Our investment philosophy - How we can earn your confidence - MassMutual
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Our investment philosophy How we can earn your confidence
TA B L E O F C O N T E N T S 1 In times like these 3 Investment philosophy 5 Portfolio management 9 Portfolio construction 10 Sector overview: Putting it all together 18 Earning your confidence
In times like these,
confidence matters most
Built on more than a century-and-a-half of financial strength and customer
service, Massachusetts Mutual Life Insurance Company (MassMutual®) is
a leading mutual life insurance company that is run for the benefit of its
members and participating policyowners.* MassMutual offers a wide range
of protection, accumulation, wealth management, and retirement products
and services.
Strength and stability Mutuality
Our continued financial strength supports As a mutual life insurance company, we
the value of our products and services. do not have shareholders. We operate
Our clients trust us with their long-term for the benefit of our members and
financial protection, and effective investment participating policyowners. We are able to
management is an essential factor supporting take a long-term view when investing and
that trust. As recent history has confirmed, focus less on short-term fluctuations in
investment markets can be volatile, and it is asset values.
reassuring for our policyowners and clients to
We are long-term investors concerned
know that they can depend on MassMutual.
with meeting commitments that stretch
The company has been continually guided by
far into the future.
one consistent purpose: We help people secure
their future and protect the ones they love.SM
* A participating policyowner is typically an owner of an individual policy issued by MassMutual who benefits from the
company’s mutual status by being eligible to share in any annual dividends, if declared. Dividends are not guaranteed.
1
Diversity R AT I N G * M A S S AC H U S E T T S M U T UA L
L I F E I N S U R A N C E C O M PA N Y A N D
Our investment management expertise,
S U B S I D I A RY C O M PA N I E S
which is integral to the success of our company
and our products, is drawn primarily from our We have financial strength ratings that are
investment subsidiary: Barings, a public and among the highest in the industry.
private fixed income, real estate, and equity
manager with global investment expertise A.M. Best Company A++ (Superior)
and reach.
You should be confident that the company Fitch Ratings AA+ (Very Strong)
providing you with financial services is strong
and will be there to help you, not just now
but well into the future. MassMutual offers Moody’s Investors Aa3 (High Quality)
that confidence so you can worry less about Service
the future and spend more time enjoying
the present. A key reason you can trust S&P Global Ratings AA+ (Very Strong)
MassMutual is our approach to investing.
* Ratings are for Massachusetts Mutual Life Insurance Company and its subsidiaries, C.M. Life Insurance Company and
MML Bay State Life Insurance Company. Ratings are current as of May 21, 2021, and are subject to change.
2
Investment philosophy
MassMutual and Barings, the primary investment adviser for MassMutual’s
General Investment Account (GIA), share the same philosophy relative
to the investment of policyowner assets. This philosophy provides the
framework for GIA portfolio construction and investment decision-making.
The following are the keys to our approach.
In our pursuit of consistent long-term
returns, we use a two-pronged approach We seek to generate
to manage the GIA. long-term, stable investment
performance to support
• A top-down process, where we work to
MassMutual’s financial strength
identify the global economic and market
and ability to meet its financial
factors that will drive returns across
commitment to policyowners.
asset classes and seek to optimize the
portfolio allocation across these classes
• A bottom-up approach, where our Diversification within and across asset classes
investment professionals identify increases the opportunity to capture positive
individual investments that offer returns across issuers and sectors while
the appropriate level of risk/reward minimizing the impact of underperformance.
relative to alternatives Other components of our approach include:
• Through rigorous analysis, our
Through the regular application of this
investment professionals use a relative
approach, we seek to position the portfolio
value approach to security selection,
to capture evolving opportunities, while
seeking to buy undervalued securities
remaining invested across a variety of asset
and sectors, while selling those more
classes to incorporate a significant level
fully valued. A regular assessment of
of risk diversification.
value allows us to capitalize on market
We believe that one cannot consistently inefficiencies in the valuation of
predict the level or direction of markets. securities, sectors, and asset classes
As a result, diversification is a prudent,
appropriate response to managing risks
through market fluctuations.
