191,607
Dollar Tree, Inc. (a)		2,700		149,904

	Number of Shares		Value
Foot Locker, Inc.		3,300	$	65,076
GameStop Corp. Class A (a)		3,300		74,316
The Gap, Inc.		68,971		1,562,883
Guess?, Inc.		2,000		78,700
J.C. Penney Co., Inc.		5,100		183,141
Kohl’s Corp.		6,900		365,976
Limited Brands, Inc.		6,900		226,872
Lowe’s Cos., Inc.		70,077		1,852,135
Macy’s, Inc.		23,000		557,980
McDonald’s Corp.		22,400		1,704,416
Nordstrom, Inc.		4,800		215,424
Ross Stores, Inc.		3,300		234,696
Signet Jewelers Ltd. (a)		2,000		92,040
The TJX Cos., Inc.		12,000		596,760
Wal-Mart Stores, Inc.		71,700		3,731,985
Walgreen Co.		20,100		806,814
				16,374,084
Semiconductors — 2.2%
Analog Devices, Inc.		6,500		255,970
Applied Materials, Inc.		175,371		2,739,295
Intel Corp.		113,800		2,295,346
KLA-Tencor Corp.		3,600		170,532
Lam Research Corp. (a)		2,700		152,982
MEMC Electronic Materials, Inc. (a)		4,900		63,504
Novellus Systems, Inc. (a)		1,900		70,547
Texas Instruments, Inc.		26,800		926,208
Xilinx, Inc.		5,600		183,680
				6,858,064
Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc. (a)		8,197		340,183
Software — 2.5%
Activision Blizzard, Inc.		24,000		263,280
Broadridge Financial Solutions, Inc.		5,700		129,333
CA, Inc.		22,100		534,378
Dun & Bradstreet Corp.		1,100		88,264
Fiserv, Inc. (a)		3,400		213,248
Microsoft Corp.		120,300		3,050,808
Oracle Corp.		106,311		3,547,598
				7,826,909
Telecommunications — 5.1%
AT&T, Inc.		257,696		7,885,498
CenturyLink, Inc.		50,510		2,098,690
Cisco Systems, Inc.		100,225		1,718,859
Corning, Inc.		45,000		928,350
Harris Corp.		3,500		173,600
Telephone & Data Systems, Inc.		2,800		94,360
Vodafone Group PLC Sponsored ADR (United Kingdom)		93,678		2,693,242
				15,592,599
Textiles — 0.1%
Mohawk Industries, Inc. (a)		2,700		165,105

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

53

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

	Number of Shares		Value
Toys, Games & Hobbies — 0.2%
Hasbro, Inc.		5,900	$	276,356
Mattel, Inc.		8,200		204,426
				480,782
Transportation — 0.8%
Norfolk Southern Corp.		36,177		2,505,981
Water — 0.0%
American Water Works Co., Inc.		4,000		112,200
TOTAL COMMON STOCK (Cost $260,543,962)				302,280,781
TOTAL EQUITIES (Cost $260,543,962)				302,280,781
MUTUAL FUNDS — 0.9%
Diversified Financial — 0.9%
iShares Russell 1000 Value Index Fund		38,500		2,643,795
TOTAL MUTUAL FUNDS (Cost $2,569,110)				2,643,795
TOTAL LONG-TERM INVESTMENTS (Cost $263,113,072)				304,924,576
	Principal Amount
SHORT-TERM INVESTMENTS — 1.4%
Repurchase Agreement — 1.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	4,337,434		4,337,434
TOTAL SHORT-TERM INVESTMENTS (Cost $4,337,434)				4,337,434
TOTAL INVESTMENTS — 100.2% (Cost $267,450,506) (c)				309,262,010
Other Assets/(Liabilities) — (0.2)%				(559,675	)
NET ASSETS — 100.0%			$	308,702,335

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $4,337,435. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% - 4.000%, maturity dates ranging from 8/15/39 - 11/15/40, and an aggregate market value, including accrued interest, of $4,424,385.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

54

MassMutual Select Fundamental Value Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.6%
COMMON STOCK — 99.6%
Aerospace & Defense — 1.5%
The Boeing Co.		164,500	$	12,161,485
Lockheed Martin Corp.		71,400		5,740,560
				17,902,045
Agriculture — 1.2%
Philip Morris International, Inc.		215,900		14,169,517
Auto Manufacturers — 1.4%
General Motors Co. (a)		142,900		4,434,187
Paccar, Inc.		224,900		11,773,515
				16,207,702
Banks — 9.0%
Bank of America Corp.		1,329,400		17,720,902
Bank of New York Mellon Corp.		388,333		11,599,507
PNC Financial Services Group, Inc.		381,000		23,999,190
U.S. Bancorp		420,400		11,111,172
Wells Fargo & Co.		1,287,400		40,810,580
				105,241,351
Beverages — 2.0%
Molson Coors Brewing Co. Class B		250,400		11,741,256
PepsiCo, Inc.		187,900		12,102,639
				23,843,895
Biotechnology — 1.0%
Amgen, Inc. (a)		210,400		11,245,880
Chemicals — 4.2%
CF Industries Holdings, Inc.		66,000		9,028,140
The Dow Chemical Co.		378,500		14,288,375
E.I. du Pont de Nemours & Co.		222,300		12,219,831
The Mosaic Co.		166,300		13,096,125
				48,632,471
Computers — 0.8%
Hewlett-Packard Co.		243,600		9,980,292
Diversified Financial — 7.8%
Ameriprise Financial, Inc.		155,900		9,522,372
BlackRock, Inc.		65,200		13,105,852
Credit Suisse Group Sponsored ADR (Switzerland)		267,100		11,373,118
The Goldman Sachs Group, Inc.		113,800		18,033,886
JP Morgan Chase & Co.		859,036		39,601,560
				91,636,788
Electric — 2.9%
Edison International		245,600		8,986,504
Entergy Corp.		149,100		10,021,011
NextEra Energy, Inc.		76,300		4,205,656
Northeast Utilities		297,000		10,276,200
				33,489,371

	Number of Shares		Value
Environmental Controls — 0.9%
Waste Management, Inc.		284,100	$	10,608,294
Foods — 2.8%
General Mills, Inc.		238,300		8,709,865
Kraft Foods, Inc. Class A		407,500		12,779,200
Sysco Corp.		397,200		11,002,440
				32,491,505
Hand & Machine Tools — 1.9%
Stanley Black & Decker, Inc.		290,300		22,236,980
Health Care – Products — 3.7%
Baxter International, Inc.		196,600		10,571,182
Covidien PLC		279,600		14,522,424
Johnson & Johnson		181,800		10,771,650
Zimmer Holdings, Inc. (a)		120,200		7,275,706
				43,140,962
Health Care – Services — 2.5%
HCA Holdings, Inc. (a)		406,660		13,773,574
UnitedHealth Group, Inc.		337,700		15,264,040
				29,037,614
Insurance — 6.7%
ACE Ltd.		362,000		23,421,400
The Chubb Corp.		226,700		13,898,977
Marsh & McLennan Cos., Inc.		509,100		15,176,271
Principal Financial Group, Inc.		339,448		10,899,675
Unum Group		554,400		14,553,000
				77,949,323
Iron & Steel — 1.6%
Nucor Corp.		78,900		3,630,978
Steel Dynamics, Inc.		777,900		14,601,183
				18,232,161
Machinery – Construction & Mining — 1.8%
Ingersoll-Rand PLC		435,700		21,048,667
Manufacturing — 6.9%
3M Co.		115,600		10,808,600
General Electric Co.		1,344,000		26,947,200
Illinois Tool Works, Inc.		251,700		13,521,324
Textron, Inc.		471,300		12,908,907
Tyco International Ltd.		365,900		16,381,343
				80,567,374
Media — 2.8%
CBS Corp. Class B		500,700		12,537,528
Comcast Corp. Class A		817,650		20,212,308
				32,749,836
Oil & Gas — 12.8%
Apache Corp.		119,400		15,631,848
Chevron Corp.		353,600		37,987,248
ConocoPhillips		157,200		12,553,992

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

55

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

	Number of Shares		Value
EOG Resources, Inc.		73,800	$	8,746,038
Exxon Mobil Corp.		199,600		16,792,348
Marathon Oil Corp.		303,800		16,195,578
Occidental Petroleum Corp.		251,800		26,310,582
Royal Dutch Shell PLC B Shares Sponsored ADR (United Kingdom)		79,300		5,807,932
Southwestern Energy Co. (a)		211,400		9,083,858
				149,109,424
Oil & Gas Services — 1.4%
Baker Hughes, Inc.		217,000		15,934,310
Packaging & Containers — 0.5%
Rexam PLC Sponsored ADR (United Kingdom)		211,000		6,218,170
Pharmaceuticals — 5.5%
Abbott Laboratories		187,700		9,206,685
Merck & Co., Inc.		345,400		11,401,654
Pfizer, Inc.		1,424,000		28,921,440
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		287,000		14,398,790
				63,928,569
Retail — 5.1%
CVS Caremark Corp.		364,100		12,495,912
The Home Depot, Inc.		383,200		14,201,392
Kohl’s Corp.		254,900		13,519,896
Nordstrom, Inc.		138,000		6,193,440
Staples, Inc.		374,800		7,278,616
Target Corp.		110,100		5,506,101
				59,195,357
Semiconductors — 4.4%
Analog Devices, Inc.		323,800		12,751,244
Intel Corp.		755,100		15,230,367
Maxim Integrated Products, Inc.		335,600		8,591,360
Xilinx, Inc.		450,000		14,760,000
				51,332,971
Software — 1.3%
Microsoft Corp.		583,400		14,795,024
Telecommunications — 4.3%
AT&T, Inc.		1,135,656		34,751,074
Cisco Systems, Inc.		590,600		10,128,790
Nokia Corp. Sponsored ADR (Finland)		626,000		5,327,260
				50,207,124
Toys, Games & Hobbies — 0.9%
Mattel, Inc.		436,000		10,869,480
TOTAL COMMON STOCK (Cost $944,928,510)				1,162,002,457

			Value
TOTAL EQUITIES (Cost $944,928,510)			$	1,162,002,457
TOTAL LONG-TERM INVESTMENTS (Cost $944,928,510)				1,162,002,457
	Principal Amount
SHORT-TERM INVESTMENTS — 0.3%
Repurchase Agreement — 0.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	3,879,915		3,879,915
TOTAL SHORT-TERM INVESTMENTS (Cost $3,879,915)				3,879,915
TOTAL INVESTMENTS — 99.9% (Cost $948,808,425) (c)				1,165,882,372
Other Assets/(Liabilities) — 0.1%				1,235,954
NET ASSETS — 100.0%			$	1,167,118,326

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $3,879,916. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/25/39, and an aggregate market value, including accrued interest, of $3,960,055.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

56

MassMutual Select Value Equity Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.3%
COMMON STOCK — 99.3%
Aerospace & Defense — 2.9%
The Boeing Co.		6,510	$	481,284
United Technologies Corp.		5,560		470,654
				951,938
Auto Manufacturers — 1.3%
Navistar International Corp. (a)		6,020		417,367
Automotive & Parts — 1.1%
Dana Holding Corp. (a)		8,690		151,119
Tenneco, Inc. (a)		5,360		227,532
				378,651
Banks — 5.2%
Bank of America Corp.		17,420		232,209
Regions Financial Corp.		34,940		253,664
Wells Fargo & Co.		38,600		1,223,620
				1,709,493
Beverages — 1.9%
Dr. Pepper Snapple Group, Inc.		17,140		636,922
Biotechnology — 1.1%
Biogen Idec, Inc. (a)		4,890		358,877
Chemicals — 1.5%
Ashland, Inc.		8,450		488,072
Coal — 0.4%
Alpha Natural Resources, Inc. (a)		2,460		146,050
Commercial Services — 2.1%
McKesson Corp.		5,270		416,593
Visa, Inc. Class A		3,890		286,382
				702,975
Computers — 3.4%
Apple, Inc. (a)		1,160		404,202
Dell, Inc. (a)		15,260		221,422
Hewlett-Packard Co.		7,410		303,588
Western Digital Corp. (a)		5,490		204,722
				1,133,934
Cosmetics & Personal Care — 3.6%
The Procter & Gamble Co.		19,530		1,203,048
Distribution & Wholesale — 1.1%
WESCO International, Inc. (a)		5,640		352,500
Diversified Financial — 13.6%
The Charles Schwab Corp.		17,890		322,557
Citigroup, Inc. (a)		174,020		769,168
CME Group, Inc.		1,530		461,371
Interactive Brokers Group, Inc. Class A		12,540		199,261
Invesco Ltd.		15,200		388,512

	Number of Shares		Value
JP Morgan Chase & Co.		30,020	$	1,383,922
Morgan Stanley		21,750		594,210
TD Ameritrade Holding Corp.		18,670		389,643
				4,508,644
Electric — 5.0%
American Electric Power Co., Inc.		11,420		401,299
FirstEnergy Corp.		9,410		349,017
GenOn Energy, Inc. (a)		50,060		190,729
NRG Energy, Inc. (a)		13,940		300,267
PPL Corp.		16,220		410,366
				1,651,678
Electronics — 0.5%
Garmin Ltd.		4,440		150,338
Engineering & Construction — 0.8%
Foster Wheeler AG (a)		7,170		269,735
Entertainment — 0.8%
DreamWorks Animation SKG, Inc. Class A (a)		9,560		267,011
Health Care – Services — 1.0%
Thermo Fisher Scientific, Inc. (a)		6,110		339,411
Insurance — 5.4%
AEGON NV Sponsored ADR (Netherlands) (a)		42,800		321,000
Assurant, Inc.		4,970		191,395
Genworth Financial, Inc. Class A (a)		23,270		313,214
Lincoln National Corp.		14,100		423,564
Prudential Financial, Inc.		8,950		551,141
				1,800,314
Internet — 2.0%
Expedia, Inc.		16,820		381,141
Google, Inc. Class A (a)		490		287,243
				668,384
Lodging — 1.0%
Wyndham Worldwide Corp.		10,290		327,325
Machinery – Construction & Mining — 0.7%
Joy Global, Inc.		2,250		222,323
Machinery – Diversified — 1.2%
Cummins, Inc.		3,650		400,113
Manufacturing — 1.0%
General Electric Co.		15,800		316,790
Media — 2.6%
Comcast Corp. Class A		19,100		472,152
The Walt Disney Co.		8,970		386,517
				858,669
Metal Fabricate & Hardware — 1.1%
Precision Castparts Corp.		2,360		347,345

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

57

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

	Number of Shares		Value
Oil & Gas — 13.5%
Chevron Corp.		13,660	$	1,467,494
Ensco PLC Sponsored ADR (United Kingdom)		6,000		347,040
Hess Corp.		4,910		418,381
Marathon Oil Corp.		14,230		758,601
Occidental Petroleum Corp.		6,910		722,026
Valero Energy Corp.		17,250		514,395
Whiting Petroleum Corp. (a)		2,980		218,881
				4,446,818
Oil & Gas Services — 0.6%
Oil States International, Inc. (a)		2,710		206,339
Pharmaceuticals — 8.6%
Express Scripts, Inc. (a)		4,530		251,913
Gilead Sciences, Inc. (a)		4,770		202,439
Medco Health Solutions, Inc. (a)		4,570		256,651
Merck & Co., Inc.		26,390		871,134
Pfizer, Inc.		62,050		1,260,236
				2,842,373
Retail — 4.7%
Best Buy Co., Inc.		7,030		201,902
CVS Caremark Corp.		21,100		724,152
Target Corp.		6,320		316,063
The TJX Cos., Inc.		6,200		308,326
				1,550,443
Semiconductors — 0.8%
Emulex Corp. (a)		11,570		123,452
Marvell Technology Group Ltd. (a)		8,100		125,955
				249,407
Telecommunications — 7.5%
American Tower Corp. Class A (a)		7,070		366,368
AT&T, Inc.		11,440		350,064
CenturyLink, Inc.		10,077		418,699
NII Holdings, Inc. (a)		13,440		560,045
QUALCOMM, Inc.		4,030		220,965
Qwest Communications International, Inc.		82,000		560,060
				2,476,201
Transportation — 1.3%
CSX Corp.		5,590		439,374
TOTAL COMMON STOCK (Cost $27,838,902)				32,818,862
TOTAL EQUITIES (Cost $27,838,902)				32,818,862

			Value
TOTAL LONG-TERM INVESTMENTS (Cost $27,838,902)			$	32,818,862
	Principal Amount
SHORT-TERM INVESTMENTS — 1.2%
Repurchase Agreement — 1.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	399,040		399,040
TOTAL SHORT-TERM INVESTMENTS (Cost $399,040)				399,040
TOTAL INVESTMENTS — 100.5% (Cost $28,237,942) (c)				33,217,902
Other Assets/(Liabilities) — (0.5)%				(149,518	)
NET ASSETS — 100.0%			$	33,068,384

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $399,040. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/15/40, and an aggregate market value, including accrued interest, of $411,105.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

58

MassMutual Select Large Cap Value Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.8%
COMMON STOCK — 96.8%
Aerospace & Defense — 0.7%
Lockheed Martin Corp.		62,160	$	4,997,664
Agriculture — 1.2%
Philip Morris International, Inc.		128,600		8,440,018
Banks — 10.0%
Bank of New York Mellon Corp.		679,100		20,284,717
GAM Holding Ltd. (a)		152,700		2,901,413
Julius Baer Group Ltd.		312,300		13,556,249
Wells Fargo & Co.		1,070,776		33,943,599
				70,685,978
Beverages — 4.1%
The Coca-Cola Co.		151,200		10,032,120
Diageo PLC Sponsored ADR (United Kingdom)		117,100		8,925,362
Heineken Holding NV Class A		204,264		9,829,008
				28,786,490
Building Materials — 1.0%
Martin Marietta Materials, Inc.		81,200		7,281,204
Chemicals — 2.1%
Air Products & Chemicals, Inc.		36,810		3,319,526
Monsanto Co.		101,650		7,345,229
Potash Corp. of Saskatchewan, Inc.		42,360		2,496,275
Praxair, Inc.		14,800		1,503,680
				14,664,710
Coal — 0.7%
China Coal Energy Co. Class H		3,672,200		4,994,984
Commercial Services — 2.3%
Iron Mountain, Inc.		456,016		14,241,380
PortX Operacoes Portuarias SA (a)		92,600		218,930
Visa, Inc. Class A		25,210		1,855,960
				16,316,270
Computers — 0.7%
Hewlett-Packard Co.		125,300		5,133,541
Cosmetics & Personal Care — 0.7%
Natura Cosmeticos SA		48,000		1,352,403
The Procter & Gamble Co.		60,800		3,745,280
				5,097,683
Diversified Financial — 6.1%
American Express Co.		672,500		30,397,000
Ameriprise Financial, Inc.		122,660		7,492,072
The Charles Schwab Corp.		22,100		398,463
The Goldman Sachs Group, Inc.		24,270		3,846,067
JP Morgan Chase & Co.		16,588		764,707
				42,898,309

	Number of Shares		Value
Electronics — 1.0%
Agilent Technologies, Inc. (a)		160,870	$	7,203,759
Foods — 1.2%
Kraft Foods, Inc. Class A		158,200		4,961,152
Nestle SA		13,320		764,298
Unilever NV NY Shares		83,900		2,631,104
				8,356,554
Forest Products & Paper — 1.5%
Sino-Forest Corp. (a) (b) (c)		12,800		334,028
Sino-Forest Corp. (a)		406,120		10,598,077
				10,932,105
Health Care – Products — 3.8%
Baxter International, Inc.		78,000		4,194,060
Becton, Dickinson & Co.		82,800		6,592,536
Johnson & Johnson		266,100		15,766,425
				26,553,021
Holding Company – Diversified — 1.3%
China Merchants Holdings International Co. Ltd.		2,200,764		9,284,255
Housewares — 0.3%
Hunter Douglas NV		36,548		1,864,691
Insurance — 9.5%
ACE Ltd.		54,240		3,509,328
Aon Corp.		17,420		922,563
Berkshire Hathaway, Inc. Class A (a)		84		10,525,200
Everest Re Group Ltd.		9,660		851,819
Fairfax Financial Holdings Ltd.		7,380		2,788,238
Fairfax Financial Holdings Ltd. (Subordinate Voting Shares)		3,440		1,300,423
Loews Corp.		510,600		22,001,754
Markel Corp. (a)		1,910		791,599
The Progressive Corp.		841,800		17,787,234
Transatlantic Holdings, Inc.		137,734		6,703,514
				67,181,672
Internet — 1.7%
Expedia, Inc.		97,380		2,206,631
Google, Inc. Class A (a)		12,480		7,315,901
Liberty Media Corp. – Interactive Class A (a)		154,300		2,474,972
				11,997,504
Leisure Time — 1.6%
Harley-Davidson, Inc.		263,600		11,200,364
Machinery – Construction & Mining — 1.3%
BHP Billiton PLC		116,900		4,633,922
Rio Tinto PLC		64,187		4,528,908
				9,162,830

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

59

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

	Number of Shares		Value
Manufacturing — 0.2%
Tyco International Ltd.		37,131	$	1,662,355
Media — 0.5%
Grupo Televisa SA Sponsored ADR (Mexico) (a)		68,550		1,681,532
Liberty Media Corp. - Starz Series A (a)		12,350		958,360
The Walt Disney Co.		27,990		1,206,089
				3,845,981
Mining — 0.3%
Vulcan Materials Co.		40,100		1,828,560
Oil & Gas — 14.9%
Canadian Natural Resources Ltd.		439,200		21,709,656
Devon Energy Corp.		259,100		23,777,607
EOG Resources, Inc.		255,650		30,297,082
Occidental Petroleum Corp.		232,900		24,335,721
OGX Petroleo e Gas Participacoes SA (a)		430,000		5,175,328
				105,295,394
Oil & Gas Services — 1.0%
Schlumberger Ltd.		17,200		1,604,072
Transocean Ltd. (a)		71,515		5,574,594
				7,178,666
Packaging & Containers — 2.4%
Sealed Air Corp.		624,772		16,656,422
Pharmaceuticals — 7.0%
Express Scripts, Inc. (a)		209,200		11,633,612
Merck & Co., Inc.		595,912		19,671,055
Pfizer, Inc.		596,100		12,106,791
Roche Holding AG		41,700		5,956,488
				49,367,946
Real Estate — 1.6%
Brookfield Asset Management, Inc. Class A		153,400		4,979,364
Hang Lung Properties Ltd.		980,000		6,123,011
				11,102,375
Retail — 11.0%
Bed Bath & Beyond, Inc. (a)		223,600		10,793,172
CarMax, Inc. (a)		121,700		3,906,570
Costco Wholesale Corp.		511,600		37,510,512
CVS Caremark Corp.		738,061		25,330,253
				77,540,507
Semiconductors — 1.7%
Texas Instruments, Inc.		344,300		11,899,008
Software — 1.9%
Activision Blizzard, Inc.		315,600		3,462,132
Dun & Bradstreet Corp.		51,150		4,104,276
Microsoft Corp.		222,800		5,650,208
				13,216,616

	Number of Shares		Value
Telecommunications — 0.3%
America Movil SAB de CV, Series L ADR (Mexico)		41,600	$	2,416,960
Transportation — 1.2%
China Shipping Development Co. Ltd. Class H		1,719,000		1,945,601
Kuehne & Nagel International AG		44,350		6,204,617
LLX Logistica SA (a)		92,600		285,290
				8,435,508
TOTAL COMMON STOCK (Cost $474,355,543)				683,479,904
TOTAL EQUITIES (Cost $474,355,543)				683,479,904
BONDS & NOTES — 0.3%
CORPORATE DEBT — 0.3%
Forest Products & Paper — 0.3%
Sino-Forest Corp., Convertible (Acquired 07/23/08, Cost $1,565,682) (b) (d) 5.000% 8/01/13		1,604,000		2,255,625
TOTAL CORPORATE DEBT (Cost $1,565,682)				2,255,625
TOTAL BONDS & NOTES (Cost $1,565,682)				2,255,625
TOTAL LONG-TERM INVESTMENTS (Cost $475,921,225)				685,735,529
	Principal Amount
SHORT-TERM INVESTMENTS — 3.0%
Repurchase Agreement — 3.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (e)	$	20,817,473		20,817,473
TOTAL SHORT-TERM INVESTMENTS (Cost $20,817,473)				20,817,473
TOTAL INVESTMENTS — 100.1% (Cost $496,738,698) (f)				706,553,002
Other Assets/(Liabilities) — (0.1)%				(690,427	)
NET ASSETS — 100.0%			$	705,862,575

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

60

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

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, these securities amounted to a value of $2,589,653 or 0.37% of net assets.

(c) This security is valued in good faith under procedures established by the Board of Trustees.

(d) Restricted security. Certain securities are restricted as to resale. At March 31, 2011, these securities amounted to a value of $2,255,625 or 0.32% of net assets. The Funds generally bear the costs, if any, associated with the disposition of restricted securities.

(e) Maturity value of $20,817,478. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/15/40, and an aggregate market value, including accrued interest, of $21,238,774.

(f) See Note 3 for aggregate cost for federal tax purposes.

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

61

MassMutual Select Indexed Equity Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.1%
COMMON STOCK — 98.1%
Advertising — 0.2%
The Interpublic Group of Companies, Inc.		88,170	$	1,108,297
Omnicom Group, Inc.		48,341		2,371,609
				3,479,906
Aerospace & Defense — 2.0%
The Boeing Co.		126,688		9,366,044
General Dynamics Corp.		63,387		4,852,909
Goodrich Corp.		21,071		1,802,202
L-3 Communications Holdings, Inc.		19,909		1,559,074
Lockheed Martin Corp.		49,151		3,951,740
Northrop Grumman Corp.		50,608		3,173,628
Raytheon Co.		61,605		3,133,846
Rockwell Collins, Inc.		26,452		1,714,883
United Technologies Corp.		158,849		13,446,568
				43,000,894
Agriculture — 1.8%
Altria Group, Inc.		358,848		9,340,813
Archer-Daniels-Midland Co.		108,592		3,910,398
Lorillard, Inc.		25,360		2,409,454
Philip Morris International, Inc.		309,519		20,313,732
Reynolds American, Inc.		59,598		2,117,517
				38,091,914
Airlines — 0.1%
Southwest Airlines Co.		133,318		1,683,806
Apparel — 0.3%
Nike, Inc. Class B		66,485		5,032,914
VF Corp.		14,652		1,443,662
				6,476,576
Auto Manufacturers — 0.6%
Ford Motor Co. (a)		653,078		9,737,393
Paccar, Inc.		63,792		3,339,511
				13,076,904
Automotive & Parts — 0.3%
The Goodyear Tire & Rubber Co. (a)		40,793		611,079
Johnson Controls, Inc.		117,251		4,874,124
				5,485,203
Banks — 4.7%
Bank of America Corp.		1,745,077		23,261,876
Bank of New York Mellon Corp.		214,518		6,407,653
BB&T Corp.		119,923		3,291,886
Capital One Financial Corp.		77,623		4,033,291
Comerica, Inc.		31,977		1,174,195
Fifth Third Bancorp		156,204		2,168,112
First Horizon National Corp.		49,320		552,877

	Number of Shares		Value
Huntington Bancshares, Inc.		146,977	$	975,927
KeyCorp		159,582		1,417,088
M&T Bank Corp.		20,420		1,806,557
Marshall & Ilsley Corp.		89,611		715,992
Northern Trust Corp.		40,393		2,049,945
PNC Financial Services Group, Inc.		89,394		5,630,928
Regions Financial Corp.		216,244		1,569,932
State Street Corp.		87,461		3,930,497
SunTrust Banks, Inc.		89,691		2,586,689
U.S. Bancorp		331,376		8,758,268
Wells Fargo & Co.		908,040		28,784,868
Zions Bancorp		33,508		772,695
				99,889,276
Beverages — 2.3%
Brown-Forman Corp. Class B		18,072		1,234,318
The Coca-Cola Co.		394,780		26,193,653
Coca-Cola Enterprises, Inc.		58,520		1,597,596
Constellation Brands, Inc. Class A (a)		27,893		565,670
Dr. Pepper Snapple Group, Inc.		38,364		1,425,606
Molson Coors Brewing Co. Class B		27,516		1,290,225
PepsiCo, Inc.		273,098		17,590,242
				49,897,310
Biotechnology — 1.0%
Amgen, Inc. (a)		161,113		8,611,490
Biogen Idec, Inc. (a)		41,557		3,049,868
Celgene Corp. (a)		79,151		4,553,557
Genzyme Corp. (a)		45,236		3,444,721
Life Technologies Corp. (a)		31,602		1,656,577
				21,316,213
Building Materials — 0.0%
Masco Corp.		60,857		847,129
Chemicals — 2.1%
Air Products & Chemicals, Inc.		36,856		3,323,674
Airgas, Inc.		12,218		811,520
CF Industries Holdings, Inc.		12,521		1,712,748
The Dow Chemical Co.		202,017		7,626,142
E.I. du Pont de Nemours & Co.		159,427		8,763,702
Eastman Chemical Co.		12,159		1,207,632
Ecolab, Inc.		39,358		2,008,045
FMC Corp.		12,224		1,038,184
International Flavors & Fragrances, Inc.		13,318		829,711
Monsanto Co.		92,758		6,702,693
PPG Industries, Inc.		27,303		2,599,519
Praxair, Inc.		52,695		5,353,812
The Sherwin-Williams Co.		15,362		1,290,254
Sigma-Aldrich Corp.		20,411		1,298,956
				44,566,592

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

62

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Coal — 0.3%
CONSOL Energy, Inc.		39,107	$	2,097,308
Massey Energy Co.		18,480		1,263,293
Peabody Energy Corp.		46,287		3,330,813
				6,691,414
Commercial Services — 1.5%
Apollo Group, Inc. Class A (a)		20,527		856,181
Automatic Data Processing, Inc.		85,509		4,387,467
DeVry, Inc.		10,305		567,496
Donnelley (R.R.) & Sons Co.		33,811		639,704
Equifax, Inc.		21,165		822,260
H&R Block, Inc.		55,463		928,451
Iron Mountain, Inc.		34,916		1,090,427
MasterCard, Inc. Class A		16,418		4,132,739
McKesson Corp.		43,833		3,464,999
Monster Worldwide, Inc. (a)		21,336		339,242
Moody’s Corp.		33,543		1,137,443
Paychex, Inc.		56,858		1,783,067
Quanta Services, Inc. (a)		39,411		883,989
Robert Half International, Inc.		25,374		776,444
SAIC, Inc. (a)		50,652		857,032
Total System Services, Inc.		25,992		468,376
Visa, Inc. Class A		82,884		6,101,920
Western Union Co.		109,196		2,268,001
				31,505,238
Computers — 6.2%
Apple, Inc. (a)		158,756		55,318,528
Cognizant Technology Solutions Corp. Class A (a)		52,884		4,304,758
Computer Sciences Corp.		27,628		1,346,313
Dell, Inc. (a)		290,285		4,212,035
EMC Corp. (a)		357,235		9,484,589
Hewlett-Packard Co.		374,944		15,361,456
International Business Machines Corp.		210,080		34,257,746
Lexmark International, Inc. Class A (a)		12,961		480,075
NetApp, Inc. (a)		63,692		3,068,681
SanDisk Corp. (a)		40,180		1,851,896
Teradata Corp. (a)		28,077		1,423,504
Western Digital Corp. (a)		39,270		1,464,378
				132,573,959
Cosmetics & Personal Care — 1.9%
Avon Products, Inc.		75,715		2,047,334
Colgate-Palmolive Co.		84,797		6,848,206
The Estee Lauder Cos., Inc. Class A		19,495		1,878,538
The Procter & Gamble Co.		481,935		29,687,196
				40,461,274

	Number of Shares		Value
Distribution & Wholesale — 0.2%
Fastenal Co.		25,253	$	1,637,152
Genuine Parts Co.		26,629		1,428,379
W.W. Grainger, Inc.		9,844		1,355,322
				4,420,853
Diversified Financial — 5.2%
American Express Co.		180,626		8,164,295
Ameriprise Financial, Inc.		42,527		2,597,549
The Charles Schwab Corp.		170,774		3,079,055
Citigroup, Inc. (a)		5,008,937		22,139,502
CME Group, Inc.		11,521		3,474,158
Discover Financial Services		95,621		2,306,379
E*TRADE Financial Corp. (a)		35,601		556,444
Federated Investors, Inc. Class B		14,852		397,291
Franklin Resources, Inc.		24,692		3,088,475
The Goldman Sachs Group, Inc.		89,726		14,218,879
IntercontinentalExchange, Inc. (a)		13,004		1,606,514
Invesco Ltd.		81,660		2,087,230
Janus Capital Group, Inc.		31,664		394,850
JP Morgan Chase & Co.		686,375		31,641,887
Legg Mason, Inc.		26,737		964,938
Morgan Stanley		266,725		7,286,927
The NASDAQ OMX Group, Inc. (a)		25,428		657,060
NYSE Euronext		45,019		1,583,318
SLM Corp. (a)		89,685		1,372,181
T. Rowe Price Group, Inc.		44,282		2,941,210
				110,558,142
Electric — 2.9%
The AES Corp. (a)		110,450		1,435,850
Ameren Corp.		41,211		1,156,793
American Electric Power Co., Inc.		81,261		2,855,512
CenterPoint Energy, Inc.		71,698		1,259,017
CMS Energy Corp.		43,692		858,111
Consolidated Edison, Inc.		50,980		2,585,706
Constellation Energy Group, Inc.		35,849		1,115,979
Dominion Resources, Inc.		99,483		4,446,890
DTE Energy Co.		29,304		1,434,724
Duke Energy Corp.		227,856		4,135,586
Edison International		57,278		2,095,802
Entergy Corp.		31,530		2,119,131
Exelon Corp.		113,701		4,689,029
FirstEnergy Corp.		72,525		2,689,952
Integrys Energy Group, Inc.		12,932		653,195
NextEra Energy, Inc.		71,728		3,953,647
Northeast Utilities		30,287		1,047,930
NRG Energy, Inc. (a)		44,588		960,426
Pepco Holdings, Inc.		41,451		773,061
PG&E Corp.		68,751		3,037,419
Pinnacle West Capital Corp.		19,307		826,147
PPL Corp.		82,654		2,091,146
Progress Energy, Inc.		50,348		2,323,057
Public Service Enterprise Group, Inc.		87,756		2,765,192

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

63

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
SCANA Corp.		20,895	$	822,636
The Southern Co.		143,986		5,487,307
TECO Energy, Inc.		37,269		699,166
Wisconsin Energy Corp.		39,812		1,214,266
Xcel Energy, Inc.		82,881		1,980,027
				61,512,704
Electrical Components & Equipment — 0.4%
Emerson Electric Co.		130,212		7,608,287
Molex, Inc.		23,184		582,382
				8,190,669
Electronics — 0.4%
Agilent Technologies, Inc. (a)		58,510		2,620,078
Amphenol Corp. Class A		30,704		1,669,991
FLIR Systems, Inc.		28,779		996,041
Jabil Circuit, Inc.		31,415		641,809
PerkinElmer, Inc.		20,079		527,475
Waters Corp. (a)		15,357		1,334,523
				7,789,917
Energy – Alternate Sources — 0.1%
First Solar, Inc. (a)		9,258		1,489,057
Engineering & Construction — 0.2%
Fluor Corp.		30,114		2,218,197
Jacobs Engineering Group, Inc. (a)		22,818		1,173,530
				3,391,727
Entertainment — 0.0%
International Game Technology		49,360		801,113
Environmental Controls — 0.3%
Republic Services, Inc.		54,493		1,636,970
Stericycle, Inc. (a)		14,369		1,274,099
Waste Management, Inc.		82,660		3,086,524
				5,997,593
Foods — 1.8%
Campbell Soup Co.		31,248		1,034,621
ConAgra Foods, Inc.		74,406		1,767,143
Dean Foods Co. (a)		30,209		302,090
General Mills, Inc.		109,206		3,991,479
H.J. Heinz Co.		54,967		2,683,489
The Hershey Co.		27,368		1,487,451
Hormel Foods Corp.		24,032		669,051
The J.M. Smucker Co.		21,241		1,516,395
Kellogg Co.		43,566		2,351,693
Kraft Foods, Inc. Class A		301,700		9,461,312
The Kroger Co.		108,094		2,591,013
McCormick & Co., Inc.		22,621		1,081,962
Safeway, Inc.		65,694		1,546,437
Sara Lee Corp.		104,529		1,847,028
SUPERVALU, Inc.		36,009		321,560
Sysco Corp.		98,820		2,737,314
Tyson Foods, Inc. Class A		53,279		1,022,424
Whole Foods Market, Inc.		25,306		1,667,665
				38,080,127

	Number of Shares		Value
Forest Products & Paper — 0.3%
International Paper Co.		76,722	$	2,315,470
MeadWestvaco Corp.		30,419		922,608
Plum Creek Timber Co., Inc.		27,433		1,196,353
Weyerhaeuser Co.		93,416		2,298,034
				6,732,465
Gas — 0.2%
Nicor, Inc.		7,862		422,189
NiSource, Inc.		46,359		889,166
Sempra Energy		41,667		2,229,185
				3,540,540
Hand & Machine Tools — 0.1%
Snap-on, Inc.		10,043		603,183
Stanley Black & Decker, Inc.		29,479		2,258,091
				2,861,274
Health Care – Products — 3.1%
Baxter International, Inc.		99,189		5,333,393
Becton, Dickinson & Co.		38,032		3,028,108
Boston Scientific Corp. (a)		268,412		1,929,882
C.R. Bard, Inc.		14,474		1,437,413
CareFusion Corp. (a)		37,999		1,071,572
Covidien PLC		85,360		4,433,598
Edwards Lifesciences Corp. (a)		19,784		1,721,208
Intuitive Surgical, Inc. (a)		6,780		2,260,859
Johnson & Johnson		470,962		27,904,498
Medtronic, Inc.		184,994		7,279,514
St. Jude Medical, Inc.		55,333		2,836,370
Stryker Corp.		58,128		3,534,182
Varian Medical Systems, Inc. (a)		20,923		1,415,232
Zimmer Holdings, Inc. (a)		32,584		1,972,309
				66,158,138
Health Care – Services — 1.4%
Aetna, Inc.		65,522		2,452,489
CIGNA Corp.		47,202		2,090,105
Coventry Health Care, Inc. (a)		24,743		789,054
DaVita, Inc. (a)		16,414		1,403,561
Humana, Inc. (a)		28,617		2,001,473
Laboratory Corporation of America Holdings (a)		17,425		1,605,365
Quest Diagnostics, Inc.		26,899		1,552,610
Tenet Healthcare Corp. (a)		79,274		590,591
Thermo Fisher Scientific, Inc. (a)		67,389		3,743,459
UnitedHealth Group, Inc.		189,547		8,567,525
WellPoint, Inc.		64,623		4,510,039
				29,306,271
Holding Company – Diversified — 0.1%
Leucadia National Corp.		34,787		1,305,904

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

64

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Home Builders — 0.1%
D.R. Horton, Inc.		45,970	$	535,551
Lennar Corp. Class A		27,503		498,354
Pulte Group, Inc. (a)		53,055		392,607
				1,426,512
Home Furnishing — 0.1%
Harman International Industries, Inc.		11,461		536,604
Whirlpool Corp.		13,782		1,176,432
				1,713,036
Household Products — 0.4%
Avery Dennison Corp.		18,538		777,855
The Clorox Co.		23,419		1,640,969
Fortune Brands, Inc.		27,018		1,672,144
Kimberly-Clark Corp.		70,001		4,568,965
				8,659,933
Housewares — 0.0%
Newell Rubbermaid, Inc.		52,440		1,003,177
Insurance — 3.8%
ACE Ltd.		57,994		3,752,212
Aflac, Inc.		81,981		4,326,957
The Allstate Corp.		90,395		2,872,753
American International Group, Inc. (a)		24,389		857,030
Aon Corp.		58,031		3,073,322
Assurant, Inc.		17,112		658,983
Berkshire Hathaway, Inc. Class B (a)		298,148		24,934,117
The Chubb Corp.		50,299		3,083,832
Cincinnati Financial Corp.		27,466		900,885
Genworth Financial, Inc. Class A (a)		80,890		1,088,779
The Hartford Financial Services Group, Inc.		75,871		2,043,206
Lincoln National Corp.		54,541		1,638,412
Loews Corp.		55,176		2,377,534
Marsh & McLennan Cos., Inc.		93,105		2,775,460
MetLife, Inc.		182,414		8,159,378
Principal Financial Group, Inc.		56,783		1,823,302
The Progressive Corp.		114,161		2,412,222
Prudential Financial, Inc.		84,240		5,187,499
Torchmark Corp.		14,063		934,908
The Travelers Cos., Inc.		73,967		4,399,557
Unum Group		51,432		1,350,090
XL Group PLC		52,851		1,300,135
				79,950,573
Internet — 2.8%
Akamai Technologies, Inc. (a)		31,325		1,190,350
Amazon.com, Inc. (a)		61,490		11,076,194
eBay, Inc. (a)		196,783		6,108,144
Expedia, Inc.		35,309		800,102
F5 Networks, Inc. (a)		13,781		1,413,517
Google, Inc. Class A (a)		43,225		25,338,927
Netflix, Inc. (a)		7,391		1,754,106

	Number of Shares		Value
Priceline.com, Inc. (a)		8,439	$	4,273,847
Symantec Corp. (a)		128,723		2,386,525
VeriSign, Inc.		29,311		1,061,351
Yahoo!, Inc. (a)		226,728		3,775,021
				59,178,084
Iron & Steel — 0.4%
AK Steel Holding Corp.		17,897		282,415
Allegheny Technologies, Inc.		16,415		1,111,624
Cliffs Natural Resources, Inc.		23,394		2,299,162
Nucor Corp.		54,977		2,530,042
United States Steel Corp.		24,809		1,338,197
				7,561,440
Leisure Time — 0.2%
Carnival Corp.		73,562		2,821,838
Harley-Davidson, Inc.		41,908		1,780,671
				4,602,509
Lodging — 0.3%
Marriott International, Inc. Class A		51,340		1,826,677
Starwood Hotels & Resorts Worldwide, Inc.		33,516		1,947,950
Wyndham Worldwide Corp.		29,437		936,391
Wynn Resorts Ltd.		12,789		1,627,400
				6,338,418
Machinery – Construction & Mining — 0.8%
Caterpillar, Inc.		110,285		12,280,235
Ingersoll-Rand PLC		57,432		2,774,540
Joy Global, Inc.		17,576		1,736,684
				16,791,459
Machinery – Diversified — 0.9%
Cummins, Inc.		33,655		3,689,261
Deere & Co.		73,154		7,087,891
Eaton Corp.		57,794		3,204,100
Flowserve Corp.		9,295		1,197,196
Rockwell Automation, Inc.		24,868		2,353,756
Roper Industries, Inc.		16,428		1,420,365
				18,952,569
Manufacturing — 3.7%
3M Co.		122,325		11,437,387
Danaher Corp.		91,922		4,770,752
Dover Corp.		32,685		2,148,712
General Electric Co.		1,830,911		36,709,766
Honeywell International, Inc.		135,178		8,071,478
Illinois Tool Works, Inc.		85,771		4,607,618
ITT Corp.		32,485		1,950,724
Leggett & Platt, Inc.		24,917		610,467
Pall Corp.		19,720		1,136,069
Parker Hannifin Corp.		28,307		2,680,107
Textron, Inc.		49,561		1,357,476
Tyco International Ltd.		81,956		3,669,170
				79,149,726

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

65

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Media — 3.1%
Cablevision Systems Corp. Class A		40,906	$	1,415,757
CBS Corp. Class B		114,033		2,855,386
Comcast Corp. Class A		479,599		11,855,687
DIRECTV Class A (a)		137,300		6,425,640
Discovery Communications, Inc. Series A (a)		49,292		1,966,751
Gannett Co., Inc.		39,373		599,651
The McGraw-Hill Cos., Inc.		52,525		2,069,485
News Corp. Class A		391,066		6,867,119
Scripps Networks Interactive Class A		15,189		760,817
Time Warner Cable, Inc.		58,547		4,176,743
Time Warner, Inc.		187,378		6,689,395
Viacom, Inc. Class B		101,945		4,742,481
The Walt Disney Co.		328,410		14,151,187
The Washington Post Co. Class B		1,024		448,061
				65,024,160
Metal Fabricate & Hardware — 0.2%
Precision Castparts Corp.		24,823		3,653,449
Mining — 0.9%
Alcoa, Inc.		184,799		3,261,702
Freeport-McMoRan Copper & Gold, Inc.		163,087		9,059,483
Newmont Mining Corp.		85,534		4,668,446
Titanium Metals Corp. (a)		13,316		247,411
Vulcan Materials Co.		22,048		1,005,389
				18,242,431
Office Equipment/Supplies — 0.2%
Pitney Bowes, Inc.		34,507		886,485
Xerox Corp.		246,277		2,622,850
				3,509,335
Oil & Gas — 10.2%
Anadarko Petroleum Corp.		85,016		6,964,511
Apache Corp.		66,269		8,675,938
Cabot Oil & Gas Corp.		17,276		915,110
Chesapeake Energy Corp.		113,368		3,800,095
Chevron Corp.		345,494		37,116,420
ConocoPhillips		246,048		19,649,393
Denbury Resources, Inc. (a)		70,651		1,723,884
Devon Energy Corp.		73,899		6,781,711
Diamond Offshore Drilling, Inc.		11,619		902,796
EOG Resources, Inc.		46,151		5,469,355
EQT Corp.		26,821		1,338,368
Exxon Mobil Corp.		854,149		71,859,555
Helmerich & Payne, Inc.		19,047		1,308,338
Hess Corp.		51,598		4,396,666
Marathon Oil Corp.		122,773		6,545,029
Murphy Oil Corp.		33,474		2,457,661
Nabors Industries Ltd. (a)		47,321		1,437,612
Newfield Exploration Co. (a)		22,816		1,734,244
Noble Corp.		43,560		1,987,207
Noble Energy, Inc.		29,865		2,886,452

	Number of Shares		Value
Occidental Petroleum Corp.		139,871	$	14,615,121
Pioneer Natural Resources Co.		20,479		2,087,220
QEP Resources, Inc.		31,666		1,283,740
Range Resources Corp.		26,917		1,573,568
Rowan Companies, Inc. (a)		21,395		945,231
Southwestern Energy Co. (a)		59,240		2,545,543
Sunoco, Inc.		21,864		996,780
Tesoro Corp. (a)		23,136		620,739
Valero Energy Corp.		99,190		2,957,846
				215,576,133
Oil & Gas Services — 2.1%
Baker Hughes, Inc.		75,016		5,508,425
Cameron International Corp. (a)		42,491		2,426,236
FMC Technologies, Inc. (a)		20,117		1,900,654
Halliburton Co.		157,743		7,861,911
National Oilwell Varco, Inc.		72,680		5,761,344
Schlumberger Ltd.		234,536		21,872,827
				45,331,397
Packaging & Containers — 0.1%
Ball Corp.		28,379		1,017,387
Bemis Co., Inc.		18,226		597,995
Owens-IIlinois, Inc. (a)		27,885		841,848
Sealed Air Corp.		26,365		702,891
				3,160,121
Pharmaceuticals — 5.0%
Abbott Laboratories		266,814		13,087,227
Allergan, Inc.		52,078		3,698,580
AmerisourceBergen Corp.		48,338		1,912,251
Bristol-Myers Squibb Co.		293,260		7,750,862
Cardinal Health, Inc.		60,441		2,485,938
Cephalon, Inc. (a)		12,793		969,454
DENTSPLY International, Inc.		25,163		930,779
Eli Lilly & Co.		175,079		6,157,528
Express Scripts, Inc. (a)		91,387		5,082,031
Forest Laboratories, Inc. (a)		50,577		1,633,637
Gilead Sciences, Inc. (a)		136,310		5,784,996
Hospira, Inc. (a)		29,167		1,610,018
Mead Johnson Nutrition Co.		35,807		2,074,300
Medco Health Solutions, Inc. (a)		69,861		3,923,394
Merck & Co., Inc.		531,057		17,530,192
Mylan, Inc. (a)		74,606		1,691,318
Patterson Cos., Inc.		15,761		507,347
Pfizer, Inc.		1,377,624		27,979,543
Watson Pharmaceuticals, Inc. (a)		21,433		1,200,462
				106,009,857
Pipelines — 0.4%
El Paso Corp.		123,439		2,221,902
ONEOK, Inc.		18,998		1,270,586
Spectra Energy Corp.		110,508		3,003,607
The Williams Cos., Inc.		101,658		3,169,697
				9,665,792

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

66

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Real Estate — 0.1%
CB Richard Ellis Group, Inc. Class A (a)		50,806	$	1,356,520
Real Estate Investment Trusts (REITS) — 1.3%
Apartment Investment & Management Co. Class A		19,713		502,090
AvalonBay Communities, Inc.		15,006		1,801,920
Boston Properties, Inc.		24,659		2,338,906
Equity Residential		51,407		2,899,869
HCP, Inc.		69,089		2,621,237
Health Care REIT, Inc.		30,921		1,621,497
Host Hotels & Resorts, Inc.		118,644		2,089,321
Kimco Realty Corp.		68,239		1,251,503
ProLogis		95,695		1,529,206
Public Storage		23,726		2,631,451
Simon Property Group, Inc.		51,335		5,501,059
Ventas, Inc.		27,807		1,509,920
Vornado Realty Trust		27,756		2,428,650
				28,726,629
Retail — 5.6%
Abercrombie & Fitch Co. Class A		14,650		859,955
AutoNation, Inc. (a)		11,083		392,006
AutoZone, Inc. (a)		4,520		1,236,491
Bed Bath & Beyond, Inc. (a)		44,469		2,146,519
Best Buy Co., Inc.		55,555		1,595,540
Big Lots, Inc. (a)		13,736		596,555
CarMax, Inc. (a)		37,582		1,206,382
Coach, Inc.		50,416		2,623,649
Costco Wholesale Corp.		75,503		5,535,880
CVS Caremark Corp.		235,916		8,096,637
Darden Restaurants, Inc.		24,136		1,185,802
Family Dollar Stores, Inc.		21,501		1,103,431
GameStop Corp. Class A (a)		27,582		621,147
The Gap, Inc.		76,332		1,729,683
The Home Depot, Inc.		282,721		10,477,640
J.C. Penney Co., Inc.		41,927		1,505,599
Kohl’s Corp.		49,771		2,639,854
Limited Brands, Inc.		45,168		1,485,124
Lowe’s Cos., Inc.		238,486		6,303,185
Macy’s, Inc.		72,437		1,757,322
McDonald’s Corp.		179,790		13,680,221
Nordstrom, Inc.		28,697		1,287,921
O’Reilly Automotive, Inc. (a)		24,620		1,414,665
Polo Ralph Lauren Corp.		10,999		1,360,026
RadioShack Corp.		20,944		314,369
Ross Stores, Inc.		20,668		1,469,908
Sears Holdings Corp. (a)		7,970		658,721
Staples, Inc.		123,570		2,399,729
Starbucks Corp.		129,276		4,776,748
Target Corp.		121,067		6,054,561
Tiffany & Co.		22,144		1,360,527
The TJX Cos., Inc.		68,976		3,430,177
Urban Outfitters, Inc. (a)		21,610		644,626

	Number of Shares		Value
Wal-Mart Stores, Inc.		337,649	$	17,574,630
Walgreen Co.		158,188		6,349,666
Yum! Brands, Inc.		79,737		4,096,887
				119,971,783
Savings & Loans — 0.1%
Hudson City Bancorp, Inc.		90,752		878,479
People’s United Financial, Inc.		61,903		778,740
				1,657,219
Semiconductors — 2.4%
Advanced Micro Devices, Inc. (a)		93,498		804,083
Altera Corp.		55,351		2,436,551
Analog Devices, Inc.		52,556		2,069,655
Applied Materials, Inc.		226,613		3,539,695
Broadcom Corp. Class A		81,995		3,228,963
Intel Corp.		943,496		19,030,314
KLA-Tencor Corp.		27,691		1,311,723
Linear Technology Corp.		40,385		1,358,147
LSI Corp. (a)		110,067		748,456
MEMC Electronic Materials, Inc. (a)		37,281		483,162
Microchip Technology, Inc.		33,852		1,286,714
Micron Technology, Inc. (a)		152,107		1,743,146
National Semiconductor Corp.		38,467		551,617
Novellus Systems, Inc. (a)		16,197		601,395
NVIDIA Corp. (a)		101,774		1,878,748
Teradyne, Inc. (a)		30,417		541,727
Texas Instruments, Inc.		202,619		7,002,513
Xilinx, Inc.		46,296		1,518,509
				50,135,118
Shipbuilding — 0.0%
Huntington Ingalls Industries, Inc. (a)		423		17,541
Software — 3.7%
Adobe Systems, Inc. (a)		85,572		2,837,567
Autodesk, Inc. (a)		38,101		1,680,635
BMC Software, Inc. (a)		30,144		1,499,363
CA, Inc.		65,759		1,590,053
Cerner Corp. (a)		12,691		1,411,239
Citrix Systems, Inc. (a)		32,552		2,391,270
Compuware Corp. (a)		40,285		465,292
Dun & Bradstreet Corp.		8,020		643,525
Electronic Arts, Inc. (a)		59,343		1,158,969
Fidelity National Information Services, Inc.		46,701		1,526,656
Fiserv, Inc. (a)		25,318		1,587,945
Intuit, Inc. (a)		47,014		2,496,443
Microsoft Corp.		1,275,234		32,339,934
Novell, Inc. (a)		58,378		346,182
Oracle Corp.		671,042		22,392,671
Red Hat, Inc. (a)		33,615		1,525,785
Salesforce.com, Inc. (a)		20,475		2,735,050
				78,628,579

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

67

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Telecommunications — 5.2%
American Tower Corp. Class A (a)		69,668	$	3,610,196
AT&T, Inc.		1,019,248		31,188,989
CenturyLink, Inc.		52,243		2,170,697
Cisco Systems, Inc.		953,161		16,346,711
Corning, Inc.		270,656		5,583,633
Frontier Communications Corp.		168,476		1,384,873
Harris Corp.		21,747		1,078,651
JDS Uniphase Corp. (a)		37,430		780,041
Juniper Networks, Inc. (a)		92,599		3,896,566
MetroPCS Communications, Inc. (a)		42,232		685,848
Motorola Mobility Holdings, Inc. (a)		50,612		1,234,933
Motorola Solutions, Inc. (a)		57,842		2,584,959
QUALCOMM, Inc.		283,580		15,548,691
Qwest Communications International, Inc.		296,231		2,023,258
Sprint Nextel Corp. (a)		509,810		2,365,518
Tellabs, Inc.		66,098		346,354
Verizon Communications, Inc.		488,404		18,823,090
Windstream Corp.		83,736		1,077,682
				110,730,690
Textiles — 0.0%
Cintas Corp.		21,924		663,639
Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		23,277		1,090,294
Mattel, Inc.		58,917		1,468,801
				2,559,095
Transportation — 1.9%
C.H. Robinson Worldwide, Inc.		29,248		2,168,154
CSX Corp.		64,272		5,051,779
Expeditors International of Washington, Inc.		37,285		1,869,470
FedEx Corp.		54,311		5,080,794
Norfolk Southern Corp.		60,942		4,221,453
Ryder System, Inc.		8,537		431,972
Union Pacific Corp.		84,119		8,271,421
United Parcel Service, Inc. Class B		169,646		12,608,091
				39,703,134
TOTAL COMMON STOCK (Cost $1,756,367,826)				2,080,830,160
TOTAL EQUITIES (Cost $1,756,367,826)				2,080,830,160
TOTAL LONG-TERM INVESTMENTS (Cost $1,756,367,826)				2,080,830,160

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.0%
Repurchase Agreement — 1.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	38,296,875	$	38,296,875
U.S. Treasury Bills — 0.2%
U.S. Treasury Bill (c) 0.095% 5/05/11		150,000		149,987
U.S. Treasury Bill (c) 0.100% 5/05/11		110,000		109,990
U.S. Treasury Bill (c) 0.105% 5/05/11		10,000		9,999
U.S. Treasury Bill (c) 0.110% 5/05/11		150,000		149,984
U.S. Treasury Bill (c) 0.115% 5/05/11		70,000		69,992
U.S. Treasury Bill (c) 0.137% 5/05/11		500,000		499,871
U.S. Treasury Bill (c) 0.140% 5/05/11		305,000		304,960
U.S. Treasury Bill (c) 0.143% 5/05/11		65,000		64,991
U.S. Treasury Bill (c) 0.143% 5/05/11		500,000		499,933
U.S. Treasury Bill (c) 0.146% 5/05/11		50,000		49,993
U.S. Treasury Bill (c) 0.150% 5/05/11		90,000		89,987
U.S. Treasury Bill (c) 0.150% 5/05/11		735,000		734,896
U.S. Treasury Bill (c) 0.155% 5/05/11		50,000		49,993
U.S. Treasury Bill (c) 0.170% 5/05/11		1,520,000		1,519,756
U.S. Treasury Bill (c) 0.173% 5/05/11		110,000		109,982
U.S. Treasury Bill (c) 0.183% 5/05/11		300,000		299,948
				4,714,262
TOTAL SHORT-TERM INVESTMENTS (Cost $43,011,137)				43,011,137
TOTAL INVESTMENTS — 100.1% (Cost $1,799,378,963) (d)				2,123,841,297
Other Assets/(Liabilities) — (0.1)%				(1,365,306	)
NET ASSETS — 100.0%			$	2,122,475,991

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

68

MassMutual Select Indexed Equity Fund – Portfolio of Investments (Continued)

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $38,296,886. Collateralized by U.S. Government Agency obligations with a rate of 3.000%, maturity date of 11/25/40, and an aggregate market value, including accrued interest, of $39,066,988.

