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HomeMy Public PortalAboutDeferred Comp 2009 4th Quarter ReportMetropolitan St. Louis Sewer District 457 Deferred Compensation Plan457 Deferred Compensation Plan Fourth Quarter 2009 Investment Performance Analysis February 11, 2010 Doris Ewing, CAIA Partner Michael J. Valchine Consultant Di St CiJhtDion Stevens Consultant Carrie Johnston Analyst NEPC, LLC One Main Street, Cambridge, MA 02142 Tel: 617-374-1300 Fax: 617-374-1313 www.nepc.com CAMBRIDGE I CHARLOTTE I DETROIT LAS VEGAS I SAN FRANCISCO Registered Investment Advisors Q4 2009: Capital Markets Summary Qtr. Ytd 1 Yr.3 Yr.5 Yr.10 Yr. WldEitB h kWorld Equity Benchmarks MSCI World World 4.1% 30.0% 30.0%-5.6%2.0%-0.2% Qtr. Ytd 1 Yr.3 Yr.5 Yr.10 Yr. Domestic Equity Benchmarks S&P 500 Large Core 6.0% 26.4% 26.4%-5.6%0.4%-0.9% Russell 1000 Large Core 6.1% 28.4% 28.4%-5.4%0.8%-0.5% Russell 1000 Growth Large Growth 7.9% 37.2% 37.2%-1.9%1.6%-4.0% Russell 1000 Value Large Value 4.2% 19.7% 19.7%-9.0% -0.3%2.5% S&P Mid Cap 400 Mid Core 5.6% 37.4% 37.4%-1.8%3.3% 6.4% Russell 2000 Small Core 3.9% 27.2% 27.2%-6.1%0.5% 3.5% Russell 2000 Growth Small Growth 4.1% 34.5% 34.5%-4.0%0.9%-1.4% Russell 2000 Value Small Value 3.6% 20.6% 20.6%-8.2% -0.0%8.3% Qtr. Ytd 1 Yr.3 Yr.5 Yr.10 Yr. International Equity Benchmarks MSCI EAFE Int'l Developed 2.2% 31.8% 31.8%-6.0%3.5% 1.2% MSCI EME Em. Mkt. Eqty. 8.5% 78.5% 78.5% 5.1% 15.5% 9.9% MSCI ACWI ex US International 3.7% 41.5% 41.5%-3.5%5.8% 2.7% Citigroup EMI EPAC < 2B Small Cap Int'l -0.9%41.5% 41.5%-7.1%5.0% 5.6% Qt Ytd 1Y 3Y 5Y 10 YQtr. Ytd 1 Yr.3 Yr.5 Yr.10 Yr. Domestic Fixed Income Benchmarks Barclays Aggregate Core Bonds 0.2% 5.9% 5.9% 6.0% 5.0% 6.3% Barclays High Yield High Yield 6.2% 58.2% 58.2% 6.0% 6.5% 6.7% Barclays 1-10 Muni.Municipal Bond -0.1%7.2% 7.2% 5.4% 4.3% 5.1% Barclays 1-10 TIPS Inflation 2.1% 12.0% 12.0% 6.8% 4.7% 7.1% 90 Da y T-Bill Cash 0.0%0.2%0.2%2.4%3.0%3.0%y 1 4th Quarter 2009: Summary and Discussion •4thQuarter Markets –Equity markets continued to advance in the fourth quarter • S&P 500 gained 6.0% in the fourth quarter, marking the third consecutive quarter of positive returns. For the year, the index advanced 26.4% • Developed international equity markets followed a similar trend, gaining 31.8% in 2009, with positive fourth quarter returns of 2.2%. Emerging k t f d th b t f th it k t i 2009 t i 78 5%markets fared the best of the equity markets in 2009, returning 78.5%. Emerging markets underperformed all other equity markets in 2008 • Large cap stocks (Russell 1000) outperformed small cap stocks (Russell 2000) for the year by 120 basis points, while growth stocks (Russell 1000 Growth) outpaced value stocks (Russell 1000 Value) by 1750 basis points Riskier asset classes led the way in fixed income markets–Riskier asset classes led the way in fixed income markets • High yield, asset backed, credit and mortgage sectors had positive returns in 2009. The Barclays High Yield index gained 58.2% for the year • Treasuries, the best performing sector of 2008, declined by 3.7% in 2009. US TIPS gained 10.1% Di bd dbhBlA id•Domestic core bonds, as measured by the Barclays Aggregate