Page 106 - MayDefComp

Risk Analysis 3/31/2021

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 Premier US Govt Mny Mkt R5 MKSXX 70.62 0.09 0.07 -0.42 1.08 95.84
FTSE Treasury Bill 3 Mon 100.00 0.12 0.00 0.00 1.00 100.00
Money Market-Taxable Median (374 funds) 75.52 0.09 0.06 -0.35 1.10 95.62
Intermediate Core Bond
Vanguard Total Bond Market Index I VBTIX 101.31 103.68 1.07 -0.58 0.34 -0.11 1.03 99.22
BBgBarc US Aggregate Bond Index 100.00 100.00 1.05 -0.56 0.00 0.00 1.00 100.00
Intermediate Core Bond Median (136 funds) 102.84 104.86 1.08 -0.58 1.20 -0.02 1.03 91.89
Intermediate Core-Plus Bond
PIMCO Total Return Instl PTTRX 101.64 96.16 1.07 -0.53 1.21 0.30 0.98 89.10
BBgBarc US Aggregate Bond Index 100.00 100.00 1.05 -0.56 0.00 0.00 1.00 100.00
Intermediate Core-Plus Bond Median (155 funds) 111.29 113.46 1.17 -0.63 2.54 0.26 1.03 66.39
Inflation-Protected Bond

PIMCO Long-Term Real Return Instl PRAIX 205.23 253.91 2.03 -2.11 7.70 -2.33 2.53 82.47
Bloomberg Barclays U.S. TIPS 100.00 100.00 1.03 -0.82 0.00 0.00 1.00 100.00
Inflation-Protected Bond Median (58 funds) 95.49 96.04 0.98 -0.78 1.59 -0.07 0.98 90.90
World Bond
Invesco International Bond R6 OIBIX 134.77 182.13 1.74 -1.58 11.01 -1.91 1.61 29.56
ML Global Broad Market Index 100.00 100.00 1.31 -0.85 0.00 0.00 1.00 100.00
World Bond Median (55 funds) 109.22 116.74 1.43 -1.00 3.71 -0.21 1.12 57.11
High Yield Bond
MassMutual Premier High Yield I MPHZX 96.88 102.00 1.40 -2.66 1.47 -0.40 0.97 97.57
Merrill Lynch High Yield U.S. Master Index 100.00 100.00 1.44 -2.60 0.00 0.00 1.00 100.00
High Yield Bond Median (203 funds) 94.24 96.93 1.36 -2.52 2.11 -0.45 0.96 97.04

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.

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