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

(d) See Note 3 for aggregate cost for federal tax purposes.

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

69

MassMutual Select Core Opportunities Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.4%
COMMON STOCK — 99.4%
Advertising — 0.9%
Omnicom Group, Inc.		13,370	$	655,932
Aerospace & Defense — 2.1%
The Boeing Co.		13,700		1,012,841
Raytheon Co.		9,500		483,265
				1,496,106
Agriculture — 1.0%
Philip Morris International, Inc.		10,710		702,897
Airlines — 0.7%
Southwest Airlines Co.		36,400		459,732
Auto Manufacturers — 2.3%
Ford Motor Co. (a)		81,570		1,216,209
Paccar, Inc.		7,300		382,155
				1,598,364
Automotive & Parts — 1.1%
Autoliv, Inc.		3,160		234,567
Johnson Controls, Inc.		12,000		498,840
				733,407
Banks — 3.4%
Bank of America Corp.		55,420		738,749
Capital One Financial Corp.		13,120		681,715
Wells Fargo & Co.		31,180		988,406
				2,408,870
Beverages — 2.6%
Anheuser-Busch InBev NV Sponsored ADR (Belgium)		9,600		548,832
Dr. Pepper Snapple Group, Inc.		14,200		527,672
PepsiCo, Inc.		11,750		756,817
				1,833,321
Biotechnology — 0.9%
Dendreon Corp. (a)		3,960		148,223
Human Genome Sciences, Inc. (a)		13,120		360,144
Vertex Pharmaceuticals, Inc. (a)		2,600		124,618
				632,985
Chemicals — 1.7%
CF Industries Holdings, Inc.		1,200		164,148
E.I. du Pont de Nemours & Co.		7,780		427,667
Ecolab, Inc.		5,300		270,406
Monsanto Co.		4,498		325,025
				1,187,246
Coal — 0.5%
Alpha Natural Resources, Inc. (a)		6,180		366,907

	Number of Shares		Value
Commercial Services — 2.2%
Iron Mountain, Inc.		8,500	$	265,455
McKesson Corp.		6,820		539,121
Paychex, Inc.		11,958		375,003
Western Union Co.		18,774		389,936
				1,569,515
Computers — 5.7%
Apple, Inc. (a)		3,820		1,331,079
EMC Corp. (a)		13,180		349,929
Hewlett-Packard Co.		19,600		803,012
International Business Machines Corp.		6,870		1,120,291
NetApp, Inc. (a)		3,400		163,812
Teradata Corp. (a)		4,718		239,202
				4,007,325
Diversified Financial — 6.5%
American Express Co.		8,220		371,544
The Charles Schwab Corp.		46,991		847,248
Citigroup, Inc. (a)		170,560		753,875
Invesco Ltd.		10,336		264,188
JP Morgan Chase & Co.		34,910		1,609,351
Morgan Stanley		26,800		732,176
				4,578,382
Electric — 1.5%
American Electric Power Co., Inc.		5,510		193,621
Entergy Corp.		3,940		264,808
NextEra Energy, Inc.		4,640		255,757
Public Service Enterprise Group, Inc.		11,700		368,667
				1,082,853
Electrical Components & Equipment — 0.6%
Energizer Holdings, Inc. (a)		5,470		389,245
Electronics — 0.3%
Thomas & Betts Corp. (a)		3,770		224,202
Engineering & Construction — 1.2%
ABB Ltd. Sponsored ADR (Switzerland) (a)		34,600		836,974
Environmental Controls — 0.3%
Waste Management, Inc.		6,100		227,774
Foods — 3.3%
Kraft Foods, Inc. Class A		21,470		673,299
Nestle SA Sponsored ADR (Switzerland)		13,175		757,299
Unilever PLC Sponsored ADR (United Kingdom)		27,920		854,911
				2,285,509
Forest Products & Paper — 0.8%
International Paper Co.		19,600		591,528

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

70

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

	Number of Shares		Value
Hand & Machine Tools — 0.3%
Stanley Black & Decker, Inc.		2,700	$	206,820
Health Care – Products — 3.5%
Boston Scientific Corp. (a)		45,300		325,707
Covidien PLC		9,060		470,576
Johnson & Johnson		4,000		237,000
Medtronic, Inc.		21,800		857,830
St. Jude Medical, Inc.		7,010		359,333
Zimmer Holdings, Inc. (a)		3,900		236,067
				2,486,513
Health Care – Services — 1.1%
CIGNA Corp.		9,860		436,601
HCA Holdings, Inc. (a)		10,780		365,118
				801,719
Home Builders — 0.4%
Toll Brothers, Inc. (a)		13,398		264,878
Housewares — 1.0%
Newell Rubbermaid, Inc.		37,370		714,888
Insurance — 3.8%
Aflac, Inc.		4,530		239,093
The Chubb Corp.		5,700		349,467
The Hartford Financial Services Group, Inc.		9,250		249,103
Lincoln National Corp.		15,680		471,027
MetLife, Inc.		30,744		1,375,179
				2,683,869
Internet — 2.8%
Amazon.com, Inc. (a)		1,150		207,150
Google, Inc. Class A (a)		3,020		1,770,354
				1,977,504
Iron & Steel — 1.0%
Nucor Corp.		15,737		724,217
Leisure Time — 0.4%
Carnival Corp.		7,330		281,179
Machinery – Construction & Mining — 2.3%
Caterpillar, Inc.		6,590		733,797
Ingersoll-Rand PLC		18,730		904,846
				1,638,643
Machinery – Diversified — 0.5%
Cummins, Inc.		3,180		348,592
Manufacturing — 2.8%
Dover Corp.		8,110		533,151
General Electric Co.		44,560		893,428
Textron, Inc.		12,290		336,623
Tyco International Ltd.		4,670		209,076
				1,972,278

	Number of Shares		Value
Media — 2.5%
DIRECTV Class A (a)		9,770	$	457,236
News Corp. Class A		51,170		898,545
Time Warner, Inc.		10,540		376,278
				1,732,059
Oil & Gas — 9.6%
Anadarko Petroleum Corp.		13,358		1,094,287
Apache Corp.		7,180		940,006
Chevron Corp.		9,550		1,025,956
Ensco PLC Sponsored ADR (United Kingdom)		12,140		702,178
Exxon Mobil Corp.		17,200		1,447,036
Hess Corp.		6,140		523,189
Occidental Petroleum Corp.		6,730		703,218
Valero Energy Corp.		10,080		300,586
				6,736,456
Oil & Gas Services — 4.4%
Cameron International Corp. (a)		3,420		195,282
Halliburton Co.		24,127		1,202,490
National Oilwell Varco, Inc.		3,380		267,932
Schlumberger Ltd.		15,312		1,427,997
				3,093,701
Pharmaceuticals — 5.3%
Gilead Sciences, Inc. (a)		6,380		270,767
Merck & Co., Inc.		24,100		795,541
Pfizer, Inc.		120,510		2,447,558
Warner Chilcott PLC Class A		7,610		177,161
				3,691,027
Retail — 4.0%
Lowe’s Cos., Inc.		37,200		983,196
Staples, Inc.		30,700		596,194
Target Corp.		20,991		1,049,760
Walgreen Co.		4,320		173,405
				2,802,555
Software — 6.6%
Allscripts Healthcare Solutions, Inc. (a)		12,640		265,313
Autodesk, Inc. (a)		9,500		419,045
BMC Software, Inc. (a)		9,940		494,415
Electronic Arts, Inc. (a)		9,320		182,020
Informatica Corp. (a)		5,690		297,189
Microsoft Corp.		54,027		1,370,125
Oracle Corp.		47,299		1,578,368
				4,606,475
Telecommunications — 5.7%
Alcatel-Lucent Sponsored ADR (France) (a)		55,460		322,223
American Tower Corp. Class A (a)		8,700		450,834
AT&T, Inc.		29,290		896,274

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

71

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

	Number of Shares		Value
Cisco Systems, Inc.		55,000	$	943,250
Motorola Mobility Holdings, Inc. (a)		2,816		68,710
Motorola Solutions, Inc. (a)		3,218		143,813
QUALCOMM, Inc.		21,140		1,159,106
				3,984,210
Toys, Games & Hobbies — 0.6%
Mattel, Inc.		16,110		401,622
Transportation — 1.2%
Norfolk Southern Corp.		4,660		322,798
United Parcel Service, Inc. Class B		7,200		535,104
				857,902
TOTAL COMMON STOCK (Cost $61,052,546)				69,876,181
TOTAL EQUITIES (Cost $61,052,546)				69,876,181
TOTAL LONG-TERM INVESTMENTS (Cost $61,052,546)				69,876,181
	Principal Amount
SHORT-TERM INVESTMENTS — 1.0%
Repurchase Agreement — 1.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	727,809		727,809
TOTAL SHORT-TERM INVESTMENTS (Cost $727,809)				727,809
TOTAL INVESTMENTS — 100.4% (Cost $61,780,355) (c)				70,603,990
Other Assets/(Liabilities) — (0.4)%				(302,352	)
NET ASSETS — 100.0%			$	70,301,638

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $727,809. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 4.000%, maturity dates ranging from 8/15/39 – 11/25/40, and an aggregate market value, including accrued interest, of $745,428.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

72

MassMutual Select Blue Chip Growth Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.8%
COMMON STOCK — 98.8%
Advertising — 0.6%
Omnicom Group, Inc.		62,900	$	3,085,874
Aerospace & Defense — 1.1%
The Boeing Co.		11,800		872,374
United Technologies Corp.		64,200		5,434,530
				6,306,904
Apparel — 0.6%
Nike, Inc. Class B		44,900		3,398,930
Auto Manufacturers — 0.1%
General Motors Co. (a)		19,000		589,570
Automotive & Parts — 0.7%
Johnson Controls, Inc.		89,400		3,716,358
Banks — 1.7%
Northern Trust Corp.		26,500		1,344,875
PNC Financial Services Group, Inc.		1,800		113,382
State Street Corp.		20,600		925,764
U.S. Bancorp		108,200		2,859,726
Wells Fargo & Co.		138,500		4,390,450
				9,634,197
Beverages — 0.1%
The Coca-Cola Co.		5,600		371,560
InBev NV		1,500		85,563
PepsiCo, Inc.		2,500		161,025
				618,148
Biotechnology — 1.2%
Amgen, Inc. (a)		400		21,380
Celgene Corp. (a)		103,200		5,937,096
Vertex Pharmaceuticals, Inc. (a)		19,800		949,014
				6,907,490
Chemicals — 3.7%
Air Products & Chemicals, Inc.		31,700		2,858,706
Monsanto Co.		21,100		1,524,686
The Mosaic Co.		900		70,875
Potash Corp. of Saskatchewan, Inc.		57,000		3,359,010
Praxair, Inc.		116,900		11,877,040
The Sherwin-Williams Co.		6,600		554,334
				20,244,651
Coal — 1.0%
Peabody Energy Corp.		74,600		5,368,216
Commercial Services — 4.7%
Automatic Data Processing, Inc.		4,500		230,895
MasterCard, Inc. Class A		33,600		8,457,792
McKesson Corp.		107,400		8,489,970
Visa, Inc. Class A		80,900		5,955,858
Western Union Co.		138,600		2,878,722
				26,013,237

	Number of Shares		Value
Computers — 9.7%
Accenture PLC Class A		99,800	$	5,486,006
Apple, Inc. (a)		114,300		39,827,835
EMC Corp. (a)		201,900		5,360,445
Hewlett-Packard Co.		4,000		163,880
International Business Machines Corp.		16,000		2,609,120
NetApp, Inc. (a)		3,000		144,540
				53,591,826
Cosmetics & Personal Care — 0.0%
The Procter & Gamble Co.		1,200		73,920
Distribution & Wholesale — 1.5%
Fastenal Co.		88,200		5,718,006
Fossil, Inc. (a)		1,200		112,380
W.W. Grainger, Inc.		19,200		2,643,456
				8,473,842
Diversified Financial — 8.4%
American Express Co.		120,800		5,460,160
Ameriprise Financial, Inc.		53,900		3,292,212
The Charles Schwab Corp.		58,000		1,045,740
CME Group, Inc.		600		180,930
Credit Suisse Group		5,200		220,975
Franklin Resources, Inc.		102,000		12,758,160
The Goldman Sachs Group, Inc.		17,900		2,836,613
IntercontinentalExchange, Inc. (a)		37,000		4,570,980
Invesco Ltd.		184,000		4,703,040
JP Morgan Chase & Co.		195,800		9,026,380
NYSE Euronext		42,400		1,491,208
TD Ameritrade Holding Corp.		31,200		651,144
				46,237,542
Electrical Components & Equipment — 0.9%
Emerson Electric Co.		83,600		4,884,748
Engineering & Construction — 0.2%
McDermott International, Inc. (a)		44,600		1,132,394
Foods — 0.2%
Whole Foods Market, Inc.		14,500		955,550
Hand & Machine Tools — 0.5%
Stanley Black & Decker, Inc.		33,300		2,550,780
Health Care – Products — 1.2%
Edwards Lifesciences Corp. (a)		14,200		1,235,400
Intuitive Surgical, Inc. (a)		500		166,730
Stryker Corp.		86,800		5,277,440
				6,679,570
Health Care – Services — 0.2%
Thermo Fisher Scientific, Inc. (a)		15,100		838,805
Insurance — 0.5%
Prudential Financial, Inc.		40,700		2,506,306

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

73

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

	Number of Shares		Value
Internet — 15.3%
Amazon.com, Inc. (a)		124,500	$	22,426,185
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		80,200		11,052,362
eBay, Inc. (a)		135,200		4,196,608
Facebook, Inc.		78,056		1,951,400
Google, Inc. Class A (a)		46,500		27,258,765
Liberty Media Corp. – Interactive Class A (a)		209,600		3,361,984
Netflix, Inc. (a)		500		118,665
Priceline.com, Inc. (a)		15,900		8,052,396
Tencent Holdings Ltd.		240,600		5,845,950
				84,264,315
Leisure Time — 1.1%
Carnival Corp.		164,900		6,325,564
Lodging — 3.0%
Las Vegas Sands Corp. (a)		89,300		3,770,246
Marriott International, Inc. Class A		192,790		6,859,468
Starwood Hotels & Resorts Worldwide, Inc.		79,500		4,620,540
Wynn Resorts Ltd.		10,300		1,310,675
				16,560,929
Machinery – Construction & Mining — 0.3%
Caterpillar, Inc.		1,000		111,350
Joy Global, Inc.		16,700		1,650,127
				1,761,477
Machinery – Diversified — 1.7%
Cummins, Inc.		3,100		339,822
Deere & Co.		27,800		2,693,542
Eaton Corp.		20,200		1,119,888
Rockwell Automation, Inc.		38,400		3,634,560
Roper Industries, Inc.		15,700		1,357,422
				9,145,234
Manufacturing — 5.6%
3M Co.		72,000		6,732,000
Danaher Corp.		371,800		19,296,420
Honeywell International, Inc.		76,400		4,561,844
Illinois Tool Works, Inc.		3,500		188,020
				30,778,284
Media — 2.1%
Discovery Communications, Inc. Series C (a)		78,400		2,760,464
Time Warner, Inc.		22,233		793,718
The Walt Disney Co.		182,200		7,850,998
				11,405,180
Metal Fabricate & Hardware — 1.4%
Precision Castparts Corp.		50,800		7,476,744

	Number of Shares		Value
Mining — 0.3%
Freeport-McMoRan Copper & Gold, Inc.		34,700	$	1,927,585
Oil & Gas — 2.8%
Cimarex Energy Co.		10,700		1,233,068
Concho Resources, Inc. (a)		21,800		2,339,140
EOG Resources, Inc.		48,500		5,747,735
Exxon Mobil Corp.		1,100		92,543
Occidental Petroleum Corp.		31,000		3,239,190
Range Resources Corp.		36,900		2,157,174
Suncor Energy, Inc.		20,700		928,188
				15,737,038
Oil & Gas Services — 5.0%
Cameron International Corp. (a)		82,700		4,722,170
FMC Technologies, Inc. (a)		36,600		3,457,968
Halliburton Co.		62,700		3,124,968
National Oilwell Varco, Inc.		6,800		539,036
Schlumberger Ltd.		170,200		15,872,852
				27,716,994
Pharmaceuticals — 3.1%
Allergan, Inc.		55,900		3,970,018
Cardinal Health, Inc.		53,900		2,216,907
Express Scripts, Inc. (a)		183,600		10,209,996
Shire PLC Sponsored ADR (United Kingdom)		9,200		801,320
				17,198,241
Real Estate — 0.6%
CB Richard Ellis Group, Inc. Class A (a)		115,900		3,094,530
Retail — 5.7%
Bed Bath & Beyond, Inc. (a)		79,400		3,832,638
CarMax, Inc. (a)		26,800		860,280
Chipotle Mexican Grill, Inc. (a)		3,600		980,532
Coach, Inc.		79,000		4,111,160
Costco Wholesale Corp.		3,400		249,288
Dollar Tree, Inc. (a)		6,100		338,672
Kohl’s Corp.		4,500		238,680
McDonald’s Corp.		55,600		4,230,604
O’Reilly Automotive, Inc. (a)		68,500		3,936,010
Polo Ralph Lauren Corp.		24,800		3,066,520
Starbucks Corp.		238,200		8,801,490
Tiffany & Co.		14,800		909,312
				31,555,186
Semiconductors — 1.9%
Altera Corp.		39,700		1,747,594
Broadcom Corp. Class A		124,100		4,887,058
Marvell Technology Group Ltd. (a)		3,200		49,760
Xilinx, Inc.		119,000		3,903,200
				10,587,612

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

74

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

	Number of Shares		Value
Software — 0.6%
Autodesk, Inc. (a)		19,400	$	855,734
Cerner Corp. (a)		2,300		255,760
Fiserv, Inc. (a)		11,100		696,192
Intuit, Inc. (a)		18,000		955,800
Microsoft Corp.		17,300		438,728
Salesforce.com, Inc. (a)		2,400		320,592
				3,522,806
Telecommunications — 6.4%
American Tower Corp. Class A (a)		169,900		8,804,218
Corning, Inc.		240,100		4,953,263
Juniper Networks, Inc. (a)		208,700		8,782,096
QUALCOMM, Inc.		238,800		13,093,404
				35,632,981
Toys, Games & Hobbies — 0.1%
Mattel, Inc.		27,000		673,110
Transportation — 3.0%
Expeditors International of Washington, Inc.		64,300		3,224,002
FedEx Corp.		69,700		6,520,435
Union Pacific Corp.		70,500		6,932,265
				16,676,702
TOTAL COMMON STOCK (Cost $409,155,042)				545,849,370
TOTAL EQUITIES (Cost $409,155,042)				545,849,370
MUTUAL FUNDS — 0.0%
Diversified Financial — 0.0%
T. Rowe Price Reserve Investment Fund		1,600		1,600
TOTAL MUTUAL FUNDS (Cost $1,600)				1,600
TOTAL LONG-TERM INVESTMENTS (Cost $409,156,642)				545,850,970

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.0%
Repurchase Agreement — 1.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	5,609,145	$	5,609,145
TOTAL SHORT-TERM INVESTMENTS (Cost $5,609,145)				5,609,145
TOTAL INVESTMENTS — 99.8% (Cost $414,765,787) (c)				551,460,115
Other Assets/(Liabilities) — 0.2%				885,396
NET ASSETS — 100.0%			$	552,345,511

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $5,609,146. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/25/39, and an aggregate market value, including accrued interest, of $5,722,559.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

75

MassMutual Select Large Cap Growth Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.7%
Common Stock — 98.7%
Apparel — 1.1%
Nike, Inc. Class B		10,130	$	766,841
Auto Manufacturers — 2.5%
Ford Motor Co. (a)		53,210		793,361
Paccar, Inc.		18,830		985,750
				1,779,111
Automotive & Parts — 0.8%
TRW Automotive Holdings Corp. (a)		10,360		570,629
Banks — 0.6%
PNC Financial Services Group, Inc.		6,320		398,097
Beverages — 4.3%
Anheuser-Busch InBev NV Sponsored ADR (Belgium)		13,070		747,212
The Coca-Cola Co.		16,060		1,065,581
Coca-Cola Enterprises, Inc.		26,110		712,803
Hansen Natural Corp. (a)		9,330		561,946
				3,087,542
Biotechnology — 0.9%
Alexion Pharmaceuticals, Inc. (a)		1,440		142,099
Celgene Corp. (a)		8,680		499,361
				641,460
Chemicals — 4.0%
Albemarle Corp.		9,730		581,562
E.I. du Pont de Nemours & Co.		15,620		858,631
FMC Corp.		3,460		293,858
International Flavors & Fragrances, Inc.		4,810		299,663
Potash Corp. of Saskatchewan, Inc.		14,010		825,609
				2,859,323
Coal — 1.1%
Walter Energy, Inc.		5,660		766,534
Commercial Services — 1.9%
Manpower, Inc.		6,360		399,917
McKesson Corp.		3,420		270,351
Visa, Inc. Class A		9,820		722,948
				1,393,216
Computers — 8.2%
Apple, Inc. (a)		9,870		3,439,201
Cognizant Technology Solutions Corp. Class A (a)		3,480		283,272
EMC Corp. (a)		45,210		1,200,326
Hewlett-Packard Co.		20,190		827,184
NetApp, Inc. (a)		2,900		139,722
				5,889,705

	Number of Shares		Value
Diversified Financial — 8.4%
American Express Co.		18,680	$	844,336
Ameriprise Financial, Inc.		14,740		900,319
BlackRock, Inc.		840		168,849
The Charles Schwab Corp.		28,270		509,708
Discover Financial Services		20,070		484,089
Franklin Resources, Inc.		6,340		793,007
IntercontinentalExchange, Inc. (a)		4,980		615,229
JP Morgan Chase & Co.		25,700		1,184,770
T. Rowe Price Group, Inc.		7,710		512,098
				6,012,405
Electric — 0.8%
The AES Corp. (a)		42,650		554,450
Electrical Components & Equipment — 1.9%
AMETEK, Inc.		6,840		300,071
Emerson Electric Co.		18,090		1,056,998
				1,357,069
Electronics — 1.7%
Agilent Technologies, Inc. (a)		18,660		835,595
Trimble Navigation Ltd. (a)		6,920		349,737
				1,185,332
Health Care – Products — 0.9%
Intuitive Surgical, Inc. (a)		1,610		536,870
Varian Medical Systems, Inc. (a)		2,090		141,368
				678,238
Health Care – Services — 1.1%
CIGNA Corp.		9,570		423,759
HCA Holdings, Inc. (a)		10,570		358,006
				781,765
Insurance — 0.6%
MetLife, Inc.		9,580		428,513
Internet — 6.0%
Amazon.com, Inc. (a)		6,230		1,122,210
Check Point Software Technologies Ltd. (a)		17,940		915,837
F5 Networks, Inc. (a)		1,890		193,857
Google, Inc. Class A (a)		2,830		1,658,975
Netflix, Inc. (a)		510		121,038
Priceline.com, Inc. (a)		600		303,864
				4,315,781
Lodging — 1.6%
Las Vegas Sands Corp. (a)		3,270		138,059
Marriott International, Inc. Class A		28,430		1,011,540
				1,149,599
Machinery – Construction & Mining — 0.4%
Joy Global, Inc.		3,030		299,394

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

76

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

	Number of Shares		Value
Machinery – Diversified — 5.7%
Cummins, Inc.		6,590	$	722,396
Deere & Co.		23,840		2,309,858
Rockwell Automation, Inc.		11,410		1,079,956
				4,112,210
Media — 2.1%
CBS Corp. Class B		14,950		374,348
The Walt Disney Co.		26,540		1,143,609
				1,517,957
Metal Fabricate & Hardware — 1.6%
Precision Castparts Corp.		7,900		1,162,722
Mining — 1.4%
Freeport-McMoRan Copper & Gold, Inc.		4,580		254,419
Goldcorp, Inc.		5,900		293,820
Yamana Gold, Inc.		38,360		472,212
				1,020,451
Oil & Gas — 6.2%
Chevron Corp.		14,790		1,588,890
Concho Resources, Inc. (a)		4,620		495,726
Noble Energy, Inc.		3,220		311,213
Pioneer Natural Resources Co.		11,090		1,130,293
SM Energy Co.		5,350		396,916
Whiting Petroleum Corp. (a)		7,100		521,495
				4,444,533
Oil & Gas Services — 5.6%
Halliburton Co.		22,350		1,113,924
National Oilwell Varco, Inc.		15,370		1,218,380
Schlumberger Ltd.		18,030		1,681,478
				4,013,782
Packaging & Containers — 0.6%
Packaging Corporation of America		15,590		450,395
Pharmaceuticals — 5.5%
Allergan, Inc.		10,200		724,404
AmerisourceBergen Corp.		7,470		295,513
Express Scripts, Inc. (a)		13,230		735,720
Merck & Co., Inc.		8,470		279,595
Perrigo Co.		7,370		586,063
Shire PLC Sponsored ADR (United Kingdom)		7,850		683,735
SXC Health Solutions Corp. (a)		3,590		196,732
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		9,560		479,625
				3,981,387
Real Estate — 0.8%
CB Richard Ellis Group, Inc. Class A (a)		21,460		572,982

	Number of Shares		Value
Real Estate Investment Trusts (REITS) — 0.6%
Host Hotels & Resorts, Inc.		23,810	$	419,294
Retail — 6.0%
Costco Wholesale Corp.		8,520		624,686
Darden Restaurants, Inc.		2,750		135,108
Kohl’s Corp.		12,560		666,182
Limited Brands, Inc.		23,490		772,351
McDonald’s Corp.		11,920		906,993
Target Corp.		14,150		707,642
Tiffany & Co.		8,360		513,638
				4,326,600
Semiconductors — 2.0%
Avago Technologies Ltd.		9,620		299,182
Broadcom Corp. Class A		19,390		763,578
Marvell Technology Group Ltd. (a)		24,310		378,021
				1,440,781
Software — 4.5%
Autodesk, Inc. (a)		14,070		620,628
Citrix Systems, Inc. (a)		2,990		219,645
Intuit, Inc. (a)		12,290		652,599
Oracle Corp.		47,340		1,579,736
Salesforce.com, Inc. (a)		1,460		195,027
				3,267,635
Telecommunications — 4.9%
American Tower Corp. Class A (a)		20,840		1,079,929
Cisco Systems, Inc.		24,960		428,064
Corning, Inc.		18,990		391,764
Juniper Networks, Inc. (a)		22,900		963,632
QUALCOMM, Inc.		11,550		633,286
				3,496,675
Transportation — 2.4%
CSX Corp.		13,400		1,053,240
Expeditors International of Washington, Inc.		13,670		685,414
				1,738,654
TOTAL COMMON STOCK (Cost $56,857,090)				70,881,062
TOTAL EQUITIES (Cost $56,857,090)				70,881,062
TOTAL LONG-TERM INVESTMENTS (Cost $56,857,090)				70,881,062

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

77

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.8%
Repurchase Agreement — 0.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	611,679	$	611,679
TOTAL SHORT-TERM INVESTMENTS (Cost $611,679)				611,679
TOTAL INVESTMENTS — 99.5% (Cost $57,468,769) (c)				71,492,741
Other Assets/(Liabilities) — 0.5%				356,761
NET ASSETS — 100.0%			$	71,849,502

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $611,680. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 8/15/39, and an aggregate market value, including accrued interest, of $626,908.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

78

MassMutual Select Growth Opportunities Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.1%
Common Stock — 99.1%
Apparel — 2.5%
Nike, Inc. Class B		121,700	$	9,212,690
Banks — 1.3%
Bank of New York Mellon Corp.		160,500		4,794,135
Biotechnology — 3.6%
Alexion Pharmaceuticals, Inc. (a)		51,600		5,091,888
Illumina, Inc. (a)		111,400		7,805,798
				12,897,686
Chemicals — 2.4%
Praxair, Inc.		33,300		3,383,280
Syngenta AG Sponsored ADR (Switzerland)		81,400		5,304,838
				8,688,118
Commercial Services — 8.7%
Apollo Group, Inc. Class A (a)		137,100		5,718,441
MasterCard, Inc. Class A		28,600		7,199,192
Visa, Inc. Class A		253,860		18,689,173
				31,606,806
Computers — 7.4%
Apple, Inc. (a)		64,600		22,509,870
Teradata Corp. (a)		81,600		4,137,120
				26,646,990
Cosmetics & Personal Care — 1.0%
The Procter & Gamble Co.		59,900		3,689,840
Distribution & Wholesale — 1.2%
W.W. Grainger, Inc.		31,200		4,295,616
Diversified Financial — 6.0%
The Charles Schwab Corp.		304,200		5,484,726
CME Group, Inc.		16,900		5,096,195
IntercontinentalExchange, Inc. (a)		90,225		11,146,396
				21,727,317
Health Care – Products — 3.4%
Intuitive Surgical, Inc. (a)		21,500		7,169,390
Varian Medical Systems, Inc. (a)		73,300		4,958,012
				12,127,402
Internet — 16.1%
Amazon.com, Inc. (a)		75,900		13,671,867
Ctrip.com International Ltd. ADR (Cayman Islands) (a)		101,900		4,227,831
F5 Networks, Inc. (a)		52,700		5,405,439
Google, Inc. Class A (a)		26,200		15,358,702
Netflix, Inc. (a)		18,200		4,319,406
OpenTable, Inc. (a)		7,388		785,714
Priceline.com, Inc. (a)		21,200		10,736,528

	Number of Shares		Value
VeriSign, Inc.		109,400	$	3,961,374
				58,466,861
Lodging — 1.3%
Las Vegas Sands Corp. (a)		107,400		4,534,428
Oil & Gas — 3.5%
EOG Resources, Inc.		77,900		9,231,929
Southwestern Energy Co. (a)		82,000		3,523,540
				12,755,469
Oil & Gas Services — 6.2%
FMC Technologies, Inc. (a)		62,220		5,878,546
National Oilwell Varco, Inc.		101,600		8,053,832
Schlumberger Ltd.		91,000		8,486,660
				22,419,038
Pharmaceuticals — 8.6%
Allergan, Inc.		201,500		14,310,530
Medco Health Solutions, Inc. (a)		131,500		7,385,040
Novo Nordisk A/S Sponsored ADR (Denmark)		46,200		5,785,626
Perrigo Co.		47,800		3,801,056
				31,282,252
Retail — 5.5%
Lowe’s Cos., Inc.		187,300		4,950,339
Staples, Inc.		222,900		4,328,718
Starbucks Corp.		148,650		5,492,618
Walgreen Co.		125,400		5,033,556
				19,805,231
Semiconductors — 1.9%
ASML Holding NV (a)		94,000		4,183,000
Cree, Inc. (a)		60,220		2,779,755
				6,962,755
Software — 7.1%
Adobe Systems, Inc. (a)		166,400		5,517,824
Intuit, Inc. (a)		137,200		7,285,320
Salesforce.com, Inc. (a)		97,250		12,990,655
				25,793,799
Telecommunications — 9.2%
Crown Castle International Corp. (a)		182,200		7,752,610
Polycom, Inc. (a)		92,400		4,790,940
QUALCOMM, Inc.		377,800		20,714,774
				33,258,324
Transportation — 2.2%
C.H. Robinson Worldwide, Inc.		44,900		3,328,437
Expeditors International of Washington, Inc.		93,400		4,683,076
				8,011,513

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

79

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

			Value
TOTAL COMMON STOCK (Cost $259,398,359)			$	358,976,270
TOTAL EQUITIES (Cost $259,398,359)				358,976,270
TOTAL LONG-TERM INVESTMENTS (Cost $259,398,359)				358,976,270
	Principal Amount
SHORT-TERM INVESTMENTS — 1.0%
Repurchase Agreement — 1.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	3,457,862		3,457,862
TOTAL SHORT-TERM INVESTMENTS (Cost $3,457,862)				3,457,862
TOTAL INVESTMENTS — 100.1% (Cost $262,856,221) (c)				362,434,132
Other Assets/(Liabilities) — (0.1)%				(241,545	)
NET ASSETS — 100.0%			$	362,192,587

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $3,457,863. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity dates ranging from 8/15/39 – 9/25/39, and an aggregate market value, including accrued interest, of $3,529,187.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

80

MassMutual Select NASDAQ-100 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.6%
COMMON STOCK — 97.6%
Auto Manufacturers — 1.0%
Paccar, Inc.		9,937	$	520,202
Biotechnology — 5.5%
Amgen, Inc. (a)		10,564		564,646
Biogen Idec, Inc. (a)		6,357		466,540
Celgene Corp. (a)		11,342		652,505
Genzyme Corp. (a)		7,976		607,373
Illumina, Inc. (a)		3,045		213,363
Life Technologies Corp. (a)		4,428		232,116
Vertex Pharmaceuticals, Inc. (a)		5,196		249,044
				2,985,587
Chemicals — 0.3%
Sigma-Aldrich Corp.		2,848		181,247
Commercial Services — 1.6%
Apollo Group, Inc. Class A (a)		3,517		146,694
Automatic Data Processing, Inc.		8,523		437,315
Paychex, Inc.		8,336		261,417
				845,426
Computers — 24.6%
Apple, Inc. (a)		31,231		10,882,442
Cognizant Technology Solutions Corp. Class A (a)		7,206		586,568
Dell, Inc. (a)		17,264		250,501
NetApp, Inc. (a)		9,167		441,666
Research In Motion Ltd. (a)		12,626		714,253
SanDisk Corp. (a)		5,843		269,304
Seagate Technology PLC (a)		10,976		158,054
				13,302,788
Distribution & Wholesale — 0.4%
Fastenal Co.		3,430		222,367
Electronics — 0.8%
Flextronics International Ltd. (a)		20,033		149,646
FLIR Systems, Inc.		4,034		139,617
Garmin Ltd.		4,689		158,770
				448,033
Energy – Alternate Sources — 0.5%
First Solar, Inc. (a)		1,828		294,016
Environmental Controls — 0.4%
Stericycle, Inc. (a)		2,173		192,680
Foods — 0.5%
Whole Foods Market, Inc.		4,423		291,476
Health Care – Products — 1.1%
Henry Schein, Inc. (a)		2,226		156,199
Intuitive Surgical, Inc. (a)		944		314,786
QIAGEN NV (a)		5,721		114,706
				585,691

	Number of Shares		Value
Internet — 14.7%
Akamai Technologies, Inc. (a)		4,563	$	173,394
Amazon.com, Inc. (a)		7,277		1,310,806
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		6,772		933,249
Check Point Software Technologies Ltd. (a)		4,998		255,148
Ctrip.com International Ltd. ADR (Cayman Islands) (a)		3,744		155,339
eBay, Inc. (a)		23,532		730,433
Expedia, Inc.		6,515		147,630
F5 Networks, Inc. (a)		1,885		193,344
Google, Inc. Class A (a)		3,709		2,174,253
Liberty Media Corp.—Interactive Class A (a)		13,378		214,583
Netflix, Inc. (a)		1,222		290,017
Priceline.com, Inc. (a)		1,263		639,634
Symantec Corp. (a)		19,393		359,546
VeriSign, Inc.		3,975		143,935
Yahoo!, Inc. (a)		15,283		254,462
				7,975,773
Lodging — 0.8%
Wynn Resorts Ltd.		3,285		418,016
Machinery – Construction & Mining — 0.5%
Joy Global, Inc.		2,494		246,432
Media — 3.9%
Comcast Corp. Class A		35,262		871,677
DIRECTV Class A (a)		13,997		655,059
News Corp. Class A		34,703		609,385
				2,136,121
Pharmaceuticals — 5.5%
Cephalon, Inc. (a)		1,800		136,404
DENTSPLY International, Inc.		3,339		123,509
Express Scripts, Inc. (a)		11,457		637,124
Gilead Sciences, Inc. (a)		19,036		807,888
Mylan, Inc. (a)		10,794		244,700
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		17,494		877,674
Warner Chilcott PLC Class A		6,119		142,450
				2,969,749
Retail — 5.4%
Bed Bath & Beyond, Inc. (a)		8,331		402,137
Costco Wholesale Corp.		5,576		408,832
Dollar Tree, Inc. (a)		3,191		177,164
O’Reilly Automotive, Inc. (a)		3,426		196,858
Ross Stores, Inc.		2,929		208,311
Sears Holdings Corp. (a)		2,770		228,941
Staples, Inc.		11,814		229,428
Starbucks Corp.		25,213		931,620
Urban Outfitters, Inc. (a)		3,946		117,709
				2,901,000

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

81

MassMutual Select NASDAQ-100 Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Semiconductors — 7.7%
Altera Corp.		10,934	$	481,315
Applied Materials, Inc.		16,569		258,808
Broadcom Corp. Class A		10,745		423,138
Intel Corp.		46,687		941,677
KLA-Tencor Corp.		4,922		233,155
Lam Research Corp. (a)		3,117		176,609
Linear Technology Corp.		7,365		247,685
Marvell Technology Group Ltd. (a)		15,076		234,432
Maxim Integrated Products, Inc.		7,083		181,325
Microchip Technology, Inc.		3,820		145,198
Micron Technology, Inc. (a)		24,815		284,380
NVIDIA Corp. (a)		13,828		255,265
Xilinx, Inc.		8,453		277,258
				4,140,245
Software — 12.4%
Activision Blizzard, Inc.		25,648		281,359
Adobe Systems, Inc. (a)		12,053		399,677
Autodesk, Inc. (a)		5,758		253,985
BMC Software, Inc. (a)		5,046		250,988
CA, Inc.		11,903		287,815
Cerner Corp. (a)		2,019		224,513
Citrix Systems, Inc. (a)		5,417		397,933
Electronic Arts, Inc. (a)		8,233		160,790
Fiserv, Inc. (a)		4,441		278,540
Infosys Technologies Ltd. Sponsored ADR (India)		2,613		187,352
Intuit, Inc. (a)		9,510		504,981
Microsoft Corp.		70,277		1,782,225
Oracle Corp.		51,201		1,708,577
				6,718,735
Telecommunications — 8.6%
Cisco Systems, Inc.		48,002		823,234
Millicom International Cellular SA		2,550		245,233
NII Holdings, Inc. (a)		3,988		166,180
QUALCOMM, Inc.		48,197		2,642,642
Virgin Media, Inc.		8,010		222,598
Vodafone Group PLC Sponsored ADR (United Kingdom)		18,483		531,386
				4,631,273
Toys, Games & Hobbies — 0.4%
Mattel, Inc.		9,695		241,696

	Number of Shares		Value
Transportation — 1.0%
C.H. Robinson Worldwide, Inc.		3,992	$	295,927
Expeditors International of Washington, Inc.		5,064		253,909
				549,836
TOTAL COMMON STOCK (Cost $38,319,821)				52,798,389
TOTAL EQUITIES (Cost $38,319,821)				52,798,389
TOTAL LONG-TERM INVESTMENTS (Cost $38,319,821)				52,798,389
	Principal Amount
SHORT-TERM INVESTMENTS — 2.5%
Repurchase Agreement — 2.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	1,189,871		1,189,871
U.S. Treasury Bills — 0.3%
U.S. Treasury Bill (c) 0.150% 5/05/11		15,000		14,998
U.S. Treasury Bill (c) 0.170% 5/05/11		145,000		144,977
				159,975
TOTAL SHORT-TERM INVESTMENTS (Cost $1,349,846)				1,349,846
TOTAL INVESTMENTS — 100.1% (Cost $39,669,667) (d)				54,148,235
Other Assets/(Liabilities) — (0.1)%				(75,167	)
NET ASSETS — 100.0%			$	54,073,068

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $1,189,872. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/25/39, and an aggregate market value, including accrued interest, of $1,215,904.

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

(d) See Note 3 for aggregate cost for federal tax purposes.

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

82

MassMutual Select Focused Value Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 93.0%
COMMON STOCK — 93.0%
Aerospace & Defense — 5.1%
The Boeing Co.		480,000	$	35,486,400
Banks — 9.7%
Bank of New York Mellon Corp.		1,150,000		34,350,500
Wells Fargo & Co.		1,043,000		33,063,100
				67,413,600
Commercial Services — 9.7%
Robert Half International, Inc.		1,100,000		33,660,000
Visa, Inc. Class A		466,000		34,306,920
				67,966,920
Computers — 4.1%
Diebold, Inc.		800,000		28,368,000
Diversified Financial — 7.3%
Discover Financial Services		645,000		15,557,400
Franklin Resources, Inc.		280,000		35,022,400
				50,579,800
Electric — 4.8%
Calpine Corp. (a)		2,100,000		33,327,000
Entertainment — 4.3%
Penn National Gaming, Inc. (a)		800,000		29,648,000
Leisure Time — 4.9%
Carnival Corp.		900,000		34,524,000
Lodging — 3.0%
Starwood Hotels & Resorts Worldwide, Inc.		360,000		20,923,200
Machinery – Construction & Mining — 1.0%
Caterpillar, Inc.		63,000		7,015,050
Manufacturing — 4.5%
Illinois Tool Works, Inc.		586,500		31,506,780
Oil & Gas — 13.3%
Apache Corp.		200,000		26,184,000
Range Resources Corp.		581,700		34,006,182
Ultra Petroleum Corp. (a)		667,600		32,879,300
				93,069,482
Oil & Gas Services — 7.0%
National Oilwell Varco, Inc.		352,000		27,903,040
Transocean Ltd. (a)		270,000		21,046,500
				48,949,540
Retail — 3.1%
Tiffany & Co.		352,600		21,663,744

	Number of Shares		Value
Semiconductors — 11.2%
Applied Materials, Inc.		2,400,000	$	37,488,000
Intel Corp.		2,000,000		40,340,000
				77,828,000
TOTAL COMMON STOCK (Cost $506,977,750)				648,269,516
TOTAL EQUITIES (Cost $506,977,750)				648,269,516
TOTAL LONG-TERM INVESTMENTS (Cost $506,977,750)				648,269,516
	Principal Amount
SHORT-TERM INVESTMENTS — 5.5%
Repurchase Agreement — 5.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	38,253,987		38,253,987
TOTAL SHORT-TERM INVESTMENTS (Cost $38,253,987)				38,253,987
TOTAL INVESTMENTS — 98.5% (Cost $545,231,737) (c)				686,523,503
Other Assets/(Liabilities) — 1.5%				10,444,574
NET ASSETS — 100.0%			$	696,968,077

Notes to Portfolio of Investments

(a) Non-income producing security.

