Page 73 - AugDefComp
P. 73
Risk Analysis 6/30/2021
MPT Statistics
Ticker Capture Ratio Average Return Tracking Alpha Beta Benchmark
Up Market Down Market Up Market Down Market Error R²
Fixed Income
Money Market-Taxable
MassMutual US Govt Mny Mkt R5 MKSXX 70.18 0.08 0.07 -0.38 1.09 96.11
FTSE Treasury Bill 3 Mon 100.00 0.11 0.00 0.00 1.00 100.00
Money Market-Taxable Median (369 funds) 75.31 0.08 0.07 -0.32 1.10 95.96
Intermediate Core Bond
Vanguard Total Bond Market Index I VBTIX 102.43 105.20 1.03 -0.60 0.35 -0.10 1.04 99.22
BBgBarc US Aggregate Bond Index 100.00 100.00 1.01 -0.57 0.00 0.00 1.00 100.00
Intermediate Core Bond Median (142 funds) 103.90 105.70 1.05 -0.61 1.25 0.03 1.03 91.27
Intermediate Core-Plus Bond
PIMCO Total Return Instl PTTRX 104.02 95.83 1.05 -0.55 1.19 0.50 0.98 88.98
BBgBarc US Aggregate Bond Index 100.00 100.00 1.01 -0.57 0.00 0.00 1.00 100.00
Intermediate Core-Plus Bond Median (157 funds) 114.07 116.60 1.15 -0.67 2.56 0.36 1.04 65.31
Inflation-Protected Bond
PIMCO Long-Term Real Return Instl PRAIX 214.20 258.61 2.22 -2.35 7.81 -2.42 2.52 81.90
Bloomberg Barclays U.S. TIPS 100.00 100.00 1.08 -0.89 0.00 0.00 1.00 100.00
Inflation-Protected Bond Median (59 funds) 94.97 95.80 1.03 -0.86 1.65 -0.06 0.97 90.30
World Bond
Invesco International Bond R6 OIBIX 140.07 184.31 1.76 -1.57 11.06 -1.76 1.64 29.12
ML Global Broad Market Index 100.00 100.00 1.28 -0.84 0.00 0.00 1.00 100.00
World Bond Median (58 funds) 108.61 107.82 1.38 -0.90 3.75 0.13 1.09 55.51
High Yield Bond
MassMutual High Yield I MPHZX 99.67 103.60 1.45 -3.08 1.48 -0.17 0.97 97.55
Merrill Lynch High Yield U.S. Master Index 100.00 100.00 1.45 -2.97 0.00 0.00 1.00 100.00
High Yield Bond Median (205 funds) 94.70 96.84 1.38 -2.87 2.06 -0.30 0.96 97.02
All statistics based on a 36 month time period.
Past performance is no guarantee of future results. Rankings provided based on total returns. Performance quoted for mutual funds may include performance of a predecessor
fund/share class prior to the share class commencement of operations.
Page 30