index, posted a 5.9% return for the year. Global bonds as measured by the Citi WGBI gained 2.6%, following a strong return of 10.9% in 2008 • Plan Results –Plan assets increased to $27 9 million from $26 3 millionPlan assets increased to $27.9 million from $26.3 million • 84% of assets were invested in the Core Options and 14% were invested with the lifestyle and lifecycle funds – Lifecycle and Lifestyle Options • Vanguard Target Retirement fund returns ranged from 2.1% to 4.8% • Vanguard LifeStrategy fund returns ranged from 1.4% to 4.2% – Core Options • Capital preservation and bond funds posted returns ranging from 0.0% to 0.7% while balanced and equity fund returns ranged from 3.6% to 6.6% 2 Asset Summary 3 Performance Summary: Lifecycle Funds 4 Performance Summary: Core Options 5 Style Analysis Windsor II Vanguard 500 US Growth Balanced Index Mid Cap Index Small Cap Index The above “snail trail” displays changes to a fund’s style over time as determined by Morningstar’s holdings- based analysis over the prior three years. The smallest circled plot point represents the furthest period; the largest circled plot point represents the current period. The number of plot points is a function of the frequency of each fund’s release of holdings data. 6 Vanguard Target Retirement Funds RlRt Alt ti 100% International Equity Cash and Fixed Income Real Return Alternatives 50% 60% 70% 80% 90% 100%%)Domestic Equity 10% 20% 30% 40% 50%(%0% 2050 2045 2040 2035 2030 2025 2020 2015 2010 2005 Income Vanguard Target Retirement Funds Holdings*2050 2040 2030 2020 2010 Income Cash and Fixed Income 10.0 10.0 16.4 31.4 40.1 50.1 Vanguard Total Bond Market Index 10.0 10.0 16.4 31.4 40.1 45.1 Vanguard Prime Money Market Fund 0.0 0.0 0.0 0.0 0.0 5.0 Domestic Equity 72.0 71.9 66.8 54.9 41.1 23.9 Vanguard Total Stk Market Idx Fund Inc 72.0 71.9 66.8 54.9 41.1 23.9 International Equity 18.0 18.1 16.8 13.7 10.3 6.0 Vanguard European Stock Index Acc 8.9 8.9 8.3 6.8 5.1 3.0 Vanguard Pacific Stk Index Fd 46 47 43 35 27 16Vanguard Pacific Stk Index Fd 4 .6 4.7 4 .3 3.5 2.7 1.6 Vanguard Emerg Markets Stk Idx Fd 4.5 4.5 4.2 3.4 2.5 1.4 Real Return Alternatives 0.0 0.0 0.0 0.0 8.5 20.0 Vanguard Inflation-Protected Secs 0.0 0.0 0.0 0.0 8.5 20.0 *Holdings are shown for selected funds and are as of 12/31/09 7 Bmark 1: Vanguard Target Retirement Funds Bmark 1: Composite Weighted Indexes as prepared by Vanguard History 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Vanguard Retirement Income 6.8 3.3 6.4 8.2 -10.9 14.3 Bmark 1 6.9 3.4 6.5 8.1 -11.3 14.3 % Rank Category (2000-2014) 42 62 76 3 6 80 Vanguard Retirement 2005 7.7 3.6 8.2 8.1 -15.8 16.2 Bmark 1 7.7 3.8 8.2 8.1 -16.2 16.4 % Rank Category (2000-2014) 21 51 53 4 18 88 Vanguard Retirement 2010 7.7 -20.7 19.3 Bmark 1 7.8 -21.1 19.4 % Rank Category (2000-2014)63782gy( ) Vanguard Retirement 2015 9.0 4.9 11.4 7.6 -24.1 21.3 Bmark 1 9.1 5.0 11.5 7.5 -24.5 21.4 % Rank Category (2015-2029) 46 78 61 32 10 76 Vanguard Retirement 2020 7.5 -27.0 23.1 Bmark 1 7.5 -27.5 23.3 % Rank Category (2015-2029)34 24 66% Rank Category (2015-2029)34 24 66 Vanguard Retirement 2025 10.1 5.5 13.2 7.6 -30.1 24.8 Bmark 1 10.1 