(b) Maturity value of $38,253,997. Collateralized by U.S. Government Agency obligations with a rate of 3.500%, maturity date of 11/15/40, and an aggregate market value, including accrued interest, of $39,020,303.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

83

MassMutual Select Mid-Cap Value Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.9%
COMMON STOCK — 96.9%
Aerospace & Defense — 2.0%
L-3 Communications Holdings, Inc.		13,000	$	1,018,030
Raytheon Co.		15,375		782,126
Triumph Group, Inc.		12,855		1,137,025
				2,937,181
Agriculture — 1.2%
Reynolds American, Inc.		49,775		1,768,506
Apparel — 0.8%
VF Corp.		12,400		1,221,772
Automotive & Parts — 1.9%
Lear Corp.		59,600		2,912,652
Banks — 4.7%
Cullen/Frost Bankers, Inc.		17,800		1,050,556
Fifth Third Bancorp		169,525		2,353,007
Huntington Bancshares, Inc.		206,325		1,369,998
KeyCorp		253,225		2,248,638
				7,022,199
Beverages — 1.2%
Constellation Brands, Inc. Class A (a)		85,650		1,736,982
Building Materials — 0.2%
Owens Corning, Inc. (a)		9,450		340,106
Chemicals — 1.9%
Agrium, Inc.		9,825		906,454
Eastman Chemical Co.		5,875		583,505
Huntsman Corp.		78,065		1,356,770
				2,846,729
Coal — 1.6%
Peabody Energy Corp.		22,900		1,647,884
Walter Energy, Inc.		5,900		799,037
				2,446,921
Commercial Services — 2.1%
Hertz Global Holdings, Inc. (a)		74,050		1,157,401
McKesson Corp.		13,600		1,075,080
Weight Watchers International, Inc.		12,225		856,973
				3,089,454
Distribution & Wholesale — 0.5%
United Stationers, Inc.		9,750		692,738
Diversified Financial — 5.1%
Discover Financial Services		87,900		2,120,148
Federated Investors, Inc. Class B		41,200		1,102,100
Invesco Ltd.		95,150		2,432,034
NYSE Euronext		16,300		573,271
Raymond James Financial, Inc.		38,575		1,475,108
				7,702,661

	Number of Shares		Value
Electric — 2.8%
CMS Energy Corp.		113,650	$	2,232,086
Edison International		26,800		980,612
SCANA Corp.		26,100		1,027,557
				4,240,255
Electronics — 0.7%
Jabil Circuit, Inc.		48,900		999,027
Engineering & Construction — 2.1%
KBR, Inc.		51,170		1,932,691
McDermott International, Inc. (a)		44,975		1,141,915
				3,074,606
Foods — 3.8%
ConAgra Foods, Inc.		41,600		988,000
Corn Products International, Inc.		24,000		1,243,680
Smithfield Foods, Inc. (a)		59,150		1,423,149
SUPERVALU, Inc.		66,300		592,059
The Hain Celestial Group, Inc. (a)		42,450		1,370,286
				5,617,174
Forest Products & Paper — 0.7%
MeadWestvaco Corp.		32,900		997,857
Gas — 5.1%
AGL Resources, Inc.		27,100		1,079,664
Atmos Energy Corp.		31,900		1,087,790
Energen Corp.		16,900		1,066,728
NiSource, Inc.		170,175		3,263,956
Southern Union Co.		38,200		1,093,284
				7,591,422
Health Care – Products — 1.9%
C.R. Bard, Inc.		11,900		1,181,789
Zimmer Holdings, Inc. (a)		27,875		1,687,274
				2,869,063
Health Care – Services — 3.9%
CIGNA Corp.		12,400		549,072
Health Management Associates, Inc. Class A (a)		203,225		2,215,152
Health Net, Inc. (a)		60,775		1,987,343
Quest Diagnostics, Inc.		18,500		1,067,820
				5,819,387
Household Products — 0.7%
Avery Dennison Corp.		25,900		1,086,764
Insurance — 6.4%
The Hartford Financial Services Group, Inc.		60,400		1,626,572
Lincoln National Corp.		57,350		1,722,794
Marsh & McLennan Cos., Inc.		43,075		1,284,066
Mercury General Corp.		23,400		915,642
Reinsurance Group of America, Inc. Class A		16,500		1,035,870

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

84

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

	Number of Shares		Value
Unum Group		40,100	$	1,052,625
XL Group PLC		80,650		1,983,990
				9,621,559
Internet — 0.8%
Symantec Corp. (a)		63,675		1,180,534
Iron & Steel — 0.7%
Reliance Steel & Aluminum Co.		19,100		1,103,598
Lodging — 0.7%
Wyndham Worldwide Corp.		32,825		1,044,163
Machinery – Diversified — 1.1%
Eaton Corp.		28,650		1,588,356
Manufacturing — 1.0%
Pentair, Inc.		39,400		1,488,926
Media — 0.9%
CBS Corp. Class B		29,025		726,786
Viacom, Inc. Class B		14,125		657,095
				1,383,881
Metal Fabricate & Hardware — 0.6%
The Timken Co.		17,075		893,022
Mining — 2.1%
Alcoa, Inc.		116,200		2,050,930
Yamana Gold, Inc.		85,900		1,057,429
				3,108,359
Office Equipment/Supplies — 1.6%
Xerox Corp.		221,400		2,357,910
Oil & Gas — 5.5%
Chesapeake Energy Corp.		34,200		1,146,384
Denbury Resources, Inc. (a)		63,800		1,556,720
Murphy Oil Corp.		15,200		1,115,984
Newfield Exploration Co. (a)		10,285		781,763
Nexen, Inc.		43,100		1,074,052
Questar Corp.		43,900		766,055
Western Refining, Inc. (a)		78,600		1,332,270
Whiting Petroleum Corp. (a)		6,575		482,934
				8,256,162
Oil & Gas Services — 3.3%
Oil States International, Inc. (a)		21,975		1,673,176
Superior Energy Services, Inc. (a)		50,125		2,055,125
Tidewater, Inc.		20,100		1,202,985
				4,931,286
Packaging & Containers — 0.7%
Sonoco Products Co.		29,600		1,072,408
Pharmaceuticals — 1.3%
AmerisourceBergen Corp.		31,025		1,227,349
Cardinal Health, Inc.		18,800		773,244
				2,000,593

	Number of Shares		Value
Pipelines — 0.9%
Spectra Energy Corp.		48,275	$	1,312,114
Real Estate Investment Trusts (REITS) — 6.3%
Annaly Capital Management, Inc.		30,300		528,735
BioMed Realty Trust, Inc.		50,800		966,216
CBL & Associates Properties, Inc.		71,750		1,249,885
Duke Realty Corp.		77,800		1,089,978
DuPont Fabros Technology, Inc.		31,825		771,756
Home Properties, Inc.		37,550		2,213,573
Hospitality Properties Trust		44,000		1,018,600
Vornado Realty Trust		18,450		1,614,375
				9,453,118
Retail — 5.9%
The Gap, Inc.		46,800		1,060,488
Limited Brands, Inc.		17,300		568,824
Macy’s, Inc.		77,500		1,880,150
Nu Skin Enterprises, Inc. Class A		16,900		485,875
Phillips-Van Heusen Corp.		28,110		1,827,993
Pier 1 Imports, Inc. (a)		27,350		277,603
RadioShack Corp.		33,500		502,835
Signet Jewelers Ltd. (a)		36,275		1,669,375
Williams-Sonoma, Inc.		14,125		572,063
				8,845,206
Savings & Loans — 1.2%
First Niagara Financial Group, Inc.		130,950		1,778,301
Semiconductors — 1.7%
Atmel Corp. (a)		141,825		1,933,075
Xilinx, Inc.		19,400		636,320
				2,569,395
Software — 1.8%
CA, Inc.		44,300		1,071,174
Progress Software Corp. (a)		56,087		1,631,571
				2,702,745
Telecommunications — 3.4%
Alcatel-Lucent Sponsored ADR (France) (a)		290,175		1,685,917
CenturyLink, Inc.		23,500		976,425
Finisar Corp. (a)		26,625		654,975
MetroPCS Communications, Inc. (a)		51,725		840,014
Qwest Communications International, Inc.		133,600		912,488
				5,069,819
Toys, Games & Hobbies — 0.6%
Mattel, Inc.		38,700		964,791
Transportation — 1.7%
Atlas Air Worldwide Holdings, Inc. (a)		18,125		1,263,675
Ryder System, Inc.		24,525		1,240,965
				2,504,640

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

85

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

	Number of Shares		Value
Water — 1.8%
American Water Works Co., Inc.		93,800	$	2,631,090
TOTAL COMMON STOCK (Cost $126,199,549)				144,875,432
TOTAL EQUITIES (Cost $126,199,549)				144,875,432
TOTAL LONG-TERM INVESTMENTS (Cost $126,199,549)				144,875,432
	Principal Amount
SHORT-TERM INVESTMENTS — 2.7%
Repurchase Agreement — 2.7%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	4,122,307		4,122,307
TOTAL SHORT-TERM INVESTMENTS (Cost $4,122,307)				4,122,307
TOTAL INVESTMENTS — 99.6% (Cost $130,321,856) (c)				148,997,739
Other Assets/(Liabilities) — 0.4%				523,652
NET ASSETS — 100.0%			$	149,521,391

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $4,122,308. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 8/15/39 – 11/15/40, and an aggregate market value, including accrued interest, of $4,211,911.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

86

MassMutual Select Small Cap Value Equity Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.9%
COMMON STOCK — 96.9%
Apparel — 1.1%
Ascena Retail Group, Inc. (a)		26,700	$	865,347
Skechers U.S.A., Inc. Class A (a)		17,900		367,666
				1,233,013
Auto Manufacturers — 0.9%
Oshkosh Corp. (a)		29,100		1,029,558
Automotive & Parts — 1.4%
American Axle & Manufacturing Holdings, Inc. (a)		119,000		1,498,210
Banks — 6.4%
First Midwest Bancorp, Inc.		67,400		794,646
Hancock Holding Co.		10,700		351,388
International Bancshares Corp.		38,100		698,754
MB Financial, Inc.		28,400		595,264
Northwest Bancshares, Inc.		75,400		945,516
Prosperity Bancshares, Inc.		27,900		1,193,283
Synovus Financial Corp.		491,200		1,178,880
Webster Financial Corp.		44,100		945,063
Westamerica Bancorp.		5,700		292,809
				6,995,603
Biotechnology — 0.9%
Charles River Laboratories International, Inc. (a)		24,600		944,148
Building Materials — 2.8%
Comfort Systems USA, Inc.		56,500		794,955
Gibraltar Industries, Inc. (a)		43,906		523,799
Simpson Manufacturing Co., Inc.		37,900		1,116,534
Trex Co., Inc. (a)		18,300		596,946
				3,032,234
Chemicals — 2.5%
Kraton Performance Polymers, Inc. (a)		17,300		661,725
PolyOne Corp.		149,000		2,117,290
				2,779,015
Commercial Services — 7.2%
Aaron’s, Inc.		26,950		683,452
Arbitron, Inc.		32,600		1,304,978
Insperity, Inc.		22,200		674,436
Korn/Ferry International (a)		60,600		1,349,562
MAXIMUS, Inc.		32,500		2,638,025
Valassis Communications, Inc. (a)		42,100		1,226,794
				7,877,247
Computers — 4.3%
Diebold, Inc.		50,800		1,801,368
Electronics for Imaging, Inc. (a)		21,523		316,603

	Number of Shares		Value
Mentor Graphics Corp. (a)		120,200	$	1,758,526
Mercury Computer Systems, Inc. (a)		40,800		863,328
				4,739,825
Distribution & Wholesale — 1.2%
United Stationers, Inc.		18,700		1,328,635
Diversified Financial — 0.8%
Janus Capital Group, Inc.		70,200		875,394
Electric — 1.3%
Unisource Energy Corp.		23,000		830,990
Westar Energy, Inc.		20,900		552,178
				1,383,168
Electrical Components & Equipment — 3.0%
Belden, Inc.		43,200		1,622,160
Littelfuse, Inc.		28,500		1,627,350
				3,249,510
Electronics — 6.8%
Coherent, Inc. (a)		7,600		441,636
Faro Technologies, Inc. (a)		16,900		676,000
Gentex Corp.		45,900		1,388,475
Park Electrochemical Corp.		33,000		1,064,250
Plexus Corp. (a)		43,400		1,521,604
Vishay Intertechnology, Inc. (a)		121,700		2,158,958
Vishay Precision Group, Inc. (a)		11,450		179,422
				7,430,345
Engineering & Construction — 1.1%
Insituform Technologies, Inc. Class A (a)		44,300		1,185,025
Entertainment — 0.4%
Bally Technologies, Inc. (a)		11,800		446,630
Foods — 1.5%
Ralcorp Holdings, Inc. (a)		15,900		1,088,037
Snyders-Lance, Inc.		27,700		549,845
				1,637,882
Forest Products & Paper — 0.8%
Deltic Timber Corp.		12,800		855,552
Gas — 2.1%
Atmos Energy Corp.		17,200		586,520
New Jersey Resources Corp.		10,100		433,795
UGI Corp.		25,500		838,950
WGL Holdings, Inc.		11,500		448,500
				2,307,765
Hand & Machine Tools — 1.3%
Regal-Beloit Corp.		18,800		1,388,004
Health Care – Products — 0.3%
Haemonetics Corp. (a)		4,700		308,038

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

87

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

	Number of Shares		Value
Health Care – Services — 3.1%
AmSurg Corp. (a)		33,500	$	852,240
HEALTHSOUTH Corp. (a)		56,100		1,401,378
ICON PLC Sponsored ADR (Ireland) (a)		53,900		1,163,701
				3,417,319
Home Furnishing — 1.3%
Whirlpool Corp.		17,000		1,451,120
Household Products — 0.7%
Acco Brands Corp. (a)		75,900		724,086
Insurance — 5.0%
Alleghany Corp. (a)		1,559		515,852
Assured Guaranty Ltd.		29,000		432,100
Delphi Financial Group, Inc. Class A		40,500		1,243,755
Platinum Underwriters Holdings Ltd.		20,700		788,463
Reinsurance Group of America, Inc. Class A		20,100		1,261,878
Torchmark Corp.		18,800		1,249,824
				5,491,872
Internet — 0.7%
Websense, Inc. (a)		32,300		741,931
Investment Companies — 0.8%
Ares Capital Corp.		54,400		919,360
Leisure Time — 1.2%
Brunswick Corp.		51,700		1,314,731
Lodging — 0.6%
Choice Hotels International, Inc.		16,500		641,025
Machinery – Construction & Mining — 1.8%
Terex Corp. (a)		53,100		1,966,824
Machinery – Diversified — 3.7%
Albany International Corp. Class A		40,500		1,008,450
Cognex Corp.		55,600		1,570,700
Flowserve Corp.		6,400		824,320
Zebra Technologies Corp. Class A (a)		17,700		694,548
				4,098,018
Manufacturing — 4.2%
Acuity Brands, Inc.		8,900		520,561
AptarGroup, Inc.		14,900		746,937
Carlisle Cos., Inc.		44,700		1,991,385
ESCO Technologies, Inc.		17,000		648,550
Matthews International Corp. Class A		17,900		690,045
				4,597,478
Media — 0.6%
John Wiley & Sons, Inc. Class A		12,100		615,164
Metal Fabricate & Hardware — 0.9%
Mueller Industries, Inc.		28,700		1,050,994
Office Furnishings — 1.1%
Herman Miller, Inc.		42,600		1,171,074

	Number of Shares		Value
Oil & Gas — 2.3%
GeoResources, Inc. (a)		2,800	$	87,556
Penn Virginia Corp.		33,000		559,680
Plains Exploration & Production Co. (a)		18,700		677,501
SM Energy Co.		7,100		526,749
Whiting Petroleum Corp. (a)		9,800		719,810
				2,571,296
Oil & Gas Services — 0.6%
SEACOR Holdings, Inc.		7,400		684,204
Packaging & Containers — 0.4%
Greif, Inc. Class A		6,900		451,329
Pharmaceuticals — 0.3%
Herbalife Ltd.		4,300		349,848
Real Estate Investment Trusts (REITS) — 1.0%
DiamondRock Hospitality Co.		34,734		387,979
Mack-Cali Realty Corp.		10,600		359,340
Ventas, Inc.		7,300		396,390
				1,143,709
Retail — 7.6%
Cabela’s, Inc. (a)		59,900		1,498,099
Casey’s General Stores, Inc.		17,400		678,600
The Cato Corp. Class A		45,300		1,109,850
CEC Entertainment, Inc.		17,521		661,067
Fred’s, Inc. Class A		39,600		527,472
Hibbett Sports, Inc. (a)		7,300		261,413
The Men’s Wearhouse, Inc.		65,300		1,767,018
Sonic Corp. (a)		61,100		552,955
Stage Stores, Inc.		67,500		1,297,350
				8,353,824
Savings & Loans — 0.5%
NewAlliance Bancshares, Inc.		36,600		543,144
Semiconductors — 2.6%
Brooks Automation, Inc. (a)		123,100		1,690,163
Maxim Integrated Products, Inc.		45,700		1,169,920
				2,860,083
Software — 1.3%
Fiserv, Inc. (a)		22,200		1,392,384
Storage & Warehousing — 1.4%
Mobile Mini, Inc. (a)		63,200		1,518,064
Textiles — 0.4%
G&K Services, Inc. Class A		14,700		488,775
Toys, Games & Hobbies — 1.2%
Mattel, Inc.		53,900		1,343,727
Transportation — 2.6%
Bristow Group, Inc. (a)		11,900		562,870
Genesee & Wyoming, Inc. Class A (a)		21,000		1,222,200
Kirby Corp. (a)		19,200		1,099,968
				2,885,038

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

88

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

	Number of Shares		Value
Trucking & Leasing — 0.9%
GATX Corp.		24,400	$	943,304
TOTAL COMMON STOCK (Cost $82,329,294)				106,254,526
TOTAL EQUITIES (Cost $82,329,294)				106,254,526
TOTAL LONG-TERM INVESTMENTS (Cost $82,329,294)				106,254,526
	Principal Amount
SHORT-TERM INVESTMENTS — 3.8%
Repurchase Agreement — 3.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	4,179,281		4,179,281
TOTAL SHORT-TERM INVESTMENTS (Cost $4,179,281)				4,179,281
TOTAL INVESTMENTS — 100.7% (Cost $86,508,575) (c)				110,433,807
Other Assets/(Liabilities) — (0.7)%				(737,366	)
NET ASSETS — 100.0%			$	109,696,441

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $4,179,282. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 8/15/39 – 11/15/40, and an aggregate market value, including accrued interest, of $4,270,570.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

89

MassMutual Select Small Company Value Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.0%
COMMON STOCK — 96.5%
Aerospace & Defense — 1.9%
AAR Corp. (a)		32,800	$	909,216
Curtiss-Wright Corp.		31,500		1,106,910
Esterline Technologies Corp. (a)		14,450		1,021,904
Kaman Corp.		44,900		1,580,480
Kratos Defense & Security Solutions, Inc. (a)		208,900		2,974,736
Moog, Inc. Class A (a)		24,648		1,131,590
Teledyne Technologies, Inc. (a)		17,400		899,754
Triumph Group, Inc.		14,700		1,300,215
				10,924,805
Agriculture — 0.3%
Alliance One International, Inc. (a)		414,350		1,665,687
Airlines — 0.8%
Alaska Air Group, Inc. (a)		55,500		3,519,810
JetBlue Airways Corp. (a)		138,845		870,558
				4,390,368
Apparel — 0.8%
K-Swiss, Inc. Class A (a)		109,700		1,236,319
Skechers U.S.A., Inc. Class A (a)		57,975		1,190,806
The Timberland Co. Class A (a)		32,475		1,340,893
Volcom, Inc.		51,700		958,001
				4,726,019
Automotive & Parts — 0.9%
Cooper Tire & Rubber Co.		116,525		3,000,519
Spartan Motors, Inc.		116,225		797,303
Tenneco, Inc. (a)		35,775		1,518,649
				5,316,471
Banks — 6.6%
City Holding Co.		35,235		1,245,910
Columbia Banking System, Inc.		70,450		1,350,527
East West Bancorp, Inc.		177,850		3,905,586
F.N.B. Corp.		165,900		1,748,586
FirstMerit Corp.		94,987		1,620,478
Glacier Bancorp, Inc.		126,100		1,897,805
Home Bancshares, Inc.		83,500		1,899,625
IBERIABANK Corp.		19,990		1,201,999
Independent Bank Corp.		55,885		1,509,454
National Penn Bancshares, Inc.		249,275		1,929,388
Old National Bancorp		145,100		1,555,472
Prosperity Bancshares, Inc.		29,435		1,258,935
Signature Bank (a)		34,800		1,962,720
Sterling Bancshares, Inc.		85,925		739,814
Susquehanna Bancshares, Inc.		116,700		1,091,145
SVB Financial Group (a)		84,900		4,833,357
Trustmark Corp.		97,063		2,273,215
Umpqua Holdings Corp.		60,175		688,402

	Number of Shares		Value
United Bankshares, Inc.		30,200	$	800,904
Webster Financial Corp.		56,850		1,218,296
Wintrust Financial Corp.		91,350		3,357,112
				38,088,730
Biotechnology — 0.3%
Exelixis, Inc. (a)		153,600		1,735,680
Building Materials — 1.2%
Comfort Systems USA, Inc.		85,100		1,197,357
Drew Industries, Inc.		88,300		1,971,739
Gibraltar Industries, Inc. (a)		103,400		1,233,562
Interline Brands, Inc. (a)		55,230		1,126,692
Universal Forest Products, Inc.		46,500		1,704,225
				7,233,575
Chemicals — 2.8%
American Vanguard Corp.		87,100		756,028
Arch Chemicals, Inc.		61,900		2,574,421
Ferro Corp. (a)		80,975		1,343,375
Georgia Gulf Corp. (a)		53,425		1,976,725
Innospec, Inc. (a)		139,540		4,456,908
Minerals Technologies, Inc.		38,950		2,668,854
OM Group, Inc. (a)		26,980		985,849
The Valspar Corp.		36,300		1,419,330
				16,181,490
Coal — 0.4%
Cloud Peak Energy, Inc. (a)		116,675		2,519,013
Commercial Services — 4.8%
Aaron’s, Inc.		274,700		6,966,392
Deluxe Corp.		59,650		1,583,111
Electro Rent Corp.		121,900		2,094,242
Exponent, Inc. (a)		19,925		888,854
FTI Consulting, Inc. (a)		38,000		1,456,540
Global Payments, Inc.		31,500		1,540,980
Landauer, Inc.		23,200		1,427,264
McGrath Rentcorp		113,700		3,100,599
Navigant Consulting, Inc. (a)		117,200		1,170,828
On Assignment, Inc. (a)		161,100		1,524,006
Pharmaceutical Product Development, Inc.		45,300		1,255,263
PHH Corp. (a)		64,925		1,413,417
Rent-A-Center, Inc.		55,850		1,949,724
Service Corp. International		96,700		1,069,502
Startek, Inc. (a)		87,036		438,661
				27,879,383
Computers — 0.9%
MTS Systems Corp.		24,400		1,111,420
SRA International, Inc. Class A (a)		117,525		3,333,009
Xyratex Ltd. (a)		63,000		704,340
				5,148,769

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

90

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

	Number of Shares		Value
Distribution & Wholesale — 1.7%
Beacon Roofing Supply, Inc. (a)		190,000	$	3,889,300
Owens & Minor, Inc.		136,900		4,446,512
Pool Corp.		72,000		1,735,920
				10,071,732
Diversified Financial — 3.2%
E*TRADE Financial Corp. (a)		77,530		1,211,794
Eaton Vance Corp.		37,727		1,216,318
GFI Group, Inc.		347,500		1,744,450
Jefferies Group, Inc.		45,500		1,134,770
JMP Group, Inc.		62,300		536,403
Knight Capital Group, Inc. Class A (a)		154,850		2,074,990
Lazard Ltd. Class A		24,850		1,033,263
Piper Jaffray Cos., Inc. (a)		63,925		2,648,413
Raymond James Financial, Inc.		48,303		1,847,107
Stifel Financial Corp. (a)		74,550		5,351,944
				18,799,452
Electric — 3.4%
Black Hills Corp.		36,000		1,203,840
Cleco Corp.		76,950		2,638,615
El Paso Electric Co. (a)		172,750		5,251,600
The Empire District Electric Co.		22,800		496,812
IDACORP, Inc.		32,575		1,241,108
MGE Energy, Inc.		35,925		1,454,603
NorthWestern Corp.		46,200		1,399,860
Pike Electric Corp. (a)		113,375		1,079,330
Portland General Electric Co.		110,975		2,637,876
TECO Energy, Inc.		110,850		2,079,546
				19,483,190
Electrical Components & Equipment — 1.4%
Advanced Energy Industries, Inc. (a)		102,200		1,670,970
Belden, Inc.		65,900		2,474,545
EnerSys (a)		10,100		401,475
GrafTech International Ltd. (a)		50,010		1,031,706
Littelfuse, Inc.		47,500		2,712,250
				8,290,946
Electronics — 2.6%
Analogic Corp.		23,500		1,328,925
Checkpoint Systems, Inc. (a)		43,498		977,835
CTS Corp.		57,115		616,842
Cymer, Inc. (a)		43,500		2,461,230
Electro Scientific Industries, Inc. (a)		52,100		904,456
Itron, Inc. (a)		17,000		959,480
Methode Electronics, Inc.		48,800		589,504
Multi-Fineline Electronix, Inc. (a)		31,525		889,636
Newport Corp. (a)		77,000		1,372,910
Pulse Electronics Corp.		147,870		894,614
Thomas & Betts Corp. (a)		22,050		1,311,313
Woodward, Inc.		77,000		2,661,120
				14,967,865

	Number of Shares		Value
Engineering & Construction — 0.7%
Insituform Technologies, Inc. Class A (a)		101,000	$	2,701,750
Sterling Construction Co., Inc. (a)		28,600		482,768
URS Corp. (a)		24,800		1,142,040
				4,326,558
Entertainment — 0.3%
Ascent Media Corp. Series A (a)		31,100		1,519,235
Environmental Controls — 1.0%
Calgon Carbon Corp. (a)		87,425		1,388,309
Mine Safety Appliances Co.		39,900		1,463,133
Waste Connections, Inc.		96,750		2,785,433
				5,636,875
Foods — 0.7%
Nash Finch Co.		44,400		1,684,536
Spartan Stores, Inc.		36,040		533,031
TreeHouse Foods, Inc. (a)		32,055		1,822,968
				4,040,535
Forest Products & Paper — 1.7%
Clearwater Paper Corp. (a)		29,200		2,376,880
Deltic Timber Corp.		38,243		2,556,162
KapStone Paper and Packaging Corp. (a)		54,700		939,199
Potlatch Corp.		72,300		2,906,460
Wausau Paper Corp.		121,000		924,440
				9,703,141
Gas — 2.1%
AGL Resources, Inc.		24,470		974,885
Energen Corp.		34,650		2,187,108
South Jersey Industries, Inc.		25,197		1,410,276
Southern Union Co.		52,450		1,501,119
Southwest Gas Corp.		51,900		2,022,543
UGI Corp.		48,375		1,591,537
Vectren Corp.		37,000		1,006,400
WGL Holdings, Inc.		31,884		1,243,476
				11,937,344
Hand & Machine Tools — 0.3%
Franklin Electric Co., Inc.		17,400		803,880
Snap-on, Inc.		19,800		1,189,188
				1,993,068
Health Care – Products — 1.4%
AngioDynamics, Inc. (a)		66,000		997,920
Cantel Medical Corp.		20,400		525,300
Merit Medical Systems, Inc. (a)		44,800		878,976
PSS World Medical, Inc. (a)		47,900		1,300,485
Quidel Corp. (a)		67,700		809,692
West Pharmaceutical Services, Inc.		55,200		2,471,304
Wright Medical Group, Inc. (a)		53,100		903,231
				7,886,908

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

91

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

	Number of Shares		Value
Health Care – Services — 2.4%
Amedisys, Inc. (a)		24,500	$	857,500
AMERIGROUP Corp. (a)		47,525		3,053,481
Covance, Inc. (a)		29,975		1,640,232
Coventry Health Care, Inc. (a)		36,675		1,169,566
Healthways, Inc. (a)		37,430		575,299
ICON PLC Sponsored ADR (Ireland) (a)		50,650		1,093,534
Magellan Health Services, Inc. (a)		23,535		1,155,098
MEDNAX, Inc. (a)		20,499		1,365,438
National Healthcare Corp.		39,900		1,854,951
Triple-S Management Corp. Class B (a)		61,000		1,255,380
				14,020,479
Home Builders — 0.8%
M/I Homes, Inc. (a)		47,400		710,526
Meritage Home Corp. (a)		99,600		2,403,348
Winnebago Industries, Inc. (a)		111,200		1,486,744
				4,600,618
Home Furnishing — 0.4%
Ethan Allen Interiors, Inc.		33,300		729,270
La-Z-Boy, Inc. (a)		100,425		959,059
Stanley Furniture Co., Inc. (a)		66,800		368,736
				2,057,065
Household Products — 0.4%
CSS Industries, Inc.		50,500		951,925
Helen of Troy Ltd. (a)		1,900		55,860
The Scotts Miracle-Gro Co. Class A		23,800		1,376,830
				2,384,615
Insurance — 5.3%
Alterra Capital Holdings Ltd.		167,650		3,745,301
Argo Group International Holdings Ltd.		44,603		1,473,683
CNO Financial Group, Inc. (a)		169,425		1,272,382
Delphi Financial Group, Inc. Class A		76,277		2,342,467
Employers Holdings, Inc.		129,850		2,682,701
Fortegra Financial Corp. (a)		24,900		282,864
Maiden Holdings Ltd.		208,275		1,559,980
Markel Corp. (a)		4,100		1,699,245
MGIC Investment Corp. (a)		83,175		739,426
National Interstate Corp.		73,000		1,522,050
Platinum Underwriters Holdings Ltd.		32,665		1,244,210
ProAssurance Corp. (a)		104,325		6,611,075
Protective Life Corp.		47,800		1,269,090
Radian Group, Inc.		268,450		1,828,144
Reinsurance Group of America, Inc. Class A		26,100		1,638,558
State Auto Financial Corp. Class A		26,200		477,364
United Fire & Casualty Co.		24,400		493,124
				30,881,664

	Number of Shares		Value
Internet — 0.7%
Digital River, Inc. (a)		31,500	$	1,179,045
j2 Global Communications, Inc. (a)		43,480		1,283,095
Websense, Inc. (a)		75,700		1,738,829
				4,200,969
Investment Companies — 0.5%
American Capital Ltd. (a)		118,250		1,170,675
Apollo Investment Corp.		71,825		866,210
Ares Capital Corp.		46,500		785,850
				2,822,735
Iron & Steel — 0.4%
Carpenter Technology Corp.		56,000		2,391,760
Leisure Time — 0.4%
Brunswick Corp.		35,300		897,679
LIFE TIME FITNESS, Inc. (a)		32,000		1,193,920
				2,091,599
Lodging — 0.4%
Orient-Express Hotels Ltd. (a)		170,500		2,109,085
Machinery – Construction & Mining — 0.2%
Astec Industries, Inc. (a)		31,000		1,155,990
Machinery – Diversified — 2.5%
Cascade Corp.		31,600		1,408,728
Cognex Corp.		26,500		748,625
IDEX Corp.		68,725		2,999,846
Nordson Corp.		53,800		6,190,228
Robbins & Myers, Inc.		68,800		3,164,112
				14,511,539
Manufacturing — 4.0%
Ameron International Corp.		27,900		1,947,141
AptarGroup, Inc.		79,800		4,000,374
Barnes Group, Inc.		69,300		1,446,984
Ceradyne, Inc. (a)		53,935		2,431,390
EnPro Industries, Inc. (a)		33,225		1,206,732
FreightCar America, Inc. (a)		45,225		1,470,265
Harsco Corp.		27,600		974,004
Hexcel Corp. (a)		66,000		1,299,540
Koppers Holdings, Inc.		36,125		1,542,537
Matthews International Corp. Class A		73,900		2,848,845
Myers Industries, Inc.		257,020		2,552,209
Tredegar Corp.		60,400		1,303,432
				23,023,453
Media — 0.3%
The Dolan Co. (a)		62,800		762,392
Saga Communications, Inc. Class A (a)		27,000		939,060
				1,701,452

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

92

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

	Number of Shares		Value
Metal Fabricate & Hardware — 1.1%
Ampco-Pittsburgh Corp.		34,185	$	942,822
Circor International, Inc.		41,600		1,956,032
Sims Group Ltd. Sponsored ADR (Australia)		97,800		1,775,070
The Timken Co.		36,700		1,919,410
				6,593,334
Mining — 2.2%
AMCOL International Corp.		48,500		1,745,030
Franco-Nevada Corp.		54,300		1,993,334
Globe Specialty Metals, Inc.		60,025		1,366,169
Hecla Mining Co. (a)		81,600		740,928
Materion Corp. (a)		35,325		1,441,260
Molycorp, Inc. (a)		17,824		1,069,796
North American Palladium Ltd. (a)		136,000		882,640
Royal Gold, Inc.		35,500		1,860,200
Thompson Creek Metals Co., Inc. (a)		152,000		1,906,080
				13,005,437
Oil & Gas — 4.7%
Atwood Oceanics, Inc. (a)		31,100		1,443,973
Cabot Oil & Gas Corp.		43,500		2,304,195
Energy XXI (Bermuda) Ltd. (a)		54,875		1,871,238
Forest Oil Corp. (a)		91,575		3,464,282
Frontier Oil Corp.		46,750		1,370,710
GeoResources, Inc. (a)		28,300		884,941
Hercules Offshore, Inc. (a)		101,200		668,932
Northern Oil and Gas, Inc. (a)		99,000		2,643,300
Oasis Petroleum, Inc. (a)		102,000		3,225,240
Penn Virginia Corp.		128,400		2,177,664
Petroleum Development Corp. (a)		38,000		1,824,380
Rosetta Resources, Inc. (a)		40,275		1,914,673
SandRidge Energy, Inc. (a)		162,175		2,075,840
Swift Energy Co. (a)		32,400		1,382,832
				27,252,200
Oil & Gas Services — 3.5%
CARBO Ceramics, Inc.		24,600		3,471,552
Core Laboratories NV		19,500		1,992,315
Dawson Geophysical Co. (a)		19,425		852,369
Dresser-Rand Group, Inc. (a)		23,500		1,260,070
Global Industries Ltd. (a)		162,200		1,587,938
Gulf Island Fabrication, Inc.		64,950		2,089,441
Lufkin Industries, Inc.		47,882		4,475,531
Tesco Corp. (a)		89,075		1,955,196
TETRA Technologies, Inc. (a)		143,600		2,211,440
Union Drilling, Inc. (a)		50,000		512,500
				20,408,352
Pharmaceuticals — 0.4%
Inspire Pharmaceuticals, Inc. (a)		172,580		683,417
Par Pharmaceutical Cos., Inc. (a)		23,435		728,360
ViroPharma, Inc. (a)		47,330		941,867
				2,353,644

	Number of Shares		Value
Pipelines — 0.3%
ONEOK, Inc.		21,900	$	1,464,672
Real Estate Investment Trusts (REITS) — 7.2%
Acadia Realty Trust		87,200		1,649,824
American Campus Communities, Inc.		51,595		1,702,635
CBL & Associates Properties, Inc.		224,800		3,916,016
Cedar Shopping Centers, Inc.		101,600		612,648
DiamondRock Hospitality Co.		151,150		1,688,345
First Potomac Realty Trust		274,600		4,324,950
Hersha Hospitality Trust		281,700		1,673,298
Highwoods Properties, Inc.		24,225		848,117
Kilroy Realty Corp.		77,700		3,017,091
LaSalle Hotel Properties		94,000		2,538,000
Lexington Realty Trust		164,450		1,537,608
LTC Properties, Inc.		58,245		1,650,663
Medical Properties Trust, Inc.		101,800		1,177,826
MFA Financial, Inc.		178,650		1,464,930
National Retail Properties, Inc.		67,605		1,766,519
Parkway Properties, Inc.		31,100		528,700
Pebblebrook Hotel Trust		93,900		2,079,885
Starwood Property Trust, Inc.		79,175		1,765,602
Summit Hotel Properties, Inc. (a)		212,850		2,115,729
Sun Communities, Inc.		52,820		1,883,033
Sunstone Hotel Investors, Inc. (a)		98,950		1,008,301
Washington Real Estate Investment Trust		80,400		2,499,636
				41,449,356
Retail — 3.8%
Asbury Automotive Group, Inc. (a)		86,590		1,601,049
Bebe Stores, Inc.		119,900		701,415
Build-A-Bear Workshop, Inc. (a)		83,460		504,933
Cash America International, Inc.		41,011		1,888,556
Dillard’s, Inc. Class A		22,400		898,688
The Finish Line, Inc. Class A		77,675		1,541,849
Fred’s, Inc. Class A		85,100		1,133,532
Haverty Furniture Cos., Inc.		101,300		1,343,238
Hot Topic, Inc.		218,800		1,247,160
Insight Enterprises, Inc. (a)		87,085		1,483,058
MarineMax, Inc. (a)		87,100		858,806
The Men’s Wearhouse, Inc.		70,100		1,896,906
The Pantry, Inc. (a)		102,300		1,517,109
Phillips-Van Heusen Corp.		26,800		1,742,804
PriceSmart, Inc.		2,700		98,928
School Specialty, Inc. (a)		39,510		564,993
Stein Mart, Inc.		160,400		1,621,644
The Wet Seal, Inc. Class A (a)		295,685		1,265,532
				21,910,200
Savings & Loans — 1.3%
Astoria Financial Corp.		68,150		979,316
Dime Community Bancshares, Inc.		70,935		1,047,001
First Niagara Financial Group, Inc.		104,760		1,422,641
Flushing Financial Corp.		101,635		1,514,361

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

93

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

	Number of Shares		Value
Provident Financial Services, Inc.		74,100	$	1,096,680
Washington Federal, Inc.		91,445		1,585,656
				7,645,655
Semiconductors — 1.3%
ATMI, Inc. (a)		46,300		874,144
Brooks Automation, Inc. (a)		97,000		1,331,810
Cabot Microelectronics Corp. (a)		29,100		1,520,475
International Rectifier Corp. (a)		45,100		1,491,006
Teradyne, Inc. (a)		127,200		2,265,432
				7,482,867
Software — 1.8%
Accelrys, Inc. (a)		67,884		543,072
Blackboard, Inc. (a)		19,100		692,184
CSG Systems International, Inc. (a)		37,495		747,650
Progress Software Corp. (a)		127,950		3,722,066
SYNNEX Corp. (a)		61,700		2,019,441
Take-Two Interactive Software, Inc. (a)		84,000		1,291,080
VeriFone Systems, Inc. (a)		20,285		1,114,661
				10,130,154
Telecommunications — 2.5%
Anixter International, Inc.		17,575		1,228,317
Arris Group, Inc. (a)		90,300		1,150,422
Black Box Corp.		42,680		1,500,202
Finisar Corp. (a)		50,149		1,233,665
Ixia (a)		143,000		2,270,840
NICE Systems Ltd. Sponsored ADR (Israel) (a)		37,955		1,402,058
Oclaro, Inc. (a)		60,440		695,664
Premiere Global Services, Inc. (a)		146,000		1,112,520
SBA Communications Corp. Class A (a)		24,500		972,160
Sonus Networks, Inc. (a)		332,900		1,251,704
Symmetricom, Inc. (a)		86,430		529,816
ViaSat, Inc. (a)		28,825		1,148,388
				14,495,756
Textiles — 0.4%
Culp, Inc. (a)		57,200		530,816
G&K Services, Inc. Class A		55,500		1,845,375
				2,376,191
Toys, Games & Hobbies — 0.2%
JAKKS Pacific, Inc. (a)		53,315		1,031,645

	Number of Shares		Value
Transportation — 4.9%
Air Transport Services Group, Inc. (a)		168,325	$	1,422,346
Bristow Group, Inc. (a)		20,900		988,570
Eagle Bulk Shipping, Inc. (a)		207,975		773,667
Genesee & Wyoming, Inc. Class A (a)		83,900		4,882,980
GulfMark Offshore, Inc. Class A (a)		17,075		760,008
Hub Group, Inc. Class A (a)		47,965		1,735,854
Kirby Corp. (a)		82,600		4,732,154
Knight Transportation, Inc.		66,200		1,274,350
Landstar System, Inc.		113,300		5,175,544
Overseas Shipholding Group, Inc.		19,700		633,158
RailAmerica, Inc. (a)		75,125		1,280,130
Seaspan Corp.		128,225		2,493,976
UTI Worldwide, Inc.		110,500		2,236,520
				28,389,257
TOTAL COMMON STOCK (Cost $448,243,097)				558,408,582
CONVERTIBLE PREFERRED STOCK — 0.5%
Banks — 0.3%
East West Bancorp, Inc., Series A 8.000%		1,183		1,821,820
Insurance — 0.2%
Assured Guaranty Ltd. 8.500%		19,700		1,235,052
TOTAL CONVERTIBLE PREFERRED STOCK (Cost $2,169,531)				3,056,872
TOTAL EQUITIES (Cost $450,412,628)				561,465,454
MUTUAL FUNDS — 0.4%
Diversified Financial — 0.4%
iShares Russell 2000 Value Index Fund		19,000		1,432,220
T. Rowe Price Reserve Investment Fund		576,119		576,119
				2,008,339
TOTAL MUTUAL FUNDS (Cost $1,800,098)				2,008,339
TOTAL LONG-TERM INVESTMENTS (Cost $452,212,726)				563,473,793

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

94

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.1%
Repurchase Agreement — 3.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	18,023,414	$	18,023,414
TOTAL SHORT-TERM INVESTMENTS (Cost $18,023,414)				18,023,414
TOTAL INVESTMENTS — 100.5% (Cost $470,236,140) (c)				581,497,207
Other Assets/(Liabilities) — (0.5)%				(2,871,339	)
NET ASSETS — 100.0%			$	578,625,868

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $18,023,419. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 8/15/39 – 11/15/40, and an aggregate market value, including accrued interest, of $18,388,029.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

95

MassMutual Select Mid Cap Growth Equity Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 99.1%
Common Stock — 99.1%
Advertising — 0.7%
The Interpublic Group of Companies, Inc.		36,770	$	462,199
Aerospace & Defense — 0.5%
Goodrich Corp.		3,850		329,290
Apparel — 0.5%
Under Armour, Inc. Class A (a)		5,600		381,080
Auto Manufacturers — 0.7%
Navistar International Corp. (a)		6,600		457,578
Automotive & Parts — 0.6%
BorgWarner, Inc. (a)		3,190		254,211
TRW Automotive Holdings Corp. (a)		3,420		188,374
				442,585
Banks — 0.5%
M&T Bank Corp.		3,540		313,184
Beverages — 2.7%
Green Mountain Coffee Roasters, Inc. (a)		26,750		1,728,318
Hansen Natural Corp. (a)		3,140		189,122
				1,917,440
Biotechnology — 1.5%
Alexion Pharmaceuticals, Inc. (a)		3,940		388,799
Charles River Laboratories International, Inc. (a)		4,980		191,133
Illumina, Inc. (a)		2,960		207,407
Regeneron Pharmaceuticals, Inc. (a)		3,200		143,808
Sequenom, Inc. (a)		752		4,760
Vertex Pharmaceuticals, Inc. (a)		2,730		130,849
				1,066,756
Building Materials — 0.5%
Owens Corning, Inc. (a)		9,350		336,506
Chemicals — 1.7%
CF Industries Holdings, Inc.		4,240		579,990
LyondellBasell Industries NV Class A (a)		6,460		255,493
Methanex Corp.		12,400		387,252
				1,222,735
Coal — 1.5%
Alpha Natural Resources, Inc. (a)		5,670		336,628
CONSOL Energy, Inc.		7,320		392,571
Walter Energy, Inc.		2,400		325,032
				1,054,231
Commercial Services — 8.3%
Anhanguera Educacional Participacoes SA		15,500		379,561

	Number of Shares		Value
Corrections Corporation of America (a)		12,720	$	310,368
Estacio Participacoes SA		28,500		462,592
Gartner, Inc. (a)		6,400		266,688
Genpact Ltd. (a)		18,500		267,880
The Geo Group, Inc. (a)		12,200		312,808
Great American Group, Inc. (a)		43,800		13,140
Localiza Rent a Car SA		25,200		404,398
Manpower, Inc.		9,440		593,587
Pharmaceutical Product Development, Inc.		17,000		471,070
SuccessFactors, Inc. (a)		20,270		792,354
United Rentals, Inc. (a)		11,500		382,720
Weight Watchers International, Inc.		2,400		168,240
Western Union Co.		39,220		814,599
Xueda Education Group Sponsored ADR (Cayman Islands) (a)		17,000		162,520
				5,802,525
Computers — 3.5%
Cadence Design Systems, Inc. (a)		44,100		429,975
Cognizant Technology Solutions Corp. Class A (a)		4,140		336,996
Fortinet, Inc. (a)		8,720		383,680
RealD, Inc. (a)		13,800		377,568
Riverbed Technology, Inc. (a)		4,170		157,000
SanDisk Corp. (a)		8,100		373,329
Teradata Corp. (a)		7,400		375,180
				2,433,728
Distribution & Wholesale — 0.8%
LKQ Corp. (a)		13,800		332,580
WESCO International, Inc. (a)		4,110		256,875
				589,455
Diversified Financial — 2.4%
Discover Financial Services		11,020		265,802
Higher One Holdings, Inc. (a)		4,712		68,088
IntercontinentalExchange, Inc. (a)		2,040		252,022
Invesco Ltd.		24,500		626,220
T. Rowe Price Group, Inc.		6,930		460,291
				1,672,423
Electronics — 2.8%
Agilent Technologies, Inc. (a)		8,350		373,913
Cymer, Inc. (a)		6,700		379,086
Gentex Corp.		11,300		341,825
Jabil Circuit, Inc.		22,920		468,256
Waters Corp. (a)		4,500		391,050
				1,954,130
Energy – Alternate Sources — 0.1%
SunPower Corp. Class A (a)		5,850		100,269

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

96

MassMutual Select Mid Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Engineering & Construction — 1.7%
Aecom Technology Corp. (a)		17,900	$	496,367
Fluor Corp.		3,900		287,274
Foster Wheeler AG (a)		10,400		391,248
				1,174,889
Foods — 1.6%
The Fresh Market, Inc. (a)		5,700		215,118
Whole Foods Market, Inc.		14,110		929,849
				1,144,967
Forest Products & Paper — 0.2%
Temple-Inland, Inc.		6,240		146,016
Gas — 0.2%
Energen Corp.		2,450		154,644
Hand & Machine Tools — 0.4%
Stanley Black & Decker, Inc.		3,600		275,760
Health Care – Products — 4.0%
Edwards Lifesciences Corp. (a)		7,400		643,800
Gen-Probe, Inc. (a)		8,000		530,800
HeartWare International, Inc. (a)		3,400		290,802
Hologic, Inc. (a)		26,900		597,180
Intuitive Surgical, Inc. (a)		880		293,445
Varian Medical Systems, Inc. (a)		3,930		265,825
Zoll Medical Corp. (a)		4,100		183,721
				2,805,573
Health Care – Services — 1.3%
AMERIGROUP Corp. (a)		4,260		273,705
Laboratory Corporation of America Holdings (a)		2,640		243,223
Universal Health Services, Inc. Class B		7,970		393,798
				910,726
Holding Company – Diversified — 0.4%
Justice Holdings Ltd. (a)		16,955		268,592
Home Builders — 0.3%
Thor Industries, Inc.		7,100		236,927
Home Furnishing — 1.3%
Tempur-Pedic International, Inc. (a)		17,930		908,334
Household Products — 0.5%
Jarden Corp.		9,320		331,512
Insurance — 1.0%
Aon Corp.		8,500		450,160
Unum Group		10,740		281,925
				732,085
Internet — 6.1%
Akamai Technologies, Inc. (a)		12,200		463,600
BroadSoft, Inc. (a)		6,000		286,140
F5 Networks, Inc. (a)		4,340		445,154
MercadoLibre, Inc.		1,830		149,383

	Number of Shares		Value
Netflix, Inc. (a)		1,650	$	391,594
OpenTable, Inc. (a)		3,290		349,892
Priceline.com, Inc. (a)		1,900		962,236
Shutterfly, Inc. (a)		2,800		146,608
SINA Corp. (a)		2,805		300,247
TIBCO Software, Inc. (a)		28,310		771,447
				4,266,301
Investment Companies — 0.3%
Vallar PLC (a)		10,436		209,973
Iron & Steel — 0.9%
Cliffs Natural Resources, Inc.		4,360		428,501
United States Steel Corp.		3,450		186,093
				614,594
Leisure Time — 1.5%
Brunswick Corp.		21,100		536,573
Royal Caribbean Cruises Ltd. (a)		5,860		241,784
WMS Industries, Inc. (a)		7,360		260,176
				1,038,533
Lodging — 1.6%
MGM Resorts International (a)		16,220		213,293
Starwood Hotels & Resorts Worldwide, Inc.		8,690		505,063
Wynn Resorts Ltd.		3,020		384,295
				1,102,651
Machinery – Construction & Mining — 1.3%
Ingersoll-Rand PLC		6,200		299,522
Joy Global, Inc.		6,360		628,432
				927,954
Machinery – Diversified — 2.4%
AGCO Corp. (a)		5,440		299,037
Cummins, Inc.		5,310		582,082
FLSmidth & Co. A/S		5,325		453,294
Rockwell Automation, Inc.		3,650		345,472
				1,679,885
Manufacturing — 0.5%
Parker Hannifin Corp.		3,620		342,742
Media — 0.4%
Demand Media, Inc. (a)		11,300		266,115
Mining — 0.2%
Silver Wheaton Corp.		3,610		156,530
Oil & Gas — 4.1%
Cabot Oil & Gas Corp.		7,700		407,869
Cimarex Energy Co.		4,150		478,246
Cobalt International Energy, Inc. (a)		6,600		110,946
Concho Resources, Inc. (a)		4,840		519,332
Ensco PLC Sponsored ADR (United Kingdom)		6,000		347,040
Karoon Gas Australia Ltd. (a)		13,876		102,670

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

97

MassMutual Select Mid Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
QEP Resources, Inc.		6,520	$	264,321
Southwestern Energy Co. (a)		9,400		403,918
Whiting Petroleum Corp. (a)		3,160		232,102
				2,866,444
Oil & Gas Services — 0.7%
Cameron International Corp. (a)		8,820		503,622
Pharmaceuticals — 4.6%
AmerisourceBergen Corp.		9,730		384,919
Amylin Pharmaceuticals, Inc. (a)		5,300		60,261
Auxilium Pharmaceuticals, Inc. (a)		8,800		188,936
Cardinal Health, Inc.		8,600		353,718
Mead Johnson Nutrition Co.		3,920		227,085
Onyx Pharmaceuticals, Inc. (a)		3,760		132,277
Perrigo Co.		3,340		265,597
Salix Pharmaceuticals Ltd. (a)		5,700		199,671
SXC Health Solutions Corp. (a)		8,310		455,388
United Therapeutics Corp. (a)		3,790		254,006
Valeant Pharmaceuticals International, Inc.		8,370		416,910
Watson Pharmaceuticals, Inc. (a)		5,730		320,937
				3,259,705
Real Estate — 0.6%
CB Richard Ellis Group, Inc. Class A (a)		16,270		434,409
Retail — 9.4%
Abercrombie & Fitch Co. Class A		12,720		746,664
Advance Auto Parts, Inc.		5,750		377,315
Big Lots, Inc. (a)		8,900		386,527
The Cheesecake Factory, Inc. (a)		10,770		324,069
Coach, Inc.		13,900		723,356
Columbia Sportswear Co.		5,600		332,752
Dick’s Sporting Goods, Inc. (a)		16,000		639,680
Domino’s Pizza UK & IRL PLC		55,333		380,136
Guess?, Inc.		4,140		162,909
Hanesbrands, Inc. (a)		16,700		451,568
Nordstrom, Inc.		9,950		446,556
Pandora A/S (a)		5,445		276,990
Ross Stores, Inc.		5,100		362,712
SA SA International Holdings Ltd.		348,000		177,392
Ulta Salon Cosmetics & Fragrance, Inc. (a)		7,950		382,633
Williams-Sonoma, Inc.		10,500		425,250
				6,596,509
Semiconductors — 9.6%
Aeroflex Holding Corp. (a)		10,010		182,282
Altera Corp.		5,740		252,675
ASML Holding NV (a)		11,120		494,840
Broadcom Corp. Class A		17,540		690,725
Cavium Networks, Inc. (a)		10,000		449,300
Cree, Inc. (a)		2,600		120,016
Cypress Semiconductor Corp. (a)		41,580		805,821