3• We rely on experienced teams of • In assessing investment opportunities,
specialists focused on a range of we distill the numerous factors that
sectors to help manage the GIA. Our can impact value down to basic,
common goal is the success of the understandable concepts to facilitate
overall enterprise rather than the comparison. It pays to be skeptical of
success of specific sectors, resulting opportunities that are unrealistic or
in a collaborative approach where not credible
objective analysis produces optimal • Ultimately, our objective is to
long-term investment performance profitably grow the GIA for the benefit
• We regularly assess the risk and return of the policyowners. The continual
potential of developing asset classes to review, refinement, and application
identify opportunities to enhance the of our investment process support
long-term performance of the GIA that objective
T O TA L I N V E S T E D A S S E T S *
$208 Billion as of December 31, 2020
Statement Value % of Total
Asset Class ($ Millions) Invested Assets
Public Bonds 1 $58,245 28.0%
Private Bonds 48,638 23.4
Equity 2 1,594 0.8
Mortgage Loans 3 25,930 12.4
Policy Loans 15,843 7.6
Real Estate Equity 4 362 0.2
Partnerships & LLCs 5 9,605 4.6
Short-Terms & Cash 5,759 2.8
Other Invested Assets 6 42,080 20.2
$208,056 100%
1 Includes Rule 144A and Reg S registered securities
2 Equity includes unaffiliated preferred and common equity
3 Includes $4,010 million of residential mortgage pools
4 Includes $265 million of real estate occupied by the company
5 Schedule BA assets
6 Includes common stock of subsidiaries and affiliates, derivatives, and receivables for securities
* The figures represented are consolidated financial information for Massachusetts Mutual Life Insurance Company and its
wholly-owned U.S. domiciled life insurance subsidiaries, C.M. Life Insurance Company and MML Bay State Life Insurance
Company. All information regarding MassMutual’s investment portfolio excludes $13,796 million of funds withheld given
that 100% of associated investment risk is reinsured. The funds withheld investment portfolio has counterparty protections
in place including investment guidelines that were established to meet MassMutual’s risk management objectives.
4Portfolio management
Overview various economic conditions. Duration is the
sensitivity of a security’s price to changes
The GIA consists primarily of assets that in interest rates. We project liability cash
support our insurance and retirement flows under various economic and behavioral
products. We organize the assets into smaller scenarios for the products supported by each
portfolios to better manage the assets portfolio. We then construct asset portfolios
relative to the liabilities. The nature of the with duration profiles similar to those of the
product liabilities serves as the foundation for liabilities. By closely managing the duration of
the investment policies that are developed the assets relative to that of the liabilities, we
for each portfolio. An investment policy strive to mitigate the impact that changes in
provides the general framework for how a interest rates will have on our ability to meet
portfolio is constructed and managed by policyowner needs.
specifying acceptable levels of exposure
to issuers, asset sectors, asset classes, and Derivatives are an integral component of our
other dimensions of diversification. Put ALM and portfolio management processes.
another way, investment policies integrate Derivatives are instruments whose returns are
the liabilities’ return objectives, sensitivities based on, or “derived” from, the performance
to changing economic conditions, expected of other securities or market indices. They
cash flows, risk tolerances, and other factors include such widely used financial tools as
to help determine portfolio composition. swaps, futures, and options. Derivatives
We use both quantitative and qualitative may offset asset or liability risks, provide
approaches to analyze the liabilities in normal additional return, or both. Some derivatives
and stressed environments. By developing are particularly useful for managing interest
a deeper understanding of the liabilities and rate risk and MassMutual uses derivatives
their behavior in different environments, we extensively for this purpose. Some derivatives
are better able to develop an appropriate may be combined with other investments
investment policy and strategy. The asset to capture incremental returns or to mirror
portfolios are constructed and managed within the economics of conventional bonds while
these allowable ranges to support the return gaining exposure to issuers or security types
objectives of the liabilities. that might otherwise be unavailable. It is
important to remember that most derivatives
are collateralized, either directly with the
Asset/liability trade counterparty or indirectly through a
management (ALM) clearinghouse. Either way, this means that the
market value of a contract is backed by cash
ALM is a key component of our approach to
or high quality securities held in trust. Finally,
managing the GIA and involves the analysis
MassMutual does not use derivatives for
of cash flows and maturities of the liabilities
speculative purposes.