5.5 13.4 7.6 -30.5 25.1 % Rank Category (2015-2029)23 66 31 31 42 78 Vanguard Retirement 2030 7.5 -32.9 26.7 Bmark 1 7.6 -33.4 27.0 % R k C t g (2030+)38 6 74% Rank Category (2030+)38 6 74 Vanguard Retirement 2035 12.0 6.3 15.2 7.5 -34.7 28.2 Bmark 1 11.9 6.5 15.4 7.5 -35.1 28.5 % Rank Category (2030+) 43 87 34 38 16 64 Vanguard Retirement 2040 7.5 -34.5 28.3 Bmark 1 7.5 -35.1 28.5 % Rank Category (2030+)38 14 77 Vanguard Reitrement 2045 12.9 7.0 16.0 7.5 -34.6 28.2 Bmark 1 13.0 7.0 16.2 7.5 -35.1 28.5 % Rank Category (2030+) 19 75 25 39 15 83 Vanguard Retirement 2050 7.5 -34.6 28.3g Bmark 1 7.5 -35.1 28.5 % Rank Category (2030+)38 16 91 8 Vanguard Prime Money Market FAQs Fund name: Vanguard Prime Money Market Fund Asset Allocation / % Bankers Acceptances 2.00% Vehicle Type:Mutual Fund Inception:6/4/1975 Valuation:Daily SEC yield at 12/31/09:0.18% Certificates of Deposit 51.30% Commercial Paper 18.20% Repurchase Agreements 0.10% U.S. Govt. Obligations 9.00% Structured Product Exposure (inc. ABS): No Average Maturity: 71 days U.S. Treasury Bills 19.30% Average Quality Aa1 Preferred Benchmark Money Market Funds Average Yankee/Foreign 0.00% Other 0% *Information provided by Vanguard as of 12/31/09 Source: Vanguard 9 Vanguard Retirement Savings Trust Fixed Income Characteristics Average Duration:2.8 years Average Quality:Aa1 BBB Securities:0% Fund Name:Vanguard Retirement Savings Trust Vehicle Type:Commingled Trust Inception:1/2/1989 Below Investment Grade Securities: 0% Asset Allocation Traditional Investment 660% Valuation:MV/BV ratio of 102.03% as of 12/31/2009 Crediting Rate:3.31% as of 12/31/2009 Duration:2.8 years Cash Flows YTD:Vanguard does not Traditional Investment Contracts (GICs, BICs, etc): 6.60% Constant Duration Contracts (Synthetics): 80.80% Cash Investments:12 60% Cash Flows YTD:Vanguard does not disclose cash flow data for any of its investment vehicles Subprime and/or Impaired Exposure: The underlying investments within the Vanguard Retirement Savings Trust do not have significant *I f i id d b V d f 12/31/09 Cash Investments:12.60% Other:0% do not have significant exposure to the companies that derive a majority of their business from the subprime mortgage market. Although there may be indirect exposure by investing in mortgage *Information provided by Vanguard as of 12/31/09companies and banks; these types of companies typically have diversified business lines - thus diluting any impact from the subprime mortgage market on their overall business. Wrap Providers:Rabobank JPMorgan Chase State Street Bank AIG Financial Products Bank of America Source: Vanguard IXIS Corp & Inv. Bank Preferred Benchmark Hueler Stable Value Pooled Index 10 Fund Profiles 11 Morningstar DirectSM | Print Date: 1/15/2010 Page 1 of 1 Vanguard Total Bond Market Index VBMFX Currency Morningstar Category USD US OE Intermediate-Term Bond Benchmark 1BarCap US Agg Bond TR USD Investment Growth as of 12/31/2009 22k 19 16 13 10 7 Growth of 10,000 10K line Inv: 17,866.12 Bmark 1: 18,322.99 Performance Quartile(within category)*& & ( ( * & * & & ) 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History -0.76 11.39 8.43 8.26 3.97 4.24 2.40 