	Number of Shares		Value
Lam Research Corp. (a)		4,380	$	248,171
Marvell Technology Group Ltd. (a)		20,300		315,665
Netlogic Microsystems, Inc. (a)		11,270		473,565
NVIDIA Corp. (a)		31,060		573,368
NXP Semiconductor NV (a)		19,860		595,800
Rovi Corp. (a)		4,040		216,746
Skyworks Solutions, Inc. (a)		21,600		700,272
Varian Semiconductor Equipment Associates, Inc. (a)		13,120		638,550
				6,757,796
Software — 4.1%
Allscripts Healthcare Solutions, Inc. (a)		20,900		438,691
Citrix Systems, Inc. (a)		5,300		389,338
Concur Technologies, Inc. (a)		7,500		415,875
Informatica Corp. (a)		4,700		245,481
Salesforce.com, Inc. (a)		5,940		793,465
SEI Investments Co.		14,500		346,260
VeriFone Systems, Inc. (a)		4,850		266,508
				2,895,618
Telecommunications — 6.4%
AAC Acoustic Technologies Holdings, Inc.		72,000		194,828
Acme Packet, Inc. (a)		10,710		759,982
ADTRAN, Inc.		12,000		509,520
Aruba Networks, Inc. (a)		27,530		931,615
Ciena Corp. (a)		8,860		230,006
DigitalGlobe, Inc. (a)		10,600		297,118
Finisar Corp. (a)		10,400		255,840
Juniper Networks, Inc. (a)		7,840		329,907
NII Holdings, Inc. (a)		5,660		235,852
Polycom, Inc. (a)		14,400		746,640
				4,491,308
Transportation — 2.2%
Con-way, Inc.		8,700		341,823
Expeditors International of Washington, Inc.		5,200		260,728
J.B. Hunt Transport Services, Inc.		7,600		345,192
Swift Transporation Co. (a)		19,100		280,770
United Continental Holdings, Inc. (a)		14,744		338,964
				1,567,477
TOTAL COMMON STOCK (Cost $53,236,055)				69,604,305
TOTAL EQUITIES (Cost $53,236,055)				69,604,305
TOTAL LONG-TERM INVESTMENTS (Cost $53,236,055)				69,604,305

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

98

MassMutual Select Mid Cap Growth Equity Fund – Portfolio of Investments (Continued)

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.1%
Repurchase Agreement — 3.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	2,141,482	$	2,141,482
TOTAL SHORT-TERM INVESTMENTS (Cost $2,141,482)				2,141,482
TOTAL INVESTMENTS — 102.2% (Cost $55,377,537) (c)				71,745,787
Other Assets/(Liabilities) — (2.2)%				(1,526,322	)
NET ASSETS — 100.0%			$	70,219,465

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $2,141,483. Collateralized by U.S. Government Agency obligations with rates ranging from 3.000% – 4.000%, maturity dates ranging from 8/15/39 – 11/25/40, and an aggregate market value, including accrued interest, of $2,185,740.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

99

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.1%
COMMON STOCK — 96.1%
Advertising — 0.8%
Lamar Advertising Co. Class A (a)		359,000	$	13,261,460
Aerospace & Defense — 1.6%
Alliant Techsystems, Inc.		9,300		657,231
BE Aerospace, Inc. (a)		192,600		6,843,078
Goodrich Corp.		89,000		7,612,170
Rockwell Collins, Inc.		199,000		12,901,170
				28,013,649
Airlines — 0.2%
Alaska Air Group, Inc. (a)		56,100		3,557,862
Apparel — 0.2%
The Warnaco Group, Inc. (a)		64,200		3,671,598
Auto Manufacturers — 0.3%
Navistar International Corp. (a)		61,500		4,263,795
Automotive & Parts — 1.1%
Autoliv, Inc.		35,900		2,664,857
Tenneco, Inc. (a)		67,800		2,878,110
WABCO Holdings, Inc. (a)		206,000		12,697,840
				18,240,807
Banks — 1.1%
Fifth Third Bancorp		285,000		3,955,800
Popular, Inc. (a)		967,000		2,813,970
SunTrust Banks, Inc.		158,000		4,556,720
TCF Financial Corp.		443,000		7,025,980
				18,352,470
Beverages — 0.3%
Hansen Natural Corp. (a)		98,500		5,932,655
Biotechnology — 2.4%
Alexion Pharmaceuticals, Inc. (a)		81,000		7,993,080
Human Genome Sciences, Inc. (a)		351,000		9,634,950
Illumina, Inc. (a)		163,800		11,477,466
Regeneron Pharmaceuticals, Inc. (a)		158,000		7,100,520
Vertex Pharmaceuticals, Inc. (a)		111,000		5,320,230
				41,526,246
Building Materials — 0.2%
Lennox International, Inc.		66,900		3,517,602
Chemicals — 0.5%
FMC Corp.		29,300		2,488,449
Rockwood Holdings, Inc. (a)		118,000		5,807,960
				8,296,409
Coal — 1.6%
Alpha Natural Resources, Inc. (a)		80,000		4,749,600
CONSOL Energy, Inc.		306,200		16,421,506
Peabody Energy Corp.		79,000		5,684,840
				26,855,946

	Number of Shares		Value
Commercial Services — 6.4%
Alliance Data Systems Corp. (a)		67,700	$	5,814,753
Gartner, Inc. (a)		384,000		16,001,280
Global Payments, Inc.		336,000		16,437,120
Hertz Global Holdings, Inc. (a)		884,000		13,816,920
Manpower, Inc.		130,000		8,174,400
Moody’s Corp.		123,300		4,181,103
Quanta Services, Inc. (a)		639,000		14,332,770
Robert Half International, Inc.		360,000		11,016,000
Verisk Analytics, Inc. Class A (a)		196,000		6,420,960
Western Union Co.		703,000		14,601,310
				110,796,616
Computers — 2.6%
Cognizant Technology Solutions Corp. Class A (a)		38,600		3,142,040
IHS, Inc. Class A (a)		278,100		24,681,375
MICROS Systems, Inc. (a)		190,000		9,391,700
NetApp, Inc. (a)		66,800		3,218,424
Teradata Corp. (a)		65,700		3,330,990
				43,764,529
Distribution & Wholesale — 1.5%
Fastenal Co.		241,000		15,624,030
LKQ Corp. (a)		251,600		6,063,560
WESCO International, Inc. (a)		51,100		3,193,750
				24,881,340
Diversified Financial — 3.0%
Apollo Global Management LLC Class A (a)		9,200		165,600
CBOE Holdings, Inc.		205,000		5,938,850
Eaton Vance Corp.		221,000		7,125,040
Interactive Brokers Group, Inc. Class A		155,000		2,462,950
IntercontinentalExchange, Inc. (a)		74,000		9,141,960
NYSE Euronext		96,000		3,376,320
Raymond James Financial, Inc.		158,200		6,049,568
T. Rowe Price Group, Inc.		50,000		3,321,000
TD Ameritrade Holding Corp.		575,000		12,000,250
Waddell & Reed Financial, Inc. Class A		50,500		2,050,805
				51,632,343
Electric — 0.9%
Calpine Corp. (a)		1,001,000		15,885,870
Electrical Components & Equipment — 2.7%
A123 Systems, Inc. (a)		158,000		1,003,300
AMETEK, Inc.		701,600		30,779,192
The Babcock & Wilcox Co. (a)		428,000		14,286,640
				46,069,132

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

100

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Electronics — 4.0%
Agilent Technologies, Inc. (a)		103,400	$	4,630,252
Amphenol Corp. Class A		92,400		5,025,636
Dolby Laboratories, Inc. Class A (a)		238,000		11,711,980
FLIR Systems, Inc.		323,000		11,179,030
Jabil Circuit, Inc.		155,200		3,170,736
TE Connectivity Ltd.		111,800		3,892,876
Trimble Navigation Ltd. (a)		288,000		14,555,520
Waters Corp. (a)		160,000		13,904,000
				68,070,030
Energy – Alternate Sources — 0.4%
First Solar, Inc. (a)		38,000		6,111,920
Engineering & Construction — 2.1%
Chicago Bridge & Iron Co. NV		154,500		6,281,970
Foster Wheeler AG (a)		193,300		7,271,946
McDermott International, Inc. (a)		890,500		22,609,795
				36,163,711
Entertainment — 0.1%
Madison Square Garden, Inc. Class A (a)		86,000		2,321,140
Environmental Controls — 0.1%
Waste Connections, Inc.		77,500		2,231,225
Foods — 0.6%
Whole Foods Market, Inc.		159,000		10,478,100
Health Care – Products — 4.8%
Bruker Corp. (a)		428,000		8,923,800
C.R. Bard, Inc.		127,000		12,612,370
CareFusion Corp. (a)		416,000		11,731,200
The Cooper Cos., Inc.		95,000		6,597,750
Edwards Lifesciences Corp. (a)		126,700		11,022,900
Henry Schein, Inc. (a)		208,000		14,595,360
IDEXX Laboratories, Inc. (a)		127,000		9,806,940
QIAGEN NV (a)		364,000		7,298,200
				82,588,520
Health Care – Services — 2.4%
Community Health Systems, Inc. (a)		352,000		14,076,480
Covance, Inc. (a)		256,000		14,008,320
DaVita, Inc. (a)		51,400		4,395,214
Laboratory Corporation of America Holdings (a)		79,000		7,278,270
MEDNAX, Inc. (a)		33,400		2,224,774
				41,983,058
Home Furnishing — 0.3%
Harman International Industries, Inc.		115,600		5,412,392
Insurance — 2.1%
Aon Corp.		224,000		11,863,040
HCC Insurance Holdings, Inc.		215,000		6,731,650
Principal Financial Group, Inc.		320,000		10,275,200
W.R. Berkley Corp.		235,000		7,569,350
				36,439,240

	Number of Shares		Value
Internet — 2.5%
Akamai Technologies, Inc. (a)		32,000	$	1,216,000
Ariba, Inc. (a)		100,100		3,417,414
Check Point Software Technologies Ltd. (a)		61,600		3,144,680
Equinix, Inc. (a)		63,000		5,739,300
Expedia, Inc.		312,000		7,069,920
Liberty Media Corp. – Interactive Class A (a)		569,000		9,126,760
Rackspace Hosting, Inc. (a)		111,000		4,756,350
TIBCO Software, Inc. (a)		158,000		4,305,500
WebMD Health Corp. (a)		63,000		3,365,460
				42,141,384
Iron & Steel — 0.2%
Allegheny Technologies, Inc.		44,500		3,013,540
Leisure Time — 0.2%
Harley-Davidson, Inc.		92,300		3,921,827
Lodging — 1.6%
Choice Hotels International, Inc.		146,000		5,672,100
Marriott International, Inc. Class A		384,000		13,662,720
Starwood Hotels & Resorts Worldwide, Inc.		77,000		4,475,240
Wynn Resorts Ltd.		25,000		3,181,250
				26,991,310
Machinery – Construction & Mining — 0.3%
Ingersoll-Rand PLC		113,000		5,459,030
Machinery – Diversified — 3.2%
CNH Global NV (a)		58,100		2,820,755
Gardner Denver, Inc.		219,000		17,088,570
IDEX Corp.		288,000		12,571,200
Roper Industries, Inc.		222,000		19,194,120
Wabtec Corp.		40,000		2,713,200
				54,387,845
Manufacturing — 1.7%
Acuity Brands, Inc.		8,700		508,863
Cooper Industries PLC		91,700		5,951,330
Crane Co.		64,000		3,099,520
Danaher Corp.		62,000		3,217,800
Pall Corp.		84,700		4,879,567
Textron, Inc.		416,000		11,394,240
				29,051,320
Media — 3.4%
Cablevision Systems Corp. Class A		309,802		10,722,247
Discovery Communications, Inc. Series A (a)		323,500		12,907,650
Discovery Communications, Inc. Series C (a)		226,000		7,957,460
FactSet Research Systems, Inc.		111,000		11,625,030
Liberty Media Corp. – Starz Series A (a)		95,000		7,372,000

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

101

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Nielsen Holdings NV (a)		165,000	$	4,506,150
Scripps Networks Interactive Class A		82,200		4,117,398
				59,207,935
Mining — 1.6%
Agnico-Eagle Mines Ltd.		215,000		14,265,250
Franco-Nevada Corp.		253,000		9,287,540
HudBay Minerals, Inc.		258,000		4,207,980
				27,760,770
Oil & Gas — 5.2%
Cabot Oil & Gas Corp.		53,900		2,855,083
Concho Resources, Inc. (a)		92,000		9,871,600
Continental Resources, Inc. (a)		184,400		13,179,068
EQT Corp.		256,000		12,774,400
InterOil Corp. (a)		69,700		5,202,408
QEP Resources, Inc.		191,000		7,743,140
Range Resources Corp.		288,000		16,836,480
SM Energy Co.		128,000		9,496,320
Ultra Petroleum Corp. (a)		224,000		11,032,000
				88,990,499
Oil & Gas Services — 1.2%
FMC Technologies, Inc. (a)		94,000		8,881,120
Superior Energy Services, Inc. (a)		92,000		3,772,000
Trican Well Service Ltd. (b)		70,600		1,594,053
Trican Well Service Ltd.		310,400		7,008,412
				21,255,585
Packaging & Containers — 0.2%
Crown Holdings, Inc. (a)		92,400		3,564,792
Pharmaceuticals — 5.1%
BioMarin Pharmaceutical, Inc. (a)		127,000		3,191,510
Catalyst Health Solutions, Inc. (a)		56,500		3,160,045
Cephalon, Inc. (a)		224,000		16,974,720
DENTSPLY International, Inc.		320,000		11,836,800
Elan Corp. PLC Sponsored ADR (Ireland) (a)		442,000		3,040,960
Hospira, Inc. (a)		64,200		3,543,840
Perrigo Co.		38,500		3,061,520
Shire PLC Sponsored ADR (United Kingdom)		51,400		4,476,940
SXC Health Solutions Corp. (a)		59,000		3,233,200
Theravance, Inc. (a)		190,000		4,601,800
United Therapeutics Corp. (a)		100,700		6,748,914
Valeant Pharmaceuticals International, Inc.		360,000		17,931,600
Watson Pharmaceuticals, Inc. (a)		104,100		5,830,641
				87,632,490
Real Estate — 0.4%
CB Richard Ellis Group, Inc. Class A (a)		239,700		6,399,990
Jones Lang LaSalle, Inc.		10,000		997,400
				7,397,390

	Number of Shares		Value
Retail — 7.8%
Bed Bath & Beyond, Inc. (a)		206,600	$	9,972,582
CarMax, Inc. (a)		454,000		14,573,400
Chico’s FAS, Inc.		146,400		2,181,360
Chipotle Mexican Grill, Inc. (a)		48,000		13,073,760
Coach, Inc.		124,000		6,452,960
Dollar General Corp. (a)		538,000		16,866,300
Dollar Tree, Inc. (a)		70,600		3,919,712
MSC Industrial Direct Co., Inc. Class A		150,000		10,270,500
O’Reilly Automotive, Inc. (a)		262,100		15,060,266
Panera Bread Co. Class A (a)		51,000		6,477,000
Shoppers Drug Mart Corp. (b)		38,000		1,562,331
Shoppers Drug Mart Corp.		319,000		13,115,359
Starbucks Corp.		265,700		9,817,615
Tiffany & Co.		38,500		2,365,440
Tim Hortons, Inc.		142,000		6,434,020
Tractor Supply Co.		38,500		2,304,610
				134,447,215
Savings & Loans — 0.2%
BankUnited, Inc.		104,000		2,985,840
Semiconductors — 7.3%
Altera Corp.		159,000		6,999,180
Analog Devices, Inc.		69,300		2,729,034
Cree, Inc. (a)		127,000		5,862,320
Intersil Corp. Class A		525,000		6,536,250
Marvell Technology Group Ltd. (a)		447,000		6,950,850
MEMC Electronic Materials, Inc. (a)		540,000		6,998,400
Microchip Technology, Inc.		297,000		11,288,970
National Semiconductor Corp.		573,000		8,216,820
NVIDIA Corp. (a)		510,000		9,414,600
ON Semiconductor Corp. (a)		236,000		2,329,320
PMC-Sierra, Inc. (a)		276,000		2,070,000
Rovi Corp. (a)		327,600		17,575,740
Silicon Laboratories, Inc. (a)		174,000		7,518,540
Skyworks Solutions, Inc. (a)		289,600		9,388,832
TriQuint Semiconductor, Inc. (a)		229,300		2,960,263
Varian Semiconductor Equipment Associates, Inc. (a)		95,000		4,623,650
Xilinx, Inc.		447,000		14,661,600
				126,124,369
Software — 5.0%
Cerner Corp. (a)		15,900		1,768,080
Concur Technologies, Inc. (a)		64,000		3,548,800
Electronic Arts, Inc. (a)		286,000		5,585,580
Fiserv, Inc. (a)		270,000		16,934,400
Intuit, Inc. (a)		71,100		3,775,410
MSCI, Inc. Class A (a)		382,000		14,065,240
Nuance Communications, Inc. (a)		901,300		17,629,428
Red Hat, Inc. (a)		287,000		13,026,930
Solera Holdings, Inc.		86,000		4,394,600

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

102

MassMutual Select Mid Cap Growth Equity II Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
VeriFone Systems, Inc. (a)		102,700	$	5,643,365
				86,371,833
Telecommunications — 3.9%
ADTRAN, Inc.		101,300		4,301,198
Atheros Communications, Inc. (a)		155,000		6,920,750
Crown Castle International Corp. (a)		92,400		3,931,620
JDS Uniphase Corp. (a)		952,000		19,839,680
Juniper Networks, Inc. (a)		409,400		17,227,552
Motorola Mobility Holdings, Inc. (a)		318,000		7,759,200
NII Holdings, Inc. (a)		105,300		4,387,851
RF Micro Devices, Inc. (a)		309,100		1,981,331
				66,349,182
Transportation — 0.8%
Hub Group, Inc. Class A (a)		123,300		4,462,227
UTI Worldwide, Inc.		453,600		9,180,864
				13,643,091
TOTAL COMMON STOCK (Cost $1,152,314,547)				1,651,016,912
TOTAL EQUITIES (Cost $1,152,314,547)				1,651,016,912
MUTUAL FUNDS — 0.7%
Diversified Financial — 0.7%
T. Rowe Price Government Reserve Investment Fund		11,812,648		11,812,648
TOTAL MUTUAL FUNDS (Cost $11,812,648)				11,812,648
TOTAL LONG-TERM INVESTMENTS (Cost $1,164,127,195)				1,662,829,560

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 3.3%
Repurchase Agreement — 3.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (c)	$	57,098,119	$	57,098,119
TOTAL SHORT-TERM INVESTMENTS (Cost $57,098,119)				57,098,119
TOTAL INVESTMENTS — 100.1% (Cost $1,221,225,314) (d)				1,719,927,679
Other Assets/(Liabilities) — (0.1)%				(888,420	)
NET ASSETS — 100.0%			$	1,719,039,259

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2011, these securities amounted to a value of $3,156,384 or 0.18% of net assets.

(c) Maturity value of $57,098,135. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity dates ranging from 8/15/39 – 9/25/39, and an aggregate market value, including accrued interest, of $58,244,138.

(d) See Note 3 for aggregate cost for federal tax purposes.

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

103

MassMutual Select Small Cap Growth Equity Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.1%
COMMON STOCK — 97.1%
Advertising — 0.4%
APAC Customer Services, Inc. (a)		344,600	$	2,071,046
Harte-Hanks, Inc.		104,500		1,243,550
				3,314,596
Aerospace & Defense — 0.5%
Cubic Corp.		34,900		2,006,750
Orbital Sciences Corp. (a)		1,400		26,488
Teledyne Technologies, Inc. (a)		48,100		2,487,251
				4,520,489
Airlines — 0.4%
Copa Holdings SA Class A		40,280		2,126,784
JetBlue Airways Corp. (a)		301,490		1,890,342
				4,017,126
Apparel — 2.4%
Under Armour, Inc. Class A (a)		320,481		21,808,732
Automotive & Parts — 0.8%
Commercial Vehicle Group, Inc. (a)		77,100		1,375,464
Meritor, Inc. (a)		263,290		4,468,031
Tenneco, Inc. (a)		42,600		1,808,370
				7,651,865
Banks — 1.2%
Boston Private Financial Holdings, Inc.		314,800		2,225,636
CVB Financial Corp.		227,900		2,121,749
International Bancshares Corp.		101,600		1,863,344
MB Financial, Inc.		92,294		1,934,482
PacWest Bancorp		86,100		1,872,675
Synovus Financial Corp.		401,400		963,360
				10,981,246
Beverages — 1.6%
Boston Beer Co., Inc. Class A (a)		77,000		7,131,740
Cott Corp. (a)		162,700		1,366,680
Green Mountain Coffee Roasters, Inc. (a)		96,170		6,213,544
				14,711,964
Biotechnology — 1.3%
Exelixis, Inc. (a)		214,000		2,418,200
Incyte Corp. (a)		148,020		2,346,117
Regeneron Pharmaceuticals, Inc. (a)		96,440		4,334,014
Seattle Genetics, Inc. (a)		202,200		3,148,254
Sequenom, Inc. (a)		3,138		19,863
				12,266,448
Building Materials — 0.7%
Eagle Materials, Inc.		52,700		1,594,702
Lennox International, Inc.		50,100		2,634,258
Trex Co., Inc. (a)		67,819		2,212,256
				6,441,216

	Number of Shares		Value
Chemicals — 1.0%
Ferro Corp. (a)		134,600	$	2,233,014
Methanex Corp.		161,790		5,052,702
Olin Corp.		80,900		1,854,228
				9,139,944
Coal — 0.2%
James River Coal Co. (a)		57,100		1,380,107
Commercial Services — 6.2%
The Advisory Board Co. (a)		55,830		2,875,245
AerCap Holdings NV (a)		133,224		1,674,625
Capella Education Co. (a)		109,315		5,442,794
Convergys Corp. (a)		174,000		2,498,640
Corrections Corporation of America (a)		70,060		1,709,464
CoStar Group, Inc. (a)		129,400		8,110,792
Estacio Participacoes SA		148,840		2,415,864
Forrester Research, Inc.		51,800		1,983,422
Gartner, Inc. (a)		30,300		1,262,601
The Geo Group, Inc. (a)		75,030		1,923,769
Green Dot Corp. Class A (a)		20,810		892,957
Healthspring, Inc. (a)		66,900		2,500,053
HMS Holdings Corp. (a)		27,695		2,266,836
Huron Consulting Group, Inc. (a)		86,900		2,406,261
Localiza Rent a Car SA		134,420		2,157,109
PAREXEL International Corp. (a)		55,290		1,376,721
Pharmaceutical Product Development, Inc.		116,870		3,238,468
RSC Holdings, Inc. (a)		104,530		1,503,141
SuccessFactors, Inc. (a)		97,230		3,800,721
TrueBlue, Inc. (a)		105,205		1,766,392
United Rentals, Inc. (a)		110,890		3,690,419
Weight Watchers International, Inc.		12,500		876,250
				56,372,544
Computers — 7.2%
Cadence Design Systems, Inc. (a)		264,910		2,582,872
Fortinet, Inc. (a)		62,010		2,728,440
LivePerson, Inc. (a)		33,500		423,440
LogMeIn, Inc. (a)		222,655		9,387,135
MICROS Systems, Inc. (a)		374,621		18,517,516
Quantum Corp. (a)		410,100		1,033,452
RealD, Inc. (a)		284,380		7,780,637
STEC, Inc. (a)		88,700		1,781,983
Stratasys, Inc. (a)		324,494		15,251,218
SYKES Enterprises, Inc. (a)		218,327		4,316,325
Syntel, Inc.		28,900		1,509,447
				65,312,465
Distribution & Wholesale — 1.6%
Beacon Roofing Supply, Inc. (a)		102,200		2,092,034
Ingram Micro, Inc. Class A (a)		126,829		2,667,214
LKQ Corp. (a)		410,572		9,894,785
				14,654,033

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

104

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

	Number of Shares		Value
Diversified Financial — 4.0%
Evercore Partners, Inc. Class A		44,840	$	1,537,563
Financial Engines, Inc. (a)		74,000		2,039,440
Greenhill & Co., Inc.		185,877		12,228,848
National Financial Partners Corp. (a)		120,000		1,770,000
Portfolio Recovery Associates, Inc. (a)		218,536		18,603,970
Stifel Financial Corp. (a)		2,048		147,026
				36,326,847
Electric — 0.5%
IDACORP, Inc.		42,300		1,611,630
ITC Holdings Corp.		36,600		2,558,340
				4,169,970
Electrical Components & Equipment — 3.4%
A123 Systems, Inc. (a)		105,800		671,830
General Cable Corp. (a)		425,210		18,411,593
GrafTech International Ltd. (a)		423,800		8,742,994
SunPower Corp. Class B (a)		162,334		2,706,108
				30,532,525
Electronics — 2.2%
Celestica, Inc. (a)		227,000		2,433,440
Cymer, Inc. (a)		39,768		2,250,074
Jabil Circuit, Inc.		344,540		7,038,952
PerkinElmer, Inc.		263,700		6,927,399
Stoneridge, Inc. (a)		125,000		1,827,500
				20,477,365
Engineering & Construction — 0.5%
Aecom Technology Corp. (a)		96,440		2,674,281
Foster Wheeler AG (a)		38,330		1,441,975
				4,116,256
Entertainment — 1.1%
Bally Technologies, Inc. (a)		51,500		1,949,275
Churchill Downs, Inc.		50,200		2,083,300
Cinemark Holdings, Inc.		205,550		3,977,392
DreamWorks Animation SKG, Inc. Class A (a)		82,800		2,312,604
				10,322,571
Environmental Controls — 0.5%
Waste Connections, Inc.		161,100		4,638,069
Foods — 0.1%
The Fresh Market, Inc. (a)		33,890		1,279,009
Health Care – Products — 6.8%
DexCom, Inc. (a)		398,200		6,180,064
Gen-Probe, Inc. (a)		53,410		3,543,754
HeartWare International, Inc. (a)		20,380		1,743,101
Masimo Corp.		297,887		9,860,060
NuVasive, Inc. (a)		470,458		11,911,997
Stereotaxis, Inc. (a)		351,674		1,360,978

	Number of Shares		Value
Volcano Corp. (a)		537,715	$	13,765,504
Zoll Medical Corp. (a)		294,982		13,218,143
				61,583,601
Health Care – Services — 1.9%
Health Management Associates, Inc. Class A (a)		314,940		3,432,846
Healthways, Inc. (a)		352,050		5,411,009
Kindred Healthcare, Inc. (a)		110,900		2,648,292
WellCare Health Plans, Inc. (a)		140,390		5,889,360
				17,381,507
Holding Company – Diversified — 0.2%
Justice Holdings Ltd. (a)		101,946		1,614,974
Home Builders — 0.6%
Meritage Home Corp. (a)		79,500		1,918,335
Thor Industries, Inc.		104,170		3,476,153
				5,394,488
Home Furnishing — 2.4%
Tempur-Pedic International, Inc. (a)		367,680		18,626,669
TiVo, Inc. (a)		373,200		3,269,232
				21,895,901
Insurance — 0.3%
eHealth, Inc. (a)		136,000		1,808,800
Platinum Underwriters Holdings Ltd.		18,900		719,901
				2,528,701
Internet — 6.1%
Ancestry.com, Inc. (a)		42,390		1,502,726
Archipelago Learning, Inc. (a)		126,100		1,078,155
Ariba, Inc. (a)		68,060		2,323,568
BroadSoft, Inc. (a)		41,400		1,974,366
Constant Contact, Inc. (a)		466,288		16,273,451
DealerTrack Holdings, Inc. (a)		637,370		14,634,015
Dice Holdings, Inc. (a)		453,780		6,856,616
IAC/InterActiveCorp (a)		77,300		2,387,797
QuinStreet, Inc. (a)		103,743		2,358,078
S1 Corp. (a)		223,400		1,492,312
Shutterfly, Inc. (a)		35,500		1,858,780
TIBCO Software, Inc. (a)		100,650		2,742,713
				55,482,577
Leisure Time — 0.3%
Brunswick Corp.		106,260		2,702,192
Machinery – Diversified — 6.8%
Gardner Denver, Inc.		150,300		11,727,909
Graco, Inc.		247,193		11,244,810
Hollysys Automation Technologies Ltd. (a)		96,900		1,288,770
The Manitowoc Co., Inc.		228,400		4,997,392
Nordson Corp.		73,600		8,468,416

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

105

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

	Number of Shares		Value
Sauer-Danfoss, Inc. (a)		22,351	$	1,138,336
Wabtec Corp.		337,477		22,891,065
				61,756,698
Manufacturing — 1.5%
Acuity Brands, Inc.		167,600		9,802,924
FreightCar America, Inc. (a)		61,744		2,007,298
LSB Industries, Inc. (a)		45,530		1,804,809
				13,615,031
Media — 1.6%
Demand Media, Inc. (a)		69,317		1,632,415
FactSet Research Systems, Inc.		121,244		12,697,884
				14,330,299
Office Furnishings — 0.2%
Knoll, Inc.		100,600		2,108,576
Oil & Gas — 1.1%
Cabot Oil & Gas Corp.		48,680		2,578,580
Comstock Resources, Inc. (a)		100,400		3,106,376
Rosetta Resources, Inc. (a)		96,700		4,597,118
				10,282,074
Oil & Gas Services — 5.5%
Core Laboratories NV		68,483		6,996,908
Dresser-Rand Group, Inc. (a)		312,900		16,777,698
Dril-Quip, Inc. (a)		158,889		12,556,998
Global Industries Ltd. (a)		451,432		4,419,519
Helix Energy Solutions Group, Inc. (a)		142,800		2,456,160
Hornbeck Offshore Services, Inc. (a)		34,770		1,072,655
ION Geophysical Corp. (a)		223,900		2,841,291
Tidewater, Inc.		43,260		2,589,111
				49,710,340
Packaging & Containers — 0.3%
Silgan Holdings, Inc.		83,100		3,169,434
Pharmaceuticals — 1.5%
Amylin Pharmaceuticals, Inc. (a)		76,800		873,216
Ardea Biosciences, Inc. (a)		23,600		677,084
Auxilium Pharmaceuticals, Inc. (a)		45,100		968,297
Cadence Pharmaceuticals, Inc. (a)		151,547		1,395,748
Onyx Pharmaceuticals, Inc. (a)		31,980		1,125,056
Pharmasset, Inc. (a)		20,240		1,593,090
Salix Pharmaceuticals Ltd. (a)		76,480		2,679,095
SXC Health Solutions Corp. (a)		49,480		2,711,504
Targacept, Inc. (a)		49,600		1,318,864
				13,341,954
Real Estate Investment Trusts (REITS) — 1.0%
American Assets Trust, Inc.		50,300		1,069,881
Glimcher Realty Trust		180,002		1,665,018
MFA Financial, Inc.		197,800		1,621,960
Redwood Trust, Inc.		152,300		2,368,265
Sabra Health Care REIT, Inc.		110,900		1,952,949
				8,678,073

	Number of Shares		Value
Retail — 5.5%
AFC Enterprises, Inc (a)		67,962	$	1,028,265
Big Lots, Inc. (a)		60,200		2,614,486
The Cheesecake Factory, Inc. (a)		96,389		2,900,345
The Children’s Place Retail Store, Inc. (a)		18,430		918,367
Columbia Sportswear Co.		197,265		11,721,486
Denny’s Corp. (a)		348,100		1,413,286
Dick’s Sporting Goods, Inc. (a)		58,800		2,350,824
Domino’s Pizza UK & IRL PLC		251,161		1,725,467
Domino’s Pizza, Inc. (a)		85,530		1,576,318
Hanesbrands, Inc. (a)		130,948		3,540,834
Liz Claiborne, Inc. (a)		382,920		2,063,939
Lumber Liquidators Holdings, Inc. (a)		64,960		1,623,350
Nu Skin Enterprises, Inc. Class A		54,400		1,564,000
Rush Enterprises, Inc. Class A (a)		23,693		469,121
The Talbots, Inc. (a)		174,600		1,054,584
Ulta Salon Cosmetics & Fragrance, Inc. (a)		47,865		2,303,742
Vera Bradley, Inc. (a)		73,800		3,115,098
Zumiez, Inc. (a)		314,946		8,324,023
				50,307,535
Semiconductors — 3.2%
Applied Micro Circuits Corp. (a)		149,040		1,547,035
Cavium Networks, Inc. (a)		65,060		2,923,146
Cypress Semiconductor Corp. (a)		89,240		1,729,471
Fairchild Semiconductor International, Inc. (a)		142,000		2,584,400
Microsemi Corp. (a)		89,100		1,845,261
Nanometrics, Inc. (a)		117,600		2,127,384
Netlogic Microsystems, Inc. (a)		29,200		1,226,984
ON Semiconductor Corp. (a)		245,900		2,427,033
QLogic Corp. (a)		111,500		2,068,325
Semtech Corp. (a)		297,640		7,446,953
Skyworks Solutions, Inc. (a)		87,640		2,841,289
				28,767,281
Software — 4.7%
Allscripts Healthcare Solutions, Inc. (a)		74,030		1,553,890
CommVault Systems, Inc. (a)		249,652		9,956,122
Concur Technologies, Inc. (a)		126,075		6,990,859
Emdeon, Inc. Class A (a)		146,400		2,358,504
hiSoft Technology International Ltd. ADR (Cayman Islands) (a)		54,700		1,024,531
Parametric Technology Corp. (a)		76,140		1,712,388
Quest Software, Inc. (a)		39,930		1,013,823
RealPage, Inc. (a)		55,410		1,536,519
RightNow Technologies, Inc. (a)		83,100		2,601,030
SolarWinds, Inc. (a)		74,300		1,743,078
Synchronoss Technologies, Inc. (a)		255,700		8,885,575
Totvs SA		82,200		1,578,397
Velti PLC (a)		147,251		1,853,890
				42,808,606

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

106

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

	Number of Shares		Value
Storage & Warehousing — 0.5%
Mobile Mini, Inc. (a)		208,924	$	5,018,354
Telecommunications — 4.0%
AAC Acoustic Technologies Holdings, Inc.		615,540		1,665,618
Acme Packet, Inc. (a)		31,700		2,249,432
ADTRAN, Inc.		49,440		2,099,222
Aruba Networks, Inc. (a)		279,290		9,451,174
Ciena Corp. (a)		39,900		1,035,804
DigitalGlobe, Inc. (a)		60,250		1,688,808
Finisar Corp. (a)		266,660		6,559,836
Ixia (a)		57,010		905,319
JDS Uniphase Corp. (a)		61,930		1,290,621
Polycom, Inc. (a)		69,050		3,580,242
tw telecom, Inc. (a)		139,600		2,680,320
Vonage Holdings Corp. (a)		789,300		3,599,208
				36,805,604
Transportation — 3.3%
Con-way, Inc.		128,830		5,061,731
Genesee & Wyoming, Inc. Class A (a)		37,700		2,194,140
GulfMark Offshore, Inc. Class A (a)		86,790		3,863,023
J.B. Hunt Transport Services, Inc.		239,980		10,899,892
Old Dominion Freight Line, Inc. (a)		72,125		2,530,866
Swift Transportation Co. (a)		171,000		2,513,700
Vitran Corp., Inc. (a)		81,400		1,146,926
Werner Enterprises, Inc.		80,960		2,143,011
				30,353,289
TOTAL COMMON STOCK (Cost $696,441,095)				884,072,476
TOTAL EQUITIES (Cost $696,441,095)				884,072,476
MUTUAL FUNDS — 1.0%
Diversified Financial — 1.0%
iShares Russell 2000 Index Fund		109,340		9,203,148
TOTAL MUTUAL FUNDS (Cost $8,920,811)				9,203,148
TOTAL LONG-TERM INVESTMENTS (Cost $705,361,906)				893,275,624

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.1%
Repurchase Agreement — 2.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	18,952,389	$	18,952,389
TOTAL SHORT-TERM INVESTMENTS (Cost $18,952,389)				18,952,389
TOTAL INVESTMENTS — 100.2% (Cost $724,314,295) (c)				912,228,013
Other Assets/(Liabilities) — (0.2)%				(2,260,053	)
NET ASSETS — 100.0%			$	909,967,960

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $18,952,394. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 8/15/39 – 11/15/40, and an aggregate market value, including accrued interest, of $19,333,875.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

107

MassMutual Select Small Company Growth Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 96.7%
COMMON STOCK — 96.7%
Aerospace & Defense — 1.2%
Teledyne Technologies, Inc. (a)		3,583	$	185,277
Triumph Group, Inc.		6,991		618,354
				803,631
Airlines — 0.6%
JetBlue Airways Corp. (a)		65,685		411,845
Apparel — 1.0%
Steven Madden Ltd. (a)		8,142		382,104
The Warnaco Group, Inc. (a)		5,310		303,679
				685,783
Automotive & Parts — 3.3%
American Axle & Manufacturing Holdings, Inc. (a)		50,790		639,446
Meritor, Inc. (a)		35,015		594,205
WABCO Holdings, Inc. (a)		15,216		937,914
				2,171,565
Banks — 0.4%
Signature Bank (a)		1,640		92,496
UMB Financial Corp.		4,405		164,549
				257,045
Biotechnology — 1.6%
Alexion Pharmaceuticals, Inc. (a)		1,910		188,479
Exact Sciences Corp. (a)		4,400		32,384
Exelixis, Inc. (a)		9,340		105,542
Regeneron Pharmaceuticals, Inc. (a)		10,355		465,354
Seattle Genetics, Inc. (a)		17,830		277,613
				1,069,372
Building Materials — 1.2%
Interline Brands, Inc. (a)		6,140		125,256
Texas Industries, Inc.		14,057		635,798
				761,054
Chemicals — 2.4%
Arch Chemicals, Inc.		4,210		175,094
Huntsman Corp.		44,991		781,944
Intrepid Potash, Inc. (a)		17,898		623,208
				1,580,246
Coal — 0.7%
Cloud Peak Energy, Inc. (a)		21,984		474,635
Commercial Services — 6.2%
Aaron’s, Inc.		8,040		203,894
Chemed Corp.		2,730		181,845
The Corporate Executive Board Co.		4,470		180,454
Exponent, Inc. (a)		3,530		157,473
The Geo Group, Inc. (a)		32,310		828,429
Green Dot Corp. Class A (a)		1,830		78,525

	Number of Shares		Value
Kforce, Inc. (a)		15,690	$	287,127
MAXIMUS, Inc.		1,930		156,658
Monster Worldwide, Inc. (a)		11,605		184,520
PAREXEL International Corp. (a)		9,165		228,209
Sotheby’s		6,745		354,787
SuccessFactors, Inc. (a)		25,202		985,146
VistaPrint NV (a)		4,010		208,119
				4,035,186
Computers — 3.5%
CACI International, Inc. Class A (a)		4,700		288,204
Fortinet, Inc. (a)		14,328		630,432
Netscout Systems, Inc. (a)		8,420		230,034
Radiant Systems, Inc. (a)		22,935		405,950
Riverbed Technology, Inc. (a)		20,140		758,271
				2,312,891
Cosmetics & Personal Care — 0.3%
Inter Parfums, Inc.		8,830		163,443
Diversified Financial — 2.2%
Duff & Phelps Corp. Class A		15,967		255,153
Janus Capital Group, Inc.		18,662		232,715
MarketAxess Holdings, Inc.		6,770		163,834
optionsXpress Holdings, Inc.		16,885		309,164
Portfolio Recovery Associates, Inc. (a)		2,930		249,431
World Acceptance Corp. (a)		3,080		200,816
				1,411,113
Electrical Components & Equipment — 2.5%
Advanced Energy Industries, Inc. (a)		10,880		177,888
EnerSys (a)		6,380		253,605
GrafTech International Ltd. (a)		44,540		918,860
Universal Display Corp. (a)		5,703		313,893
				1,664,246
Electronics — 4.0%
Analogic Corp.		3,040		171,912
Coherent, Inc. (a)		13,131		763,043
Gentex Corp.		18,206		550,732
Kemet Corp. (a)		9,510		141,033
Oyo Geospace Corp. (a)		7,400		729,492
PerkinElmer, Inc.		6,420		168,653
Sanmina-SCI Corp. (a)		9,540		106,943
				2,631,808
Engineering & Construction — 0.2%
EMCOR Group, Inc. (a)		4,620		143,081
Entertainment — 2.8%
Bally Technologies, Inc. (a)		16,379		619,945
Lions Gate Entertainment Corp. (a)		20,380		127,375
Pinnacle Entertainment, Inc. (a)		27,220		370,737
Shuffle Master, Inc. (a)		65,418		698,664
				1,816,721

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

108

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

	Number of Shares		Value
Environmental Controls — 1.2%
Darling International, Inc. (a)		9,740	$	149,704
Waste Connections, Inc.		21,807		627,823
				777,527
Foods — 0.6%
The Fresh Market, Inc. (a)		8,294		313,016
United Natural Foods, Inc. (a)		2,000		89,640
				402,656
Forest Products & Paper — 0.4%
Potlatch Corp.		5,880		236,376
Hand & Machine Tools — 1.0%
Regal-Beloit Corp.		8,753		646,234
Health Care – Products — 4.9%
American Medical Systems Holdings, Inc. (a)		27,470		594,451
ArthroCare Corp. (a)		15,515		517,270
Bruker Corp. (a)		30,667		639,407
The Cooper Cos., Inc.		3,990		277,106
Delcath Systems, Inc. (a)		20,075		147,953
HeartWare International, Inc. (a)		880		75,266
Masimo Corp.		2,740		90,694
Thoratec Corp. (a)		19,897		515,929
Vital Images, Inc. (a)		15,986		215,971
Volcano Corp. (a)		5,344		136,806
				3,210,853
Health Care – Services — 1.8%
Centene Corp. (a)		20,195		666,031
ICON PLC Sponsored ADR (Ireland) (a)		16,857		363,943
Thermo Fisher Scientific, Inc. (a)		2,400		133,320
				1,163,294
Home Furnishing — 2.2%
DTS, Inc. (a)		17,862		832,905
Universal Electronics, Inc. (a)		21,293		629,421
				1,462,326
Household Products — 0.2%
Jarden Corp.		3,430		122,005
Internet — 3.0%
Constant Contact, Inc. (a)		7,370		257,213
Rackspace Hosting, Inc. (a)		3,530		151,260
Sapient Corp. (a)		34,815		398,632
TIBCO Software, Inc. (a)		36,610		997,622
Vocus, Inc. (a)		4,960		128,266
				1,932,993
Leisure Time — 0.1%
Interval Leisure Group, Inc. (a)		5,310		86,819
Lodging — 0.4%
Orient-Express Hotels Ltd. (a)		20,490		253,461

	Number of Shares		Value
Machinery – Diversified — 0.3%
Columbus McKinnon Corp. (a)		4,430	$	81,778
The Middleby Corp. (a)		1,440		134,237
				216,015
Manufacturing — 0.5%
Crane Co.		3,880		187,909
EnPro Industries, Inc. (a)		3,070		111,502
				299,411
Metal Fabricate & Hardware — 0.8%
Mueller Industries, Inc.		5,450		199,579
Northwest Pipe Co. (a)		14,096		323,221
				522,800
Mining — 1.8%
AMCOL International Corp.		3,510		126,290
Horsehead Holding Corp. (a)		6,300		107,415
RTI International Metals, Inc. (a)		20,017		623,530
Titanium Metals Corp. (a)		15,778		293,155
				1,150,390
Office Furnishings — 0.3%
Interface, Inc. Class A		11,450		211,710
Oil & Gas — 3.2%
Bill Barrett Corp. (a)		5,840		233,074
Brigham Exploration Co. (a)		3,620		134,592
Carrizo Oil & Gas, Inc. (a)		7,150		264,050
CVR Energy, Inc. (a)		12,875		298,185
Gulfport Energy Corp. (a)		6,310		228,107
Northern Oil and Gas, Inc. (a)		3,200		85,440
Oasis Petroleum, Inc. (a)		21,399		676,636
Pioneer Drilling Co. (a)		7,550		104,190
Resolute Energy Corp. (a)		5,210		94,509
				2,118,783
Oil & Gas Services — 3.7%
Cal Dive International, Inc. (a)		13,650		95,277
Dril-Quip, Inc. (a)		1,790		141,464
Global Industries Ltd. (a)		12,180		119,242
Lufkin Industries, Inc.		19,368		1,810,327
Oil States International, Inc. (a)		3,440		261,921
				2,428,231
Pharmaceuticals — 5.6%
BioMarin Pharmaceutical, Inc. (a)		17,617		442,715
Catalyst Health Solutions, Inc. (a)		13,634		762,550
Herbalife Ltd.		4,145		337,237
MAP Pharmaceuticals, Inc. (a)		8,820		121,628
Pharmasset, Inc. (a)		2,090		164,504
Salix Pharmaceuticals Ltd. (a)		17,285		605,494
Sirona Dental Systems, Inc. (a)		13,219		663,065
SXC Health Solutions Corp. (a)		4,120		225,776
Theravance, Inc. (a)		4,820		116,740
United Therapeutics Corp. (a)		1,390		93,158

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

109

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

	Number of Shares		Value
ViroPharma, Inc. (a)		5,290	$	105,271
				3,638,138
Real Estate Investment Trusts (REITS) — 1.3%
DuPont Fabros Technology, Inc.		7,605		184,421
Hatteras Financial Corp.		2,980		83,798
Hersha Hospitality Trust		13,250		78,705
MFA Financial, Inc.		10,950		89,790
Redwood Trust, Inc.		25,088		390,118
				826,832
Retail — 9.5%
BJ’s Restaurants, Inc. (a)		15,869		624,128
Buffalo Wild Wings, Inc. (a)		8,065		438,978
Casey’s General Stores, Inc.		3,380		131,820
Cash America International, Inc.		20,611		949,137
The Cheesecake Factory, Inc. (a)		3,460		104,111
Chico’s FAS, Inc.		28,957		431,459
Citi Trends, Inc. (a)		6,190		137,975
Genesco, Inc. (a)		32,218		1,295,164
Jos. A. Bank Clothiers, Inc. (a)		2,346		119,364
Papa John’s International, Inc. (a)		3,080		97,544
Regis Corp.		10,020		177,755
Select Comfort Corp. (a)		15,750		189,945
Stage Stores, Inc.		3,620		69,576
Tractor Supply Co.		2,540		152,044
Ulta Salon Cosmetics & Fragrance, Inc. (a)		2,850		137,171
Vitamin Shoppe, Inc. (a)		33,947		1,148,427
				6,204,598
Savings & Loans — 0.3%
Brookline Bancorp, Inc.		5,200		54,756
Dime Community Bancshares, Inc.		8,000		118,080
				172,836
Semiconductors — 5.1%
Mellanox Technologies Ltd. (a)		3,150		79,475
Netlogic Microsystems, Inc. (a)		14,940		627,779
OmniVision Technologies, Inc. (a)		8,660		307,690
PMC-Sierra, Inc. (a)		11,440		85,800
QLogic Corp. (a)		8,650		160,457
Rovi Corp. (a)		971		52,094
Teradyne, Inc. (a)		28,200		502,242
TriQuint Semiconductor, Inc. (a)		18,850		243,353
Ultratech, Inc. (a)		5,950		174,930
Varian Semiconductor Equipment Associates, Inc. (a)		10,300		501,301
Veeco Instruments, Inc. (a)		11,780		598,895
				3,334,016
Software — 9.1%
Allscripts Healthcare Solutions, Inc. (a)		31,908		669,749
American Reprographics Co. (a)		4,630		47,920
ANSYS, Inc. (a)		13,305		720,998

	Number of Shares		Value
Blackboard, Inc. (a)		3,030	$	109,807
CommVault Systems, Inc. (a)		6,920		275,970
Compuware Corp. (a)		55,598		642,157
Fair Isaac Corp.		4,600		145,406
Informatica Corp. (a)		16,065		839,075
MedAssets, Inc. (a)		22,892		349,561
Progress Software Corp. (a)		17,530		509,948
QLIK Technologies, Inc. (a)		13,684		355,784
Quality Systems, Inc.		10,519		876,653
Quest Software, Inc. (a)		4,720		119,841
Taleo Corp. Class A (a)		4,960		176,824
VeriFone Systems, Inc. (a)		2,430		133,528
				5,973,221
Telecommunications — 3.2%
Aruba Networks, Inc. (a)		5,060		171,230
EMS Technologies, Inc. (a)		26,443		519,737
GeoEye Inc. (a)		3,320		138,046
Harmonic, Inc. (a)		42,760		401,089
Ixia (a)		2,180		34,618
NETGEAR, Inc. (a)		6,990		226,756
NICE Systems Ltd. Sponsored ADR (Israel) (a)		13,881		512,764
ShoreTel, Inc. (a)		11,190		92,094
				2,096,334
Transportation — 2.1%
Atlas Air Worldwide Holdings, Inc. (a)		10,605		739,381
Landstar System, Inc.		9,685		442,411
Old Dominion Freight Line, Inc. (a)		2,770		97,199
Werner Enterprises, Inc.		3,390		89,733
				1,368,724
TOTAL COMMON STOCK (Cost $45,409,198)				63,250,248
TOTAL EQUITIES (Cost $45,409,198)				63,250,248
MUTUAL FUNDS — 2.0%
Diversified Financial — 2.0%
iShares Russell 2000 Growth Index Fund		8,830		841,852
iShares Russell 2000 Index Fund		5,160		434,317
TOTAL MUTUAL FUNDS (Cost $1,192,768)				1,276,169
TOTAL LONG-TERM INVESTMENTS (Cost $46,601,966)				64,526,417

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

110

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

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.4%
Repurchase Agreement — 1.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	915,256	$	915,256
TOTAL SHORT-TERM INVESTMENTS (Cost $915,256)				915,256
TOTAL INVESTMENTS — 100.1% (Cost $47,517,222) (c)				65,441,673
Other Assets/(Liabilities) — (0.1)%				(54,085	)
NET ASSETS — 100.0%			$	65,387,588

Notes to Portfolio of Investments

ADR American Depositary Receipt

(a) Non-income producing security.