and their corresponding assets. These cash
flows can differ based on their sensitivity to
5Liquidity management corporate needs and $6 billion of secured
borrowing capacity with Federal Home Loan
Liquidity management works in conjunction Bank of Boston (FHLB Boston). While our
with ALM to ensure MassMutual has the liquidity planning does not rely on the ability to
ability to meet policyowner needs while not issue commercial paper or borrow from FHLB
forcing the sales of assets at inopportune Boston, they add to our financial flexibility.
times. Cash flow and liquidity needs are
routinely addressed as part of the investment
management process. We also perform
Risk management
periodic liquidity stress testing to review both Portfolio, ALM, and liquidity analysis help
potential needs and the sources of these to monitor and manage the investment
needs. This analysis of possible demands on risks of a portfolio. Investment risks exist in
portfolio liquidity under adverse scenarios different forms, including but not limited to
confirms that the company continues to have the following:
a strong liquidity position. The GIA maintains a
large share of its assets in high-quality public • Interest rate risk, or a change in
bonds and short-term investments that can be interest rates, can change the fair
sold quickly and easily to satisfy policyowner value of debt securities
and client needs, if necessary. However, • Credit risk, or the risk of a rating
such sales are unlikely as the company has change, can impact the value of a bond
historically enjoyed strong positive cash • Default risk can impact the value
flow. Moreover, MassMutual has a $1 billion of a bond, even in the event of
commercial paper program which permits it eventual repayment
to borrow on a short-term basis for various
6• Prepayment risk, or the risk of used to measure and monitor exposures to
changes in the timing of cash the investment risks. Various strategies are
flows from a security, can impact employed to protect our portfolios from
the duration management of adverse consequences that might arise
the portfolio from significant changes in the economic
• Liquidity risk is the risk that you environment. Our value-driven investment
can’t sell a security at a fair value approach leads us to consider a broad range
of investments for potential purchase. Riskier
Working within these risk parameters, the investments may be purchased when we are
goal of prudent portfolio management is compensated for the risks involved. However,
to structure the risk/reward profile of the there are issuer and overall quality limits for
investment portfolio in an optimal manner each portfolio and for the entire GIA.
relative to the liabilities. Sophisticated
quantitative techniques and systems are
R AT I N G D I S T R I B U T I O N O F L O N G - T E R M B O N D S
$107 Billion as of December 31, 2020
NAIC % of Total % of Total
Rating Equivalent Rating Statement Value Long-Term Invested
Category Agency Designation ($ Millions) Bonds Assets
1 AAA, AA, A $53,951 50.5% 25.9%
2 BBB 41,988 39.3 20.2
3 BB 4,697 4.4 2.2
4 B 3,046 2.8 1.5
5 Lower Quality 2,668 2.5 1.3
6 In or Near Default 533 0.5 0.3
$106,883 100% 51.4%
78
Portfolio construction
We employ a disciplined approach to portfolio construction.
Beginning with the potential universe of A by-product of this monitoring is our ability
securities as defined in the investment to regularly invest in attractive opportunities
policy, potential and current investments are while limiting or reducing our exposure to
viewed through risk/reward and economic fully valued sectors. This consistent approach
frameworks. The former incorporates translates into holding investments across
relative value and risk perspectives, while vintage, sector, and maturity spectrums,
the latter considers the sensitivities to allowing us to harvest the gains from some,
economic variables. Diversification across while providing others with more time
these perspectives increases the likelihood to develop. By always being in the
of achieving the investment objectives with market for opportunities, we believe we
reduced volatility, while limiting the impact increase our awareness of and access to
of a potential loss from any one security, attractive opportunities.
issuer, or event. Prudent portfolio construction
Finally, the regular cash flow of a debt
dictates that we focus on both the return
security helps provide the funds we use to
of and return on principal. Principal losses
pay policyowner benefits and enables us to be
on investments require that the remaining
steady asset buyers in all market environments.
assets generate higher returns on principal to
Consistent market participation across asset
maintain expected portfolio returns.
classes promotes market intelligence. Other
Reflecting the conservative approach that best asset classes in which we invest can provide
helps us provide value to our policyowners, returns in the form of price appreciation,
the core of our GIA is comprised of bond dividends, earnings, or other distributions that
holdings, or debt instruments issued by may, unlike the required coupon of a debt
governments, corporations, and other entities. security, fluctuate in value.