4.27 6.92 5.05 5.93 Investment Return 0.06 -0.23 -0.02 -2.00 -0.13 -0.10 -0.03 -0.06 -0.05 -0.19 0.00 +/- Bmark 1 31 17 24 56 58 38 19 35 11 10 90 % Rank Category Sector Allocation History as of 9/30/2009 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Fixed Income Sectors as of 2009-09-30 % Inv % Category US Credit 17.87 30.57 Non-US Credit 5.74 6.69 Mortgage 34.02 24.61 US Government 36.53 22.82 Cash 5.84 15.31 Morningstar Fixed Income Style BoxTM as of 9/30/2009 Short Int Long High Med Low Avg Eff Duration 4.27 Avg Eff Maturity 6.60 Avg Credit Quality AAA Avg Wtd Coupon 5.11 Avg Wtd Price 106.85 Credit Analysis: % Bonds as of 9/30/2009 AAA 78.52 BB 0.00 AA 3.67 B 0.00 A 9.72 Below B 0.00 BBB 8.09 NR/NA 0.00 Maturity Breakdown: % Bonds as of 9/30/2009 1-3 19.73 10-14 5.77 3-5 12.84 15-19 2.14 5-6 6.80 20-29 36.65 7-9 13.39 30+2.69 Top 10 Holdings as of 9/30/2009 % Weighting CMT Market Liquidity Rate 5.06 US Treasury Note 0.875%1.03 US Treasury Note 5.125%0.88 United States Treas Nts 3.125%0.81 United States Treas Nts 1.25%0.78 United States Treas Nts 2.75%0.76 US Treasury Note 4.375%0.75 US Treasury Bond 8.75%0.66 GNMA 0.65 US Treasury Note 1.75%0.60 Total Number of Stock Holdings 0 Total Number of Bond Holdings 12660 Total Number of Holdings 12799 Share Class Net Assets (mil)19,081 Data provided by Morningstar 12 Morningstar DirectSM | Print Date: 1/29/2010 Page 1 of 1 Vanguard LifeStrategy Income VASIX Currency Morningstar Category USD US OE Conservative Allocation Benchmark 1Vanguard Income Custom Benchmark Investment Growth as of 12/31/2009 18k 16 14 12 10 8 Growth of 10,000 10K line Inv: 16,208.24 Bmark 1: 13,219.85 Performance Quartile(within category))& & & ( * ( * & & ) 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 2.82 8.06 4.06 0.12 10.77 6.01 3.23 7.93 6.70 -10.53 12.08 Investment Return — — — — — 0.91 0.42 1.68 0.49 -4.68 0.88 +/- Bmark 1 80 17 9 21 66 49 53 49 16 11 92 % Rank Category Equity Style Summary as of 9/30/2009 27.76 28.19 26.69 5.67 5.06 4.47 0.78 0.67 0.71 Val Core Grth Lrg Mid Sm Market Cap % Giant 48.33 Large 34.24 Mid 15.24 Small 1.65 Micro 0.53 Average Mkt Cap (mil) 36,103.70 Value Factors % Price/Earnings 16.14 Price/Book 2.03 Price/Sales 0.93 Price/Cash Flow 5.97 Dividend Yield 3.07 Growth Factors % LT Earn Grth 10.00 Historical Earn Grth -3.44 Book Val Grth -1.56 Sales Grth 7.14 Cash Flow Grth 9.36 Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 10.9 10.5 11.6 9.0 Software 4.5 4.6 4.9 4.5 Media 2.5 2.6 3.9 3.2 Telecom 5.3 5.1 4.4 5.1 Health Care 12.3 12.1 13.0 12.2 Cons Svcs 8.6 8.6 8.2 8.6 Bus Svcs 3.6 4.6 3.7 3.9 Financial 15.4 16.1 18.4 19.7 Cons Goods 10.7 10.0 8.7 9.3 Materials 10.8 11.1 11.5 11.4 Energy 11.6 11.1 8.7 9.5 Utilities 3.7 3.7 3.2 3.5 Morningstar Fixed Income Style BoxTM as of 9/30/2009 Short Int Long High Med Low Avg Eff Duration 3.67 Avg Eff Maturity 5.60 Avg Credit Quality AA Avg Wtd Coupon 5.10 Avg Wtd Price 106.55 Fixed Income Statistics as of 9/30/2009 Avg Eff Duration 3.67 Avg Wtd Coupon 5.10 Avg Eff Maturity 5.60 Avg Wtd Price 106.55 Avg Credit Quality AA Data provided by Morningstar 13 Morningstar DirectSM | Print Date: 1/29/2010 Page 1 of 1 Vanguard