(b) Maturity value of $915,256. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 8/15/39 – 11/15/40, and an aggregate market value, including accrued interest, of $938,195.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

111

MassMutual Select Diversified International Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 98.6%
COMMON STOCK — 95.9%
Aerospace & Defense — 1.0%
BAE Systems PLC		281,200	$	1,467,326
Agriculture — 2.8%
Imperial Tobacco Group PLC		60,900		1,884,058
Japan Tobacco, Inc.		669		2,394,302
				4,278,360
Apparel — 0.2%
Yue Yuen Industrial Holdings Ltd.		92,500		293,264
Auto Manufacturers — 3.9%
Nissan Motor Co. Ltd.		215,500		1,911,986
Renault SA (a)		32,900		1,818,847
Toyota Motor Corp.		51,600		2,063,996
				5,794,829
Automotive & Parts — 4.0%
Bridgestone Corp.		54,600		1,135,384
GKN PLC		365,700		1,180,359
Magna International, Inc.		29,500		1,414,296
NGK Spark Plug Co., Ltd.		37,000		505,314
Sumitomo Electric Industries Ltd.		98,700		1,365,757
Sumitomo Rubber Industries Ltd.		33,700		340,549
				5,941,659
Banks — 15.2%
Banco do Brasil SA		83,900		1,518,540
Bank of Baroda		28,300		612,735
Bank of China Ltd. Class H		2,164,800		1,203,206
Barclays PLC		349,800		1,569,221
BNP Paribas		19,351		1,416,049
China Construction Bank Corp. Class H		329,540		308,730
Danske Bank A/S (a)		20,870		462,167
Danske Bank A/S (a)		6,956		155,350
DnB NOR ASA		20,439		313,619
KB Financial Group, Inc.		28,606		1,496,994
KBC Groep NV (a)		27,200		1,023,218
Lloyds Banking Group PLC (a)		671,700		626,197
Mitsubishi UFJ Financial Group, Inc.		70,800		326,848
National Australia Bank Ltd.		106,300		2,843,349
National Bank of Canada		12,700		1,032,112
Societe Generale		38,232		2,485,946
Sumitomo Mitsui Financial Group, Inc.		42,600		1,324,400
The Toronto-Dominion Bank		7,500		663,744
Turkiye Garanti Bankasi AS		87,228		408,029
Turkiye Is Bankasi		347,800		1,113,082
Turkiye Vakiflar Bankasi TAO		153,000		382,644
UniCredit SpA		631,050		1,560,680
				22,846,860

	Number of Shares		Value
Building Materials — 1.0%
Asahi Glass Co. Ltd.		119,000	$	1,496,441
Chemicals — 1.5%
Agrium, Inc.		9,600		886,527
Clariant AG (a)		24,800		447,284
Koninklijke DSM NV		14,115		866,773
				2,200,584
Computers — 2.2%
Cap Gemini SA		30,517		1,774,163
Compal Electronics, Inc.		290		288
Fujitsu LTD		179,000		1,011,421
Lite On Technology Corp.		221,000		272,180
Wistron Corp.		178,000		281,810
				3,339,862
Distribution & Wholesale — 1.7%
Inchcape PLC (a)		107,780		598,711
Mitsubishi Corp.		42,100		1,168,657
Mitsui & Co. Ltd.		42,200		756,434
				2,523,802
Diversified Financial — 2.1%
Hana Financial Group, Inc.		39,000		1,690,628
Macquarie Group Ltd.		11,600		438,519
ORIX Corp.		10,230		958,063
				3,087,210
Electric — 2.9%
E.ON AG		80,700		2,465,776
EDP – Energias de Portugal SA		279,800		1,090,556
The Tokyo Electric Power Co., Inc.		133,400		734,295
				4,290,627
Electrical Components & Equipment — 2.6%
LG Electronics, Inc.		13,810		1,319,571
Sharp Corp.		150,000		1,472,548
Toshiba Corp.		225,000		1,100,926
				3,893,045
Electronics — 1.3%
AU Optronics Corp. (a)		1,892,790		1,654,899
Pegatron Corp. (a)		257,000		291,147
				1,946,046
Engineering & Construction — 2.3%
Bouygues SA		56,300		2,703,333
SembCorp Industries Ltd.		171,000		707,304
				3,410,637
Foods — 1.5%
Delhaize Group		20,100		1,637,250
Koninlijke Ahold NV		49,000		657,300
				2,294,550

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

112

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

	Number of Shares		Value
Holding Company – Diversified — 0.8%
Bidvest Group Ltd.		54,402	$	1,196,562
Home Furnishing — 0.8%
Sony Corp.		38,200		1,211,547
Insurance — 7.0%
Aegon NV (a)		146,800		1,099,850
Allianz SE		20,234		2,839,010
Aviva PLC		216,400		1,502,897
ING Groep NV (a)		255,400		3,241,596
Muenchener Rueckversicherungs AG		11,300		1,776,946
				10,460,299
Iron & Steel — 2.9%
Hyundai Steel Co.		3,700		471,486
JFE Holdings, Inc.		44,300		1,296,300
Tata Steel Ltd.		110,100		1,532,897
ThyssenKrupp AG		26,000		1,065,835
				4,366,518
Leisure Time — 0.3%
Thomas Cook Group PLC		186,200		509,161
Machinery – Construction & Mining — 2.5%
Rio Tinto PLC		53,500		3,774,854
Manufacturing — 0.3%
Konica Minolta Holdings, Inc.		53,500		448,299
Media — 1.9%
Lagardere S.C.A		10,500		448,940
Vivendi SA		70,130		2,001,649
Yellow Media, Inc.		76,000		431,934
				2,882,523
Mining — 2.9%
Hindalco Industries Ltd.		215,300		1,009,427
KGHM Polska Miedz SA		22,500		1,426,854
New Gold, Inc. (a)		37,553		441,959
Xstrata PLC		65,050		1,518,861
				4,397,101
Oil & Gas — 11.2%
BP PLC		253,900		1,849,170
China Petroleum & Chemical Corp. Class H		1,262,000		1,270,378
ENI SpA		30,900		758,517
Gazprom OAO Sponsored ADR (Russia)		104,800		3,389,232
JX Holdings, Inc.		72,000		484,732
LUKOIL OAO Sponsored ADR (Russia)		30,300		2,163,117
Nexen, Inc.		75,771		1,888,999
OMV AG		23,500		1,061,623
Penn West Petroleum Ltd.		18,200		505,357

	Number of Shares		Value
Petroleo Brasileiro SA Sponsored ADR (Brazil)		17,100	$	607,734
PTT PCL		41,700		488,074
Royal Dutch Shell PLC Class A		65,600		2,384,172
				16,851,105
Oil & Gas Services — 0.3%
Cie Generale de Geophysique-Veritas (a)		12,787		462,194
Pharmaceuticals — 6.1%
AstraZeneca PLC		75,800		3,484,896
Novartis AG		47,250		2,561,761
Roche Holding AG		13,000		1,856,939
Sanofi-Aventis		19,100		1,341,427
				9,245,023
Real Estate — 2.1%
Evergrande Real Estate Group Ltd.		2,442,000		1,340,753
Mitsui Fudosan Co. Ltd.		36,000		584,486
New World Development Ltd.		429,000		757,525
Rossi Residencial SA		61,400		511,839
				3,194,603
Retail — 0.7%
Esprit Holdings Ltd.		226,800		1,036,647
Semiconductors — 3.4%
Advanced Semiconductor Engineering, Inc.		978,000		1,066,004
Powertech Technology, Inc.		136,000		425,504
Samsung Electronics Co., Ltd.		4,110		3,486,840
Sumco Corp. (a)		6,000		120,967
				5,099,315
Software — 0.2%
Konami Corp.		17,700		322,633
Telecommunications — 6.2%
France Telecom SA		27,800		623,610
Nippon Telegraph & Telephone Corp.		46,100		2,068,131
Telecom Italia SpA		1,419,700		2,186,193
Telecom Italia SpA- RSP		656,100		883,626
Telenor ASA		55,700		916,645
Vodafone Group PLC		944,100		2,673,136
				9,351,341
Toys, Games & Hobbies — 0.1%
Namco Bandai Holdings, Inc.		19,700		214,810
TOTAL COMMON STOCK (Cost $137,267,246)				144,129,637
PREFERRED STOCK — 2.7%
Banks — 0.0%
Banco Bradesco SA 0.55%		389		7,946

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

113

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

	Number of Shares		Value
Electric — 0.3%
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA BRL 13.95%		16,400	$	362,625
Mining — 2.4%
Vale SA Sponsored ADR (Brazil) 2.63%		124,000		3,660,480
TOTAL PREFERRED STOCK (Cost $3,622,806)				4,031,051
TOTAL EQUITIES (Cost $140,890,052)				148,160,688
TOTAL LONG-TERM INVESTMENTS (Cost $140,890,052)				148,160,688
	Principal Amount
SHORT-TERM INVESTMENTS — 2.2%
Repurchase Agreement — 2.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (b)	$	3,315,963		3,315,963
TOTAL SHORT-TERM INVESTMENTS (Cost $3,315,963)				3,315,963
TOTAL INVESTMENTS — 100.8% (Cost $144,206,015) (c)				151,476,651
Other Assets/(Liabilities) — (0.8)%				(1,191,583	)
NET ASSETS — 100.0%			$	150,285,068

Notes to Portfolio of Investments

ADR American Depositary Receipt

BRL Brazilian Real

(a) Non-income producing security.

(b) Maturity value of $3,315,964. Collateralized by U.S. Government Agency obligations with a rate of 4.000%, maturity date of 9/25/39, and an aggregate market value, including accrued interest, of $3,383,709.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

114

MassMutual Select Overseas Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
EQUITIES — 97.9%
COMMON STOCK — 97.3%
Advertising — 0.5%
Publicis Groupe		57,300	$	3,212,449
Aerospace & Defense — 0.4%
BAE Systems PLC		413,100		2,155,592
Agriculture — 1.0%
Imperial Tobacco Group PLC		52,300		1,618,000
Japan Tobacco, Inc.		1,172		4,194,502
				5,812,502
Apparel — 0.4%
Burberry Group PLC		121,873		2,295,580
Yue Yuen Industrial Holdings Ltd.		88,500		280,582
				2,576,162
Auto Manufacturers — 3.0%
Daimler AG (a)		26,700		1,884,190
Honda Motor Co. Ltd.		155,300		5,813,376
Nissan Motor Co. Ltd.		179,000		1,588,146
Renault SA (a)		27,200		1,503,728
Toyota Motor Corp.		168,800		6,751,986
				17,541,426
Automotive & Parts — 1.4%
Bridgestone Corp.		59,900		1,245,595
Denso Corp.		91,700		3,042,703
GKN PLC		311,600		1,005,742
Magna International, Inc.		22,000		1,054,729
NGK Spark Plug Co., Ltd.		32,000		437,028
Sumitomo Electric Industries Ltd.		84,200		1,165,114
Sumitomo Rubber Industries Ltd.		29,100		294,065
				8,244,976
Banks — 12.7%
Banco do Brasil SA		72,200		1,306,777
Banco Santander SA		628,041		7,319,605
Banco Santander SA ADS (Brazil)		146,440		1,795,354
Bank of Baroda		24,400		528,294
Bank of China Ltd. Class H		2,051,500		1,140,236
Bank of Ireland (a) (b)		4,154,150		1,293,640
Barclays PLC		583,034		2,615,521
BNP Paribas		87,441		6,398,675
China Construction Bank Corp. Class H		271,350		254,215
Danske Bank A/S (a)		17,054		377,661
Danske Bank A/S (a)		5,684		126,942
DnB NOR ASA		17,959		275,566
Erste Group Bank AG		33,210		1,676,090
HSBC Holdings PLC		797,617		8,202,107
ICICI Bank Ltd. Sponsored ADR (India)		94,820		4,724,881
Intesa Sanpaolo		1,610,500		4,768,560

	Number of Shares		Value
Julius Baer Group Ltd.		130,645	$	5,671,009
KB Financial Group, Inc.		23,434		1,226,336
KBC Groep NV (a)		22,800		857,698
Komercni Banka AS		9,684		2,443,957
Lloyds Banking Group PLC (a)		377,800		352,206
National Australia Bank Ltd.		79,500		2,126,493
National Bank of Canada		7,900		642,023
Societe Generale		32,476		2,111,675
Standard Chartered PLC		188,786		4,896,933
Sumitomo Mitsui Financial Group, Inc.		107,800		3,351,416
The Toronto-Dominion Bank		7,000		619,495
Turkiye Garanti Bankasi AS		71,825		335,978
Turkiye Is Bankasi		285,300		913,060
Turkiye Vakiflar Bankasi TAO		175,300		438,415
UniCredit SpA		512,975		1,268,663
Westpac Banking Corp.		174,980		4,398,541
				74,458,022
Beverages — 4.9%
Diageo PLC		571,664		10,880,127
Fomento Economico Mexicano SAB de CV, Series B Sponsored ADR (Mexico)		17,300		1,015,510
Foster’s Group Ltd.		252,200		1,491,153
Heineken Holding NV Class A		61,300		2,949,703
Heineken NV		150,798		8,239,762
Pernod-Ricard SA		44,871		4,196,067
				28,772,322
Building Materials — 1.0%
Asahi Glass Co. Ltd.		103,000		1,295,239
Geberit AG Registered		7,100		1,547,630
Holcim Ltd.		37,600		2,831,572
				5,674,441
Chemicals — 6.3%
Agrium, Inc.		7,800		720,303
Air Liquide		41,739		5,553,774
Akzo Nobel NV		108,840		7,487,723
Clariant AG (a)		21,400		385,963
Givaudan SA Registered (a)		6,193		6,235,442
Koninklijke DSM NV		11,722		719,824
Linde AG		69,964		11,050,551
Shin-Etsu Chemical Co. Ltd.		101,100		5,025,830
				37,179,410
Commercial Services — 3.3%
Adecco SA		45,500		2,996,651
Brambles Ltd.		297,200		2,174,878
Experian PLC		116,500		1,443,067
G4S PLC		1,061,400		4,348,926
Hays PLC		832,640		1,553,734
Meitec Corp.		67,900		1,358,327

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

115

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Randstad Holding NV (a)		67,500	$	3,756,540
Secom Co. Ltd.		37,600		1,736,779
				19,368,902
Computers — 0.5%
Cap Gemini SA		24,835		1,443,829
Compal Electronics, Inc.		372		369
Fujitsu LTD		138,000		779,755
Lite On Technology Corp.		188,000		231,538
Wistron Corp.		149,000		235,897
				2,691,388
Cosmetics & Personal Care — 0.8%
Beiersdorf AG		75,440		4,605,078
Distribution & Wholesale — 1.1%
Inchcape PLC (a)		104,300		579,380
Li & Fung Ltd.		474,800		2,439,771
Mitsubishi Corp.		34,500		957,688
Mitsui & Co. Ltd.		34,600		620,204
Wolseley PLC (a)		54,500		1,837,600
				6,434,643
Diversified Financial — 5.4%
Aeon Credit Service Co. Ltd.		52,600		724,056
Credit Suisse Group		138,900		5,902,582
Daiwa Securities Group, Inc.		1,388,120		6,374,872
Deutsche Boerse AG		55,880		4,240,138
Hana Financial Group, Inc.		32,570		1,411,891
Macquarie Group Ltd.		14,600		551,929
Nomura Holdings, Inc.		275,500		1,440,761
ORIX Corp.		8,490		795,108
Schroders PLC		14,700		409,632
UBS AG (a)		564,827		10,138,530
				31,989,499
Electric — 0.8%
E.ON AG		65,800		2,010,509
EDP – Energias de Portugal SA		231,300		901,521
Red Electrica Corp. SA		22,241		1,263,311
The Tokyo Electric Power Co., Inc.		109,600		603,288
				4,778,629
Electrical Components & Equipment — 2.6%
Legrand SA		64,741		2,692,362
LG Electronics, Inc.		10,520		1,005,206
Schneider Electric SA		55,842		9,544,747
Sharp Corp.		123,000		1,207,489
Toshiba Corp.		184,000		900,312
				15,350,116
Electronics — 2.3%
AU Optronics Corp. (a)		1,852,800		1,619,935
Fanuc Ltd.		20,400		3,066,556
Hon Hai Precision Industry Co. Ltd.		228,000		799,022
Hoya Corp.		191,300		4,365,081

	Number of Shares		Value
Omron Corp.		112,600	$	3,164,929
Orbotech Ltd. (a)		33,200		426,288
Pegatron Corp. (a)		199,000		225,441
				13,667,252
Engineering & Construction — 0.5%
Bouygues SA		46,100		2,213,564
SembCorp Industries Ltd.		134,000		554,262
				2,767,826
Food Services — 0.7%
Compass Group PLC		325,590		2,930,479
Sodexo		20,400		1,488,887
				4,419,366
Foods — 4.9%
Danone SA		125,341		8,187,216
Delhaize Group		16,400		1,335,866
Koninlijke Ahold NV		154,900		2,077,873
Nestle SA		220,320		12,641,902
Tesco PLC		753,065		4,600,660
				28,843,517
Forest Products & Paper — 0.4%
Svenska Cellulosa AB Class B		141,217		2,271,997
Health Care – Products — 1.1%
Sonova Holding AG		12,949		1,154,028
Synthes, Inc.		41,300		5,588,978
				6,743,006
Holding Company – Diversified — 1.5%
Bidvest Group Ltd.		35,552		781,960
Keppel Corp Ltd.		95,000		927,727
LVMH Moet Hennessy Louis Vuitton SA		43,515		6,886,994
				8,596,681
Home Furnishing — 0.2%
Sony Corp.		35,400		1,122,742
Household Products — 1.3%
Reckitt Benckiser Group PLC		145,910		7,493,988
Insurance — 4.7%
Aegon NV (a)		120,100		899,809
AIA Group Ltd. (a)		738,600		2,277,212
Allianz SE		59,400		8,334,349
Aviva PLC		183,400		1,273,712
Industrial Alliance Insurance & Financial Services, Inc.		7,600		327,517
ING Groep NV (a)		704,686		8,944,038
Muenchener Rueckversicherungs AG		6,602		1,038,177
QBE Insurance Group Ltd.		131,507		2,400,870
Swiss Reinsurance Co. Ltd.		37,069		2,121,720
				27,617,404

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

116

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Iron & Steel — 1.0%
APERAM		4,090	$	164,327
ArcelorMittal		76,800		2,782,729
Hyundai Steel Co.		3,000		382,286
JFE Holdings, Inc.		37,100		1,085,614
Tata Steel Ltd.		56,300		783,852
ThyssenKrupp AG		20,200		828,072
				6,026,880
Leisure Time — 0.1%
Thomas Cook Group PLC		127,800		349,467
Machinery – Construction & Mining — 0.5%
Rio Tinto PLC		43,800		3,090,442
Machinery – Diversified — 0.4%
MAN SE		20,204		2,518,642
Manufacturing — 1.4%
Konica Minolta Holdings, Inc.		53,500		448,299
Olympus Corp.		155,800		4,334,229
Smiths Group PLC		156,028		3,250,215
				8,032,743
Media — 3.0%
Grupo Televisa SA Sponsored ADR (Mexico) (a)		87,700		2,151,281
Reed Elsevier PLC		394,100		3,412,847
Societe Television Francaise 1		131,600		2,416,109
Thomson Reuters Corp.		31,300		1,228,432
Vivendi SA		60,700		1,732,498
Wolters Kluwer NV		99,472		2,328,810
WPP PLC		335,875		4,141,594
Yellow Media, Inc.		82,700		470,012
				17,881,583
Metal Fabricate & Hardware — 1.1%
Assa Abloy AB Series B		146,500		4,211,766
Vallourec SA		20,550		2,306,696
				6,518,462
Mining — 0.7%
Hindalco Industries Ltd.		176,600		827,983
KGHM Polska Miedz SA		23,000		1,458,562
New Gold, Inc. (a)		33,500		394,260
Xstrata PLC		53,275		1,243,925
				3,924,730
Office Equipment/Supplies — 1.6%
Canon, Inc.		212,650		9,254,544
Oil & Gas — 5.4%
BG Group PLC		114,503		2,844,505
BP PLC		208,600		1,519,247
China Petroleum & Chemical Corp. Class H		952,000		958,320
CNOOC Ltd.		719,000		1,821,804
ENI SpA		27,100		665,236

	Number of Shares		Value
Gazprom OAO Sponsored ADR (Russia)		97,900	$	3,166,086
Inpex Corp.		747		5,619,422
JX Holdings, Inc.		59,400		399,904
LUKOIL OAO Sponsored ADR (Russia)		23,400		1,670,526
Nexen, Inc.		61,926		1,543,839
OMV AG		12,700		573,728
Penn West Petroleum Ltd.		19,800		549,785
Petroleo Brasileiro SA Sponsored ADR (Brazil)		15,900		565,086
PTT PCL		35,200		411,995
Royal Dutch Shell PLC Class A		128,038		4,645,041
Royal Dutch Shell PLC Class A		65,800		2,391,440
Total SA		40,017		2,436,099
				31,782,063
Oil & Gas Services — 0.1%
Cie Generale de Geophysique-Veritas (a)		12,473		450,844
Packaging & Containers — 0.4%
Amcor Ltd.		343,400		2,505,853
Pharmaceuticals — 5.0%
AstraZeneca PLC		63,900		2,937,795
Bayer AG		65,435		5,067,005
GlaxoSmithKline PLC		139,600		2,663,840
Merck KGaA		33,071		2,984,083
Novartis AG		87,360		4,736,413
Roche Holding AG		68,656		9,806,922
Sanofi-Aventis		16,200		1,137,755
				29,333,813
Real Estate — 0.4%
Evergrande Real Estate Group Ltd.		2,000,000		1,098,077
Mitsui Fudosan Co. Ltd.		29,000		470,836
New World Development Ltd.		214,000		377,880
Rossi Residencial SA		53,100		442,649
				2,389,442
Retail — 2.6%
Cie Financiere Richemont SA		67,536		3,899,853
Esprit Holdings Ltd.		635,100		2,902,886
Hennes & Mauritz AB Class B		81,160		2,697,779
Lawson, Inc.		73,600		3,548,161
Signet Jewelers Ltd. (a)		53,400		2,457,468
				15,506,147
Semiconductors — 3.5%
Advanced Semiconductor Engineering, Inc.		334,000		364,054
Powertech Technology, Inc.		210,000		657,029
Rohm Co. Ltd.		85,100		5,284,148
Samsung Electronics Co., Ltd.		11,588		9,831,022
Sumco Corp. (a)		5,200		104,838

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

117

MassMutual Select Overseas Fund – Portfolio of Investments (Continued)

	Number of Shares		Value
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)		335,377	$	4,084,892
				20,325,983
Software — 2.0%
Infosys Technologies Ltd. Sponsored ADR (India)		53,310		3,822,327
Konami Corp.		14,900		271,595
SAP AG		128,660		7,893,589
				11,987,511
Telecommunications — 2.5%
China Unicom Ltd.		1,658,000		2,757,185
LG Uplus Corp.		22,230		125,442
MTN Group Ltd.		150,210		3,031,344
Nippon Telegraph & Telephone Corp.		37,500		1,682,320
Singapore Telecommunications Ltd.		794,500		1,904,499
Telecom Italia SpA		1,014,800		1,562,688
Telecom Italia SpA- RSP		566,300		762,685
Telenor ASA		30,500		501,933
Vodafone Group PLC		804,100		2,276,738
				14,604,834
Toys, Games & Hobbies — 0.0%
Namco Bandai Holdings, Inc.		11,000		119,945
Transportation — 1.9%
Canadian National Railway Co.		109,140		8,214,968
East Japan Railway		3,400		186,832
Kuehne & Nagel International AG		19,900		2,784,033
				11,185,833
TOTAL COMMON STOCK (Cost $503,259,181)				572,179,097
PREFERRED STOCK — 0.6%
Banks — 0.0%
Banco Bradesco SA 0.55%		341		6,966
Electric — 0.1%
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA BRL 13.95%		14,100		311,769
Mining — 0.5%
Vale SA Sponsored ADR (Brazil) 2.63%		104,800		3,093,696
TOTAL PREFERRED STOCK (Cost $2,891,614)				3,412,431
TOTAL EQUITIES (Cost $506,150,795)				575,591,528

	Number of Shares		Value
WARRANTS — 0.1%
Diversified Financial — 0.1%
Merrill Lynch & Co., Inc., Expires 12/23/14, Strike 14.562 (a)		40,200	$	553,188
TOTAL WARRANTS (Cost $501,302)				553,188
TOTAL LONG-TERM INVESTMENTS (Cost $506,652,097)				576,144,716
	Principal Amount
SHORT-TERM INVESTMENTS — 2.0%
Repurchase Agreement — 2.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/11, 0.010%, due 4/01/11 (c)	$	11,841,071		11,841,071
TOTAL SHORT-TERM INVESTMENTS (Cost $11,841,071)				11,841,071
TOTAL INVESTMENTS — 100.0% (Cost $518,493,168) (d)				587,985,787
Other Assets/(Liabilities) — (0.0)%				(268,292	)
NET ASSETS — 100.0%			$	587,717,495

Notes to Portfolio of Investments

ADR American Depositary Receipt

ADS American Depositary Share

BRL Brazilian Real

(a) Non-income producing security.

(b) This security is valued in good faith under procedures established by the Board of Trustees.

(c) Maturity value of $11,841,074. Collateralized by U.S. Government Agency obligations with rates ranging from 3.500% – 4.000%, maturity dates ranging from 8/15/39 – 11/15/40, and an aggregate market value, including accrued interest, of $12,087,123.

(d) See Note 3 for aggregate cost for federal tax purposes.

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

118

MassMutual Select Destination Retirement Income Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Capital Appreciation Fund, Class S (a)		4,875	$	54,258
MassMutual Premier Core Bond Fund, Class S (a)		916,178		10,123,768
MassMutual Premier Disciplined Growth Fund, Class S (a)		413,929		4,131,008
MassMutual Premier Disciplined Value Fund, Class S (a)		376,952		4,014,536
MassMutual Premier Diversified Bond Fund, Class S (a)		754,130		8,001,323
MassMutual Premier Focused International Fund, Class S (a)		43,103		518,529
MassMutual Premier High Yield Fund, Class S (a)		195,756		1,779,423
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		1,135,293		12,227,107
MassMutual Premier International Bond Fund, Class S (a)		439,584		4,457,382
MassMutual Premier International Equity Fund, Class S (a)		92,721		1,383,399
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		5,101		58,201
MassMutual Premier Money Market Fund, Class S (a)		2,110,086		2,110,086
MassMutual Premier Short-Duration Bond Fund, Class S (a)		1,897,653		20,191,025
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		209,094		3,500,241
MassMutual Premier Value Fund, Class S (a)		6,495		99,825
MassMutual Select Blue Chip Growth Fund, Class S (a)		48,519		546,321
MassMutual Select Core Opportunities Fund, Class S (a)		140,337		1,383,727
MassMutual Select Diversified International Fund, Class S (a)		177,888		1,280,794
MassMutual Select Diversified Value Fund, Class S (a)		66,170		632,590
MassMutual Select Focused Value Fund, Class S (a)		91,417		1,713,160
MassMutual Select Fundamental Value Fund, Class S (a)		95,733		1,059,770
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		62,190		462,074
MassMutual Select Large Cap Growth Fund, Class S (a)		83,522		812,667

	Number of Shares		Value
MassMutual Select Large Cap Value Fund, Class S (a)		19,564	$	216,964
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		32,669		391,696
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		52,946		905,902
MassMutual Select Mid-Cap Value Fund, Class S (a)		129,187		1,396,511
MassMutual Select Overseas Fund, Class S (a)		456,683		3,429,688
MassMutual Select PIMCO Total Return Fund, Class S (a)		369,174		3,772,954
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		25,005		477,350
MassMutual Select Small Cap Value Equity Fund, Class S (a)		60,604		614,523
MassMutual Select Small Company Growth Fund, Class S (a) (b)		44,736		484,935
MassMutual Select Small Company Value Fund, Class S (a)		43,275		643,504
MassMutual Select Strategic Bond Fund, Class S (a)		371,135		3,611,139
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		733,305		2,999,219
Oppenheimer Real Estate Fund, Class Y (a)		159,846		3,228,889
				102,714,488
TOTAL MUTUAL FUNDS (Cost $89,516,268)				102,714,488
TOTAL LONG-TERM INVESTMENTS (Cost $89,516,268)				102,714,488
TOTAL INVESTMENTS — 100.1% (Cost $89,516,268) (c)				102,714,488
Other Assets/(Liabilities) — (0.1)%				(83,503	)
NET ASSETS — 100.0%			$	102,630,985

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

119

MassMutual Select Destination Retirement 2010 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Capital Appreciation Fund, Class S (a)		6,130	$	68,229
MassMutual Premier Core Bond Fund, Class S (a)		995,518		11,000,469
MassMutual Premier Disciplined Growth Fund, Class S (a)		650,407		6,491,058
MassMutual Premier Disciplined Value Fund, Class S (a)		597,342		6,361,687
MassMutual Premier Diversified Bond Fund, Class S (a)		609,074		6,462,280
MassMutual Premier Focused International Fund, Class S (a)		77,715		934,914
MassMutual Premier High Yield Fund, Class S (a)		188,495		1,713,416
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		883,567		9,516,011
MassMutual Premier International Bond Fund, Class S (a)		326,205		3,307,718
MassMutual Premier International Equity Fund, Class S (a)		160,115		2,388,909
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		26,447		301,762
MassMutual Premier Money Market Fund, Class S (a)		1,413,395		1,413,395
MassMutual Premier Short-Duration Bond Fund, Class S (a)		1,330,046		14,151,689
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		291,744		4,883,794
MassMutual Premier Value Fund, Class S (a)		22,246		341,919
MassMutual Select Blue Chip Growth Fund, Class S (a)		92,787		1,044,784
MassMutual Select Core Opportunities Fund, Class S (a)		154,321		1,521,602
MassMutual Select Diversified International Fund, Class S (a)		336,575		2,423,343
MassMutual Select Diversified Value Fund, Class S (a)		123,082		1,176,664
MassMutual Select Focused Value Fund, Class S (a)		99,974		1,873,514
MassMutual Select Fundamental Value Fund, Class S (a)		151,982		1,682,436
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		112,592		836,560
MassMutual Select Large Cap Growth Fund, Class S (a)		156,592		1,523,639

	Number of Shares		Value
MassMutual Select Large Cap Value Fund, Class S (a)		32,831	$	364,095
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		73,231		878,037
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		110,326		1,887,672
MassMutual Select Mid-Cap Value Fund, Class S (a)		253,235		2,737,472
MassMutual Select Overseas Fund, Class S (a)		760,754		5,713,261
MassMutual Select PIMCO Total Return Fund, Class S (a)		410,475		4,195,057
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		42,464		810,637
MassMutual Select Small Cap Value Equity Fund, Class S (a)		107,991		1,095,029
MassMutual Select Small Company Growth Fund, Class S (a) (b)		64,292		696,923
MassMutual Select Small Company Value Fund, Class S (a)		68,292		1,015,501
MassMutual Select Strategic Bond Fund, Class S (a)		302,759		2,945,845
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		874,016		3,574,726
Oppenheimer Real Estate Fund, Class Y (a)		187,311		3,783,686
				111,117,733
TOTAL MUTUAL FUNDS (Cost $96,114,796)				111,117,733
TOTAL LONG-TERM INVESTMENTS (Cost $96,114,796)				111,117,733
TOTAL INVESTMENTS — 100.1% (Cost $96,114,796) (c)				111,117,733
Other Assets/(Liabilities) — (0.1)%				(78,118	)
NET ASSETS — 100.0%			$	111,039,615

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

120

MassMutual Select Destination Retirement 2015 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.4%
Diversified Financial — 100.4%
MassMutual Premier Capital Appreciation Fund, Class S (a)		407	$	4,525
MassMutual Premier Core Bond Fund, Class S (a)		10,341		114,270
MassMutual Premier Disciplined Growth Fund, Class S (a)		9,171		91,523
MassMutual Premier Disciplined Value Fund, Class S (a)		8,695		92,604
MassMutual Premier Diversified Bond Fund, Class S (a)		4,223		44,807
MassMutual Premier Focused International Fund, Class S (a)		2,025		24,355
MassMutual Premier High Yield Fund, Class S (a)		4,536		41,230
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		11,451		123,330
MassMutual Premier International Bond Fund, Class S (a)		5,522		55,993
MassMutual Premier International Equity Fund, Class S (a)		3,158		47,112
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,040		11,862
MassMutual Premier Money Market Fund, Class S (a)		1,400		1,400
MassMutual Premier Short-Duration Bond Fund, Class S (a)		11,180		118,959
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		4,796		80,289
MassMutual Premier Value Fund, Class S (a)		413		6,354
MassMutual Select Blue Chip Growth Fund, Class S (a)		2,908		32,740
MassMutual Select Core Opportunities Fund, Class S (a)		2,607		25,706
MassMutual Select Diversified International Fund, Class S (a)		8,328		59,964
MassMutual Select Diversified Value Fund, Class S (a)		3,691		35,288
MassMutual Select Focused Value Fund, Class S (a)		1,603		30,045
MassMutual Select Fundamental Value Fund, Class S (a)		5,176		57,302
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		3,767		27,988
MassMutual Select Large Cap Growth Fund, Class S (a)		4,332		42,153
MassMutual Select Large Cap Value Fund, Class S (a)		1,300		14,422

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		1,403	$	16,820
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		2,444		41,823
MassMutual Select Mid-Cap Value Fund, Class S (a)		5,221		56,436
MassMutual Select Overseas Fund, Class S (a)		15,806		118,701
MassMutual Select PIMCO Total Return Fund, Class S (a)		5,572		56,946
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		1,371		26,181
MassMutual Select Small Cap Value Equity Fund, Class S (a)		2,361		23,944
MassMutual Select Small Company Growth Fund, Class S (a) (b)		2,074		22,481
MassMutual Select Small Company Value Fund, Class S (a)		1,671		24,848
MassMutual Select Strategic Bond Fund, Class S (a)		4,064		39,541
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		14,570		59,593
Oppenheimer Real Estate Fund, Class Y (a)		3,345		67,562
				1,739,097
TOTAL MUTUAL FUNDS (Cost $1,617,344)				1,739,097
TOTAL LONG-TERM INVESTMENTS (Cost $1,617,344)				1,739,097
TOTAL INVESTMENTS — 100.4% (Cost $1,617,344) (c)				1,739,097
Other Assets/(Liabilities) — (0.4)%				(6,085	)
NET ASSETS — 100.0%			$	1,733,012

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

121

MassMutual Select Destination Retirement 2020 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Capital Appreciation Fund, Class S (a)		94,094	$	1,047,269
MassMutual Premier Core Bond Fund, Class S (a)		1,743,778		19,268,744
MassMutual Premier Disciplined Growth Fund, Class S (a)		2,754,510		27,490,010
MassMutual Premier Disciplined Value Fund, Class S (a)		2,460,288		26,202,071
MassMutual Premier Diversified Bond Fund, Class S (a)		512,245		5,434,916
MassMutual Premier Focused International Fund, Class S (a)		414,314		4,984,198
MassMutual Premier High Yield Fund, Class S (a)		879,859		7,997,923
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		1,385,553		14,922,407
MassMutual Premier International Bond Fund, Class S (a)		1,084,161		10,993,391
MassMutual Premier International Equity Fund, Class S (a)		890,373		13,284,363
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,326,228		15,132,262
MassMutual Premier Short-Duration Bond Fund, Class S (a)		1,806,232		19,218,309
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		1,170,270		19,590,324
MassMutual Premier Value Fund, Class S (a)		78,001		1,198,873
MassMutual Select Blue Chip Growth Fund, Class S (a)		782,096		8,806,402
MassMutual Select Core Opportunities Fund, Class S (a)		537,797		5,302,676
MassMutual Select Diversified International Fund, Class S (a)		1,821,018		13,111,330
MassMutual Select Diversified Value Fund, Class S (a)		1,031,036		9,856,702
MassMutual Select Focused Value Fund, Class S (a)		383,604		7,188,747
MassMutual Select Fundamental Value Fund, Class S (a)		1,395,149		15,444,304
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		1,080,957		8,031,510
MassMutual Select Large Cap Growth Fund, Class S (a)		1,233,722		12,004,114
MassMutual Select Large Cap Value Fund, Class S (a)		301,067		3,338,835
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		449,847		5,393,662

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		529,165	$	9,054,006
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,311,960		14,182,290
MassMutual Select Overseas Fund, Class S (a)		4,453,589		33,446,451
MassMutual Select PIMCO Total Return Fund, Class S (a)		1,044,913		10,679,012
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		141,503		2,701,288
MassMutual Select Small Cap Value Equity Fund, Class S (a)		456,615		4,630,073
MassMutual Select Small Company Growth Fund, Class S (a) (b)		281,003		3,046,069
MassMutual Select Small Company Value Fund, Class S (a)		213,507		3,174,843
MassMutual Select Strategic Bond Fund, Class S (a)		473,099		4,603,256
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		3,380,174		13,824,910
Oppenheimer Real Estate Fund, Class Y (a)		809,718		16,356,308
				390,941,848
TOTAL MUTUAL FUNDS (Cost $327,062,812)				390,941,848
TOTAL LONG-TERM INVESTMENTS (Cost $327,062,812)				390,941,848
TOTAL INVESTMENTS — 100.1% (Cost $327,062,812) (c)				390,941,848
Other Assets/(Liabilities) — (0.1)%				(221,636	)
NET ASSETS — 100.0%			$	390,720,212

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

122

MassMutual Select Destination Retirement 2025 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.4%
Diversified Financial — 100.4%
MassMutual Premier Capital Appreciation Fund, Class S (a)		514	$	5,722
MassMutual Premier Core Bond Fund, Class S (a)		4,285		47,347
MassMutual Premier Disciplined Growth Fund, Class S (a)		10,325		103,048
MassMutual Premier Disciplined Value Fund, Class S (a)		9,705		103,353
MassMutual Premier Discovery Value Fund, Class S (a)		0		1
MassMutual Premier Diversified Bond Fund, Class S (a)		80		846
MassMutual Premier Focused International Fund, Class S (a)		1,974		23,750
MassMutual Premier High Yield Fund, Class S (a)		4,010		36,451
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		2,921		31,463
MassMutual Premier International Bond Fund, Class S (a)		4,063		41,201
MassMutual Premier International Equity Fund, Class S (a)		3,310		49,384
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,139		13,002
MassMutual Premier Short-Duration Bond Fund, Class S (a)		4,487		47,741
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		4,794		80,245
MassMutual Premier Value Fund, Class S (a)		436		6,697
MassMutual Select Blue Chip Growth Fund, Class S (a)		3,421		38,526
MassMutual Select Core Opportunities Fund, Class S (a)		2,055		20,264
MassMutual Select Diversified International Fund, Class S (a)		8,061		58,037
MassMutual Select Diversified Value Fund, Class S (a)		4,275		40,864
MassMutual Select Focused Value Fund, Class S (a)		1,338		25,073
MassMutual Select Fundamental Value Fund, Class S (a)		6,210		68,741
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		4,610		34,253
MassMutual Select Large Cap Growth Fund, Class S (a)		5,263		51,210
MassMutual Select Large Cap Value Fund, Class S (a)		1,694		18,792
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		1,722		20,650

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		2,621	$	44,852
MassMutual Select Mid-Cap Value Fund, Class S (a)		5,341		57,734
MassMutual Select Overseas Fund, Class S (a)		18,822		141,354
MassMutual Select PIMCO Total Return Fund, Class S (a)		2,600		26,574
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		1,522		29,048
MassMutual Select Small Cap Value Equity Fund, Class S (a)		2,639		26,761
MassMutual Select Small Company Growth Fund, Class S (a) (b)		2,164		23,459
MassMutual Select Small Company Value Fund, Class S (a)		1,793		26,657
MassMutual Select Strategic Bond Fund, Class S (a)		1,227		11,943
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		14,687		60,069
Oppenheimer Real Estate Fund, Class Y (a)		3,087		62,367
				1,477,479
TOTAL MUTUAL FUNDS (Cost $1,334,595)				1,477,479
TOTAL LONG-TERM INVESTMENTS (Cost $1,334,595)				1,477,479
TOTAL INVESTMENTS — 100.4% (Cost $1,334,595) (c)				1,477,479
Other Assets/(Liabilities) — (0.4)%				(6,195	)
NET ASSETS — 100.0%			$	1,471,284

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

123

MassMutual Select Destination Retirement 2030 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Capital Appreciation Fund, Class S (a)		154,624	$	1,720,969
MassMutual Premier Core Bond Fund, Class S (a)		585,988		6,475,168
MassMutual Premier Disciplined Growth Fund, Class S (a)		1,692,977		16,895,913
MassMutual Premier Disciplined Value Fund, Class S (a)		1,607,824		17,123,326
MassMutual Premier Discovery Value Fund, Class S (a)		51		554
MassMutual Premier Focused International Fund, Class S (a)		408,435		4,913,468
MassMutual Premier High Yield Fund, Class S (a)		598,456		5,439,969
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		522,360		5,625,815
MassMutual Premier International Bond Fund, Class S (a)		621,586		6,302,885
MassMutual Premier International Equity Fund, Class S (a)		779,024		11,623,036
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		864,661		9,865,776
MassMutual Premier Short-Duration Bond Fund, Class S (a)		872,345		9,281,746
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		1,050,885		17,591,816
MassMutual Premier Value Fund, Class S (a)		61,239		941,237
MassMutual Select Blue Chip Growth Fund, Class S (a)		909,971		10,246,275
MassMutual Select Core Opportunities Fund, Class S (a)		426,781		4,208,064
MassMutual Select Diversified International Fund, Class S (a)		1,766,795		12,720,926
MassMutual Select Diversified Value Fund, Class S (a)		1,239,052		11,845,340
MassMutual Select Focused Value Fund, Class S (a)		284,227		5,326,407
MassMutual Select Fundamental Value Fund, Class S (a)		1,683,930		18,641,110
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		1,291,582		9,596,451
MassMutual Select Large Cap Growth Fund, Class S (a)		1,462,032		14,225,576
MassMutual Select Large Cap Value Fund, Class S (a)		387,692		4,299,502

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		494,349	$	5,927,250
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		489,792		8,380,348
MassMutual Select Mid-Cap Value Fund, Class S (a)		1,208,919		13,068,417
MassMutual Select Overseas Fund, Class S (a)		4,133,654		31,043,741
MassMutual Select PIMCO Total Return Fund, Class S (a)		424,037		4,333,658
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		236,957		4,523,512
MassMutual Select Small Cap Value Equity Fund, Class S (a)		527,068		5,344,468
MassMutual Select Small Company Growth Fund, Class S (a) (b)		254,819		2,762,236
MassMutual Select Small Company Value Fund, Class S (a)		299,659		4,455,935
MassMutual Select Strategic Bond Fund, Class S (a)		169,813		1,652,282
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		3,042,466		12,443,687
Oppenheimer Real Estate Fund, Class Y (a)		692,168		13,981,799
				312,828,662
TOTAL MUTUAL FUNDS (Cost $252,973,686)				312,828,662
TOTAL LONG-TERM INVESTMENTS (Cost $252,973,686)				312,828,662
TOTAL INVESTMENTS — 100.1% (Cost $252,973,686) (c)				312,828,662
Other Assets/(Liabilities) — (0.1)%				(173,515	)
NET ASSETS — 100.0%			$	312,655,147

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

124

MassMutual Select Destination Retirement 2035 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.4%
Diversified Financial — 100.4%
MassMutual Premier Capital Appreciation Fund, Class S (a)		425	$	4,734
MassMutual Premier Core Bond Fund, Class S (a)		2,916		32,222
MassMutual Premier Disciplined Growth Fund, Class S (a)		9,098		90,802
MassMutual Premier Disciplined Value Fund, Class S (a)		8,621		91,812
MassMutual Premier Discovery Value Fund, Class S (a)		0		1
MassMutual Premier Diversified Bond Fund, Class S (a)		95		1,010
MassMutual Premier Focused International Fund, Class S (a)		2,276		27,376
MassMutual Premier High Yield Fund, Class S (a)		1,718		15,614
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		1,520		16,374
MassMutual Premier International Bond Fund, Class S (a)		3,821		38,748
MassMutual Premier International Equity Fund, Class S (a)		3,510		52,373
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		723		8,254
MassMutual Premier Short-Duration Bond Fund, Class S (a)		3,316		35,285
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		5,222		87,415
MassMutual Premier Value Fund, Class S (a)		520		7,989
MassMutual Select Blue Chip Growth Fund, Class S (a)		4,280		48,194
MassMutual Select Core Opportunities Fund, Class S (a)		1,968		19,409
MassMutual Select Diversified International Fund, Class S (a)		9,041		65,092
MassMutual Select Diversified Value Fund, Class S (a)		5,484		52,427
MassMutual Select Focused Value Fund, Class S (a)		1,342		25,158
MassMutual Select Fundamental Value Fund, Class S (a)		7,538		83,445
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		5,767		42,852
MassMutual Select Large Cap Growth Fund, Class S (a)		6,590		64,116
MassMutual Select Large Cap Value Fund, Class S (a)		2,074		22,996
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		1,762		21,127

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		2,578	$	44,113
MassMutual Select Mid-Cap Value Fund, Class S (a)		5,671		61,304
MassMutual Select Overseas Fund, Class S (a)		21,400		160,715
MassMutual Select PIMCO Total Return Fund, Class S (a)		1,517		15,508
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		1,735		33,130
MassMutual Select Small Cap Value Equity Fund, Class S (a)		2,960		30,016
MassMutual Select Small Company Growth Fund, Class S (a) (b)		2,332		25,274
MassMutual Select Small Company Value Fund, Class S (a)		1,906		28,349
MassMutual Select Strategic Bond Fund, Class S (a)		1,009		9,817
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		14,909		60,976
Oppenheimer Real Estate Fund, Class Y (a)		3,388		68,429
				1,492,456
TOTAL MUTUAL FUNDS (Cost $1,346,621)				1,492,456
TOTAL LONG-TERM INVESTMENTS (Cost $1,346,621)				1,492,456
TOTAL INVESTMENTS — 100.4% (Cost $1,346,621) (c)				1,492,456
Other Assets/(Liabilities) — (0.4)%				(6,434	)
NET ASSETS — 100.0%			$	1,486,022

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

125

MassMutual Select Destination Retirement 2040 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Capital Appreciation Fund, Class S (a)		132,054	$	1,469,765
MassMutual Premier Core Bond Fund, Class S (a)		356,843		3,943,120
MassMutual Premier Disciplined Growth Fund, Class S (a)		1,062,113		10,599,890
MassMutual Premier Disciplined Value Fund, Class S (a)		953,691		10,156,809
MassMutual Premier Diversified Bond Fund, Class S (a)		13,140		139,411
MassMutual Premier Focused International Fund, Class S (a)		260,320		3,131,644
MassMutual Premier High Yield Fund, Class S (a)		87,537		795,713
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		148,788		1,602,446
MassMutual Premier International Bond Fund, Class S (a)		319,189		3,236,572
MassMutual Premier International Equity Fund, Class S (a)		491,162		7,328,144
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		486,338		5,549,116
MassMutual Premier Short-Duration Bond Fund, Class S (a)		387,012		4,117,812
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		679,085		11,367,886
MassMutual Premier Value Fund, Class S (a)		61,821		950,190
MassMutual Select Blue Chip Growth Fund, Class S (a)		591,229		6,657,243
MassMutual Select Core Opportunities Fund, Class S (a)		261,559		2,578,969
MassMutual Select Diversified International Fund, Class S (a)		1,130,355		8,138,560
MassMutual Select Diversified Value Fund, Class S (a)		805,660		7,702,113
MassMutual Select Focused Value Fund, Class S (a)		175,046		3,280,365
MassMutual Select Fundamental Value Fund, Class S (a)		1,093,946		12,109,984
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		885,451		6,578,900
MassMutual Select Large Cap Growth Fund, Class S (a)		891,678		8,676,023
MassMutual Select Large Cap Value Fund, Class S (a)		268,232		2,974,692

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		323,775	$	3,882,062
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		323,283		5,531,369
MassMutual Select Mid-Cap Value Fund, Class S (a)		784,029		8,475,357
MassMutual Select Overseas Fund, Class S (a)		2,644,712		19,861,791
MassMutual Select PIMCO Total Return Fund, Class S (a)		201,782		2,062,213
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		151,912		2,900,006
MassMutual Select Small Cap Value Equity Fund, Class S (a)		321,523		3,260,239
MassMutual Select Small Company Growth Fund, Class S (a) (b)		197,782		2,143,960
MassMutual Select Small Company Value Fund, Class S (a)		225,576		3,354,314
MassMutual Select Strategic Bond Fund, Class S (a)		87,201		848,469
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		1,929,141		7,890,186
Oppenheimer Real Estate Fund, Class Y (a)		420,864		8,501,444
				191,796,777
TOTAL MUTUAL FUNDS (Cost $151,312,905)				191,796,777
TOTAL LONG-TERM INVESTMENTS (Cost $151,312,905)				191,796,777
TOTAL INVESTMENTS — 100.1% (Cost $151,312,905) (c)				191,796,777
Other Assets/(Liabilities) — (0.1)%				(106,628	)
NET ASSETS — 100.0%			$	191,690,149

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

126

MassMutual Select Destination Retirement 2045 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.5%
Diversified Financial — 100.5%
MassMutual Premier Capital Appreciation Fund, Class S (a)		615	$	6,842
MassMutual Premier Core Bond Fund, Class S (a)		832		9,197
MassMutual Premier Disciplined Growth Fund, Class S (a)		7,284		72,692
MassMutual Premier Disciplined Value Fund, Class S (a)		6,939		73,899
MassMutual Premier Discovery Value Fund, Class S (a)		0		2
MassMutual Premier Diversified Bond Fund, Class S (a)		52		550
MassMutual Premier Focused International Fund, Class S (a)		2,000		24,056
MassMutual Premier High Yield Fund, Class S (a)		597		5,422
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		653		7,034
MassMutual Premier International Bond Fund, Class S (a)		2,027		20,551
MassMutual Premier International Equity Fund, Class S (a)		3,217		47,993
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		1,523		17,383
MassMutual Premier Short-Duration Bond Fund, Class S (a)		991		10,546
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		4,551		76,186
MassMutual Premier Value Fund, Class S (a)		619		9,513
MassMutual Select Blue Chip Growth Fund, Class S (a)		4,218		47,492
MassMutual Select Core Opportunities Fund, Class S (a)		1,594		15,717
MassMutual Select Diversified International Fund, Class S (a)		8,048		57,944
MassMutual Select Diversified Value Fund, Class S (a)		5,375		51,390
MassMutual Select Focused Value Fund, Class S (a)		1,145		21,450
MassMutual Select Fundamental Value Fund, Class S (a)		7,361		81,485
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		5,407		40,174
MassMutual Select Large Cap Growth Fund, Class S (a)		6,316		61,458
MassMutual Select Large Cap Value Fund, Class S (a)		1,950		21,625
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		1,723		20,655

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		2,520	$	43,125
MassMutual Select Mid-Cap Value Fund, Class S (a)		5,433		58,736
MassMutual Select Overseas Fund, Class S (a)		18,150		136,303
MassMutual Select PIMCO Total Return Fund, Class S (a)		331		3,381
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		1,517		28,964
MassMutual Select Small Cap Value Equity Fund, Class S (a)		2,515		25,503
MassMutual Select Small Company Growth Fund, Class S (a) (b)		2,045		22,171
MassMutual Select Small Company Value Fund, Class S (a)		1,654		24,588
MassMutual Select Strategic Bond Fund, Class S (a)		212		2,066
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		12,893		52,733
Oppenheimer Real Estate Fund, Class Y (a)		2,780		56,155
				1,254,981
TOTAL MUTUAL FUNDS (Cost $1,108,109)				1,254,981
TOTAL LONG-TERM INVESTMENTS (Cost $1,108,109)				1,254,981
TOTAL INVESTMENTS — 100.5% (Cost $1,108,109) (c)				1,254,981
Other Assets/(Liabilities) — (0.5)%				(6,269	)
NET ASSETS — 100.0%			$	1,248,712

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

127

MassMutual Select Destination Retirement 2050 Fund – Portfolio of Investments

March 31, 2011 (Unaudited)

	Number of Shares		Value
MUTUAL FUNDS — 100.1%
Diversified Financial — 100.1%
MassMutual Premier Capital Appreciation Fund, Class S (a)		21,926	$	244,032
MassMutual Premier Core Bond Fund, Class S (a)		20,098		222,083
MassMutual Premier Disciplined Growth Fund, Class S (a)		169,855		1,695,148
MassMutual Premier Disciplined Value Fund, Class S (a)		157,850		1,681,108
MassMutual Premier Discovery Value Fund, Class S (a)		18		192
MassMutual Premier Diversified Bond Fund, Class S (a)		1,570		16,657
MassMutual Premier Focused International Fund, Class S (a)		43,398		522,080
MassMutual Premier High Yield Fund, Class S (a)		13,255		120,490
MassMutual Premier Inflation-Protected and Income Fund, Class S (a)		10,027		107,992
MassMutual Premier International Bond Fund, Class S (a)		36,409		369,183
MassMutual Premier International Equity Fund, Class S (a)		82,543		1,231,547
MassMutual Premier Main Street Small/Mid Cap Fund, Class S (a)		62,555		713,758
MassMutual Premier Short-Duration Bond Fund, Class S (a)		35,701		379,861
MassMutual Premier Strategic Emerging Markets Fund, Class S (a)		103,865		1,738,700
MassMutual Premier Value Fund, Class S (a)		10,497		161,342
MassMutual Select Blue Chip Growth Fund, Class S (a)		97,867		1,101,985
MassMutual Select Core Opportunities Fund, Class S (a)		41,044		404,695
MassMutual Select Diversified International Fund, Class S (a)		175,779		1,265,610
MassMutual Select Diversified Value Fund, Class S (a)		129,007		1,233,310
MassMutual Select Focused Value Fund, Class S (a)		26,522		497,013
MassMutual Select Fundamental Value Fund, Class S (a)		178,484		1,975,817
MassMutual Select Growth Opportunities Fund, Class S (a) (b)		136,634		1,015,188
MassMutual Select Large Cap Growth Fund, Class S (a)		140,144		1,363,602
MassMutual Select Large Cap Value Fund, Class S (a)		49,145		545,012

	Number of Shares		Value
MassMutual Select Mid Cap Growth Equity Fund, Class S (a) (b)		52,837	$	633,516
MassMutual Select Mid Cap Growth Equity II Fund, Class S (a) (b)		51,055		873,552
MassMutual Select Mid-Cap Value Fund, Class S (a)		120,819		1,306,058
MassMutual Select Overseas Fund, Class S (a)		420,650		3,159,084
MassMutual Select PIMCO Total Return Fund, Class S (a)		9,846		100,628
MassMutual Select Small Cap Growth Equity Fund, Class S (a) (b)		22,956		438,231
MassMutual Select Small Cap Value Equity Fund, Class S (a)		51,655		523,783
MassMutual Select Small Company Growth Fund, Class S (a) (b)		46,759		506,870
MassMutual Select Small Company Value Fund, Class S (a)		36,517		543,005
MassMutual Select Strategic Bond Fund, Class S (a)		3,702		36,016
Oppenheimer Commodity Strategy Total Return Fund, Class Y (a)		281,463		1,151,182
Oppenheimer Real Estate Fund, Class Y (a)		59,444		1,200,772
				29,079,102
TOTAL MUTUAL FUNDS (Cost $24,162,985)				29,079,102
TOTAL LONG-TERM INVESTMENTS (Cost $24,162,985)				29,079,102
TOTAL INVESTMENTS — 100.1% (Cost $24,162,985) (c)				29,079,102
Other Assets/(Liabilities) — (0.1)%				(15,756	)
NET ASSETS — 100.0%			$	29,063,346

Notes to Portfolio of Investments

(a) Affiliated issuer. (See Note 4 for a summary of transactions in the investments of affiliated issuers).