The conditions and expectations related to the
debt of specific issuers determine the relative
value and expected performance of a security.
Industries and security classes differ as to their
sensitivity to economic cycles, the impact of
future conditions and events, and idiosyncratic
risk factors, leading us to regularly monitor
market conditions as we assess relative value.
9Sector overview: Putting it all together
Our general approach to security selection begins with analyzing issuers and
then determining the appropriate way to invest in them. The issuer provides
diversification, while the security provides a method to assess relative value.
Government debt impact. We reduce the risk further by
limiting exposure to individual issues,
U.S. government and agency debt have
issuers, and industry sectors. We have included
appeal for their typically lower relative credit
several tables that we believe provide insight
risk, high level of liquidity, and extensive
into how we manage the bond portfolio. In
range of maturities. As a result, these issues
the table below, you will note the low absolute
are important components of our liquidity
level of exposure in the top 10 long-term
management and ALM processes.
corporate bond obligors, while in other tables
you will see a high level of industry diversifi-
Corporate debt cation and limited exposure to lower-rated
issues. The largest long-term corporate bond
Corporate debt provides an opportunity obligor represents less than 0.2% of Total
to invest in a range of companies, industries, Invested Assets, while the 10 largest long-term
credit ratings, and maturities that provide corporate bond obligors combined are 1.2% of
yields greater than those earned by Total Invested Assets. Our average exposure
government debt. While investing in corporate across obligors remains relatively small as we
debt introduces default risk, diversification maintain broad diversification.
serves to reduce the potential adverse
1 0 L A R G E S T L O N G - T E R M C O R P O R AT E B O N D O B L I G O R S
December 31, 2020
Statement Value NAIC % of Total
Rank Obligor ($ Millions) Rating* Invested Assets
1 AT&T, Inc. $316 2 0.2%
2 CVS Health Corporation 289 2 0.1
3 Comcast Corporation 246 1 0.1
4 Anheuser-Busch InBev SA/NV 240 2 0.1
5 Vanguard Group, Inc. (The) 234 1 0.1
6 UnitedHealth Group, Inc. 230 1 0.1
7 Verizon Communications, Inc. 229 2 0.1
8 Mars, Inc. 222 1 0.1
9 Walmart, Inc. 214 1 0.1
10 Microsoft Corporation 212 1 0.1
* Rating reflects weighted average for issuers with multiple ratings
10L O N G - T E R M B O N D D I V E R S I F I C AT I O N
December 31, 2020
% of Total
Statement Value % of Total Invested
Sector ($ Millions) Long-Term Bonds Assets
U.S. Treasury $4,125 3.9% 2.0%
U.S. Agency 1,973 1.9 0.9
Municipal/Sovereign 5,705 5.3 2.7
Mortgage-Backed Securities — Residential 2,209 2.1 1.1
Mortgage-Backed Securities — Commercial 2,299 2.2 1.1
Asset-Backed Securities 14,104 13.2 6.8
Other1 1,769 1.7 0.9
Corporate Credit (by Industry)
Banking 1,635 1.5 0.8
Basic Industry 2,987 2.8 1.4
Capital Goods 4,898 4.6 2.4
Communications 2,814 2.6 1.4
Consumer Cyclical 4,060 3.8 2.0
Consumer Non-Cyclical 4,743 4.4 2.3
Energy 3,576 3.4 1.7
Finance Companies 5,609 5.2 2.7
Financial Institutions — All Other 2,273 2.1 1.1
Government-Related 483 0.5 0.2
Healthcare 5,276 4.9 2.5
Industrial Other 3,776 3.5 1.8
Insurance 1,852 1.7 0.9
Investment Funds 3,214 3.0 1.5
Real Estate/REIT 7,931 7.4 3.8
Technology 2,496 2.3 1.2
Transportation 6,606 6.2 3.2
Utility 10,470 9.8 5.0
Total $106,883 100% 51.4%
1 Holding company debt
11Within corporate bonds, some issues may be Structured securities
secured by specific assets while others may
be secured by general assets. The security Investment in structured securities is another
interest or type of lien can vary from senior to method of diversifying portfolio holdings.