LifeStrategy Conservative Gr VSCGX Currency Morningstar Category USD US OE Conservative Allocation Benchmark 1Vanguard Conservative Growth Custom Benc... Investment Growth as of 12/31/2009 18k 16 14 12 10 8 Growth of 10,000 10K line Inv: 15,424.00 Bmark 1: 13,282.85 Performance Quartile(within category)*( ( ( & & & & & ( ( 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 7.86 3.12 -0.08 -5.36 16.57 8.02 4.45 10.62 6.99 -19.52 17.06 Investment Return — — — — — 1.33 0.88 2.05 1.13 -3.90 1.64 +/- Bmark 1 29 58 51 71 20 13 18 12 13 54 75 % Rank Category Equity Style Summary as of 9/30/2009 26.79 27.12 25.30 5.87 5.48 5.16 1.45 1.37 1.46 Val Core Grth Lrg Mid Sm Market Cap % Giant 46.48 Large 32.65 Mid 16.54 Small 3.20 Micro 1.12 Average Mkt Cap (mil) 29,660.19 Value Factors % Price/Earnings 16.07 Price/Book 1.92 Price/Sales 0.89 Price/Cash Flow 5.84 Dividend Yield 3.10 Growth Factors % LT Earn Grth 10.07 Historical Earn Grth -8.79 Book Val Grth -12.12 Sales Grth -7.40 Cash Flow Grth -2.69 Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 9.8 9.3 10.9 8.1 Software 4.1 4.1 4.6 4.1 Media 2.4 2.5 3.8 3.0 Telecom 5.6 5.3 4.9 5.5 Health Care 11.6 11.6 12.3 11.7 Cons Svcs 8.1 8.2 7.8 8.2 Bus Svcs 3.9 4.5 4.1 4.0 Financial 16.9 17.4 19.2 20.5 Cons Goods 11.0 10.9 8.9 10.2 Materials 11.5 11.6 11.6 11.6 Energy 11.2 10.7 8.5 9.3 Utilities 3.8 3.9 3.4 3.7 Morningstar Fixed Income Style BoxTM as of 9/30/2009 Short Int Long High Med Low Avg Eff Duration 3.41 Avg Eff Maturity 5.15 Avg Credit Quality AA Avg Wtd Coupon 5.08 Avg Wtd Price 106.45 Fixed Income Statistics as of 9/30/2009 Avg Eff Duration 3.41 Avg Wtd Coupon 5.08 Avg Eff Maturity 5.15 Avg Wtd Price 106.45 Avg Credit Quality AA Data provided by Morningstar 14 Morningstar DirectSM | Print Date: 1/29/2010 Page 1 of 1 Vanguard LifeStrategy Moderate Growth VSMGX Currency Morningstar Category USD US OE Moderate Allocation Benchmark 1Vanguard Moderate Growth Custom Benchm... Investment Growth as of 12/31/2009 18k 16 14 12 10 8 Growth of 10,000 10K line Inv: 14,635.57 Bmark 1: 13,315.33 Performance Quartile(within category)*( * * * & * & * * ( 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 12.01 -0.88 -4.48 -10.32 22.40 10.57 5.69 13.31 7.36 -26.50 20.33 Investment Return — — — — — 1.77 1.25 2.46 1.68 -2.64 2.00 +/- Bmark 1 42 60 43 36 29 25 37 17 31 35 74 % Rank Category Equity Style Summary as of 9/30/2009 26.46 26.76 24.82 5.93 5.62 5.40 1.68 1.62 1.71 Val Core Grth Lrg Mid Sm Market Cap % Giant 45.84 Large 32.10 Mid 16.99 Small 3.74 Micro 1.33 Average Mkt Cap (mil) 27,727.58 Value Factors % Price/Earnings 16.05 Price/Book 1.89 Price/Sales 0.87 Price/Cash Flow 5.79 Dividend Yield 3.12 Growth Factors % LT Earn Grth 10.09 Historical Earn Grth -10.27 Book Val Grth -14.60 Sales Grth -10.49 Cash Flow Grth -6.00 Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 9.4 8.9 10.7 7.8 Software 4.0 4.0 4.6 3.9 Media 2.4 2.4 3.8 3.0 Telecom 5.6 5.4 5.0 5.7 Health Care 11.4 11.4 12.1 11.5 Cons Svcs 8.0 8.0 7.7 8.1 Bus Svcs 4.0 4.4 4.3 4.0 Financial 17.4 17.8 19.5 20.8 Cons Goods 11.1 11.2 9.0 10.5 Materials 11.8 11.7 11.5 11.7 Energy 11.1 10.6 8.3 9.2 Utilities 3.9 4.0 3.5 3.8 