(b) Non-income producing security.

(c) See Note 3 for aggregate cost for federal tax purposes.

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

128

Notes to Portfolio of Investments (Unaudited)

1. The Fund

MassMutual Select Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated May 28, 1993, as amended. The Trust consists of the following series (each individually referred to as a “Fund” or collectively as the “Funds”): MassMutual Select PIMCO Total Return Fund (“PIMCO Total Return Fund”), MassMutual Select Strategic Bond Fund (“Strategic Bond Fund”), MassMutual Select Strategic Balanced Fund (“Strategic Balanced Fund”), MassMutual Select BlackRock Global Allocation Fund (formerly known as MassMutual Select Global Allocation Fund) (“BlackRock Global Allocation Fund”), MassMutual Select Diversified Value Fund (“Diversified Value Fund”), MassMutual Select Fundamental Value Fund (“Fundamental Value Fund”), MassMutual Select Value Equity Fund (“Value Equity Fund”), MassMutual Select Large Cap Value Fund (“Large Cap Value Fund”), MassMutual Select Indexed Equity Fund (“Indexed Equity Fund”), MassMutual Select Core Opportunities Fund (“Core Opportunities Fund”), MassMutual Select Blue Chip Growth Fund (“Blue Chip Growth Fund”), MassMutual Select Large Cap Growth Fund (“Large Cap Growth Fund”), MassMutual Select Growth Opportunities Fund (formerly known as MassMutual Select Aggressive Growth Fund) (“Growth Opportunities Fund”), MassMutual Select NASDAQ-100^® Fund (“NASDAQ-100 Fund”), MassMutual Select Focused Value Fund (“Focused Value Fund”), MassMutual Select Mid-Cap Value Fund (“Mid-Cap Value Fund”), MassMutual Select Small Cap Value Equity Fund (“Small Cap Value Equity Fund”), MassMutual Select Small Company Value Fund (“Small Company Value Fund”), MassMutual Select Mid Cap Growth Equity Fund (“Mid Cap Growth Equity Fund”), MassMutual Select Mid Cap Growth Equity II Fund (“Mid Cap Growth Equity II Fund”), MassMutual Select Small Cap Growth Equity Fund (“Small Cap Growth Equity Fund”), MassMutual Select Small Company Growth Fund (“Small Company Growth Fund”), MassMutual Select Diversified International Fund (“Diversified International Fund”), MassMutual Select Overseas Fund (“Overseas Fund”), MassMutual Select Destination Retirement Income Fund (“Destination Retirement Income Fund”), MassMutual Select Destination Retirement 2010 Fund (“Destination Retirement 2010 Fund”), MassMutual Select Destination Retirement 2015 Fund (“Destination Retirement 2015 Fund”), MassMutual Select Destination Retirement 2020 Fund (“Destination Retirement 2020 Fund”), MassMutual Select Destination Retirement 2025 Fund (“Destination Retirement 2025 Fund”), MassMutual Select Destination Retirement 2030 Fund (“Destination Retirement 2030 Fund”), MassMutual Select Destination Retirement 2035 Fund (“Destination Retirement 2035 Fund”), MassMutual Select Destination Retirement 2040 Fund (“Destination Retirement 2040 Fund”), MassMutual Select Destination Retirement 2045 Fund (“Destination Retirement 2045 Fund”), and MassMutual Select Destination Retirement 2050 Fund (“Destination Retirement 2050 Fund”).

The PIMCO Total Return Fund commenced operations on July 6, 2010. The Destination Retirement 2015 Fund, Destination Retirement 2025 Fund, Destination Retirement 2035 Fund, and Destination Retirement 2045 Fund commenced operations on April 1, 2010.

Each Fund other than the BlackRock Global Allocation Fund, Large Cap Growth Fund, Destination Retirement 2015 Fund, Destination Retirement 2025 Fund, Destination Retirement 2035 Fund, and Destination Retirement 2045 Fund has the following five classes of shares: Class A, Class L, Class Y, Class S, and Class N. Additionally, the PIMCO Total Return Fund, Fundamental Value Fund, Indexed Equity Fund, Focused Value Fund, Small Company Value Fund, Mid Cap Growth Equity II Fund, Small Cap Growth Equity Fund, and Overseas Fund have a sixth class of shares: Class Z. Class Z commenced operations on November 15, 2010 for Fundamental Value Fund, Focused Value Fund, Small Company Value Fund, Mid Cap Growth Equity II Fund, Small Cap Growth Equity Fund, and Overseas Fund. The BlackRock Global Allocation Fund, Large Cap Growth Fund, Destination Retirement 2015 Fund, Destination Retirement 2025 Fund, Destination Retirement 2035 Fund, and Destination Retirement 2045 Fund do not offer Class N shares. Class N shares of the BlackRock Global Allocation Fund, Large Cap Growth Fund, Destination Retirement 2015 Fund, Destination Retirement 2025 Fund, Destination Retirement 2035 Fund, and Destination Retirement 2045 Fund were eliminated as of February 8, 2011. Each share class represents an interest in the same portfolio of assets. The principal economic difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally

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Notes to Portfolio of Investments (Unaudited) (Continued)

accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

Investment Valuation

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange, on each day the New York Stock Exchange is open for trading. The New York Stock Exchange normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days.

Equity securities are valued on the basis of information furnished by a pricing service, 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 (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Debt securities (other than short-term obligations) are valued on the basis of valuations furnished by a pricing service, which determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Short-term debt securities are valued at either amortized cost or at original cost plus accrued interest, whichever approximates current market value. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. Investments are marked to market daily based on values provided by third-party vendors or market makers to the extent available or based on model prices. Valuations provided by third-party vendors and representative bids provided by market makers may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined by the Funds’ Valuation Committee in accordance with procedures approved by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon such asset’s sale.

Portfolio securities traded on more than one national securities exchange are valued at the last price on the business day 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 the U.S. dollar at the end of each business day.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next day the New York Stock Exchange is open. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party fair valuation vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market that exceeds a specific threshold established by the Funds’ Valuation Committee pursuant to procedures established by the Trustees, and under the general oversight of the Trustees.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a

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Notes to Portfolio of Investments (Unaudited) (Continued)

pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.

Level 1 – quoted prices (unadjusted) in active markets for identical investments

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement.

Fair Value Measurements

A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis follows.

Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as depositary receipts, futures, exchange-traded funds (“ETFs”), and the movement of certain indexes of securities based on a statistical analysis of the historical relationship and are categorized in Level 2 of the fair value hierarchy.

Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.

Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.

131

Notes to Portfolio of Investments (Unaudited) (Continued)

U.S. Government and agency securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy.

Derivative contracts. Derivative contracts that are actively traded on an exchange are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the contract and the terms of the transaction, the fair value of the OTC derivative contracts can be modeled using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. A majority of OTC derivative contracts valued by the Funds using pricing models fall into this category and are categorized within Level 2 of the fair value hierarchy.

Restricted securities. Restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3. Any illiquid Rule 144A securities or restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently and, therefore, the inputs are unobservable.

The Diversified Value Fund, Value Equity Fund, Indexed Equity Fund, Large Cap Growth Fund, Growth Opportunities Fund, NASDAQ-100 Fund, Focused Value Fund, Mid-Cap Value Fund, Small Cap Value Equity Fund, Mid Cap Growth Equity II Fund, and Small Company Growth Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of March 31, 2011. The Destination Retirement Income Fund, Destination Retirement 2010 Fund, Destination Retirement 2015 Fund, Destination Retirement 2020 Fund, Destination Retirement 2025 Fund, Destination Retirement 2030 Fund, Destination Retirement 2035 Fund, Destination Retirement 2040 Fund, Destination Retirement 2045 Fund, and Destination Retirement 2050 Fund characterized all investments at Level 1, as of March 31, 2011. The PIMCO Total Return Fund and BlackRock Global Allocation Fund characterized all securities sold short at Level 2, as of March 31, 2011. For each Fund noted above, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The following is the aggregate value by input level as of March 31, 2011, for the remaining Funds’ investments:

Asset Valuation Inputs

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund
Equities
Preferred Stock
Utilities	$	21,296,000	$	-	$	-	$	21,296,000
Total Preferred Stock		21,296,000		-		-		21,296,000
Total Equities		21,296,000		-		-		21,296,000
Bonds & Notes
Total Corporate Debt		-		630,588,262		2,395,320		632,983,582
Total Floating Rate Loan Interest		-		1,550,210		-		1,550,210
Total Municipal Obligations		-		46,206,170		-		46,206,170
Non-U.S. Government Agency Obligations
Commercial MBS		-		85,761,873		-		85,761,873
Other ABS		-		-		4,790,795		4,790,795
WL Collateral CMO		-		41,181,411		-		41,181,411
Total Non-U.S. Government Agency Obligations		-		126,943,284		4,790,795		131,734,079
Total Sovereign Debt Obligations		-		26,020,428		420,270		26,440,698

132

Notes to Portfolio of Investments (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund (Continued)
U.S. Government Agency Obligations and
Instrumentalities
Pass-Through Securities	$	-	$	139,170,383	$	-	$	139,170,383
Total U.S. Government Agency Obligations and
Instrumentalities		-		139,170,383		-		139,170,383
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		7,789,646		-		7,789,646
Total U.S. Treasury Obligations		-		7,789,646		-		7,789,646
Total Bonds & Notes		-		978,268,383		7,606,385		985,874,768
Total Long-Term Investments		21,296,000		978,268,383		7,606,385		1,007,170,768
Total Short-Term Investments		-		499,008,262		-		499,008,262
Total Investments	$	21,296,000	$	1,477,276,645	$	7,606,385	$	1,506,179,030
Strategic Bond Fund
Equities
Common Stock
Energy	$	6,899	$	-	$	-	$	6,899
Total Common Stock		6,899		-		-		6,899
Convertible Preferred Stock
Consumer, Cyclical		-		47,332		-		47,332
Total Convertible Preferred Stock		-		47,332		-		47,332
Preferred Stock
Consumer, Cyclical		-		34,000		-		34,000
Financial		373,179		-		-		373,179
Government		-		126,445		-		126,445
Total Preferred Stock		373,179		160,445		-		533,624
Total Equities		380,078		207,777		-		587,855
Bonds & Notes
Total Corporate Debt		-		48,137,394		793,009		48,930,403
Total Municipal Obligations		-		2,311,329		-		2,311,329
Non-U.S. Government Agency Obligations
Agency Collateral CMO		-		666,571		-		666,571
Automobile ABS		-		579,776		-		579,776
Commercial MBS		-		4,092,270		-		4,092,270
Home Equity ABS		-		4,108,448		-		4,108,448
Manufactured Housing ABS		-		3,919,653		-		3,919,653
Student Loans ABS		-		2,354,209		-		2,354,209
WL Collateral CMO		-		11,332,999		-		11,332,999
Total Non-U.S. Government Agency Obligations		-		27,053,926		-		27,053,926
Total Sovereign Debt Obligations		-		1,168,313		-		1,168,313

133

Notes to Portfolio of Investments (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Strategic Bond Fund (Continued)
U.S. Government Agency Obligations and Instrumentalities
Collateralized Mortgage Obligations	$	-	$	1,676,067	$	-	$	1,676,067
Pass-through Securities		-		59,518,275		-		59,518,275
Total U.S. Government Agency Obligations and Instrumentalities		-		61,194,342		-		61,194,342
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		37,845,024		-		37,845,024
Total U.S. Treasury Obligations		-		37,845,024		-		37,845,024
Total Bonds & Notes		-		177,710,328		793,009		178,503,337
Purchased Options
Options on Futures		16,321		-		-		16,321
Total Purchased Options		16,321		-		-		16,321
Warrants
Energy		2,644		-		-		2,644
Total Warrants		2,644		-		-		2,644
Total Long-Term Investments		399,043		177,918,105		793,009		179,110,157
Total Short-Term Investments		-		36,750,593		-		36,750,593
Total Investments	$	399,043	$	214,668,698	$	793,009	$	215,860,750
Strategic Balanced Fund
Equities
Common Stock
Basic Materials	$	1,780,684	$	1,074,446	$	-	$	2,855,130
Communications		4,113,710		851,963		-		4,965,673
Consumer, Cyclical		2,587,225		1,346,748		-		3,933,973
Consumer, Non-cyclical		5,550,079		1,904,487		-		7,454,566
Diversified		-		106,352		-		106,352
Energy		4,599,127		1,201,219		-		5,800,346
Financial		4,481,153		3,057,771		-		7,538,924
Industrial		2,596,336		1,866,764		-		4,463,100
Technology		4,636,614		529,562		-		5,166,176
Utilities		932,699		863,741		-		1,796,440
Total Common Stock		31,277,627		12,803,053		-		44,080,680
Preferred Stock
Consumer, Cyclical		-		199,462		-		199,462
Financial		52,751		-		-		52,751
Government		-		32,632		-		32,632
Total Preferred Stock		52,751		232,094		-		284,845
Total Equities		31,330,378		13,035,147		-		44,365,525
Bonds & Notes
Total Corporate Debt		-		5,624,376		224,903		5,849,279
Municipal Obligations		-		149,325		-		149,325

134

Notes to Portfolio of Investments (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Strategic Balanced Fund (Continued)
Non-U.S. Government Agency Obligations
Agency Collateral CMO	$	-	$	109,005	$	-	$	109,005
Commercial MBS		-		463,820		20,568		484,388
Home Equity ABS		-		510,865		-		510,865
Manufactured Housing ABS		-		103,897		-		103,897
WL Collateral CMO		-		1,110,193		-		1,110,193
Total Non-U.S. Government Agency Obligations		-		2,297,780		20,568		2,318,348
Total Sovereign Debt Obligations		-		69,807		-		69,807
U.S. Government Agency Obligations and Instrumentalities
Collateralized Mortgage Obligations		-		436,637		-		436,637
Pass-through Securities		-		7,343,523		-		7,343,523
Total U.S. Government Agency Obligations and Instrumentalities		-		7,780,160		-		7,780,160
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		3,862,511		-		3,862,511
Total U.S. Treasury Obligations		-		3,862,511		-		3,862,511
Total Bonds & Notes		-		19,783,959		245,471		20,029,430
Purchased Options
Options on Futures		1,475		-		-		1,475
Total Purchased Options		1,475		-		-		1,475
Warrants
Energy		830		-		-		830
Total Warrants		830		-		-		830
Total Long-Term Investments		31,332,683		32,819,106		245,471		64,397,260
Total Short-Term Investments		-		6,295,584		-		6,295,584
Total Investments	$	31,332,683	$	39,114,690	$	245,471	$	70,692,844
BlackRock Global Allocation Fund
Equities
Common Stock
Basic Materials	$	21,449,570	$	17,357,220	$	-	$	38,806,790
Communications		28,729,775		15,761,979		-		44,491,754
Consumer, Cyclical		6,856,340		15,230,111		-		22,086,451
Consumer, Non-cyclical		41,739,194		14,254,658		-		55,993,852
Diversified		75,080		4,000,164		-		4,075,244
Energy		49,538,975		11,500,284		-		61,039,259
Financial		28,038,180		24,581,124		-		52,619,304
Industrial		19,347,491		13,722,134		-		33,069,625
Technology		29,063,138		5,824,434		-		34,887,572
Utilities		5,588,945		10,474,924		-		16,063,869
Total Common Stock		230,426,688		132,707,032		-		363,133,720

135

Notes to Portfolio of Investments (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
BlackRock Global Allocation Fund (Continued)
Convertible Preferred Stock Consumer, Non-cyclical	$	-	$	115,390	$	-	$	115,390
Financial		334,337		-		-		334,337
Total Convertible Preferred Stock		334,337		115,390		-		449,727
Preferred Stock
Basic Materials		-		1,243,328		-		1,243,328
Consumer, Cyclical		848,320		1,108,340		-		1,956,660
Consumer, Non-cyclical		-		1,020,130		-		1,020,130
Energy		-		464,063		-		464,063
Financial		1,859,034		954,781		-		2,813,815
Total Preferred Stock		2,707,354		4,790,642		-		7,497,996
Total Equities		233,468,379		137,613,064		-		371,081,443
Bonds & Notes
Total Corporate Debt		-		56,124,841		2,861,510		58,986,351
Total Floating Rate Loan Interest		-		831,767		1,453,699		2,285,466
Non-U.S. Government Agency Obligations
Commercial MBS		-		1,333,373		-		1,333,373
Other ABS		-		55,000		-		55,000
Total Non-U.S. Government Agency Obligations		-		1,388,373		-		1,388,373
Total Sovereign Debt Obligations		-		46,677,525		-		46,677,525
U.S. Treasury Obligations
U.S. Treasury Bonds & Notes		-		40,724,670		-		40,724,670
Total U.S. Treasury Obligations		-		40,724,670		-		40,724,670
Total Bonds & Notes		-		145,747,176		4,315,209		150,062,385
Total Mutual Funds		20,686,076		178,368		-		20,864,444
Purchased Options
Communications		43,160		-		-		43,160
Consumer, Non-cyclical		5,184		-		-		5,184
Energy		1,296		-		-		1,296
Financial		204,500		789		-		205,289
Total Purchased Options		254,140		789		-		254,929
Structured Options (Over the Counter Traded)
Financial		-		437,816		-		437,816
Total Structured Options (Over the Counter Traded)		-		437,816		-		437,816
Warrants
Basic Materials		10,915		-		-		10,915
Consumer, Cyclical		285,633		-		-		285,633
Financial		176,577		-		-		176,577
Total Warrants		473,125		-		-		473,125
Total Long-Term Investments		254,881,720		283,977,213		4,315,209		543,174,142
Total Short-Term Investments		-		37,015,520		-		37,015,520
Total Investments	$	254,881,720	$	320,992,733	$	4,315,209	$	580,189,662

136

Notes to Portfolio of Investments (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Fundamental Value Fund
Equities
Common Stock
Basic Materials	$	66,864,632	$	-	$	-	$	66,864,632
Communications		82,956,960		-		-		82,956,960
Consumer, Cyclical		86,272,539		-		-		86,272,539
Consumer, Non-cyclical		217,857,942		-		-		217,857,942
Energy		165,043,734		-		-		165,043,734
Financial		274,827,462		-		-		274,827,462
Industrial		152,363,360		6,218,170		-		158,581,530
Technology		76,108,287		-		-		76,108,287
Utilities		33,489,371		-		-		33,489,371
Total Common Stock		1,155,784,287		6,218,170		-		1,162,002,457
Total Equities		1,155,784,287		6,218,170		-		1,162,002,457
Total Long-Term Investments		1,155,784,287		6,218,170		-		1,162,002,457
Total Short-Term Investments		-		3,879,915		-		3,879,915
Total Investments	$	1,155,784,287	$	10,098,085	$	-	$	1,165,882,372
Large Cap Value Fund
Equities
Common Stock
Basic Materials	$	27,091,347	$	9,496,858	$	-	$	36,588,205
Communications		18,260,444		-		-		18,260,444
Consumer, Cyclical		88,740,872		1,864,691		-		90,605,563
Consumer, Non-cyclical		124,796,855		18,121,127		-		142,917,982
Diversified		-		9,284,255		-		9,284,255
Energy		107,298,732		10,170,312		-		117,469,044
Financial		166,499,424		25,368,911		-		191,868,335
Industrial		37,801,403		8,435,508		-		46,236,911
Technology		30,249,165		-		-		30,249,165
Total Common Stock		600,738,242		82,741,662		-		683,479,904
Total Equities		600,738,242		82,741,662		-		683,479,904
Bonds & Notes
Total Corporate Debt		-		-		2,255,625		2,255,625
Total Bonds & Notes		-		-		2,255,625		2,255,625
Total Long-Term Investments		600,738,242		82,741,662		2,255,625		685,735,529
Total Short-Term Investments		-		20,817,473		-		20,817,473
Total Investments	$	600,738,242	$	103,559,135	$	2,255,625	$	706,553,002
Core Opportunities Fund
Equities
Common Stock
Basic Materials	$	2,502,991	$	-	$	-	$	2,502,991
Communications		8,349,705		-		-		8,349,705

137

Notes to Portfolio of Investments (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Core Opportunities Fund (Continued)
Consumer, Cyclical	$	7,256,625	$	-	$	-	$	7,256,625
Consumer, Non-cyclical		13,246,187		757,299		-		14,003,486
Energy		10,197,064		-		-		10,197,064
Financial		9,671,121		-		-		9,671,121
Industrial		8,198,536		-		-		8,198,536
Technology		8,613,800		-		-		8,613,800
Utilities		1,082,853		-		-		1,082,853
Total Common Stock		69,118,882		757,299		-		69,876,181
Total Equities		69,118,882		757,299		-		69,876,181
Total Long-Term Investments		69,118,882		757,299		-		69,876,181
Total Short-Term Investments		-		727,809		-		727,809
Total Investments	$	69,118,882	$	1,485,108	$	-	$	70,603,990
Blue Chip Growth Fund
Equities
Common Stock
Basic Materials	$	22,172,236	$	-	$	-	$	22,172,236
Communications		126,591,000		5,845,950		1,951,400		134,388,350
Consumer, Cyclical		71,293,489		-		-		71,293,489
Consumer, Non-cyclical		58,360,593		85,563		-		58,446,156
Energy		48,822,248		-		-		48,822,248
Financial		61,251,600		220,975		-		61,472,575
Industrial		81,552,072		-		-		81,552,072
Technology		67,702,244		-		-		67,702,244
Total Common Stock		537,745,482		6,152,488		1,951,400		545,849,370
Total Equities		537,745,482		6,152,488		1,951,400		545,849,370
Total Mutual Funds		1,600		-		-		1,600
Total Long-Term Investments		537,747,082		6,152,488		1,951,400		545,850,970
Total Short-Term Investments		-		5,609,145		-		5,609,145
Total Investments	$	537,747,082	$	11,761,633	$	1,951,400	$	551,460,115
Small Company Value Fund
Equities
Common Stock
Basic Materials	$	41,281,828	$	-	$	-	$	41,281,828
Communications		20,398,177		-		-		20,398,177
Consumer, Cyclical		60,717,171		-		-		60,717,171
Consumer, Non-cyclical		61,078,077		-		-		61,078,077
Energy		51,644,238		-		-		51,644,238
Financial		139,687,591		-		-		139,687,591
Industrial		127,936,119		-		-		127,936,119
Technology		24,244,847		-		-		24,244,847
Utilities		31,420,534		-		-		31,420,534
Total Common Stock		558,408,582		-		-		558,408,582

138

Notes to Portfolio of Investments (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Small Company Value Fund (Continued)
Convertible Preferred Stock
Financial	$	-	$	3,056,872	$	-	$	3,056,872
Total Convertible Preferred Stock		-		3,056,872		-		3,056,872
Total Equities		558,408,582		3,056,872		-		561,465,454
Total Mutual Funds		2,008,339		-		-		2,008,339
Total Long-Term Investments		560,416,921		3,056,872		-		563,473,793
Total Short-Term Investments		-		18,023,414		-		18,023,414
Total Investments	$	560,416,921	$	21,080,286	$	-	$	581,497,207
Mid Cap Growth Equity Fund
Equities
Common Stock
Basic Materials	$	1,993,858	$	-	$	-	$	1,993,858
Communications		9,291,095		-		-		9,291,095
Consumer, Cyclical		10,919,134		834,517		-		11,753,651
Consumer, Non-cyclical		15,979,513		1,259,691		-		17,239,204
Diversified		-		268,592		-		268,592
Energy		4,321,627		102,671		-		4,424,298
Financial		3,152,101		209,973		-		3,362,074
Industrial		8,381,625		648,122		-		9,029,747
Technology		12,087,142		-		-		12,087,142
Utilities		154,644		-		-		154,644
Total Common Stock		66,280,739		3,323,566		-		69,604,305
Total Equities		66,280,739		3,323,566		-		69,604,305
Total Long-Term Investments		66,280,739		3,323,566		-		69,604,305
Total Short-Term Investments		-		2,141,482		-		2,141,482
Total Investments	$	66,280,739	$	5,465,048	$	-	$	71,745,787
Small Cap Growth Equity Fund
Equities
Common Stock
Basic Materials	$	9,139,944	$	-	$	-	$	9,139,944
Communications		105,943,890		-		-		105,943,890
Consumer, Cyclical		144,155,908		1,725,467		-		145,881,375
Consumer, Non-cyclical		172,364,054		4,572,973		-		176,937,027
Diversified		-		1,614,974		-		1,614,974
Energy		58,783,409		-		-		58,783,409
Financial		58,514,868		-		-		58,514,868
Industrial		182,209,481		1,665,618		-		183,875,099
Technology		137,633,523		1,578,397		-		139,211,920
Utilities		4,169,970		-		-		4,169,970
Total Common Stock		872,915,047		11,157,429		-		884,072,476
Total Equities		872,915,047		11,157,429		-		884,072,476
Total Mutual Funds		9,203,148		-		-		9,203,148

139

Notes to Portfolio of Investments (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Small Cap Growth Equity Fund (Continued)
Total Long-Term Investments	$	882,118,195	$	11,157,429	$	-	$	893,275,624
Total Short-Term Investments		-		18,952,389		-		18,952,389
Total Investments	$	882,118,195	$	30,109,818	$	-	$	912,228,013
Diversified International Fund
Equities
Common Stock
Basic Materials	$	1,328,487	$	13,410,571	$	-	$	14,739,058
Communications		431,934		11,801,930		-		12,233,864
Consumer, Cyclical		1,414,296		17,583,970		-		18,998,266
Consumer, Non-cyclical		-		15,817,933		-		15,817,933
Diversified		-		1,196,562		-		1,196,562
Energy		3,002,090		14,311,209		-		17,313,299
Financial		1,695,856		37,893,115		-		39,588,971
Industrial		-		11,189,247		-		11,189,247
Technology		-		8,761,810		-		8,761,810
Utilities		-		4,290,627		-		4,290,627
Total Common Stock		7,872,663		136,256,974		-		144,129,637
Preferred Stock
Basic Material		3,660,480		-		-		3,660,480
Financial		-		7,946		-		7,946
Utilities		-		362,625		-		362,625
Total Preferred Stock		3,660,480		370,571		-		4,031,051
Total Equities		11,533,143		136,627,545		-		148,160,688
Total Long-Term Investments		11,533,143		136,627,545		-		148,160,688
Total Short-Term Investments		-		3,315,963		-		3,315,963
Total Investments	$	11,533,143	$	139,943,508	$	-	$	151,476,651
Overseas Fund
Equities
Common Stock
Basic Materials	$	1,114,563	$	56,445,900	$	-	$	57,560,463
Communications		3,849,725		31,849,140		-		35,698,865
Consumer, Cyclical		3,512,197		54,010,166		-		57,522,363
Consumer, Non-cyclical		1,015,510		124,890,612		-		125,906,122
Diversified		-		8,596,681		-		8,596,681
Energy		2,658,710		29,574,197		-		32,232,907
Financial		8,109,270		128,345,098		-		136,454,368
Industrial		8,641,256		60,528,016		-		69,169,272
Technology		7,907,219		36,352,208		-		44,259,427
Utilities		-		4,778,629		-		4,778,629
Total Common Stock		36,808,450		535,370,647		-		572,179,097
Preferred Stock
Basic Materials		3,093,696		-		-		3,093,696
Financial		-		6,966		-		6,966

140

Notes to Portfolio of Investments (Unaudited) (Continued)

	Investments in Securities
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
Overseas Fund (Continued)
Utilities	$	-	$	311,769	$	-	$	311,769
Total Preferred Stock		3,093,696		318,735		-		3,412,431
Total Equities		39,902,146		535,689,382		-		575,591,528
Warrants
Financial		553,188		-		-		553,188
Total Warrants		553,188		-		-		553,188
Total Long-Term Investments		40,455,334		535,689,382		-		576,144,716
Total Short-Term Investments		-		11,841,071		-		11,841,071
Total Investments	$	40,455,334	$	547,530,453	$	-	$	587,985,787

The following is the aggregate value by input level as of March 31, 2011, for the Funds’ other financial instruments:

Asset Valuation Inputs

	Other Financial Instruments
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund
Forward Contracts
Foreign Exchange Risk	$	-	$	3,408,106	$	-	$	3,408,106
Futures Contracts
Interest Rate Risk		1,008,326		-		-		1,008,326
Swap Agreements
Credit Risk		-		2,799,792		-		2,799,792
Interest Rate Risk		-		1,838,301		-		1,838,301
Strategic Bond Fund
Forward Contracts
Foreign Exchange Risk		-		22,740		-		22,740
Futures Contracts
Interest Rate Risk		650,562		-		-		650,562
Swap Agreements
Credit Risk		-		49,690		-		49,690
Equity Risk		-		1,676		-		1,676
Strategic Balanced Fund
Forward Contracts
Foreign Exchange Risk		-		135,584		-		135,584
Futures Contracts
Interest Rate Risk		30,568		-		-		30,568
Swap Agreements
Credit Risk		-		5,145		-		5,145

141

Notes to Portfolio of Investments (Unaudited) (Continued)

	Other Financial Instruments
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 3 — Significant Unobservable Inputs		Total
BlackRock Global Allocation Fund
Forward Contracts
Foreign Exchange Risk	$	-	$	653,909	$	-	$	653,909
Futures Contracts
Equity Risk		155,473		-		-		155,473
Swap Agreements
Equity Risk		-		81,730		-		81,730
Indexed Equity Fund
Futures Contracts
Equity Risk		468,608		-		-		468,608
NASDAQ-100 Fund
Futures Contracts
Equity Risk		47,118		-		-		47,118
Diversified International Fund
Forward Contracts
Foreign Exchange Risk		-		3,295,223		-		3,295,223
Futures Contracts
Equity Risk		15,860		-		-		15,860
Overseas Fund
Forward Contracts
Foreign Exchange Risk		-		3,025,316		-		3,025,316
Futures Contracts
Equity Risk		10,888		-		-		10,888

Liability Valuation Inputs

	Other Financial Instruments
	Level 1 — Quoted Prices			Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
PIMCO Total Return Fund
Forward Contracts
Foreign Exchange Risk	$	-		$	(3,564,721	)	$	-	$	(3,564,721	)
Futures Contracts
Interest Rate Risk		(601,498	)		-			-		(601,498	)
Swap Agreements
Credit Risk		-			(726,748	)		-		(726,748	)
Written Options
Interest Rate Risk		(603,195	)		(2,684,414	)		-		(3,287,609	)

142

Notes to Portfolio of Investments (Unaudited) (Continued)

	Other Financial Instruments
	Level 1 — Quoted Prices			Level 2 — Other Significant Observable Inputs			Level 3 — Significant Unobservable Inputs		Total
Strategic Bond Fund
Forward Contracts
Foreign Exchange Risk	$	-		$	(117,834	)	$	-	$	(117,834	)
Futures Contracts
Interest Rate Risk		(89,801	)		-			-		(89,801	)
Swap Agreements
Credit Risk		-			(14,121	)		-		(14,121	)
Equity Risk		-			(2,280	)		-		(2,280	)
Interest Rate Risk		-			(259,965	)		-		(259,965	)
Written Options
Interest Rate Risk		(275	)		-			-		(275	)
Strategic Balanced Fund
Forward Contracts
Foreign Exchange Risk		-			(96,836	)		-		(96,836	)
Futures Contracts
Interest Rate Risk		(3,574	)		-			-		(3,574	)
Swap Agreements
Credit Risk		-			(4,425	)		-		(4,425	)
Equity Risk		-			(184	)		-		(184	)
Written Options
Interest Rate Risk		(25	)		-			-		(25	)
BlackRock Global Allocation Fund
Forward Contracts
Foreign Exchange Risk		-			(346,963	)		-		(346,963	)
Written Options
Equity Risk		(750,680	)		-			-		(750,680	)
Diversified International Fund
Forward Contracts
Foreign Exchange Risk		-			(3,757,400	)		-		(3,757,400	)
Overseas Fund
Forward Contracts
Foreign Exchange Risk		-			(5,501,617	)		-		(5,501,617	)
Futures Contracts
Equity Risk		(33,095	)		-			-		(33,095	)

The Funds had no transfers between Level 1 and Level 2 of the fair value hierarchy at March 31, 2011.

143

Notes to Portfolio of Investments (Unaudited) (Continued)

Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:

Asset Valuation Inputs

	Investments in Securities
	Balance as of 12/31/10			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		(Sales)			Transfers into Level 3 *			Transfers (out) of Level 3*			Balance as of 3/31/11		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 3/31/11
PIMCO Total Return Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	886,709		$	-	$	-		$	-		$	2,395,320	$	-		$	-		$	(886,709	)**	$	2,395,320	$	-
Floating Rate Loan Interest		2,000,000			-		-			-			-		-			-			(2,000,000	)***		-		-
Sovereign Debt Obligations		-			-		-			996			419,274		-			-			-			420,270		996
Non-U.S. Government Agency Obligations
Other ABS		-			-		-			44,248			4,746,547		-			-			-			4,790,795		44,248
	$	2,886,709		$	-	$	-		$	45,244		$	7,561,141	$	-		$	-		$	(2,886,709	)	$	7,606,385	$	45,244
Strategic Bond Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	784,734		$	-	$	4,304		$	8,275		$	-	$	(4,304	)	$	-		$	-		$	793,009	$	8,275
Warrants
Energy		-	****		-		-			-			-		-			-			-	***		-		-
	$	784,734		$	-	$	4,304		$	8,275		$	-	$	(4,304	)	$	-		$	-		$	793,009	$	8,275
Strategic Balanced Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	226,002		$	-	$	1,359		$	(1,099	)	$	-	$	(1,359	)	$	-		$	-		$	224,903	$	(1,099	)
Non-U.S. Government Agency Obligations																								-		-
Commercial MBS		17,374			-		(4,745	)		7,939			-		-			-			-			20,568		7,939
Warrants
Energy		-	****		-		-			-			-		-			-			-	***		-		-
	$	243,376		$	-	$	(3,386	)	$	6,840		$	-	$	(1,359	)	$	-		$	-		$	245,471	$	6,989
BlackRock Global Allocation Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	2,312,748		$	-	$	-		$	40,012		$	-	$	-		$	508,750	**	$	-		$	2,861,510	$	40,012
Floating Rate Loan Interest
Oil & Gas		1,519,238			-		711			12,751			2,876,161		(2,955,162	)		-			-			1,453,699		12,751
	$	3,831,986		$	-	$	711		$	52,763		$	2,876,161	$	(2,955,162	)	$	508,750		$	-		$	4,315,209	$	52,763
Large Cap Value Fund
Long-Term Investments
Bonds & Notes
Corporate Debt	$	2,151,365		$	-	$	-		$	104,260		$	-	$	-		$	-		$	-		$	2,255,625	$	104,260
Blue Chip Growth Fund
Equities
Common Stock
Communications	$	-		$	-	$	-		$	-		$	1,951,400	$	-		$	-		$	-		$	1,951,400	$	-

* The Fund(s) recognize transfers between the Levels as of the beginning of the year.

** Transfers occurred between Levels as a result of changes in liquidity.

*** Transfers occurred between Levels as a result of securities receiving a price directly from a pricing service rather than being fair valued.

**** Represents security at $0 value as of December 31, 2010.

144

Notes to Portfolio of Investments (Unaudited) (Continued)

Derivative Instruments

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. It is possible that a derivative transaction will result in a loss greater than the principal amount invested. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives at March 31, 2011, the following table shows how the Fund used these derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	Strategic Balanced Fund	BlackRock Global Allocation Fund	Indexed Equity Fund	NASDAQ - 100 Fund	Diversified International Fund	Overseas Fund
Foreign Currency Exchange Transactions*
Hedging/Risk Management	A	A	A	A			A	A
Directional Exposures to Currencies	A	A	A	A			A	A
Futures Contracts**
Hedging/Risk Management	A	A	A	A			A	A
Duration/Credit Quality Management	A	A	A	M
Substitution for Direct Investment	A	A	A	A	A	A	A	A
Interest Rate Swaps***
Hedging/Risk Management	A	A
Duration Management	A	A
Substitution for Direct Investment	A
Total Return Swaps****
Hedging/Risk Management		A	A	A
Substitution for Direct Investment		A	A	M
Duration/Credit Quality Management		A	A	M
Market Access		A	A	M
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management			A
Duration/Credit Quality Management			A
Credit Default Swaps (Protection Seller)
Hedging/Risk Management	M
Duration/Credit Quality Management	A	A	A
Income		A	A
Substitution for Direct Investment	A	A	A
Options (Purchased)
Hedging/Risk Management				A
Duration/Credit Quality Management				M

145

Notes to Portfolio of Investments (Unaudited) (Continued)

Type of Derivative and Objective for Use	PIMCO Total Return Fund	Strategic Bond Fund	Strategic Balanced Fund	BlackRock Global Allocation Fund	Indexed Equity Fund	NASDAQ - 100 Fund	Diversified International Fund	Overseas Fund
Options (Purchased) (Continued)
Substitution for Direct Investment				A
Options (Sold)
Hedging/Risk Management	M			A
Duration/Credit Quality Management	A
Income	A			A
Directional Investment				A
Structured Options
Hedging/Risk Management				A
Directional Investment				A
Rights and Warrants
Hedging/Risk Management				M
Duration/Credit Quality Management				M
Directional Investment		A	A	A				A
Result of Corporate Action				A				A

* Includes any options purchased or written, futures contracts, forward contracts, and swap agreements, if applicable.

** Includes any options purchased or written on futures contracts, if applicable.

*** Includes any caps, floors, and collars, and related purchased or written options, if applicable.

**** Includes any index swaps, if applicable.

At March 31, 2011, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

	Credit Risk			Equity Risk		Foreign Exchange Risk			Interest Rate Risk			Total
PIMCO Total Return Fund
Asset Derivatives
Forward Contracts	$	-		$	-	$	3,408,106		$	-		$	3,408,106
Futures Contracts		-			-		-			1,008,326			1,008,326
Swap Agreements		2,799,792			-		-			1,838,301			4,638,093
Total Value	$	2,799,792		$	-	$	3,408,106		$	2,846,627		$	9,054,525
Liability Derivatives
Forward Contracts	$	-		$	-	$	(3,564,721	)	$	-		$	(3,564,721	)
Futures Contracts		-			-		-			(601,498	)		(601,498	)
Swap Agreements		(726,748	)		-		-			-			(726,748	)
Written Options		-			-		-			(3,287,609	)		(3,287,609	)
Total Value	$	(726,748	)	$	-	$	(3,564,721	)	$	(3,889,107	)	$	(8,180,576	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-	$	264,830,278		$	-		$	264,830,278
Futures Contracts		-			-		-			7,125			7,125
Swap Agreements	$	91,800,000		$	-	$	-		$	178,600,000		$	270,400,000
Written Options		-			-		-			281,301,640			281,301,640

146

Notes to Portfolio of Investments (Unaudited) (Continued)

	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Strategic Bond Fund
Asset Derivatives
Forward Contracts	$	-		$	-		$	22,740		$	-		$	22,740
Futures Contracts		-			-			-			650,562			650,562
Swap Agreements		49,690			1,676			-			-			51,366
Purchased Options		-			-			-			16,321			16,321
Warrants		-			2,644			-			-			2,644
Total Value	$	49,690		$	4,320		$	22,740		$	666,883		$	743,633
Liability Derivatives
Forward Contracts	$	-		$	-		$	(117,834	)	$	-		$	(117,834	)
Futures Contracts		-			-			-			(89,801	)		(89,801	)
Swap Agreements		(14,121	)		(2,280	)		-			(259,965	)		(276,366	)
Written Options		-			-			-			(275	)		(275	)
Total Value	$	(14,121	)	$	(2,280	)	$	(117,834	)	$	(350,041	)	$	(484,276	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-		$	4,699,708		$	-		$	4,699,708
Futures Contracts		-			-			-			545			545
Swap Agreements	$	3,100,000		$	1,117,195		$	-		$	6,200,000		$	10,417,195
Purchased Options		-			-			-			155			155
Written Options		-			-			-			22			22
Warrants		-			258			-			-			258
Strategic Balanced Fund
Asset Derivatives
Forward Contracts	$	-		$	-		$	135,584		$	-		$	135,584
Futures Contracts		-			-			-			30,568			30,568
Swap Agreements		5,145			-			-			-			5,145
Purchased Options		-			-			-			1,475			1,475
Warrants		-			830			-			-			830
Total Value	$	5,145		$	830		$	135,584		$	32,043		$	173,602
Liability Derivatives
Forward Contracts	$	-		$	-		$	(96,836	)	$	-		$	(96,836	)
Futures Contracts		-			-			-			(3,574	)		(3,574	)
Swap Agreements		(4,425	)		(184	)		-			-			(4,609	)
Written Options		-			-			-			(25	)		(25	)
Total Value	$	(4,425	)	$	(184	)	$	(96,836	)	$	(3,599	)	$	(105,044	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-		$	-		$	9,585,723		$	-		$	9,585,723
Futures Contracts		-			-			-			40			40
Swap Agreements	$	100,000		$	25,000		$	-		$	-		$	125,000
Purchased Options		-			-			-			15			15
Written Options		-			-			-			2			2
Warrants		-			81			-			-			81

147

Notes to Portfolio of Investments (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
BlackRock Global Allocation Fund
Asset Derivatives
Forward Contracts	$	-	$	-		$	653,909		$	-	$	653,909
Futures Contracts		-		155,473			-			-		155,473
Swap Agreements		-		81,730			-			-		81,730
Purchased Options		-		254,929			-			-		254,929
Structured Options		-		437,816			-			-		437,816
Warrants		-		473,125			-			-		473,125
Total Value	$	-	$	1,403,073		$	653,909		$	-	$	2,056,982
Liability Derivatives
Forward Contracts	$	-	$	-		$	(346,963	)	$	-	$	(346,963	)
Written Options		-		(750,680	)		-			-		(750,680	)
Total Value	$	-	$	(750,680	)	$	(346,963	)	$	-	$	(1,097,643	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	66,449,096		$	-	$	66,449,096
Futures Contracts		-		35			-			-		35
Swap Agreements	$	-	$	8,179		$	-		$	-	$	8,179
Purchased Options		-		1,239			-			-		1,239
Structured Options		-		39,249			-			-		39,249
Written Options		-		158,360			-			-		158,360
Warrants		-		95,379			-			-		95,379
Indexed Equity Fund
Asset Derivatives
Futures Contracts	$	-	$	468,608		$	-		$	-	$	468,608
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts		-		133			-			-		133
NASDAQ-100 Fund
Asset Derivatives
Futures Contracts	$	-	$	47,118		$	-		$	-	$	47,118
Number of Contracts, Notional Amounts or Shares/Units†
Futures Contracts	$	-	$	29		$	-		$	-	$	29
Diversified International Fund
Asset Derivatives
Forward Contracts	$	-	$	-		$	3,295,223		$	-	$	3,295,223
Futures Contracts		-		15,860			-			-		15,860
Total Value	$	-	$	15,860		$	3,295,223		$	-	$	3,311,083
Liability Derivatives
Forward Contracts	$	-	$	-		$	(3,757,400	)	$	-	$	(3,757,400	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	180,961,964		$	-	$	180,961,964
Futures Contracts		-		22			-			-		22

148

Notes to Portfolio of Investments (Unaudited) (Continued)

	Credit Risk		Equity Risk			Foreign Exchange Risk			Interest Rate Risk		Total
Overseas Fund
Asset Derivatives
Forward Contracts	$	-	$	-		$	3,025,316		$	-	$	3,025,316
Futures Contracts		-		10,888			-			-		10,888
Warrants		-		533,188			-			-		533,188
Total Value	$	-	$	544,076		$	3,025,316		$	-	$	3,569,392
Liability Derivatives
Forward Contracts	$	-	$	-		$	(5,501,617	)	$	-	$	(5,501,617	)
Futures Contracts		-		(33,095	)		-			-		(33,095	)
Total Value	$	-	$	(33,095	)	$	(5,501,617	)	$	-	$	(5,534,712	)
Number of Contracts, Notional Amounts or Shares/Units†
Forward Contracts	$	-	$	-		$	194,150,776		$	-	$	194,150,776
Futures Contracts		-		14			-			-		14
Warrants		-		40,200			-			-		40,200

† Amount(s) disclosed represent number of contracts, notional amounts, or shares/units outstanding at March 31, 2011.

Further details regarding the derivatives and other investments held by the Funds at March 31, 2011, are discussed below.

Foreign Currency Exchange Transactions

A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

A Fund may use foreign currency exchange transactions for hedging purposes to protect against two principal risks. First, if a Fund has assets or liabilities denominated in foreign (non-U.S. dollar) currencies, the Fund is exposed to the risk that the values of those assets or liabilities in U.S. dollars may fall or rise due to changes in currency exchange rates. Second, if the Fund agrees, or expects, to receive or deliver an asset denominated in a foreign currency, it is exposed to currency exchange risk until the date of receipt or delivery. In order to reduce those risks, a Fund may enter into foreign currency forward contracts, which call for the Fund to purchase or sell a foreign currency at a time in the future at a price determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. Each type of arrangement may require the Fund to post margin.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The

149

Notes to Portfolio of Investments (Unaudited) (Continued)

measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risk are considered.

The Fund(s) listed in the following table had open forward foreign currency contracts at March 31, 2011. A Fund’s current exposure to a counterparty is typically the fair value of the contract.