subordinated to unsecured, depending on the Through structured securities, investors gain
financial strength of the issuer, the nature of exposure to a diversified pool of individual
the debt issue, and other factors. The multiple assets providing exposure to a range of
facets of an issue offer different combinations borrowers, asset types, regions, and industries.
of risk and return. As we consider investments This diversification across multiple dimensions
across industry sectors, credit ratings, and serves to reduce the aggregate credit risk of
asset classes, these characteristics will differ these securities. Some of the primary risks
in importance. of structured securities are related to the
timing of cash flows. If interest rates decline,
Our active, global network of investment borrowers may prepay or refinance their
professionals is able to provide the GIA higher coupon loans early. If interest rates rise,
portfolio with access to issuers and attractive borrowers may retain their lower coupon loans
investment opportunities across the longer. Either way, the timing of expected
world. Our international bond exposure of cash flows can change, affecting the value of
$30.7 billion, or 14.8% of Total Invested Assets, the securities. For taking on this risk, investors
reflects our ability to capitalize on global can be rewarded with higher yields. There
opportunities. The holdings by region are are numerous variations on these structures,
shown in the table below. but the key is that investors can select the
class offering the combination of features
important to them.
I N T E R N AT I O N A L L O N G - T E R M B O N D D I V E R S I F I C AT I O N
December 31, 2020
Statement Value % of Total
Region ($ Millions) Invested Assets
United Kingdom $9,476 4.6%
Europe 9,218 4.4
Australia/New Zealand 4,121 2.0
Latin America/Caribbean 3,014 1.4
Asia 2,153 1.0
Canada 1,800 0.9
Middle East/Africa 952 0.5
$30,734 14.8%
12Products exist for a number of collateral securities to the underlying collateral to
types, including corporate bonds, leveraged facilitate evaluation and analysis. Purchase
loans, commercial mortgage loans, residential of these instruments for our portfolios arises
mortgage loans, and other types of lending naturally from the consistent application of
to businesses and consumers. Securities our value-driven investment philosophy, which
backed by leveraged loans are referred to seeks the most attractive risk/reward available
as collateralized loan obligations (CLOs). from the array of suitable investments.
We manage and invest in CLOs, and have
developed specialized analytic systems In addition to our securitized exposure, we
to help us look through these structured invest in residential mortgage loan pools.
C O M M E R C I A L M O R T G A G E L O A N D I V E R S I F I C AT I O N
December 31, 2020
% of Total % of Total
Statement Value # of Commercial Invested
Property Type ($ Millions) Properties Mortgage Loans Assets
Office $7,382 92 33.7% 3.5%
Apartment 5,650 159 25.8 2.7
Retail 2,854 42 13.0 1.4
Industrial 2,725 189 12.4 1.3
Hotel 2,574 43 11.7 1.2
Other1 735 45 3.4 0.4
$21,920 570 100% 10.5%
% of Total % of Total
Statement Value # of Commercial Invested
Region ($ Millions) Properties Mortgage Loans Assets
West $6,451 143 29.4% 3.1%
Northeast 3,158 40 14.4 1.5
Midwest 3,045 106 13.9 1.5
Mid-Atlantic 2,869 68 13.1 1.4
Southwest 2,700 86 12.3 1.3
Southeast 926 39 4.2 0.4
United Kingdom 2,173 69 9.9 1.0
Europe 364 12 1.7 0.2
Canada 234 7 1.1 0.1
$21,920 570 100% 10.5%
1 Includes $370 million of senior housing, $291 million of parking garages, $32 million of land, and $42 million of other
13These are similar to publicly traded mortgage Commercial real estate
pass-through securities, but they are whole
loans and not securitized. As a result, they Investing in commercial real estate provides
typically have higher yields than residential another source of potentially attractive
mortgage-backed securities (RMBS) while returns that are less correlated with other
providing more stable cash flows than the asset classes and helps to diversify risks across
typical RMBS. A majority of the $4.0 billion a wider variety of sources. Our affiliated asset
of loans underlying these pools have manager, Barings, handles the vast majority
government support from either the Federal of our real estate investment management.
Housing Administration or Department of Consistent with other members of the
Veterans Affairs.
