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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in MassMutual Diversified Value Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
MassMutual Diversified Value Fund (MDDAX) has returned 1.32% so far this year and 14.16% over the past 12 months. Over the last ten years, MDDAX has returned 11.31% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
MassMutual Diversified Value Fund
- 1D
- 0.12%
- 1M
- -5.07%
- YTD
- 1.32%
- 6M
- 5.14%
- 1Y
- 14.16%
- 3Y*
- 14.77%
- 5Y*
- 10.48%
- 10Y*
- 11.31%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Oct 19, 2004, MDDAX's average daily return is +0.04%, while the average monthly return is +0.77%. At this rate, your investment would double in approximately 7.5 years.
Historically, 62% of months were positive and 38% were negative. The best month was Nov 2020 with a return of +14.0%, while the worst month was Oct 2008 at -18.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 6 months.
On a daily basis, MDDAX closed higher 51% of trading days. The best single day was Dec 16, 2021 with a return of +13.4%, while the worst single day was Dec 17, 2021 at -12.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.61% | 3.02% | -5.07% | 1.32% | |||||||||
| 2025 | 5.23% | 0.70% | -2.37% | -4.35% | 2.75% | 3.81% | 0.69% | 4.33% | 1.31% | -0.98% | 3.70% | 1.05% | 16.56% |
| 2024 | 0.78% | 3.11% | 6.36% | -4.33% | 3.12% | -1.12% | 5.89% | 2.36% | 0.55% | 0.10% | 6.67% | -7.05% | 16.62% |
| 2023 | 5.15% | -3.53% | -2.14% | 1.28% | -5.22% | 6.36% | 4.28% | -2.82% | -2.99% | -3.09% | 6.84% | 5.63% | 8.97% |
| 2022 | 0.08% | -0.31% | 1.65% | -5.09% | 2.84% | -8.45% | 4.92% | -1.89% | -8.97% | 12.62% | 6.38% | -4.34% | -2.70% |
| 2021 | -0.35% | 6.14% | 7.47% | 4.29% | 3.14% | -2.03% | -0.00% | 2.44% | -2.75% | 4.91% | -3.97% | 6.52% | 28.07% |
Benchmark Metrics
MassMutual Diversified Value Fund has an annualized alpha of 0.08%, beta of 0.99, and R² of 0.87 versus S&P 500 Index. Calculated based on daily prices since October 20, 2004.
- With beta of 0.99 and R² of 0.87, this fund moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 0.08%
- Beta
- 0.99
- R²
- 0.87
- Upside Capture
- 100.34%
- Downside Capture
- 101.61%
Expense Ratio
MDDAX has a high expense ratio of 1.12%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
MDDAX ranks 51 for risk / return — on par with similar mutual funds. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for MassMutual Diversified Value Fund (MDDAX) and compare them to a chosen benchmark (S&P 500 Index).
| MDDAX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.02 | 0.90 | +0.12 |
Sortino ratioReturn per unit of downside risk | 1.49 | 1.39 | +0.10 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.21 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 1.28 | 1.40 | -0.12 |
Martin ratioReturn relative to average drawdown | 5.15 | 6.61 | -1.46 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore MDDAX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
MassMutual Diversified Value Fund provided a 32.02% dividend yield over the last twelve months, with an annual payout of $2.70 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $2.70 | $2.70 | $3.86 | $0.53 | $1.42 | $1.62 | $0.19 | $1.35 | $1.87 | $4.74 | $0.90 | $0.17 |
Dividend yield | 32.02% | 32.44% | 40.33% | 4.62% | 12.85% | 12.66% | 1.64% | 11.68% | 18.94% | 37.06% | 5.94% | 1.22% |
Monthly Dividends
The table displays the monthly dividend distributions for MassMutual Diversified Value Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $2.53 | $0.00 | $0.00 | $0.17 | $2.70 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $2.98 | $0.00 | $0.00 | $0.88 | $3.86 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.53 | $0.53 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.42 | $1.42 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.62 | $1.62 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the MassMutual Diversified Value Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the MassMutual Diversified Value Fund was 63.45%, occurring on Mar 9, 2009. Recovery took 1093 trading sessions.
The current MassMutual Diversified Value Fund drawdown is 6.44%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -63.45% | Jun 5, 2007 | 444 | Mar 9, 2009 | 1093 | Jul 11, 2013 | 1537 |
| -38.72% | Jan 21, 2020 | 44 | Mar 23, 2020 | 201 | Jan 7, 2021 | 245 |
| -24% | Dec 17, 2021 | 198 | Sep 30, 2022 | 359 | Mar 7, 2024 | 557 |
| -20.12% | Jan 29, 2018 | 229 | Dec 24, 2018 | 212 | Oct 28, 2019 | 441 |
| -17.99% | Jun 24, 2015 | 161 | Feb 11, 2016 | 190 | Nov 10, 2016 | 351 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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