Strategy. Principal Investment Strategies The Fund invests primarily in common stocks of large- and medium-capitalization U.S. companies. The Funds subadviser, Invesco Advisers, Inc. , and sub-subadviser, Invesco Capital Management LLC (together with Invesco Advisers, Inc., Invesco), invest the Funds assets using an indexing strategy. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies included within the Russell 1000 Invesco Dynamic Multifactor Index * (the Index). As of February 29, 2024, the market capitalization range of companies included in the Index was between $593.99 million and $32.64 billion. FTSE Russell (the Index Provider) compiles and maintains the Index, which is an index of … Show more… Principal Investment Strategies The Fund invests primarily in common stocks of large- and medium-capitalization U.S. companies. The Funds subadviser, Invesco Advisers, Inc. , and sub-subadviser, Invesco Capital Management LLC (together with Invesco Advisers, Inc., Invesco), invest the Funds assets using an indexing strategy. Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of any borrowings for investment purposes) in the equity securities of companies included within the Russell 1000 Invesco Dynamic Multifactor Index * (the Index). As of February 29, 2024, the market capitalization range of companies included in the Index was between $593.99 million and $32.64 billion. FTSE Russell (the Index Provider) compiles and maintains the Index, which is an index of U.S. equity securities designed to reflect a dynamic combination of factor investing strategies that, in the view of the Index Provider, have historically outperformed other factors during various parts of the economic cycle. The Indexs universe of ? * The Fund is sponsored solely by MassMutual. The Fund is not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings (collectively, the LSE Group). FTSE Russell is a trading name of certain of the LSE Group companies. ? All rights in the Russell 1000 Invesco Dynamic Multifactor Index (the Index) vest in the relevant LSE Group company which owns the Index. FTSE Russell , Russell 1000 and Russell are trademarks of the relevant LSE Group company and are used by any other LSE Group company under license. The Index is calculated by or on behalf of FTSE International Limited or its affiliate, agent or partner. The LSE Group does not accept any liability whatsoever to any person arising out of (a) the use of, reliance on or any error in the Index or (b) investment in or operation of the Fund. The LSE Group makes no claim, prediction, warranty or representation either as to the results to be obtained from the Fund or the suitability of the Index for the purpose to which it is being put by the Fund. investable stocks is taken from the Russell 1000 Index (the Russell 1000 or Parent Index), which measures the performance of 1,000 of the largest-capitalization companies in the United States. A factor is a stock characteristic that is associated with a securitys risk and return profile (e.g., high quality, high momentum, or low volatility). The Indexs rules-based framework seeks to identify equity securities that tend to exhibit various investment factors to a greater extent than the overall market, depending on the overall economic environment. The Index emphasizes investments that exhibit the following factors: low volatility, momentum, quality, size, and value. At any given time, depending on the current stage of the economic cycle of the overall market, the Index will target different subsets (that is, two or three) of those five factors (referred to as factor configurations). The Index is designed to utilize factor configurations that, in the view of the Index Provider, have historically outperformed other factors in certain stages of the economic cycle. The specific factor configurations used by the Index will change depending on which of the following four stages of the economic cycle currently is prevalent: recovery, expansion, slowdown, and contraction. These four stages are defined as follows: Recovery: when growth is below trend but accelerating. ? Expansion: when growth is above trend and accelerating. ? Slowdown: when growth is above trend but decelerating. ? Contraction: when growth is below trend and decelerating. ? Invesco Indexing LLC (Invesco Indexing) identifies which stage of the economic cycle it currently believes the market to be in by evaluating leading economic and market sentiment indicators (such as manufacturing business surveys, labor market conditions, monetary conditions, and consumer sentiment surveys). Each month, Invesco Indexing provides information to the Index Provider in the form of a data signal (the Signal) on the current stage of the economic cycle, and the Index Provider uses that information to determine the appropriate factor configuration for the Index during that month. Each of the four stages is correlated to a specific, predetermined factor configuration. To determine which securities within the Parent Index are eligible for inclusion in the Index in a given factor configuration, each constituent in the Parent Index is assigned a multi-factor score based on the extent to which the security exhibits a factor relative to the other constituents in the Parent Index. The multi-factor score is the product of the securitys individual factor scores, each of which is calculated based on certain aspects of the issuer, as set forth below. Value. A companys value factor score is based on an equally-weighted composite of cash flow yield, earnings yield, and sales to price ratio, calculated based on the companys total market capitalization and information reported in the companys most recent annual financial statement as of the last business day of the prior month. Momentum. A companys momentum factor score is based on historical total return over the 11 months ending on the last business day of the prior month. Quality. A companys quality factor score is based on a composite of three measures of profitability (return on assets, change in asset turnover, and accruals) and a single measure of leverage, calculated as the ratio of operating cash flow to total debt based on information reported in the companys most recent annual financial statement. Low Volatility. A companys volatility factor score is based on the standard deviation of weekly total returns to a companys stock price over the trailing five years ending on the last business day of the prior month. Size. A companys size factor score is based on total market capitalization as of the last business day of the prior month. An initial weight for each security is determined from the product of the securitys multi-factor score and its weight in the Parent Index. The Indexs methodology will exclude securities from the Index if their relevant factor characteristics fall below certain relative thresholds, as set forth in the methodology rules of the Index, or if their adjusted weights fall below a certain de minimis amount. Finally, a maximum security weight limit is applied to ensure no security weight exceeds a fixed level. The Index is sponsored by the Index Provider, which is unaffiliated with the Fund, Invesco Indexing, or Invesco. However, since Invesco Indexing provides the Index Provider with monthly data relating to the stage of the economic cycle, Invesco Indexing may also be deemed a creator and sponsor of the Index. Invesco Indexing is affiliated with Invesco. The Index is rebalanced and reweighted at the beginning of the month when the Signal for the Index changes, which may be as frequently as monthly. The Fund is rebalanced and reweighted in accordance with the Index, meaning that it will buy and sell securities in response to changes in the Index. Although the Fund generally will invest in substantially all of the securities comprising the Index in proportion to their weightings in the Index, under various circumstances it may not be possible or practicable to purchase all of those securities in those same weightings. In those circumstances, the Fund may hold cash or purchase a sample of the securities in the Index. When it relies on a sampling methodology, Invesco uses quantitative analysis to select securities from the Index universe to obtain a representative sample of securities that has, overall, investment characteristics similar to the Index in terms of key risk factors, performance attributes, and other characteristics such as industry weightings, market capitalization, return variability, earnings valuation, yield, and other financial characteristics of securities. When employing a sampling methodology, Invesco bases the number of the holdings in the Fund on a number of factors, including asset size of the Fund, and generally expects the Fund to hold fewer than the total number of securities in the Index. However, Invesco reserves the right to invest in as many securities as it believes necessary to achieve the Funds investment objective. The Fund may use futures contracts, a type of derivative, to seek performance that corresponds to the Index and/or to manage cash flows. Use of futures contracts by the Fund may create investment leverage. The Index, and therefore the Fund, may at times have significant exposure to one or more industries or sectors. Changes in the Index, or use of the sampling methodology described above, may result in active and frequent trading by the Fund and as a result the Fund may have a relatively high portfolio turnover rate. Show less