R E A L E S TAT E E Q U I T Y D I V E R S I F I C AT I O N *
December 31, 2020
% of Total % of Total
Statement Value # of Real Estate Invested
Property Type ($ Millions)** Properties Equity Assets
Office $535 28 47.0% 0.3%
Apartment 313 13 27.5 0.1
Industrial 95 32 8.3 0.0
Retail 53 24 4.7 0.0
Hotel 23 3 2.0 0.0
Other 1 120 8 10.5 0.1
$1,139 108 100% 0.5%
% of Total % of Total
Statement Value # of Real Estate Invested
Region ($ Millions)** Properties Equity Assets
West $341 10 29.9% 0.2%
Mid-Atlantic 250 10 21.9 0.1
Southeast 99 7 8.7 0.1
Northeast 59 7 5.2 0.0
Southwest 25 1 2.2 0.0
Europe2 282 67 24.8 0.1
United Kingdom 83 6 7.3 0.0
$1,139 108 100% 0.5%
1 Includes $63 million of land, $33 million of parking garages, and $24 million of condos
2 Includes $142 million of Germany, $72 million of Spain, and $68 million of other European countries
* Includes $1,042 million of Schedule BA assets and excludes $265 million of real estate occupied by the company
** Statement value is net of reserves, depreciation, and debt
14investment management organization, its goal is cash flows. As a result of our ability to direct
to generate value for the policyowners. control of the underlying real estate in
distressed situations, we emphasize CMLs over
Commercial mortgage loans (CMLs) are one
CMBS, but both play a part in constructing
of the three primary methods we have for
a diversified portfolio best able to generate
investing in the sector. CMLs are secured
attractive long-term returns for the GIA.
by all major property types including office,
apartment, retail, industrial, and hotel. As
shown in the charts on page 13, our year-end Equity investments
2020 holdings of $21.9 billion, or 10.5% of Total
While the investment strategy of the GIA is
Invested Assets, are diversified geographically
focused predominately on high quality fixed
and by property type, and are typically
income assets, the GIA does have an appetite
secured against properties with stabilized
for equity assets, including real estate equity.
cash flows. The direct investments in CMLs
Equity investments provide another means for
enable extensive up-front due diligence and
investing in diverse issuers. Benefits of equity
offer the ability to structure loan terms and
investing include the opportunity to capitalize
covenants that can help mitigate potential risks
on changing prospects for companies and
associated with future property performance.
industries, to enjoy returns that are not highly
Using our network of regional offices, we
correlated with returns on other asset classes,
rely on commercial real estate professionals
and to invest in issuers or industries that
from both the debt and equity disciplines to
don’t have much debt outstanding. While not
proactively monitor, identify, and assess local
guaranteed, equity investments can provide
market trends. This same level of diligence and
some level of inflation protection in their
surveillance is continued through the life of the
underlying value, an attractive feature to
loan, with a dedicated team of asset managers
have in the current environment. Many of
that closely monitors the ongoing performance
the characteristics of equity investments
of the borrower in relation to the markets and
align with the GIA’s long-term goals, thus
the borrowers’ business plans.
we opportunistically seek value in our
We use a similar approach when investing in equity investing.
commercial mortgage-backed securities (CMBS).
We invest in the public and private equity
We are opportunistic participants in this sector,
markets both held directly and through limited
with a bias toward the highest quality issues
partnerships. Publicly listed shares are readily
where we underwrite the underlying loans as part
available and are fairly liquid, however the
of our analysis. We participate when conditions
typical investor is far removed from the senior
are favorable or when the opportunities would
management of the enterprise. Conversely,
complement our CML portfolio. At year-end
private equity is less liquid, requiring a
2020, our CMBS holdings were $2.3 billion of
longer-term focus, and is typically available
which over 81% were considered investment
in a limited partnership or similar structure,
grade by the NAIC.
thus limiting the total number of company
Overall, we have assembled a portfolio of CMLs owners. Private equity increases opportunities
and CMBS to well-qualified borrowers whose for us to be closer to the senior management
loans are backed predominantly by priority of the enterprise in which we are investing.
secured liens against properties with stabilized
15As a result, private equity makes up the Why are issuer and
larger portion of the equity portfolio and has
provided significant benefits for many years,
asset sector diversification
both directly through ownership and indirectly so important?
through attractive lending opportunities that
Diversification is a key component of our
arise from these relationships.