	Counterparty	Units of Currency		Contracts to Deliver/Receive		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund
BUYS
	Barclays Bank PLC		38,474,060		Brazilian Real		4/04/11	$	22,677,154	$	23,565,406	$	888,252
	Barclays Bank PLC		700,000		Euro		4/19/11		985,273		991,763		6,490
	Barclays Bank PLC		41,192,000		Indian Rupee		5/09/11		900,000		917,816		17,816
	Barclays Bank PLC		132,761,500		Indian Rupee		8/12/11		2,829,529		2,906,436		76,907
	Barclays Bank PLC		4,413,400,000		Indonesian Rupiah		4/15/11		500,000		505,956		5,956
	Barclays Bank PLC		1,800,000		Malaysian Ringgit		8/11/11		582,575		589,095		6,520
	Barclays Bank PLC		152,057,854		Mexican Peso		7/07/11		12,448,453		12,676,816		228,363
	Barclays Bank PLC		4,248,000		Philippine Peso		4/15/11		100,000		97,824		(2,176	)
	Barclays Bank PLC		66,762,500		Philippine Peso		6/15/11		1,500,000		1,533,457		33,457
	Barclays Bank PLC		48,234,887		Philippine Peso		11/15/11		1,091,546		1,100,707		9,161
	Barclays Bank PLC		11,588,000		Russian Ruble		4/01/11		401,897		407,569		5,672
	Barclays Bank PLC		11,588,000		Russian Ruble		7/01/11		405,600		404,749		(851	)
	Barclays Bank PLC		833,040		Singapore Dollar		9/09/11		651,538		661,130		9,592
	Barclays Bank PLC		277,000		Swiss Franc		5/05/11		296,569		301,637		5,068
	Barclays Bank PLC		820,580,000		South Korean Won		5/09/11		729,173		746,484		17,311
									46,099,307		47,406,845		1,307,538
	Credit Suisse Securities LLC		909,000		Canadian Dollar		6/20/11		919,147		935,947		16,800
	Goldman Sachs & Co.		4,270,000		Philippine Peso		6/15/11		100,000		98,077		(1,923	)
	Goldman Sachs & Co.		15,403,500		Philippine Peso		11/15/11		350,000		351,503		1,503
	Goldman Sachs & Co.		2,006,262		Singapore Dollar		6/09/11		1,552,126		1,591,842		39,716
	Goldman Sachs & Co.		1,120,400,000		South Korean Won		5/09/11		1,003,014		1,019,231		16,217
	Goldman Sachs & Co.		1,127,300,000		South Korean Won		8/12/11		1,000,000		1,019,519		19,519
									4,005,140		4,080,172		75,032
	JP Morgan Chase Bank		18,376,000		Canadian Dollar		6/20/11		18,807,404		18,920,745		113,341
	JP Morgan Chase Bank		20,250,750		Chinese Yuan Renminbi		11/15/11		3,100,000		3,127,770		27,770
	JP Morgan Chase Bank		558,000		Euro		4/19/11		787,489		790,577		3,088
	JP Morgan Chase Bank		73,176,000		Indian Rupee		5/09/11		1,580,249		1,630,464		50,215
	JP Morgan Chase Bank		18,969,200,000		Indonesian Rupiah		4/15/11		2,100,000		2,174,644		74,644
	JP Morgan Chase Bank		28,352,500,000		Indonesian Rupiah		7/27/11		3,060,410		3,193,537		133,127
	JP Morgan Chase Bank		3,777,900		Malaysian Ringgit		8/11/11		1,227,129		1,236,415		9,286
	JP Morgan Chase Bank		25,534,173		Mexican Peso		7/07/11		2,100,000		2,128,742		28,742
	JP Morgan Chase Bank		4,970,202		New Turkish Lira		7/27/11		3,131,033		3,153,610		22,577
	JP Morgan Chase Bank		17,286,000		Philippine Peso		4/15/11		400,000		398,068		(1,932	)
	JP Morgan Chase Bank		123,061,000		Philippine Peso		6/15/11		2,807,628		2,826,568		18,940
	JP Morgan Chase Bank		46,029,000		Philippine Peso		11/15/11		1,050,000		1,050,369		369
	JP Morgan Chase Bank		21,534,000		Philippine Peso		3/15/12		492,825		488,726		(4,099	)

150

Notes to Portfolio of Investments (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund (Continued)
BUYS (Continued)
	JP Morgan Chase Bank		2,897,000		Russian Ruble		4/01/11	$	100,000	$	101,892	$	1,892
	JP Morgan Chase Bank		3,604,997		Singapore Dollar		6/09/11		2,775,247		2,860,337		85,090
	JP Morgan Chase Bank		100,000		Singapore Dollar		9/09/11		78,178		79,363		1,185
	JP Morgan Chase Bank		6,272,550		South African Rand		4/28/11		900,000		924,048		24,048
	JP Morgan Chase Bank		24,906,490		South African Rand		7/28/11		3,640,767		3,620,548		(20,219	)
	JP Morgan Chase Bank		9,656,635,181		South Korean Won		5/09/11		8,454,256		8,784,666		330,410
									56,592,615		57,491,089		898,474
	Royal Bank of Scotland PLC		38,474,060		Brazilian Real		7/05/11		22,540,313		23,109,626		569,313
	Royal Bank of Scotland PLC		866,000		Euro		4/19/11		1,219,278		1,226,953		7,675
	Royal Bank of Scotland PLC		788,559		Singapore Dollar		6/09/11		599,086		625,672		26,586
	Royal Bank of Scotland PLC		100,000		Singapore Dollar		9/09/11		77,777		79,363		1,586
	Royal Bank of Scotland PLC		163,000,000		South Korean Won		5/09/11		144,076		148,282		4,206
									24,580,530		25,189,896		609,366
	UBS AG		3,923,000		Australian Dollar		4/29/11		3,833,242		4,045,258		212,016
	UBS AG		28,152,010		Mexican Peso		7/07/11		2,300,000		2,346,987		46,987
	UBS AG		232,300,000		South Korean Won		5/09/11		200,000		211,324		11,324
									6,333,242		6,603,569		270,327
								$	138,529,981	$	141,707,518	$	3,177,537
SELLS
	Barclays Bank PLC		11,588,000		Russian Ruble		4/01/11	$	408,676	$	407,569	$	1,107
	Barclays Bank PLC		64,000		Euro		4/19/11		89,432		90,675		(1,243	)
									498,108		498,244		(136	)
	Credit Suisse Securities LLC		23,961,000		British Pound		6/13/11		38,442,070		38,402,603		39,467
	JP Morgan Chase Bank		2,897,000		Russian Ruble		4/01/11		101,897		101,892		5
	JP Morgan Chase Bank		21,534,000		Philippine Peso		4/15/11		494,239		495,892		(1,653	)
	JP Morgan Chase Bank		1,155,000		Euro		4/19/11		1,568,390		1,636,409		(68,019	)
									2,164,526		2,234,193		(69,667	)
	Royal Bank of Scotland PLC		38,474,060		Brazilian Real		4/04/11		23,003,922		23,565,406		(561,484	)
	Royal Bank of Scotland PLC		339,780,000		Japanese Yen		4/14/11		4,243,881		4,085,091		158,790
									27,247,803		27,650,497		(402,694	)
	UBS AG		42,948,000		Euro		4/19/11		57,947,790		60,848,912		(2,901,122	)
								$	126,300,297	$	129,634,449	$	(3,334,152	)

151

Notes to Portfolio of Investments (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Strategic Bond Fund
SELLS
	Citibank N.A.		890,853		Euro		5/18/11	$	1,231,525	$	1,261,473	$	(29,948	)
	Citibank N.A.		89,300,000		Japanese Yen		5/18/11		1,096,580		1,073,840		22,740
									2,328,105		2,335,313		(7,208	)
	Morgan Stanley & Co.		1,270,000		Euro		5/18/11		1,732,039		1,798,355		(66,316	)
	UBS AG		466,893		Euro		5/18/11		639,564		661,134		(21,570	)
								$	4,699,708	$	4,794,802	$	(95,094	)
Strategic Balanced Fund
BUYS
	Barclays Bank PLC		640,799		Hong Kong Dollar		5/24/11	$	82,345	$	82,415	$	70
	Citibank N.A.		185,810		British Pound		5/24/11		299,067		297,891		(1,176	)
	Citibank N.A.		161,000		Euro		5/24/11		224,594		227,954		3,360
	Citibank N.A.		2,324,758		Japanese Yen		5/18/11		28,547		27,955		(592	)
									552,208		553,800		1,592
	Credit Suisse Securities LLC		16,617		Euro		5/24/11		23,255		23,527		272
	Deutsche Bank AG		51,000		Euro		5/24/11		71,974		72,209		235
	Goldman Sachs & Co.		53,788		Euro		5/24/11		75,128		76,157		1,029
	HSBC Bank PLC		43,648,501		Japanese Yen		5/24/11		522,267		524,898		2,631
	HSBC Bank PLC		2,985,007		Swedish Krona		5/24/11		459,437		471,730		12,293
	HSBC Bank PLC		772,233		Swiss Franc		5/24/11		802,166		841,026		38,860
									1,783,870		1,837,654		53,784
	JP Morgan Chase Bank		306,575		Canadian Dollar		5/18/11		306,507		315,898		9,391
	Merrill Lynch International		1,047,310		Australian Dollar		5/24/11		1,034,760		1,076,614		41,854
	Merrill Lynch International		17,410		British Pound		5/24/11		28,498		27,911		(587	)
	Merrill Lynch International		46,483		Euro		5/24/11		65,680		65,814		134
	Merrill Lynch International		116,407		Singapore Dollar		5/24/11		91,030		92,358		1,328
									1,219,968		1,262,697		42,729
	Royal Bank of Canada		42,978		British Pound		5/24/11		69,316		68,902		(414	)
	Royal Bank of Scotland PLC		44,746		Australian Dollar		5/24/11		44,783		45,998		1,215
	Royal Bank of Scotland PLC		35,436		British Pound		5/24/11		56,689		56,812		123
									101,472		102,810		1,338

152

Notes to Portfolio of Investments (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Strategic Balanced Fund (Continued)
BUYS (Continued)
	Societe Generale		52,403		Euro		5/24/11	$	73,987	$	74,196	$	209
	State Street Bank and Trust Co.		80,292		Australian Dollar		5/24/11		80,784		82,538		1,754
	Westpac Banking Corp.		87,802		Singapore Dollar		5/24/11		68,642		69,662		1,020
								$	4,509,456	$	4,622,465	$	113,009
SELLS
	Barclays Bank PLC		36,158		Euro		5/24/11	$	48,672	$	51,195	$	(2,523	)
	Citibank N.A.		35,268		Australian Dollar		5/24/11		35,365		36,255		(890	)
	Citibank N.A.		41,120		British Pound		5/24/11		66,737		65,923		814
	Citibank N.A.		115,025		Euro		5/18/11		159,011		162,878		(3,867	)
	Citibank N.A.		560,000		Hong Kong Dollar		5/24/11		71,818		72,024		(206	)
	Citibank N.A.		243,999		Swedish Krona		5/24/11		38,426		38,560		(134	)
									371,357		375,640		(4,283	)
	Credit Suisse Securities LLC		356,652		Canadian Dollar		5/18/11		360,390		367,499		(7,109	)
	Credit Suisse Securities LLC		29,440		Euro		5/24/11		41,730		41,684		46
									402,120		409,183		(7,063	)
	Deutsche Bank AG		21,451		Euro		5/24/11		29,724		30,371		(647	)
	Goldman Sachs & Co.		103,083		British Pound		5/24/11		167,678		165,262		2,416
	Goldman Sachs & Co.		127,441		Euro		5/24/11		180,670		180,439		231
	Goldman Sachs & Co.		19,472,438		Japanese Yen		5/24/11		239,787		234,167		5,620
	Goldman Sachs & Co.		72,503		Swiss Franc		5/24/11		80,078		78,962		1,116
									668,213		658,830		9,383
	HSBC Bank PLC		536,006		British Pound		5/24/11		862,089		859,323		2,766
	HSBC Bank PLC		919,078		Euro		5/24/11		1,242,792		1,301,290		(58,498	)
	HSBC Bank PLC		2,943,921		Hong Kong Dollar		5/24/11		378,227		378,628		(401	)
									2,483,108		2,539,241		(56,133	)
	JP Morgan Chase Bank		13,188,280		Japanese Yen		5/18/11		161,789		158,590		3,199
	Merrill Lynch International		255,021		Canadian Dollar		5/24/11		257,815		262,740		(4,925	)
	Morgan Stanley & Co.		138,000		Euro		5/18/11		188,206		195,412		(7,206	)
	Royal Bank of Canada		40,000		Euro		5/24/11		54,395		56,635		(2,240	)
	Royal Bank of Canada		4,887,807		Japanese Yen		5/24/11		59,450		58,779		671
									113,845		115,414		(1,569	)

153

Notes to Portfolio of Investments (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Strategic Balanced Fund (Continued)
SELLS (Continued)
	State Street Bank and Trust Co.		6,312,504		Japanese Yen		5/24/11	$	76,900	$	75,911	$	989
	UBS AG		69,537		Euro		5/18/11		95,254		98,466		(3,212	)
	Westpac Banking Corp.		3,082,534		Japanese Yen		5/24/11		38,114		37,069		1,045
	Westpac Banking Corp.		52,238		Swiss Franc		5/24/11		57,640		56,892		748
									95,754		93,961		1,793
								$	4,992,757	$	5,064,954	$	(72,197	)
Cross Currency Forwards
	Merrill Lynch International		4,515,516		USD/Japanese Yen		5/24/11	$	55,816	$	54,302	$	(1,514	)
	Merrill Lynch International		434,532		Hong Kong Dollar/USD		5/24/11		55,816		55,887		(71	)
										$	110,189	$	(1,585	)
	Westpac Banking Corp.		20,000		USD/Euro		5/24/11		27,694		28,317		(624	)
	Westpac Banking Corp.		27,021		Canadian Dollar/USD		5/24/11		27,694		27,839		145
										$	56,156	$	(479	)
BlackRock Global Allocation Fund
BUYS
	Barclays Bank PLC		824,130		Euro		4/07/11	$	1,145,541	$	1,167,891	$	22,350
	Barclays Bank PLC		800,790		Euro		4/08/11		1,113,098		1,134,790		21,692
									2,258,639		2,302,681		44,042
	Brown Brothers Harriman & Co.		12,693		South African Rand		4/06/11		1,875		1,876		1
	Credit Suisse Securities LLC		296,155		British Pound		4/15/11		475,503		475,034		(469	)
	Credit Suisse Securities LLC		602,607		Canadian Dollar		4/15/11		612,770		621,380		8,610
	Credit Suisse Securities LLC		406,680		Euro		4/01/11		564,065		576,347		12,282
	Credit Suisse Securities LLC		439,600		Euro		4/08/11		611,044		622,955		11,911
	Credit Suisse Securities LLC		1,506,790		Euro		4/21/11		2,129,848		2,134,747		4,899
	Credit Suisse Securities LLC		802,000		Euro		4/28/11		1,129,216		1,136,087		6,871
	Credit Suisse Securities LLC		406,680		Euro		4/29/11		571,792		576,079		4,287
	Credit Suisse Securities LLC		7,691,700		Chinese Yuan Renminbi		3/12/12		1,200,000		1,194,823		(5,177	)
									7,294,238		7,337,452		43,214

154

Notes to Portfolio of Investments (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
BlackRock Global Allocation Fund (Continued)
BUYS (Continued)
	Deutsche Bank AG		1,204,799		Canadian Dollar		4/15/11	$	1,223,880	$	1,242,331	$	18,451
	Deutsche Bank AG		578,871		Euro		4/01/11		802,420		820,376		17,956
	Deutsche Bank AG		443,176		Euro		4/14/11		618,231		627,953		9,722
	Deutsche Bank AG		881,083		Euro		4/21/11		1,250,697		1,248,276		(2,421	)
	Deutsche Bank AG		578,871		Euro		4/29/11		813,314		819,995		6,681
	Deutsche Bank AG		186,002,133		Japanese Yen		4/01/11		2,277,763		2,236,140		(41,623	)
	Deutsche Bank AG		60,573,092		Japanese Yen		4/08/11		740,050		728,232		(11,818	)
	Deutsche Bank AG		30,452,133		Japanese Yen		5/06/11		366,531		366,161		(370	)
	Deutsche Bank AG		6,459,325		Norwegian Krone		4/15/11		1,150,000		1,167,335		17,335
	Deutsche Bank AG		1,278,905,000		South Korean Won		4/04/11		1,134,787		1,165,874		31,087
	Deutsche Bank AG		1,278,905,000		South Korean Won		5/04/11		1,156,334		1,163,805		7,471
									11,534,007		11,586,478		52,471
	JP Morgan Chase Bank		1,206,020		Euro		4/01/11		1,672,834		1,709,171		36,337
	JP Morgan Chase Bank		804,010		Euro		4/28/11		1,132,122		1,138,934		6,812
	JP Morgan Chase Bank		1,206,020		Euro		4/29/11		1,698,957		1,708,377		9,420
	JP Morgan Chase Bank		2,447,580		Singapore Dollar		5/16/11		1,900,000		1,941,886		41,886
	JP Morgan Chase Bank		2,213,493		Swiss Franc		4/07/11		2,369,907		2,409,945		40,038
	JP Morgan Chase Bank		1,689,837		Swiss Franc		4/14/11		1,867,911		1,839,893		(28,018	)
	JP Morgan Chase Bank		20,716,500		Taiwan Dollar		5/16/11		700,000		705,092		5,092
									11,341,731		11,453,298		111,567
	UBS AG		970,480		Euro		4/07/11		1,349,006		1,375,287		26,281
	UBS AG		1,605,020		Euro		4/14/11		2,239,003		2,274,211		35,208
	UBS AG		1,619,722		Euro		4/21/11		2,298,451		2,294,744		(3,707	)
	UBS AG		205,233,131		Japanese Yen		4/01/11		2,514,064		2,467,337		(46,727	)
	UBS AG		205,233,131		Japanese Yen		5/06/11		2,472,539		2,467,753		(4,786	)
	UBS AG		6,654,635		Norwegian Krone		4/15/11		1,177,181		1,202,631		25,450
	UBS AG		684,030,000		South Korean Won		4/04/11		607,789		623,574		15,785
	UBS AG		684,030,000		South Korean Won		5/04/11		619,592		622,468		2,876
									13,277,625		13,328,005		50,380
								$	45,708,115	$	46,009,790	$	301,675
SELLS
	Barclays Bank PLC		2,876,341		South African Rand		4/07/11	$	415,110	$	424,998	$	(9,888	)
	Credit Suisse Securities LLC		406,680		Euro		4/01/11		572,060		576,347		(4,287	)
	Credit Suisse Securities LLC		155,550,000		Japanese Yen		4/01/11		2,000,000		1,870,041		129,959
	Credit Suisse Securities LLC		9,129,900		Mexican Peso		9/08/11		746,529		756,365		(9,836	)
	Credit Suisse Securities LLC		8,897,880		Mexican Peso		9/22/11		731,012		736,116		(5,104	)
	Credit Suisse Securities LLC		56,477		South African Rand		4/05/11		8,290		8,347		(57	)
									4,057,891		3,947,216		110,675

155

Notes to Portfolio of Investments (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
BlackRock Global Allocation Fund (Continued)
SELLS (Continued)
	Deutsche Bank AG		578,871		Euro		4/01/11	$	813,702	$	820,376	$	(6,674	)
	Deutsche Bank AG		30,452,133		Japanese Yen		4/01/11		366,452		366,099		353
	Deutsche Bank AG		1,278,905,000		South Korean Won		4/04/11		1,157,380		1,165,874		(8,494	)
									2,337,534		2,352,349		(14,815	)
	JP Morgan Chase Bank		1,206,020		Euro		4/01/11		1,699,765		1,709,171		(9,406	)
	JP Morgan Chase Bank		20,716,500		Taiwan Dollar		5/16/11		718,201		705,092		13,109
									2,417,966		2,414,263		3,703
	UBS AG		205,233,131		Japanese Yen		4/01/11		2,472,093		2,467,337		4,756
	UBS AG		23,400,940		Mexican Peso		8/11/11		1,901,757		1,944,072		(42,315	)
	UBS AG		4,462,180		Mexican Peso		9/22/11		363,497		369,153		(5,656	)
	UBS AG		684,030,000		South Korean Won		4/04/11		620,548		623,574		(3,026	)
									5,357,895		5,404,136		(46,241	)
								$	14,586,396	$	14,542,962	$	43,434
Cross Currency Forwards
	Credit Suisse Securities LLC		925,530		USD/Euro		4/08/11	$	1,278,231	$	1,311,563	$	(33,332	)
	Credit Suisse Securities LLC		1,195,785		Swiss Franc/ USD		4/08/11		1,278,231		1,301,921		23,690
										$	2,613,484	$	(9,642	)
	Credit Suisse Securities LLC		940,430		USD/Euro		4/28/11	$	1,327,942	$	1,332,182	$	(4,240	)
	Credit Suisse Securities LLC		1,217,989		Swiss Franc/ USD		4/28/11		1,327,942		1,326,259		(1,683	)
										$	2,658,441	$	(5,923	)
	UBS AG		1,376,910		USD/Euro		4/08/11	$	1,902,020	$	1,951,211	$	(49,191	)
	UBS AG		1,779,339		Swiss Franc/ USD		4/08/11		1,902,020		1,937,271		35,251
										$	3,888,482	$	(13,940	)
	UBS AG		1,166,880		USD/Euro		4/28/11	$	1,646,392	$	1,652,964	$	(6,572	)
	UBS AG		1,510,071		Swiss Franc/ USD		4/28/11		1,646,392		1,644,306		(2,086	)
										$	3,297,270	$	(8,658	)

156

Notes to Portfolio of Investments (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Diversified International Fund
BUYS
	State Street Bank and Trust Co.		7,983,000		Australian Dollar		4/15/11	$	7,815,920	$	8,246,006	$	430,086
	State Street Bank and Trust Co.		4,582,000		British Pound		4/15/11		7,173,438		7,349,550		176,112
	State Street Bank and Trust Co.		1,565,000		British Pound		7/15/11		2,542,483		2,506,909		(35,574	)
	State Street Bank and Trust Co.		5,940,000		Canadian Dollar		4/15/11		6,081,766		6,125,043		43,277
	State Street Bank and Trust Co.		5,321,000		Canadian Dollar		7/15/11		5,436,915		5,475,400		38,485
	State Street Bank and Trust Co.		17,891,000		Euro		4/15/11		24,446,902		25,349,930		903,028
	State Street Bank and Trust Co.		418,323,000		Japanese Yen		4/15/11		5,158,272		5,029,421		(128,851	)
	State Street Bank and Trust Co.		8,908,000		New Zealand Dollar		4/15/11		6,714,850		6,791,997		77,147
	State Street Bank and Trust Co.		41,671,000		Norwegian Krone		4/15/11		6,974,512		7,530,818		556,306
	State Street Bank and Trust Co.		47,076,000		Swedish Krona		4/15/11		6,784,292		7,454,344		670,052
	State Street Bank and Trust Co.		8,348,000		Swiss Franc		4/15/11		8,758,839		9,089,348		330,509
	State Street Bank and Trust Co.		2,859,000		Swiss Franc		7/15/11		3,164,571		3,114,942		(49,629	)
								$	91,052,760	$	94,063,708	$	3,010,948
SELLS
	State Street Bank and Trust Co.		2,795,000		Australian Dollar		4/15/11	$	2,797,199	$	2,887,084	$	(89,885	)
	State Street Bank and Trust Co.		4,582,000		British Pound		4/15/11		7,144,666		7,349,550		(204,884	)
	State Street Bank and Trust Co.		1,844,000		British Pound		7/15/11		2,964,267		2,953,827		10,440
	State Street Bank and Trust Co.		5,940,000		Canadian Dollar		4/15/11		5,948,745		6,125,043		(176,298	)
	State Street Bank and Trust Co.		628,000		Canadian Dollar		7/15/11		643,245		646,223		(2,978	)
	State Street Bank and Trust Co.		19,340,000		Euro		4/15/11		25,084,304		27,403,033		(2,318,729	)
	State Street Bank and Trust Co.		5,487,000		Euro		7/15/11		7,770,305		7,759,828		10,477
	State Street Bank and Trust Co.		470,316,000		Japanese Yen		4/15/11		5,668,438		5,654,523		13,915
	State Street Bank and Trust Co.		367,058,000		Japanese Yen		7/15/11		4,426,866		4,415,967		10,899
	State Street Bank and Trust Co.		8,908,000		New Zealand Dollar		4/15/11		6,553,689		6,791,997		(238,308	)
	State Street Bank and Trust Co.		41,671,000		Norwegian Krone		4/15/11		7,478,590		7,530,818		(52,228	)
	State Street Bank and Trust Co.		2,308,000		Norwegian Krone		7/15/11		412,055		415,003		(2,948	)
	State Street Bank and Trust Co.		27,535,000		Swedish Krona		4/15/11		4,384,575		4,360,085		24,490
	State Street Bank and Trust Co.		8,348,000		Swiss Franc		4/15/11		8,632,260		9,089,348		(457,088	)
								$	89,909,204	$	93,382,329	$	(3,473,125	)
Overseas Fund
BUYS
	State Street Bank and Trust Co.		5,386,000		Australian Dollar		4/15/11	$	5,271,440	$	5,563,446	$	292,006
	State Street Bank and Trust Co.		3,302,000		British Pound		4/15/11		5,163,866		5,296,424		132,558
	State Street Bank and Trust Co.		1,509,000		British Pound		7/15/11		2,451,506		2,417,205		(34,301	)
	State Street Bank and Trust Co.		5,234,000		Canadian Dollar		4/15/11		5,358,916		5,397,050		38,134
	State Street Bank and Trust Co.		4,225,000		Canadian Dollar		7/15/11		4,317,040		4,347,598		30,558
	State Street Bank and Trust Co.		15,637,000		Euro		4/15/11		21,363,399		22,156,216		792,817
	State Street Bank and Trust Co.		370,113,000		Japanese Yen		4/15/11		4,544,289		4,449,801		(94,488	)
	State Street Bank and Trust Co.		7,802,000		New Zealand Dollar		4/15/11		5,881,148		5,948,716		67,568
	State Street Bank and Trust Co.		33,918,000		Norwegian Krone		4/15/11		5,675,436		6,129,690		454,254
	State Street Bank and Trust Co.		40,469,000		Swedish Krona		4/15/11		5,832,134		6,408,145		576,011
	State Street Bank and Trust Co.		6,573,000		Swiss Franc		4/15/11		6,828,772		7,156,719		327,947
	State Street Bank and Trust Co.		2,609,000		Swiss Franc		7/15/11		2,887,851		2,842,562		(45,289	)
								$	75,575,797	$	78,113,572	$	2,537,775

157

Notes to Portfolio of Investments (Unaudited) (Continued)

	Counterparty	Units of Currency		Contracts to Deliver/Receive		Settlement Date		In Exchange for U.S. Dollars		Contracts at Value		Unrealized Appreciation (Depreciation)
Overseas Fund (Continued)
SELLS
	State Street Bank and Trust Co.		1,691,000		Australian Dollar		4/15/11	$	1,690,722	$	1,746,711	$	(55,989	)
	State Street Bank and Trust Co.		615,000		Australian Dollar		8/12/11		534,312		625,958		(91,646	)
	State Street Bank and Trust Co.		400,000		Australian Dollar		9/12/11		351,268		405,577		(54,309	)
	State Street Bank and Trust Co.		1,013,000		Australian Dollar		9/16/11		939,276		1,026,619		(87,343	)
	State Street Bank and Trust Co.		2,157,000		Australian Dollar		9/21/11		2,079,609		2,184,659		(105,050	)
	State Street Bank and Trust Co.		3,302,000		British Pound		4/15/11		5,114,336		5,296,424		(182,088	)
	State Street Bank and Trust Co.		1,788,000		British Pound		7/15/11		2,874,246		2,864,123		10,123
	State Street Bank and Trust Co.		5,234,000		Canadian Dollar		4/15/11		5,241,705		5,397,050		(155,345	)
	State Street Bank and Trust Co.		1,277,000		Canadian Dollar		7/15/11		1,308,000		1,314,055		(6,055	)
	State Street Bank and Trust Co.		15,637,000		Euro		4/15/11		20,290,335		22,156,216		(1,865,881	)
	State Street Bank and Trust Co.		4,476,000		Euro		7/15/11		6,338,598		6,330,051		8,547
	State Street Bank and Trust Co.		534,592,000		Japanese Yen		4/15/11		6,432,764		6,427,302		5,462
	State Street Bank and Trust Co.		92,000,000		Japanese Yen		7/01/11		1,046,394		1,106,669		(60,275	)
	State Street Bank and Trust Co.		197,863,000		Japanese Yen		7/15/11		2,386,307		2,380,432		5,875
	State Street Bank and Trust Co.		173,000,000		Japanese Yen		7/20/11		1,991,229		2,081,425		(90,196	)
	State Street Bank and Trust Co.		155,000,000		Japanese Yen		8/03/11		1,798,498		1,865,145		(66,647	)
	State Street Bank and Trust Co.		201,000,000		Japanese Yen		8/15/11		2,366,098		2,418,989		(52,891	)
	State Street Bank and Trust Co.		396,000,000		Japanese Yen		9/07/11		4,723,001		4,766,964		(43,963	)
	State Street Bank and Trust Co.		157,000,000		Japanese Yen		9/16/11		1,919,738		1,890,118		29,620
	State Street Bank and Trust Co.		659,000,000		Japanese Yen		9/21/11		8,166,219		7,934,112		232,107
	State Street Bank and Trust Co.		7,802,000		New Zealand Dollar		4/15/11		5,756,931		5,948,716		(191,785	)
	State Street Bank and Trust Co.		33,918,000		Norwegian Krone		4/15/11		6,087,178		6,129,690		(42,512	)
	State Street Bank and Trust Co.		700,000		Norwegian Krone		7/15/11		124,973		125,867		(894	)
	State Street Bank and Trust Co.		24,430,000		Swedish Krona		4/15/11		3,890,146		3,868,417		21,729
	State Street Bank and Trust Co.		7,915,000		Swedish Krona		12/21/11		1,217,953		1,235,172		(17,219	)
	State Street Bank and Trust Co.		6,573,000		Swiss Franc		4/15/11		6,796,819		7,156,719		(359,900	)
	State Street Bank and Trust Co.		2,350,000		Swiss Franc		6/06/11		2,056,713		2,559,578		(502,865	)
	State Street Bank and Trust Co.		8,225,000		Swiss Franc		6/15/11		8,565,720		8,959,190		(393,470	)
	State Street Bank and Trust Co.		2,800,000		Swiss Franc		7/06/11		2,651,264		3,050,463		(399,199	)
	State Street Bank and Trust Co.		2,080,000		Swiss Franc		7/19/11		2,006,966		2,266,270		(259,304	)
	State Street Bank and Trust Co.		1,900,000		Swiss Franc		8/03/11		1,827,661		2,070,374		(242,713	)
								$	118,574,979	$	123,589,055	$	(5,014,076	)

Futures Contracts

A Fund may seek to manage a variety of different risks through the use of futures contracts and related options, such as interest rate risk, equity price risk, and currency risk. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board

158

Notes to Portfolio of Investments (Unaudited) (Continued)

of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When the Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

If a Fund buys an option on a futures contract, it will have the right to assume a futures contract at a particular price during the course of the option. Its potential loss should generally be limited to the amount of the premium paid and any transaction costs. If a Fund sells an option on a futures contract, it is subject generally to the same risks as if it had entered into a futures contract underlying the option itself.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. See “Options, Rights, and Warrants,” below, for information regarding the accounting treatment of options.

The Fund(s) listed in the following table had open futures contracts at March 31, 2011:

Number of Contracts	Type	Expiration Date		Notional Contract Value		Net Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund
BUYS
216	U.S. Treasury Note 2 Year		6/30/11	$	47,115,000	$	20,063
950	90 Day Eurodollar		9/19/11		236,407,500		276,950
993	90 Day Eurodollar		12/19/11		246,748,088		455,688
2,891	90 Day Eurodollar		3/19/12		716,570,487		255,625
1,751	90 Day Eurodollar		6/18/12		432,475,113		(208,013	)
238	90 Day Eurodollar		9/17/12		58,553,950		(299,563	)
55	90 Day Eurodollar		12/17/12		13,481,875		(80,000	)
						$	420,750
SELLS
31	U.S. Treasury Note 10 Year		6/21/11	$	3,689,969	$	(13,922	)
Strategic Bond Fund
BUYS
9	German Euro Bobl		6/08/11	$	1,461,317	$	(6,526	)
6	German Euro Bund		6/08/11		1,031,268		(6,236	)
139	Ultra Long U.S. Treasury Bond		6/21/11		17,175,187		516,447
45	3 Month Euribor		9/19/11		15,650,133		(3,081	)
						$	500,604

159

Notes to Portfolio of Investments (Unaudited) (Continued)

Number of Contracts	Type	Expiration Date		Notional Contract Value		Net Unrealized Appreciation (Depreciation)
Strategic Bond Fund (Continued)
SELLS
143	U.S. Treasury Note 10 Year		6/21/11	$	17,021,469	$	126,332
108	U.S. Treasury Bond 30 Year		6/21/11		12,980,250		(71,296	)
50	U.S. Treasury Note 2 Year		6/30/11		10,906,250		(2,662	)
45	U.S. Treasury Note 5 Year		6/30/11		5,255,508		7,783
						$	60,157
Strategic Balanced Fund
BUYS
1	German Euro Bobl		6/08/11	$	162,368	$	(725	)
1	German Euro Bund		6/08/11		171,878		(1,009	)
4	Ultra Long U.S. Treasury Bond		6/21/11		494,250		15,471
5	3 Month Euribor		9/19/11		1,738,904		(649	)
						$	13,088
SELLS
15	U.S. Treasury Note 10 Year		6/21/11	$	1,785,469	$	14,248
6	U.S. Treasury Note 2 Year		6/30/11		1,308,750		(1,191	)
8	U.S. Treasury Note 5 Year		6/30/11		934,312		849
						$	13,906
BlackRock Global Allocation Fund
BUYS
8	MSCI Taiwan Index		4/28/11	$	245,680	$	1,168
5	S&P 500 Index		6/16/11		1,651,250		53,856
2	ASX SPI 200 Index		6/16/11		251,606		18,256
13	FTSE 100 Index		6/17/11		1,227,188		50,282
7	MSCI EAFE E Mini Index		6/17/11		590,450		31,911
						$	155,473
Indexed Equity Fund
BUYS
133	S&P 500 Index		6/16/11	$	43,923,250	$	468,608
NASDAQ-100 Fund
BUYS
29	NASDAQ-100 E Mini Index		6/17/11	$	1,355,025	$	47,118
Diversified International Fund
BUYS
22	DJ Euro Stoxx 50 Index		6/17/11	$	886,713	$	15,860
Overseas Fund
BUYS
4	TOPIX Index		6/10/11	$	416,446	$	(33,095	)
7	DJ Euro Stoxx 50 Index		6/17/11		282,136		5,046
3	FTSE 100 Index		6/17/11		283,198		5,842
						$	(22,207	)

160

Notes to Portfolio of Investments (Unaudited) (Continued)

Swap Agreements

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

A Fund may enter into total return swaps. In a total return swap, one party typically agrees to pay to the other a short-term interest rate in return for a payment at one or more times in the future based on the increase in the value of an underlying security or other asset, or index of securities or assets; if the underlying security, asset, or index declines in value, the party that pays the short-term interest rate must also pay to its counterparty a payment based on the amount of the decline. A Fund may take either side of such a swap, and so may take a long or short position in the underlying security, asset, or index. A Fund may enter into a total return swap to hedge against an exposure in its portfolio — such as interest rate risk (including to adjust the duration or credit quality of a Fund’s bond portfolio), equity risk, or credit risk — or generally to put cash to work efficiently in the markets in anticipation of, or as a replacement for, cash investments. A Fund may also enter into a total return swap to gain exposure to securities or markets in which it might not be able to invest directly (in so-called market access transactions).

A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If a Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create such a “synthetic” long position.

During the period when a credit default swap is open, the transaction is marked to market in accordance with the terms of the agreement. Changes in the values of credit default swap agreements are recorded as unrealized gains or losses and periodic cash settlements are recorded as realized gains or losses.

Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on

161

Notes to Portfolio of Investments (Unaudited) (Continued)

changes in interest rates. In the case of a total return swap, the swap will change in value depending on the change in value of the asset or index on which the swap is written. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. See “Options, Rights, and Warrants,” below, for information regarding the accounting treatment of options.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security.

The Fund(s) listed in the following table had open swap agreements at March 31, 2011. A Fund’s current exposure to a counterparty is typically the fair value of the agreement.

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	PIMCO Total Return Fund*
	Credit Default Swaps
	1,500,000	USD		6/20/15	Barclays Bank PLC	Sell††		5.000%	CDX.NA.EM.13 (PIMCO Rating: BA+)**	$	6,351		$	165,700		$	172,051
	1,000,000	USD		6/20/15	Barclays Bank PLC	Sell††		5.000%	CDX.EM.13 (PIMCO Rating: BA+)**		1,700			113,001			114,701
	6,800,000	USD		12/20/15	Barclays Bank PLC	Sell††		5.000%	CDX.HY.15 (PIMCO Rating: B-)**		57,218			169,812			227,030
	15,100,000	USD		12/20/15	Barclays Bank PLC	Sell††		5.000%	CDX.EM.14 (PIMCO Rating: BA+)**		(7,076	)		1,932,800			1,925,724
	20,700,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	Federative Republic of Brazil (PIMCO Rating: BAA-)**		(21,258	)		(90,235	)		(111,493	)
	800,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	Republic of Italy (PIMCO Rating: AA)**		13,906			(31,136	)		(17,230	)
	10,600,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	United Mexican States (PIMCO Rating: BAA+)**		26,096			(51,150	)		(25,054	)
	6,900,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	People’s Republic of China (PIMCO Rating: AA-)**		11,311			83,718			95,029

162

Notes to Portfolio of Investments (Unaudited) (Continued)

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	PIMCO Total Return Fund (Continued)*
	Credit Default Swaps (Continued)
	1,000,000	USD		3/20/16	Barclays Bank PLC	Sell††		1.000%	People’s Republic of China (PIMCO Rating: AA-)**	$	1,823		$	11,949		$	13,772
											90,071			2,304,459			2,394,530
	1,000,000	USD		12/20/15	Goldman Sachs & Co.	Sell††		1.000%	United Kingdom of Great Britain and Northern Ireland (PIMCO Rating: AAA)**		(1,458	)		23,015			21,557
	1,000,000	USD		12/20/15	Goldman Sachs & Co.	Sell††		1.000%	United Kingdom of Great Britain and Northern Ireland (PIMCO Rating: AAA)**		(1,637	)		23,194			21,557
	300,000	USD		12/20/15	Goldman Sachs & Co.	Sell††		0.250%	French Republic (PIMCO Rating: AAA)**		(232	)		(5,883	)		(6,115	)
	5,200,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		0.250%	French Republic (PIMCO Rating: AAA)**		78,199			(195,801	)		(117,602	)
	200,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		1.000%	Republic of Italy (PIMCO Rating: AA)**		3,387			(7,694	)		(4,307	)
	3,000,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		1.000%	Kingdom of Spain (PIMCO Rating: AA)**		19,923			(182,213	)		(162,290	)
	400,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		1.000%	Kingdom of Spain (PIMCO Rating: AA)**		4,943			(26,582	)		(21,639	)
	2,600,000	USD		3/20/16	Goldman Sachs & Co.	Sell††		1.000%	Republic of Italy (PIMCO Rating: AA)**		38,227			(94,225	)		(55,998	)
											141,352			(466,189	)		(324,837	)
	1,700,000	USD		12/20/15	JP Morgan Chase Bank	Sell††		5.000%	CDX.NA.HY.15 (PIMCO Rating: B-)**		57,633			(875	)		56,758
	1,200,000	USD		12/20/15	JP Morgan Chase Bank	Sell††		1.000%	CDX.IG.15 (PIMCO Rating: BAA+)**		6,504			885			7,389
	200,000	USD		12/20/15	JP Morgan Chase Bank	Sell††		5.000%	CDX.EM.14 (PIMCO Rating: BA+)**		(894	)		26,400			25,506
	6,600,000	USD		3/20/16	JP Morgan Chase Bank	Sell††		1.000%	MetLife, Inc. (PIMCO Rating: A-)**		(8,711	)		(159,290	)		(168,001	)
											54,532			(132,880	)		(78,348	)
	700,000	USD		12/20/15	Royal Bank of Scotland PLC	Sell††		0.250%	French Republic (PIMCO Rating: AAA)**		(372	)		(13,897	)		(14,269	)
	1,000,000	USD		3/20/16	Royal Bank of Scotland PLC	Sell††		0.250%	French Republic (PIMCO Rating: AAA)**		10,972			(33,588	)		(22,616	)
											10,600			(47,485	)		(36,885	)
	1,000,000	USD		9/20/15	UBS AG	Sell††		1.000%	United Mexican States (PIMCO Rating: BAA+)**		14,013			(14,147	)		(134	)
	800,000	USD		12/20/15	UBS AG	Sell††		5.000%	CDX.EM.14 (PIMCO Rating: BA+)**		(9,025	)		111,050			102,025
	500,000	USD		12/20/15	UBS AG	Sell††		5.000%	CDX.NA.HY.15 (PIMCO Rating: B-)**		(1,119	)		17,812			16,693
											3,869			114,715			118,584

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)		Premium Received (Paid)		Value
	Interest Rate Swaps
	62,400,000	BRL		1/02/12	Barclays Bank PLC	Floating Rate BRL-CDI	Fixed 10.835%	$	200,500	$	202,782	$	403,282
	4,500,000	USD		6/15/41	Barclays Bank PLC	Fixed 4.250%	3-Month USD-LIBOR-BBA		17,240		38,214		55,454
									217,740		240,996		458,736

163

Notes to Portfolio of Investments (Unaudited) (Continued)

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)		Value
	PIMCO Total Return Fund (Continued)*
	Interest Rate Swaps (Continued)
	1,900,000	USD		6/15/41	Goldman Sachs & Co.	Fixed 4.250%	3-Month USD-LIBOR-BBA	$	(30,788	)	$	54,200	$	23,412
	3,000,000	USD		6/15/21	JP Morgan Chase Bank	Fixed 3.500%	3-Month USD-LIBOR-BBA		38,776			1,350		40,126
	4,100,000	USD		6/15/41	JP Morgan Chase Bank	Fixed 4.250%	3-Month USD-LIBOR-BBA		7,562			42,960		50,522
									46,338			44,310		90,648
	93,300,000	USD		6/15/41	Royal Bank of Scotland PLC	Fixed 4.250%	3-Month USD-LIBOR-BBA		(1,331,565	)		2,481,240		1,149,675
	9,400,000	USD		6/15/41	UBS AG	Fixed 4.250%	3-Month USD-LIBOR-BBA		(97,270	)		213,100		115,830

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid		Value
	Strategic Bond Fund***
	Credit Default Swaps
	1,000,000	USD		6/20/12	Barclays Bank PLC	Sell††		1.870%	The AES Corp. (Moody’s Rating: B1; S&P Rating: BB)	$	11,082		$	-	$	11,082
	1,000,000	USD		6/20/12	Barclays Bank PLC	Sell††		2.620%	HCA Inc. (Moody’s Rating: Caa1; S&P Rating: B-)		16,912			-		16,912
											27,994			-		27,994
	100,000	USD		9/20/12	Goldman Sachs & Co.	Sell††		3.240%	Energy Future Holdings Corp. (Moody’s Rating: Ca2; S&P Rating: CC)		(14,121	)		-		(14,121	)
	1,000,000	USD		6/20/12	Morgan Stanley & Co.	Sell††		2.920%	Ford Motor Credit Co. (Moody’s Rating: Ca2; S&P Rating: BB-)		21,696			-		21,696

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
	Interest Rate Swaps
	2,460,000	USD		2/15/25	Morgan Stanley & Co.	Notional amount at expiration date	Floating notional amount + compounded 3 month BBA LIBOR at expiration date	$	(115,282	)	$	-		$	(115,282	)
	3,740,000	USD		11/15/27	Morgan Stanley & Co.	Notional amount at expiration date	Floating notional amount + compounded 3 month BBA LIBOR at expiration date		(144,683	)		-			(144,683	)
									(259,965	)		-			(259,965	)
	Total Return Swaps
	110,000	USD		1/01/12	Morgan Stanley & Co.	Absolute value of TRXCMBS Index if negative	Absolute value of TRXCMBS Index if positive	$	2,869		$	(3,678	)	$	(809	)
	200,000	USD		1/01/12	Morgan Stanley & Co.	Absolute value of TRXCMBS Index if negative	Absolute value of TRXCMBS Index if positive		5,264			(6,735	)		(1,471	)
	807,195	USD		1/12/40	Morgan Stanley & Co.	1-Month USD LIBOR	IOS.FN30.400.09 Index		(18,657	)		20,333			1,676
									(10,524	)		9,920			(604	)

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Notes to Portfolio of Investments (Unaudited) (Continued)

Notional Amount		Currency	Expiration Date		Counterparty	Buy/Sell Protection	Receive (Pay) Fixed Rate		Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
	Strategic Balanced Fund
	Credit Default Swaps
	30,000	USD		2/17/51	Barclays Bank PLC	Buy		(0.500)%	CMBX.NA.AM.4	$	(63	)	$	3,150		$	3,087
	50,000	USD		12/13/49	Credit Suisse Securities LLC	Sell††		0.500%	CMBX.NA.AM.3 (Moody’s Rating: A1; S&P Rating: BBB)		200			(4,625	)		(4,425	)
	20,000	USD		2/17/51	Morgan Stanley & Co.	Buy		(0.500)%	CMBX.NA.AM.4		8			2,050			2,058

Notional Amount		Currency	Expiration Date		Counterparty	Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)		Premium Received (Paid)			Value
	Total Return Swaps
	25,000	USD		1/01/12	Morgan Stanley & Co.	Absolute value of TRXCMBS Index if negative	Absolute value of TRXCMBS Index if positive	$	658	$	(842	)	$	(184	)
	BlackRock Global Allocation Fund
	Total Return Swaps
	1,815	USD		1/11/12	BNP Paribas SA	3 Month USD LIBOR + 0.380%	MSCI Daily Total Return, Net Emerging Markets Index (NDUEEGF)	$	13,892	$	-		$	13,892
	6,364	USD		9/16/11	BNP Paribas SA	3 Month USD LIBOR - 0.080%	MSCI AC World, Net US Index (NDUEACWZ)		67,838		-			67,838
									81,730		-			81,730

BRL Brazilian Real

USD U.S. Dollar

* Collateral for swap agreements received from Barclays Bank PLC and Royal Bank of Scotland PLC amounted to $3,930,000 and $180,000 in cash, respectively, at March 31, 2011.

** Rating is determined by Pacific Investment Management Company LLC and represents a weighted average rating of all securities in the underlying index for credit default swaps. The source of the ratings for the underlying securities are Moody’s Investors Service, Inc., Standard & Poor’s Ratings Group, and/or Fitch Ratings. All ratings are as of the report date and do not reflect subsequent changes.

*** Collateral for swap agreements held by Morgan Stanley & Co. amounted to $400,000 in cash at March 31, 2011.

†† For each credit derivative with sold protection, the credit ratings of the entities referenced, as rated by any rating organization, are included in the equivalent Moody’s Investors Service, Inc., Standard & Poor’s Ratings Group, or Pacific Investment Management Company LLC’s rating category. The reference entity rating represents the likelihood of a potential payment by the Fund if the referenced entity experiences a credit event as of period end. Notional amounts represent the maximum potential amount of future payments (undiscounted) the Fund could be required to make under the credit derivatives with sold protection.

165

Notes to Portfolio of Investments (Unaudited) (Continued)

Options, Rights, and Warrants

A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.

A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When a Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written.

A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

Options purchased or sold by a Fund may be traded on a securities or options exchange or market. Such options typically have minimal exposure to counterparty risk. However, an exchange or market may at times find it necessary to impose restrictions on particular types of options transactions, such as opening transactions. If an underlying security ceases to meet qualifications

166

Notes to Portfolio of Investments (Unaudited) (Continued)

imposed by the market or the Options Clearing Corporation, new series of options on that security will no longer be opened to replace expiring series, and opening transactions in existing series may be prohibited.

OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration.

Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

A Fund may purchase or sell “structured options,” which may comprise multiple option exposures within a single security. The risk and return characteristics of a structured option will vary depending on the nature of the underlying option exposures. A Fund may use such options for hedging purposes or as a substitute for direct investments in options or securities. A Fund’s use of structured options may create investment leverage.

A Fund may invest in rights and warrants to purchase securities. Rights or warrants generally give the holder the right to receive, upon exercise, a security at a stated price. Funds typically use rights and warrants in a manner similar to their use of options on securities, as described above. Risks associated with the use of rights or warrants are generally similar to risks associated with the use of options.

The Fund(s) listed in the following table had open written option contracts at March 31, 2011. A Fund’s current exposure to a counterparty is typically the fair value of the contract.

Notional Amount		Expiration Date		Description	Premiums Received		Value
	PIMCO Total Return Fund
$	657,500		9/19/11	Eurodollar Futures Call, Strike 99.38	$	112,714	$	154,513
	657,500		9/19/11	Eurodollar Futures Put, Strike 99.38		163,813		46,025
	355,000		3/19/12	Eurodollar Futures Put, Strike 99.00		116,039		79,875
	261,000		4/21/11	U.S. Treasury Notes 10 Year Future Call, Strike 123.00		117,613		8,156
	261,000		4/21/11	U.S. Treasury Notes 10 Year Future Put, Strike 118.50		101,300		146,813
	244,000		5/20/11	U.S. Treasury Notes 10 Year Future Call, Strike 122.00		113,868		64,813
	206,000		5/20/11	U.S. Treasury Notes 10 Year Future Put, Strike 117.00		91,298		103,000
	26,600,000		4/25/11	Interest Rate Swaption USD 10 Year Call, Strike 3.10*		105,070		4,993
	26,600,000		4/25/11	Interest Rate Swaption USD 10 Year Put, Strike 3.70*		106,400		134,087
	17,700,000		11/14/11	Interest Rate Swaption USD 1 Year Put, Strike 0.65**		36,285		74,256
	16,600,000		6/18/12	Interest Rate Swaption USD 3 Year Put, Strike 3.00*		104,476		199,014
	23,100,000		6/18/12	Interest Rate Swaption USD 3 Year Put, Strike 3.00***		209,330		276,941
	70,100,000		9/24/12	Interest Rate Swaption USD 2 Year Put, Strike 2.25*		546,745		968,076
	20,600,000		9/24/12	Interest Rate Swaption USD 2 Year Put, Strike 2.25**		122,227		284,485
	8,200,000		10/11/12	Interest Rate Swaption USD 2 Year Call, Strike TBD****		41,656		68,737
	28,900,000		10/11/12	Interest Rate Swaption USD 2 Year Call, Strike 0.01 TBD**		152,598		242,256
	20,300,000		11/19/12	Interest Rate Swaption USD 1 Year Put, Strike 1.00**		115,817		254,255
	22,600,000		11/19/12	Interest Rate Swaption USD 1 Year Put, Strike 1.75*		85,315		177,314
					$	2,442,564	$	3,287,609
Strategic Bond Fund
	55,000		9/16/11	Eurodollar Futures Call, Strike 99.38	$	754	$	275

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Notes to Portfolio of Investments (Unaudited) (Continued)

Notional Amount		Expiration Date		Description	Premiums Received		Value
Strategic Balanced Fund
$	5,000		9/16/11	Eurodollar Futures Call, Strike 99.38	$	69	$	25
BlackRock Global Allocation Fund
$	24,800		4/07/11	Honk Kong Index Call, Strike 97.60	$	8,915	$	672
	100		4/16/11	Agrium, Inc., Call, Strike 95.00		338		125
	500		4/16/11	Apple, Inc., Call, Strike 340.00		10,010		6,125
	14,400		4/16/11	Quicksilver Resources, Inc., Put, Strike 14.00		8,222		2,160
	23,100		5/21/11	Corning, Inc., Call, Strike 20.00		28,116		31,647
	1,300		6/18/11	Google, Inc. Class A, Put, Strike 560.00		36,750		20,800
	1,300		6/18/11	Google, Inc. Class A, Call, Strike 625.00		13,741		14,690
	11,900		6/18/11	Visa, Inc. Class A Shares, Put, Strike 65.00		16,360		12,495
	70,000		6/29/11	Honk Kong Index Call, Strike 97.50		22,942		34,106
	7,200		7/16/11	General Mills, Inc., Put, Strike 34.00		8,470		4,320
	54,700		7/16/11	Sara Lee Corp., Call, Strike 18.00		26,324		35,555
	14,100		8/20/11	Dell, Inc., Call, Strike 16.00		8,602		7,050
	2,300		8/20/11	SM Energy Co., Call, Strike 65.00		11,430		26,220
	334		9/16/11	DJ Euro Stoxx 50 Index Put, Strike 2,761.62		49,999		47,877
	46,000		9/17/11	Market Vectors Gold Miners, Put, Strike 48.00		79,113		50,140
	10,800		9/17/11	Urban Outfitters, Inc., Put, Strike 27.00		17,017		16,740
	6,800		10/22/11	Sandisk Corp., Call, Strike 46.00		35,834		40,800
	3,500		11/19/11	SM Energy Co., Call, Strike 80.00		20,894		18,900
	5,217		12/16/11	Beiersdorf AG, Put, Strike 38.00		16,915		7,884
	36,500		1/21/12	Advanced Micro Devices, Call, Strike 10.00		25,545		31,025
	2,981		1/20/12	Beiersdorf AG, Call, Strike 38.00		10,309		5,111
	2,600		1/21/12	Cephalon, Inc., Call, Strike 65.00		12,986		32,760
	15,200		1/21/12	Cisco Systems, Inc., Call, Strike 17.50		27,661		22,648
	30,500		1/21/12	Cisco Systems, Inc., Call, Strike 20.00		40,236		20,740
	9,200		1/21/12	Dell, Inc., Call, Strike 15.00		11,050		12,972
	3,200		1/21/12	EOG Resources, Inc., Call, Strike 100.00		23,103		79,040
	18,697		1/20/12	Kraft Food, Inc., Call, Strike 34.00		18,727		12,343
	32,000		1/21/12	Market Vectors Gold Miners, Put, Strike 40.00		65,288		26,880
	18,200		1/21/12	Marvell Technology Group Ltd, Call, Strike 17.50		32,393		22,750
	19,900		1/21/12	Symantec Corp., Call, Strike 17.50		32,663		46,765
	6,900		1/21/12	United Technologies Corp., Call, Strike 80.00		35,452		59,340
					$	755,405	$	750,680

* OTC traded option counterparty Royal Bank of Scotland PLC.