strategy to generate competitive long-term
At year-end 2020, we also had real estate returns for the GIA and reduce idiosyncratic
equity investments, directly and through funds risk, while ensuring that we are able to
and partnerships, of $1.1 billion or 0.5% of Total meet our obligations to policyowners. A
Invested Assets. Similar to mortgage loans, well-diversified GIA results from the approach
real estate equity provides a source of return our investment professionals take to assess
that is less correlated with other asset classes the relative value of asset sectors and issuers
and helps to diversify our returns across a as they make investment decisions. While past
larger group of investments, minimizing the returns may not be replicated in the future,
impact of any one event. we believe it is prudent to review past asset
behavior as part of a framework for assessing
potential future outcomes.
A S S E T C L A S S / S E CTO R R E T U R N H I STO RY
December 31, 2020
Calendar Year Returns* 2011 2012 2013 2014 2015
Investment Grade Bonds 7.84 4.21 -2.02 5.97 0.55
Investment Grade Credit1 8.35 9.37 -2.01 7.53 -0.77
RMBS1 6.23 2.59 -1.41 6.08 1.51
High Yield Bonds 4.98 15.81 7.44 2.45 -4.47
Developing Nation Bonds 7.35 17.44 -5.25 7.43 1.18
Bank Loans 1.82 9.44 6.15 2.06 -0.38
Large Cap Equity 2.11 16.00 32.39 13.69 1.38
Small Cap Equity -4.18 16.35 38.82 4.89 -4.41
International Equity -11.73 17.90 23.29 -4.48 -0.39
Real Estate Equity 7.28 20.14 3.21 30.43 3.04
Gold 9.63 6.08 -28.65 -1.75 -10.88
3 Month Treasury Bill 0.08 0.07 0.05 0.03 0.03
Highest return is blue, second highest is green while third highest is red
1 These are components of the larger investment grade bond sector
* Sourced from FactSet Research Systems, Inc. as of May 5, 2021
16The table on the preceding page and continued many of these asset classes as buyers and
on this page features many of the asset sellers while focusing the core of our portfolio
classes and sectors in which we invest and on the more stable (primarily debt) asset
their total returns for the past 10 years. Over classes. Conversely, the more stable classes
relatively short periods, an investor can earn may not provide enough return to grow
significant returns from certain asset classes; our portfolio adequately. By investing in a
however, these asset classes frequently broad combination of these asset classes, we
experience reversals. This volatility supports believe the GIA is best able to deliver on the
our approach of regularly participating in expectations placed upon it.
A S S E T C L A S S / S E CTO R R E T U R N H I STO RY
December 31, 2020
Annualized Total Return
2016 2017 2018 2019 2020 5 YRS 10 YRS
2.65 3.54 0.01 8.72 7.51 4.44 3.84
5.63 6.18 -2.11 13.80 9.35 6.44 5.40
1.67 2.47 0.99 6.35 3.87 3.05 3.01
17.13 7.50 -2.08 14.32 7.11 8.59 6.80
10.15 10.26 -4.26 15.04 5.26 7.08 6.22
9.88 4.25 1.14 8.17 2.78 5.19 4.47
11.96 21.83 -4.38 31.49 18.40 15.22 13.89
21.31 14.65 -11.01 25.52 19.96 13.26 11.20
1.51 25.62 -13.36 22.66 8.28 7.97 6.00
7.55 3.91 -3.87 24.34 -9.59 3.85 8.00
7.75 12.79 -2.81 18.03 20.95 11.02 2.05
0.27 0.84 1.86 2.25 0.58 1.16 0.60
17Earning your confidence
Our primary objective continues to be maintaining the financial strength to
fulfill our commitments to our policyowners and clients, over the long-term.
In support of that goal, we will continue to We welcome your comments and questions.
pursue the same value-driven investment Please direct any inquiries to your
philosophy that has served you so well. We MassMutual representative or your financial
think you will agree that doing business with adviser, or feel free to submit them via our
MassMutual is a good decision. website at www.MassMutual.com, which
you can also explore for additional financial
and investment information.
© 2021 Massachusetts Mutual Life Insurance Company (MassMutual®), Springfield, MA 01111-0001.
All rights reserved. www.MassMutual.com.
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