** OTC traded option counterparty Goldman Sachs & Co.

*** OTC traded option counterparty Barclays Bank PLC.

**** OTC traded option counterparty JP Morgan Chase Bank.

Transactions in written option contracts during the period ended March 31, 2011, were as follows:

	Number of Contracts			Premiums Received
PIMCO Total Return Fund
Options outstanding at December 31, 2010		228,100,672		$	1,758,022
Options written		53,201,114			751,588
Options terminated in closing purchase transactions		(146	)		(67,046	)
Options outstanding at March 31, 2011		281,301,640		$	2,442,564

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Notes to Portfolio of Investments (Unaudited) (Continued)

	Number of Contracts			Premiums Received
Strategic Bond Fund
Options outstanding at December 31, 2010		102		$	61,834
Options written		127			42,303
Options terminated in closing purchase transactions		(127	)		(71,462	)
Options expired		(80	)		(31,921	)
Options outstanding at March 31, 2011		22		$	754
Strategic Balanced Fund
Options outstanding at December 31, 2010		13		$	7,939
Options written		13			3,955
Options terminated in closing purchase transactions		(14	)		(7,626	)
Options expired		(10	)		(4,199	)
Options outstanding at March 31, 2011		2		$	69
BlackRock Global Allocation Fund
Options outstanding at December 31, 2010		34,100		$	346,934
Options written		125,099			643,227
Options terminated in closing purchase transactions		(585	)		(119,201	)
Options expired		(61	)		(19,436	)
Options exercised		(193	)		(96,119	)
Options outstanding at March 31, 2011		158,360		$	755,405

The Fund(s) had warrants and purchased options as shown in the Portfolio(s) of Investments at March 31, 2011.

The Fund(s) had no rights at March 31, 2011.

When-Issued, Delayed-Delivery, and Forward Commitment Transactions

A Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not typically pay for the securities until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

Prior to settlement of these transactions, the value of the subject securities will fluctuate. In addition, because the Fund is not required to make payment under these transactions until the delivery date, they may result in a form of leverage.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the value of these securities. When a when-issued, delayed-delivery, or forward commitment transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

The Fund(s) had securities purchased on a when-issued, delayed-delivery, or forward commitment basis as shown in the Portfolio(s) of Investments at March 31, 2011.

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Notes to Portfolio of Investments (Unaudited) (Continued)

Dollar Roll Transactions

A Fund may enter into dollar roll transactions, in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to purchase substantially similar securities on a specified future date from the same party. A Fund may invest in dollar rolls in order to benefit from anticipated changes in pricing for the mortgage-backed securities during the term of the transaction, or for the purpose of creating investment leverage. In a dollar roll, the securities that are to be purchased will be of the same type as the securities sold, but will be supported by different pools of mortgages.

A Fund that engages in a dollar roll forgoes principal and interest paid on the sold securities during the roll period, but is compensated by the difference between the current sales price and the lower forward price for the future purchase. In addition, a Fund may benefit by investing the transaction proceeds during the roll period. Dollar roll transactions may have the effect of creating leverage in a Fund’s portfolio. Dollar rolls involve the risk that the Fund’s counterparty will be unable to deliver the mortgage-backed securities underlying the dollar roll at the fixed time. If the counterparty files for bankruptcy or becomes insolvent, the counterparty or its representative may ask for and receive an extension of time to decide whether to enforce the Fund’s repurchase obligation. A Fund’s use of the transaction proceeds may be restricted pending such decision. It is possible that the Fund will incur a loss on a dollar roll transaction (either because its counterparty fails to perform or because the value of the mortgages subject to the transaction declines) and on the investments made by the Fund with the proceeds of the dollar roll transaction.

A Fund accounts for a dollar roll transaction as a purchase and sale whereby the difference in the sales price and purchase price of the security sold is recorded as a realized gain (loss). If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income.

The PIMCO Total Return Fund, Strategic Bond Fund, and Strategic Balanced Fund had dollar roll transactions at March 31, 2011, which were accounted for as purchase and sale transactions.

Inflation-Indexed Bonds

The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income.

Inflation-indexed securities issued by the U.S. Treasury have maturities of five, ten, twenty, or thirty years, although it is possible that securities with other maturities will be issued in the future. The U.S. Treasury securities pay interest on a semi-annual basis, equal to a fixed percentage of the inflation-adjusted principal amount.

If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if inflation were to rise at a faster rate than nominal interest rates, real interest rates might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds.

While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. If interest rates rise due to reasons other than inflation (for example, due to changes in

170

Notes to Portfolio of Investments (Unaudited) (Continued)

currency exchange rates), investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.

The periodic adjustment of U.S. Treasury inflation-indexed bonds is tied to the Consumer Price Index for Urban Consumers (“CPI-U”), which is calculated monthly by the U.S. Bureau of Labor Statistics. The CPI-U is a measurement of changes in the cost of living, made up of components such as housing, food, transportation, and energy. Inflation-indexed bonds issued by a foreign government are generally adjusted to reflect a comparable inflation index, calculated by that government. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation in the prices of goods and services. Moreover, there can be no assurance that the rate of inflation in a foreign country will be correlated to the rate of inflation in the United States.

The Fund(s) held inflation-indexed bonds as shown in the Portfolio(s) of Investments at March 31, 2011.

Bank Loans

Certain of the Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

At March 31, 2011, the Funds had no unfunded loan commitments.

The Fund(s) held bank loans as shown in the Portfolio(s) of Investments at March 31, 2011.

Short Sales

A short sale is a transaction in which a Fund sells a security it does not own in anticipation that the market price of that security will decline. When a Fund makes a short sale on a security, it must borrow the security sold short and deliver it to a broker dealer through which it made the short sale as collateral for its obligation to deliver the security upon the conclusion of the sale. A Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any accrued interest and dividends on such borrowed securities. If the price of the security sold short increases between the time of the short sale and the time a Fund replaces the borrowed security, a Fund will incur a loss, which could be unlimited, in cases where a Fund is unable for whatever reason to close out its short position; conversely, if the price declines, a Fund will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely impacted by imperfect correlation between movements in the price of the security sold short and the securities being hedged.

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Notes to Portfolio of Investments (Unaudited) (Continued)

The Fund(s) held securities sold short as shown in the Portfolio(s) of Investments at March 31, 2011.

Repurchase Agreements

Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.

The Fund(s) had repurchase agreements as shown in the Portfolio(s) of Investments at March 31, 2011.

Accounting for Investment Transactions

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income, dividend expense, and distributions are recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions.

Foreign Currency Translation

The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.

Allocation of Operating Activity

In maintaining the records for the Funds, the income and expense accounts are allocated to each class of shares. Investment income, unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of the Fund not directly attributable to the operations of any class of shares or Fund are prorated among the Funds and classes to which the expense relates based on the relative net assets of each.

In addition, the Destination Retirement Income Fund, Destination Retirement 2010 Fund, Destination Retirement 2015 Fund, Destination Retirement 2020 Fund, Destination Retirement 2025 Fund, Destination Retirement 2030 Fund, Destination Retirement 2035 Fund, Destination Retirement 2040 Fund, Destination Retirement 2045 Fund, and Destination Retirement 2050 Fund will

172

Notes to Portfolio of Investments (Unaudited) (Continued)

also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and each Fund may own different proportions of underlying funds at different times, the amount of fees and expenses indirectly incurred by each Fund will vary.

Foreign Securities

The BlackRock Global Allocation Fund invests a significant amount of its assets and each of the Diversified International Fund and Overseas Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including ADRs, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political and economic instability, and greater volatility in currency exchange rates.

Credit Risk

The Funds may invest a portion of their assets, directly or indirectly, in securities backed by mortgage loans, credit card receivables, and automotive loans. The values and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on such securities have resulted in increased volatility of market price and periods of decreased market activity that have adversely impacted the valuation and liquidity of such securities.

Federal Income Tax

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends and Distributions to Shareholders

Dividends from net investment income of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

3. Federal Income Tax Information

At March 31, 2011, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Funds, as computed on a federal income tax basis, were as follows:

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
PIMCO Total Return Fund	$	1,471,130,550	$	38,982,452	$	(3,933,972	)	$	35,048,480
Strategic Bond Fund		221,370,219		4,817,516		(10,326,985	)		(5,509,469	)
Strategic Balanced Fund		66,028,427		7,810,858		(3,146,441	)		4,664,417

173

Notes to Portfolio of Investments (Unaudited) (Continued)

	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
BlackRock Global Allocation Fund	$	527,359,016	$	65,959,530	$	(13,128,884	)	$	52,830,646
Diversified Value Fund		267,450,506		46,606,561		(4,795,057	)		41,811,504
Fundamental Value Fund		948,808,425		247,091,446		(30,017,499	)		217,073,947
Value Equity Fund		28,237,942		5,372,668		(392,708	)		4,979,960
Large Cap Value Fund		496,738,698		221,488,280		(11,673,976	)		209,814,304
Indexed Equity Fund		1,799,378,963		564,533,155		(240,070,821	)		324,462,334
Core Opportunities Fund		61,780,355		9,901,268		(1,077,633	)		8,823,635
Blue Chip Growth Fund		414,765,787		137,389,656		(695,328	)		136,694,328
Large Cap Growth Fund		57,468,769		14,527,526		(503,554	)		14,023,972
Growth Opportunities Fund		262,856,221		101,743,581		(2,165,670	)		99,577,911
NASDAQ-100 Fund		39,669,667		16,368,352		(1,889,784	)		14,478,568
Focused Value Fund		545,231,737		146,739,561		(5,447,795	)		141,291,766
Mid-Cap Value Fund		130,321,856		20,114,794		(1,438,911	)		18,675,883
Small Cap Value Equity Fund		86,508,575		24,807,203		(881,971	)		23,925,232
Small Company Value Fund		470,236,140		137,326,487		(26,065,420	)		111,261,067
Mid Cap Growth Equity Fund		55,377,537		17,315,481		(947,231	)		16,368,250
Mid Cap Growth Equity II Fund		1,221,225,314		505,490,993		(6,788,628	)		498,702,365
Small Cap Growth Equity Fund		724,314,295		207,800,609		(19,886,891	)		187,913,718
Small Company Growth Fund		47,517,222		18,597,746		(673,295	)		17,924,451
Diversified International Fund		144,206,015		17,388,170		(10,117,534	)		7,270,636
Overseas Fund		518,493,168		91,563,045		(22,070,426	)		69,492,619
Destination Retirement Income Fund		89,516,268		13,208,803		(10,583	)		13,198,220
Destination Retirement 2010 Fund		96,114,796		15,021,528		(18,591	)		15,002,937
Destination Retirement 2015 Fund		1,617,344		125,090		(3,337	)		121,753
Destination Retirement 2020 Fund		327,062,812		64,139,935		(260,899	)		63,879,036
Destination Retirement 2025 Fund		1,334,595		145,463		(2,579	)		142,884
Destination Retirement 2030 Fund		252,973,686		60,112,620		(257,644	)		59,854,976
Destination Retirement 2035 Fund		1,346,621		146,986		(1,151	)		145,835
Destination Retirement 2040 Fund		151,312,905		40,674,066		(190,194	)		40,483,872
Destination Retirement 2045 Fund		1,108,109		147,368		(496	)		146,872
Destination Retirement 2050 Fund		24,162,985		4,928,942		(12,825	)		4,916,117

4. Investment in Affiliated Issuers

A summary of the Funds’ transactions in the securities of affiliated issuers during the period ended March 31, 2011, was as follows:

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 3/31/11		Value as of 3/31/11		Dividend Income		Net Realized Gain  (Loss)
Destination Retirement Income Fund
Blue Chip Growth Fund, Class S		46,555		6,755		4,791		48,519	$	546,321	$	-	$	25,706
Capital Appreciation Fund, Class S*		9,624		563		5,312		4,875		54,258		-		14,910
Core Bond Fund, Class S*		951,335		20,831		55,988		916,178		10,123,768		-		45,597
Core Opportunities Fund, Class S		165,491		1,597		26,751		140,337		1,383,727		-		24,307
Disciplined Growth Fund, Class S*		469,860		4,520		60,451		413,929		4,131,008		-		85,626
Disciplined Value Fund, Class S*		421,587		4,265		48,900		376,952		4,014,536		-		41,777
Diversified Bond Fund, Class S*		822,677		-		68,547		754,130		8,001,323		-		46,317
Diversified International Fund, Class S		177,434		16,967		16,513		177,888		1,280,794		-		48,139
Diversified Value Fund, Class S		66,266		7,636		7,732		66,170		632,590		-		23,730

174

Notes to Portfolio of Investments (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 3/31/11		Value as of 3/31/11		Dividend Income		Net Realized Gain  (Loss)
Destination Retirement Income Fund (Continued)
Focused International Fund, Class S*		45,119		1,464		3,480		43,103	$	518,529	$	-	$	13,780
Focused Value Fund, Class S		105,021		1,760		15,364		91,417		1,713,160		-		152,478
Fundamental Value Fund, Class S		99,043		6,439		9,749		95,733		1,059,770		-		40,258
Growth Opportunities Fund, Class S		66,289		3,116		7,215		62,190		462,074		-		27,671
High Yield Fund, Class S*		240,532		7,168		51,944		195,756		1,779,423		-		82,456
Inflation-Protected and Income Fund, Class S*		1,094,837		146,886		106,430		1,135,293		12,227,107		-		16,119
International Bond Fund, Class S*		424,294		56,327		41,037		439,584		4,457,382		-		4,750
International Equity Fund, Class S*		94,264		5,129		6,672		92,721		1,383,399		-		38,977
Large Cap Growth Fund, Class S		96,777		1,994		15,249		83,522		812,667		-		42,925
Large Cap Value Fund, Class S		21,782		1,080		3,298		19,564		216,964		-		13,612
Main Street Small/Mid Cap Fund, Class S*		5,933		-		832		5,101		58,201		-		1,347
Mid Cap Growth Equity Fund, Class S		39,987		443		7,761		32,669		391,696		-		41,492
Mid Cap Growth Equity II Fund, Class S		54,009		15,248		16,311		52,946		905,902		-		89,535
Mid-Cap Value Fund, Class S		114,093		22,883		7,789		129,187		1,396,511		-		2,660
Money Market Fund, Class S*		1,276,417		884,133		50,464		2,110,086		2,110,086		5		-
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		801,241		5,939		73,875		733,305		2,999,219		-		67,501
Oppenheimer Real Estate Fund, Class Y**		176,585		1,440		18,179		159,846		3,228,889		6,647		166,732
Overseas Fund, Class S		492,400		11,579		47,296		456,683		3,429,688		-		135,070
PIMCO Total Return Fund, Class S		366,069		33,421		30,316		369,174		3,772,954		-		409
Short-Duration Bond Fund, Class S*		2,143,830		56,370		302,547		1,897,653		20,191,025		-		196,884
Small Cap Growth Equity Fund, Class S		21,207		5,295		1,497		25,005		477,350		-		4,508
Small Cap Value Equity Fund, Class S		56,271		6,927		2,594		60,604		614,523		-		12,075
Small Company Growth Fund, Class S		63,584		511		19,359		44,736		484,935		-		101,639
Small Company Value Fund, Class S		49,476		376		6,577		43,275		643,504		-		12,091
Strategic Bond Fund, Class S		366,661		37,845		33,371		371,135		3,611,139		-		40,603
Strategic Emerging Markets Fund, Class S*		224,714		1,951		17,571		209,094		3,500,241		-		122,955
Value Fund, Class S*		9,792		413		3,710		6,495		99,825		-		7,806
									$	102,714,488	$	6,652	$	1,792,442
Destination Retirement 2010 Fund
Blue Chip Growth Fund, Class S		92,393		6,439		6,045		92,787	$	1,044,784	$	-	$	14,656
Capital Appreciation Fund, Class S*		4,985		2,114		969		6,130		68,229		-		1,497
Core Bond Fund, Class S*		1,017,012		44,539		66,033		995,518		11,000,469		-		56,013
Core Opportunities Fund, Class S		164,666		9,153		19,498		154,321		1,521,602		-		16,425
Disciplined Growth Fund, Class S*		683,227		36,246		69,066		650,407		6,491,058		-		99,571
Disciplined Value Fund, Class S*		619,361		34,175		56,194		597,342		6,361,687		-		(67,907	)
Diversified Bond Fund, Class S*		670,462		-		61,388		609,074		6,462,280		-		42,744
Diversified International Fund, Class S		341,011		20,244		24,680		336,575		2,423,343		-		58,171
Diversified Value Fund, Class S		123,210		8,462		8,590		123,082		1,176,664		-		26,280
Focused International Fund, Class S*		70,629		11,838		4,752		77,715		934,914		-		18,290
Focused Value Fund, Class S		105,573		5,689		11,288		99,974		1,873,514		-		106,250
Fundamental Value Fund, Class S		149,849		14,408		12,275		151,982		1,682,436		-		45,074
Growth Opportunities Fund, Class S		110,603		11,097		9,108		112,592		836,560		-		34,587
High Yield Fund, Class S*		188,178		18,285		17,968		188,495		1,713,416		-		12,102
Inflation-Protected and Income Fund, Class S*		762,638		184,768		63,839		883,567		9,516,011		-		14,452
International Bond Fund, Class S*		269,027		82,029		24,851		326,205		3,307,718		-		25,652
International Equity Fund, Class S*		159,231		9,937		9,053		160,115		2,388,909		-		38,957
Large Cap Growth Fund, Class S		163,759		9,029		16,196		156,592		1,523,639		-		45,311
Large Cap Value Fund, Class S		36,724		4,799		8,692		32,831		364,095		-		28,214
Main Street Small/Mid Cap Fund, Class S*		26,807		1,777		2,137		26,447		301,762		-		5,005
Mid Cap Growth Equity Fund, Class S		83,199		5,499		15,467		73,231		878,037		-		60,551
Mid Cap Growth Equity II Fund, Class S		108,682		24,448		22,804		110,326		1,887,672		-		51,186
Mid-Cap Value Fund, Class S		245,247		42,943		34,955		253,235		2,737,472		-		52,477
Money Market Fund, Class S*		482,641		934,632		3,878		1,413,395		1,413,395		2		-

175

Notes to Portfolio of Investments (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases			Sales		Number of Shares Held as of 3/31/11			Value as of 3/31/11			Dividend Income		Net Realized Gain  (Loss)
Destination Retirement 2010 Fund (Continued)
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		913,550		22,360			61,894		874,016		$	3,574,726		$	-	$	41,355
Oppenheimer Real Estate Fund, Class Y**		199,283		4,970			16,942		187,311			3,783,686			7,761		165,998
Overseas Fund, Class S		761,194		46,334			46,774		760,754			5,713,261			-		127,963
PIMCO Total Return Fund, Class S		385,771		45,764			21,060		410,475			4,195,057			-		240
Short-Duration Bond Fund, Class S*		1,403,410		84,916			158,280		1,330,046			14,151,689			-		93,536
Small Cap Growth Equity Fund, Class S		31,896		12,866			2,298		42,464			810,637			-		7,106
Small Cap Value Equity Fund, Class S		89,563		22,368			3,940		107,991			1,095,029			-		15,229
Small Company Growth Fund, Class S		67,079		8,613			11,400		64,292			696,923			-		57,998
Small Company Value Fund, Class S		76,389		4,192			12,289		68,292			1,015,501			-		41,908
Strategic Bond Fund, Class S		268,156		56,804			22,201		302,759			2,945,845			-		27,282
Strategic Emerging Markets Fund, Class S*		313,548		12,293			34,097		291,744			4,883,794			-		226,725
Value Fund, Class S*		27,936		201			5,891		22,246			341,919			-		30,205
											$	111,117,733		$	7,763	$	1,621,103
Destination Retirement 2015 Fund
Blue Chip Growth Fund, Class S		2,431		746			269		2,908		$	32,740		$	-	$	428
Capital Appreciation Fund, Class S*		545		-			138		407			4,525			-		95
Core Bond Fund, Class S*		8,512		2,291			462		10,341			114,270			-		(50	)
Core Opportunities Fund, Class S		2,023		765			181		2,607			25,706			-		298
Disciplined Growth Fund, Class S*		7,770		2,149			748		9,171			91,523			-		879
Disciplined Value Fund, Class S*		7,161		2,161			627		8,695			92,604			-		544
Discovery Value Fund, Class S		-		0	†		-		0	†		0	#		-		-
Diversified Bond Fund, Class S*		4,289		-			66		4,223			44,807			-		10
Diversified International Fund, Class S		7,153		1,773			598		8,328			59,964			-		195
Diversified Value Fund, Class S		2,884		1,023			216		3,691			35,288			-		167
Focused International Fund, Class S*		1,751		382			108		2,025			24,355			-		111
Focused Value Fund, Class S		1,307		394			98		1,603			30,045			-		206
Fundamental Value Fund, Class S		4,173		1,516			513		5,176			57,302			-		501
Growth Opportunities Fund, Class, S		3,134		1,124			491		3,767			27,988			-		639
High Yield Fund, Class S*		2,956		1,841			261		4,536			41,230			-		54
Inflation-Protected and Income Fund, Class S*		7,065		4,977			591		11,451			123,330			-		186
International Bond Fund, Class S*		3,261		2,533			272		5,522			55,993			-		25
International Equity Fund, Class S*		2,517		770			129		3,158			47,112			-		181
Large Cap Growth Fund, Class S		3,585		981			234		4,332			42,153			-		285
Large Cap Value Fund, Class S		1,176		405			281		1,300			14,422			-		268
Main Street Small/Mid Cap Fund, Class S*		1,223		1			184		1,040			11,862			-		263
Mid Cap Growth Equity Fund, Class S		1,365		491			453		1,403			16,820			-		968
Mid Cap Growth Equity II Fund, Class S		2,140		565			261		2,444			41,823			-		732
Mid-Cap Value Fund, Class S		4,641		1,248			668		5,221			56,436			-		903
Money Market Fund, Class S*		-		1,400			-		1,400			1,400			-		-
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		10,841		4,390			661		14,570			59,593			-		261
Oppenheimer Real Estate Fund, Class Y**		2,644		849			148		3,345			67,562			140		427
Overseas Fund, Class S		12,696		3,778			668		15,806			118,701			-		410
PIMCO Total Return Fund, Class S		4,460		1,305			193		5,572			56,946			-		4
Short-Duration Bond Fund, Class S*		9,594		2,968			1,382		11,180			118,959			-		135
Small Cap Growth Equity Fund, Class S		1,182		344			155		1,371			26,181			-		381
Small Cap Value Equity Fund, Class S		1,714		719			72		2,361			23,944			-		109
Small Company Growth Fund, Class S		1,731		606			263		2,074			22,481			-		599
Small Company Value Fund, Class S		1,557		459			345		1,671			24,848			-		645
Strategic Bond Fund, Class S		2,777		1,468			181		4,064			39,541			-		27
Strategic Emerging Markets Fund, Class S*		3,960		1,154			318		4,796			80,289			-		194
Value Fund, Class S*		426		-			13		413			6,354			-		24
											$	1,739,097		$	140	$	11,104

176

Notes to Portfolio of Investments (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases			Sales		Number of Shares Held as of 3/31/11			Value as of 3/31/11		Dividend Income		Net Realized Gain  (Loss)
Destination Retirement 2020 Fund
Blue Chip Growth Fund, Class S		764,310		65,192			47,406		782,096		$	8,806,402	$	-	$	(12,023	)
Capital Appreciation Fund, Class S*		146,090		1,957			53,953		94,094			1,047,269		-		211,824
Core Bond Fund, Class S*		1,795,781		94,505			146,508		1,743,778			19,268,744		-		33,798
Core Opportunities Fund, Class S		551,348		21,879			35,430		537,797			5,302,676		-		34,390
Disciplined Growth Fund, Class S*		2,904,435		93,789			243,714		2,754,510			27,490,010		-		(170,973	)
Disciplined Value Fund, Class S*		2,570,378		88,436			198,526		2,460,288			26,202,071		-		(601,241	)
Diversified Bond Fund, Class S*		552,418		-			40,173		512,245			5,434,916		-		40,824
Diversified International Fund, Class S*		1,883,284		80,031			142,297		1,821,018			13,111,330		-		(333,259	)
Diversified Value Fund, Class S		1,080,284		44,339			93,587		1,031,036			9,856,702		-		(79,086	)
Focused International Fund, Class S*		395,446		50,078			31,210		414,314			4,984,198		-		120,197
Focused Value Fund, Class S		363,009		35,275			14,680		383,604			7,188,747		-		39,324
Fundamental Value Fund, Class S		1,412,813		98,177			115,841		1,395,149			15,444,304		-		(141,304	)
Growth Opportunities Fund, Class, S		1,146,169		46,890			112,102		1,080,957			8,031,510		-		(14,045	)
High Yield Fund, Class S*		908,339		59,006			87,486		879,859			7,997,923		-		139,835
Inflation-Protected and Income Fund, Class S*		1,228,104		231,622			74,173		1,385,553			14,922,407		-		46,044
International Bond Fund, Class S*		890,199		241,883			47,921		1,084,161			10,993,391		-		(9,233	)
International Equity Fund, Class S*		898,159		41,322			49,108		890,373			13,284,363		-		(197,106	)
Large Cap Growth Fund, Class S		1,258,520		50,527			75,325		1,233,722			12,004,114		-		210,747
Large Cap Value Fund, Class S		304,906		23,579			27,418		301,067			3,338,835		-		14,083
Main Street Small/Mid Cap Fund, Class S*		1,367,922		-			41,694		1,326,228			15,132,262		-		42,384
Mid Cap Growth Equity Fund, Class S		458,494		19,155			27,802		449,847			5,393,662		-		21,277
Mid Cap Growth Equity II Fund, Class S		533,258		48,940			53,033		529,165			9,054,006		-		64,840
Mid-Cap Value Fund, Class S		1,339,260		95,033			122,333		1,311,960			14,182,290		-		(39,193	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		3,211,554		276,433			107,813		3,380,174			13,824,910		-		100,950
Oppenheimer Real Estate Fund, Class Y**		806,131		22,585			18,998		809,718			16,356,308		33,500		153,560
Overseas Fund, Class S		4,589,579		168,253			304,243		4,453,589			33,446,451		-		(761,621	)
PIMCO Total Return Fund, Class S		1,034,235		69,427			58,749		1,044,913			10,679,012		-		3,112
Short-Duration Bond Fund, Class S*		1,830,740		234,229			258,737		1,806,232			19,218,309		-		160,954
Small Cap Growth Equity Fund, Class S		99,230		54,630			12,357		141,503			2,701,288		-		32,368
Small Cap Value Equity Fund, Class S		395,802		86,033			25,220		456,615			4,630,073		-		21,353
Small Company Growth Fund, Class S		274,420		42,568			35,985		281,003			3,046,069		-		171,253
Small Company Value Fund, Class S		209,401		31,314			27,208		213,507			3,174,843		-		154,744
Strategic Bond Fund, Class S		439,705		57,883			24,489		473,099			4,603,256		-		28,984
Strategic Emerging Markets Fund, Class S*		1,197,644		37,625			64,999		1,170,270			19,590,324		-		457,758
Value Fund, Class S*		105,923		6,654			34,576		78,001			1,198,873		-		134,374
											$	390,941,848	$	33,500	$	79,893
Destination Retirement 2025 Fund
Blue Chip Growth Fund, Class S		3,141		385			105		3,421		$	38,526	$	-	$	149
Capital Appreciation Fund, Class S*		596		1			83		514			5,722		-		58
Core Bond Fund, Class S*		4,009		389			113		4,285			47,347		-		(11	)
Core Opportunities Fund, Class S		1,864		279			88		2,055			20,264		-		145
Disciplined Growth Fund, Class S*		10,019		1,189			883		10,325			103,048		-		1,087
Disciplined Value Fund, Class S*		9,395		1,121			811		9,705			103,353		-		751
Discovery Value Fund, Class S*		-		0	†		-		0	†		1		-		-
Diversified Bond Fund, Class S*		80		-			-		80			846		-		-
Diversified International Fund, Class S		7,485		1,067			491		8,061			58,037		-		130
Diversified Value Fund, Class S		3,788		570			83		4,275			40,864		-		60
Focused International Fund, Class S*		1,810		253			89		1,974			23,750		-		79
Focused Value Fund, Class S		1,205		157			24		1,338			25,073		-		59
Fundamental Value Fund, Class S		5,356		974			120		6,210			68,741		-		108
Growth Opportunities Fund, Class S		4,199		555			144		4,610			34,253		-		179
High Yield Fund, Class S*		3,099		1,205			294		4,010			36,451		-		35
Inflation-Protected and Income Fund, Class S*		2,000		988			67		2,921			31,463		-		18

177

Notes to Portfolio of Investments (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 3/31/11		Value as of 3/31/11		Dividend Income		Net Realized Gain  (Loss)
Destination Retirement 2025 Fund (Continued)
International Bond Fund, Class S*		2,888		1,267		92		4,063	$	41,201	$	-	$	13
International Equity Fund, Class S*		2,753		671		114		3,310		49,384		-		154
Large Cap Growth Fund, Class S		4,781		642		160		5,263		51,210		-		178
Large Cap Value Fund, Class S		1,572		213		91		1,694		18,792		-		87
Main Street Small/Mid Cap Fund, Class S*		1,174		2		37		1,139		13,002		-		53
Mid Cap Growth Equity Fund, Class S		1,775		272		325		1,722		20,650		-		698
Mid Cap Growth Equity II Fund, Class S		2,453		283		115		2,621		44,852		-		357
Mid-Cap Value Fund, Class S		5,043		704		406		5,341		57,734		-		561
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		10,886		4,199		398		14,687		60,069		-		139
Oppenheimer Real Estate Fund, Class Y**		2,585		572		70		3,087		62,367		128		202
Overseas Fund, Class S		17,168		2,240		586		18,822		141,354		-		377
PIMCO Total Return Fund, Class S		2,499		276		175		2,600		26,574		-		10
Short-Duration Bond Fund, Class S*		4,469		728		710		4,487		47,741		-		56
Small Cap Growth Equity Fund, Class S		1,311		250		39		1,522		29,048		-		97
Small Cap Value Equity Fund, Class S		1,893		784		38		2,639		26,761		-		56
Small Company Growth Fund, Class S		1,948		342		126		2,164		23,459		-		282
Small Company Value Fund, Class S		1,876		260		343		1,793		26,657		-		723
Strategic Bond Fund, Class S		909		336		18		1,227		11,943		-		3
Strategic Emerging Markets Fund, Class S*		4,330		603		139		4,794		80,245		-		45
Value Fund, Class S*		456		13		33		436		6,697		-		48
									$	1,477,479	$	128	$	6,986
Destination Retirement 2030 Fund
Blue Chip Growth Fund, Class S		940,712		34,962		65,703		909,971	$	10,246,275	$	-	$	(12,086	)
Capital Appreciation Fund, Class S*		315,239		-		160,615		154,624		1,720,969		-		305,039
Core Bond Fund, Class S*		604,803		10,105		28,920		585,988		6,475,168		-		(208	)
Core Opportunities Fund, Class S		439,547		17,246		30,012		426,781		4,208,064		-		29,566
Disciplined Growth Fund, Class S*		1,684,986		102,708		94,717		1,692,977		16,895,913		-		(63,600	)
Disciplined Value Fund, Class S*		1,600,543		96,157		88,876		1,607,824		17,123,326		-		(274,531	)
Discovery Value Fund, Class S*		-		60		9		51		554		-		4
Diversified Bond Fund, Class S*		4,267		-		4,267		-		-		-		(784	)
Diversified International Fund, Class S		1,696,502		194,422		124,129		1,766,795		12,720,926		-		(300,713	)
Diversified Value Fund, Class S		1,309,667		49,906		120,521		1,239,052		11,845,340		-		(223,223	)
Focused International Fund, Class S*		361,516		66,436		19,517		408,435		4,913,468		-		75,021
Focused Value Fund, Class S		292,066		12,535		20,374		284,227		5,326,407		-		48,337
Fundamental Value Fund, Class S		1,777,074		71,267		164,411		1,683,930		18,641,110		-		(348,389	)
Growth Opportunities Fund, Class S		1,403,165		52,714		164,297		1,291,582		9,596,451		-		(56,050	)
High Yield Fund, Class S*		624,546		43,059		69,149		598,456		5,439,969		-		108,060
Inflation-Protected and Income Fund, Class S*		472,726		90,150		40,516		522,360		5,625,815		-		10,999
International Bond Fund, Class S*		499,319		146,750		24,483		621,586		6,302,885		-		(4,677	)
International Equity Fund, Class S*		754,052		62,065		37,093		779,024		11,623,036		-		(106,632	)
Large Cap Growth Fund, Class S		1,536,514		56,885		131,367		1,462,032		14,225,576		-		375,546
Large Cap Value Fund, Class S		419,725		21,348		53,381		387,692		4,299,502		-		(59,028	)
Main Street Small/Mid Cap Fund, Class S*		893,690		-		29,029		864,661		9,865,776		-		31,448
Mid Cap Growth Equity Fund, Class S		529,222		18,099		52,972		494,349		5,927,250		-		50,918
Mid Cap Growth Equity II Fund, Class S		522,727		18,862		51,797		489,792		8,380,348		-		(39,171	)
Mid-Cap Value Fund, Class S		1,238,533		55,328		84,942		1,208,919		13,068,417		-		(161,739	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		2,693,692		428,956		80,182		3,042,466		12,443,687		-		65,515
Oppenheimer Real Estate Fund, Class Y**		677,519		30,928		16,279		692,168		13,981,799		28,668		135,566
Overseas Fund, Class S		4,074,130		251,617		192,093		4,133,654		31,043,741		-		(451,942	)
PIMCO Total Return Fund, Class S		443,873		5,561		25,397		424,037		4,333,658		-		1,201
Short-Duration Bond Fund, Class S*		927,800		49,941		105,396		872,345		9,281,746		-		86,860
Small Cap Growth Equity Fund, Class S		216,483		33,829		13,355		236,957		4,523,512		-		37,253
Small Cap Value Equity Fund, Class S		493,625		53,464		20,021		527,068		5,344,468		-		16,895

178

Notes to Portfolio of Investments (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases			Sales		Number of Shares Held as of 3/31/11			Value as of 3/31/11		Dividend Income		Net Realized Gain  (Loss)
Destination Retirement 2030 Fund (Continued)
Small Company Growth Fund, Class S		244,734		43,398			33,313		254,819		$	2,762,236	$	-	$	165,429
Small Company Value Fund, Class S		303,398		21,385			25,124		299,659			4,455,935		-		35,552
Strategic Bond Fund, Class S		117,778		56,420			4,385		169,813			1,652,282		-		5,219
Strategic Emerging Markets Fund, Class S*		1,076,465		34,574			60,154		1,050,885			17,591,816		-		424,593
Value Fund, Class S*		103,937		11,588			54,286		61,239			941,237		-		200,021
											$	312,828,662	$	28,668	$	106,269
Destination Retirement 2035 Fund
Blue Chip Growth Fund, Class S		3,631		742			93		4,280		$	48,194	$	-	$	139
Capital Appreciation Fund, Class S*		470		10			55		425			4,734		-		46
Core Bond Fund, Class S*		2,644		417			145		2,916			32,222		-		(18	)
Core Opportunities Fund, Class S		1,558		467			57		1,968			19,409		-		90
Disciplined Growth Fund, Class S*		7,734		1,811			447		9,098			90,802		-		553
Disciplined Value Fund, Class S*		7,338		1,702			419		8,621			91,812		-		393
Discovery Value Fund, Class S*		-		0	†		-		0	†		1		-		-
Diversified Bond Fund, Class S*		95		-			-		95			1,010		-		-
Diversified International Fund, Class S		7,229		2,082			270		9,041			65,092		-		90
Diversified Value Fund, Class S		4,535		1,056			107		5,484			52,427		-		75
Focused International Fund, Class S*		1,877		443			44		2,276			27,376		-		40
Focused Value Fund, Class S		1,110		256			24		1,342			25,158		-		58
Fundamental Value Fund, Class S		6,277		1,513			252		7,538			83,445		-		237
Growth Opportunities Fund, Class, S		4,800		1,120			153		5,767			42,852		-		199
High Yield Fund, Class S*		1,285		684			251		1,718			15,614		-		21
Inflation-Protected and Income Fund, Class S*		809		737			26		1,520			16,374		-		7
International Bond Fund, Class S*		2,588		1,331			98		3,821			38,748		-		16
International Equity Fund, Class S*		2,603		991			84		3,510			52,373		-		114
Large Cap Growth Fund, Class S		5,510		1,212			132		6,590			64,116		-		149
Large Cap Value Fund, Class S		1,784		455			165		2,074			22,996		-		160
Main Street Small/Mid Cap Fund, Class S*		721		2			-		723			8,254		-		-
Mid Cap Growth Equity Fund, Class S		1,653		420			311		1,762			21,127		-		678
Mid Cap Growth Equity II Fund, Class S		2,191		504			117		2,578			44,113		-		367
Mid-Cap Value Fund, Class S		4,722		1,049			100		5,671			61,304		-		130
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		10,846		4,387			324		14,909			60,976		-		111
Oppenheimer Real Estate Fund, Class Y**		2,567		899			78		3,388			68,429		140		225
Overseas Fund, Class S		17,610		4,365			575		21,400			160,715		-		403
PIMCO Total Return Fund, Class S		1,446		213			142		1,517			15,508		-		8
Short-Duration Bond Fund, Class S*		3,138		698			520		3,316			35,285		-		53
Small Cap Growth Equity Fund, Class S		1,324		433			22		1,735			33,130		-		54
Small Cap Value Equity Fund, Class S		1,871		1,126			37		2,960			30,016		-		53
Small Company Growth Fund, Class S		2,017		552			237		2,332			25,274		-		560
Small Company Value Fund, Class S		1,877		417			388		1,906			28,349		-		855
Strategic Bond Fund, Class S		730		294			15		1,009			9,817		-		2
Strategic Emerging Markets Fund, Class S*		4,209		1,138			125		5,222			87,415		-		55
Value Fund, Class S*		553		7			40		520			7,989		-		68
											$	1,492,456	$	140	$	5,991
Destination Retirement 2040 Fund
Blue Chip Growth Fund, Class S		605,648		22,849			37,268		591,229		$	6,657,243	$	-	$	(5,751	)
Capital Appreciation Fund, Class S*		209,125		-			77,071		132,054			1,469,765		-		233,194
Core Bond Fund, Class S*		360,691		13,499			17,347		356,843			3,943,120		-		(193	)
Core Opportunities Fund, Class S		270,380		10,671			19,492		261,559			2,578,969		-		20,203
Disciplined Growth Fund, Class S*		1,084,893		38,310			61,090		1,062,113			10,599,890		-		(31,726	)
Disciplined Value Fund, Class S*		965,662		41,507			53,478		953,691			10,156,809		-		(207,559	)
Diversified Bond Fund, Class S*		15,057		-			1,917		13,140			139,411		-		35

179

Notes to Portfolio of Investments (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases			Sales		Number of Shares Held as of 3/31/11			Value as of 3/31/11		Dividend Income		Net Realized Gain  (Loss)
Destination Retirement 2040 Fund (Continued)
Diversified International Fund, Class S		1,113,764		83,567			66,976		1,130,355		$	8,138,560	$	-	$	(152,222	)
Diversified Value Fund, Class S		832,062		32,586			58,988		805,660			7,702,113		-		138,909
Focused International Fund, Class S*		246,035		31,684			17,399		260,320			3,131,644		-		68,412
Focused Value Fund, Class S		175,694		6,811			7,459		175,046			3,280,365		-		23,676
Fundamental Value Fund, Class S		1,147,125		46,662			99,841		1,093,946			12,109,984		-		(111,872	)
Growth Opportunities Fund, Class, S		956,715		34,485			105,749		885,451			6,578,900		-		3,866
High Yield Fund, Class S*		67,445		50,969			30,877		87,537			795,713		-		192
Inflation-Protected and Income Fund, Class S*		101,876		55,083			8,171		148,788			1,602,446		-		9,754
International Bond Fund, Class S*		260,000		73,553			14,364		319,189			3,236,572		-		(8,806	)
International Equity Fund, Class S*		487,342		31,856			28,036		491,162			7,328,144		-		(56,092	)
Large Cap Growth Fund, Class S		907,148		37,848			53,318		891,678			8,676,023		-		151,433
Large Cap Value Fund, Class S		300,034		14,008			45,810		268,232			2,974,692		-		(22,474	)
Main Street Small/Mid Cap Fund, Class S*		499,025		-			12,687		486,338			5,549,116		-		13,044
Mid Cap Growth Equity Fund, Class S		348,626		11,239			36,090		323,775			3,882,062		-		35,944
Mid Cap Growth Equity II Fund, Class S		341,316		11,731			29,764		323,283			5,531,369		-		40,143
Mid-Cap Value Fund, Class S		806,915		31,913			54,799		784,029			8,475,357		-		(9,025	)
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		1,753,962		223,987			48,808		1,929,141			7,890,186		-		41,789
Oppenheimer Real Estate Fund, Class Y**		403,677		28,877			11,690		420,864			8,501,444		17,425		96,415
Overseas Fund, Class S		2,656,032		131,677			142,997		2,644,712			19,861,791		-		(64,404	)
PIMCO Total Return Fund, Class S		214,054		2,737			15,009		201,782			2,062,213		-		783
Short-Duration Bond Fund, Class S*		464,800		36,512			114,300		387,012			4,117,812		-		30,281
Small Cap Growth Equity Fund, Class S		142,445		28,022			18,555		151,912			2,900,006		-		59,746
Small Cap Value Equity Fund, Class S		286,252		47,320			12,049		321,523			3,260,239		-		1,314
Small Company Growth Fund, Class S		193,339		24,418			19,975		197,782			2,143,960		-		95,540
Small Company Value Fund, Class S		231,429		10,363			16,216		225,576			3,354,314		-		22,543
Strategic Bond Fund, Class S		45,956		43,488			2,243		87,201			848,469		-		2,714
Strategic Emerging Markets Fund, Class S*		688,043		20,589			29,547		679,085			11,367,886		-		200,992
Value Fund, Class S*		61,553		4,154			3,886		61,821			950,190		-		20,259
											$	191,796,777	$	17,425	$	641,057
Destination Retirement 2045 Fund
Blue Chip Growth Fund, Class S		4,068		335			185		4,218		$	47,492	$	-	$	310
Capital Appreciation Fund, Class S*		687		-			72		615			6,842		-		66
Core Bond Fund, Class S*		868		29			65		832			9,197		-		(13	)
Core Opportunities Fund, Class S		1,541		125			72		1,594			15,717		-		121
Disciplined Growth Fund, Class S*		7,142		463			321		7,284			72,692		-		411
Disciplined Value Fund, Class S*		6,804		437			302		6,939			73,899		-		289
Discovery Value Fund, Class S*		-		0	†		-		0	†		2		-		-
Diversified Bond Fund, Class S*		52		-			-		52			550		-		-
Diversified International Fund, Class S		7,841		736			529		8,048			57,944		-		181
Diversified Value Fund, Class S		4,984		643			252		5,375			51,390		-		210
Focused International Fund, Class S*		1,841		229			70		2,000			24,056		-		69
Focused Value Fund, Class S		1,101		82			38		1,145			21,450		-		99
Fundamental Value Fund, Class S		6,994		737			370		7,361			81,485		-		377
Growth Opportunities Fund, Class, S		5,236		423			252		5,407			40,174		-		349
High Yield Fund, Class S*		547		90			40		597			5,422		-		10
Inflation-Protected and Income Fund, Class S*		515		172			34		653			7,034		-		6
International Bond Fund, Class S*		2,078		280			331		2,027			20,551		-		66
International Equity Fund, Class S*		2,903		448			134		3,217			47,993		-		195
Large Cap Growth Fund, Class S		6,075		498			257		6,316			61,458		-		325
Large Cap Value Fund, Class S		1,946		140			136		1,950			21,625		-		141
Main Street Small/Mid Cap Fund, Class S*		1,791		-			268		1,523			17,383		-		383
Mid Cap Growth Equity Fund, Class S		1,771		134			182		1,723			20,655		-		401
Mid Cap Growth Equity II Fund, Class S		2,498		139			117		2,520			43,125		-		389

180

Notes to Portfolio of Investments (Unaudited) (Continued)

	Number of Shares Held as of 12/31/10		Purchases		Sales		Number of Shares Held as of 3/31/11		Value as of 3/31/11		Dividend Income		Net Realized Gain  (Loss)
Destination Retirement 2045 Fund (Continued)
Mid-Cap Value Fund, Class S		5,284		332		183		5,433	$	58,736	$	-	$	270
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		11,370		2,095		572		12,893		52,733		-		192
Oppenheimer Real Estate Fund, Class Y**		2,755		186		161		2,780		56,155		115		461
Overseas Fund, Class S		17,682		1,195		727		18,150		136,303		-		528
PIMCO Total Return Fund, Class S		327		9		5		331		3,381		-		0	#
Short-Duration Bond Fund, Class S*		1,316		58		383		991		10,546		-		39
Small Cap Growth Equity Fund, Class S		1,471		212		166		1,517		28,964		-		404
Small Cap Value Equity Fund, Class S		1,994		581		60		2,515		25,503		-		96
Small Company Growth Fund, Class S		2,116		156		227		2,045		22,171		-		526
Small Company Value Fund, Class S		1,972		119		437		1,654		24,588		-		840
Strategic Bond Fund, Class S		167		51		6		212		2,066		-		1
Strategic Emerging Markets Fund, Class S*		4,457		331		237		4,551		76,186		-		51
Value Fund, Class S*		665		-		46		619		9,513		-		80
									$	1,254,981	$	115	$	7,873
Destination Retirement 2050 Fund
Blue Chip Growth Fund, Class S		88,729		13,688		4,550		97,867	$	1,101,985	$	-	$	16,466
Capital Appreciation Fund, Class S*		28,383		427		6,884		21,926		244,032		-		11,390
Core Bond Fund, Class S*		18,569		1,659		130		20,098		222,083		-		(1	)
Core Opportunities Fund, Class S		36,675		6,430		2,061		41,044		404,695		-		2,275
Disciplined Growth Fund, Class S*		157,020		25,224		12,389		169,855		1,695,148		-		48,578
Disciplined Value Fund, Class S*		140,127		23,751		6,028		157,850		1,681,108		-		17,787
Discovery Value Fund, Class S*		-		18		-		18		192		-		-
Diversified Bond Fund, Class S*		1,603		-		33		1,570		16,657		-		0	#
Diversified International Fund, Class S		153,740		31,569		9,530		175,779		1,265,610		-		24,109
Diversified Value Fund, Class S		112,765		22,201		5,959		129,007		1,233,310		-		21,391
Focused International Fund, Class S*		34,912		9,959		1,473		43,398		522,080		-		5,910
Focused Value Fund, Class S		23,489		3,744		711		26,522		497,013		-		7,182
Fundamental Value Fund, Class S		156,298		31,317		9,131		178,484		1,975,817		-		38,972
Growth Opportunities Fund, Class, S		123,861		20,669		7,896		136,634		1,015,188		-		29,710
High Yield Fund, Class S*		10,607		3,514		866		13,255		120,490		-		326
Inflation-Protected and Income Fund, Class S*		7,185		3,487		645		10,027		107,992		-		302
International Bond Fund, Class S*		34,359		7,472		5,422		36,409		369,183		-		6,256
International Equity Fund, Class S*		70,376		14,909		2,742		82,543		1,231,547		-		16,803
Large Cap Growth Fund, Class S		122,902		22,719		5,477		140,144		1,363,602		-		13,551
Large Cap Value Fund, Class S		44,751		8,351		3,957		49,145		545,012		-		16,569
Main Street Small/Mid Cap Fund, Class S*		67,022		613		5,080		62,555		713,758		-		22,717
Mid Cap Growth Equity Fund, Class S		47,410		6,867		1,440		52,837		633,516		-		8,538
Mid Cap Growth Equity II Fund, Class S		46,491		7,197		2,633		51,055		873,552		-		22,865
Mid-Cap Value Fund, Class S		106,763		17,433		3,377		120,819		1,306,058		-		15,240
Oppenheimer Commodity Strategy Total Return Fund, Class Y**		225,354		62,463		6,354		281,463		1,151,182		-		6,955
Oppenheimer Real Estate Fund, Class Y**		49,748		10,985		1,289		59,444		1,200,772		2,424		11,738
Overseas Fund, Class S		373,354		62,391		15,095		420,650		3,159,084		-		51,198
PIMCO Total Return Fund, Class S		9,403		529		86		9,846		100,628		-		4
Short-Duration Bond Fund, Class S*		39,044		3,454		6,797		35,701		379,861		-		856
Small Cap Growth Equity Fund, Class S		18,659		7,244		2,947		22,956		438,231		-		22,572
Small Cap Value Equity Fund, Class S		39,412		13,475		1,232		51,655		523,783		-		6,179
Small Company Growth Fund, Class S		39,976		8,885		2,102		46,759		506,870		-		11,513
Small Company Value Fund, Class S		34,271		6,728		4,482		36,517		543,005		-		29,700
Strategic Bond Fund, Class S		2,696		1,108		102		3,702		36,016		-		84
Strategic Emerging Markets Fund, Class S*		94,649		12,918		3,702		103,865		1,738,700		-		18,757
Value Fund, Class S*		12,246		517		2,266		10,497		161,342		-		7,825
									$	29,079,102	$	2,424	$	514,317

181

Notes to Portfolio of Investments (Unaudited) (Continued)

* MassMutual Premier Fund.

** Fund advised by OppenheimerFunds, Inc.

† Amount is less than 0.50 shares.

# Amount is less than $0.50.

5. Legal Proceedings

On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds of the leveraged buy-out. The Official Committee seeks to recover payments of those proceeds.

The potential amounts sought to be recovered from the Diversified Value Fund and Indexed Equity Fund, plus interest and the Official Committee’s court costs, are approximately $1,621,800 and $1,186,430, respectively. The Funds cannot predict the outcome of this proceeding. If the proceeding were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Official Committee, the payment of such judgment or settlement could have a material adverse effect on the Funds’ net asset values.

6. Subsequent Events

The name changes noted above for the BlackRock Global Allocation Fund and Growth Opportunities Fund were effective April 1, 2011.

182

Item 2. Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))), are effective, as of a date within 90 days of the filing date of this Form N-Q, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3. Exhibits.

(a) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) MassMutual Select Funds

By	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer
Date	5/26/11

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	/s/ Eric Wietsma
	Eric Wietsma, President and Principal Executive Officer
Date	5/26/11
By	/s/ Nicholas H. Palmerino
	Nicholas H. Palmerino, Treasurer and Principal Financial Officer
Date	5/26/11