Morningstar Fixed Income Style BoxTM as of 9/30/2009 Short Int Long High Med Low Avg Eff Duration 4.29 Avg Eff Maturity 6.70 Avg Credit Quality AAA Avg Wtd Coupon 5.22 Avg Wtd Price 108.14 Fixed Income Statistics as of 9/30/2009 Avg Eff Duration 4.29 Avg Wtd Coupon 5.22 Avg Eff Maturity 6.70 Avg Wtd Price 108.14 Avg Credit Quality AAA Data provided by Morningstar 15 Morningstar DirectSM | Print Date: 1/29/2010 Page 1 of 1 Vanguard LifeStrategy Growth VASGX Currency Morningstar Category USD US OE Large Blend Benchmark 1Vanguard Growth Custom Benchmark Investment Growth as of 12/31/2009 19k 16 13 10 7 4 Growth of 10,000 10K line Inv: 13,466.91 Bmark 1: 13,212.21 Performance Quartile(within category)(* & & * & * & * & ( 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 17.32 -5.44 -8.86 -15.84 28.52 12.58 6.88 16.13 7.46 -34.39 24.99 Investment Return — — — — — 2.20 1.73 2.90 2.22 -2.24 2.61 +/- Bmark 1 65 34 14 7 27 18 33 18 32 18 68 % Rank Category Equity Style Summary as of 9/30/2009 26.29 26.57 24.57 5.97 5.70 5.53 1.79 1.74 1.84 Val Core Grth Lrg Mid Sm Market Cap % Giant 45.52 Large 31.82 Mid 17.22 Small 4.01 Micro 1.43 Average Mkt Cap (mil) 26,795.33 Value Factors % Price/Earnings 16.04 Price/Book 1.87 Price/Sales 0.86 Price/Cash Flow 5.77 Dividend Yield 3.13 Growth Factors % LT Earn Grth 10.11 Historical Earn Grth -10.97 Book Val Grth -15.72 Sales Grth -11.85 Cash Flow Grth -7.56 Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 9.3 8.7 10.5 7.6 Software 3.9 3.9 4.5 3.8 Media 2.4 2.4 3.7 2.9 Telecom 5.7 5.5 5.1 5.8 Health Care 11.3 11.4 11.9 11.4 Cons Svcs 7.9 7.9 7.6 8.0 Bus Svcs 4.1 4.4 4.4 4.0 Financial 17.3 18.1 19.7 21.0 Cons Goods 11.2 11.3 9.1 10.6 Materials 12.0 11.8 11.6 11.8 Energy 11.1 10.6 8.3 9.2 Utilities 3.9 4.0 3.5 3.8 Morningstar Fixed Income Style BoxTM as of 9/30/2009 Short Int Long High Med Low Avg Eff Duration 4.29 Avg Eff Maturity 6.70 Avg Credit Quality AAA Avg Wtd Coupon 5.36 Avg Wtd Price 110.31 Fixed Income Statistics as of 9/30/2009 Avg Eff Duration 4.29 Avg Wtd Coupon 5.36 Avg Eff Maturity 6.70 Avg Wtd Price 110.31 Avg Credit Quality AAA Data provided by Morningstar 16 Morningstar DirectSM | Print Date: 1/12/2010 Page 1 of 1 Vanguard Balanced Index VBINX Currency Morningstar Category USD US OE Moderate Allocation Benchmark 160% S&P 500-40% BarCap Agg Investment Growth as of 12/31/2009 18k 16 14 12 10 8 Growth of 10,000 10K line Inv: 14,743.34 Bmark 1: 13,993.97 Performance Quartile(within category)*( * * * * ( ( * & ) 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 13.61 -2.04 -3.02 -9.52 19.87 9.33 4.65 11.02 6.16 -22.21 20.05 Investment Return 1.61 -1.04 0.70 0.30 1.39 1.03 0.65 -0.09 -0.06 -0.14 1.65 +/- Bmark 1 30 68 28 28 49 42 56 53 49 13 96 % Rank Category Equity Style Summary as of 9/30/2009 23.61 24.48 23.32 6.57 6.57 6.70 2.88 2.85 3.02 Val Core Grth Lrg Mid Sm Market Cap % Giant 41.24 Large 30.05 Mid 19.87 Small 6.53 Micro 2.32 Average Mkt Cap (mil) 23,106.75 Value Factors % Price/Earnings 16.20 Price/Book 1.94 Price/Sales 0.89 Price/Cash Flow 5.64 Dividend Yield 2.89 Growth Factors % LT Earn Grth 10.57 Historical Earn Grth -3.94 Book Val Grth -1.90 Sales Grth 6.46 Cash Flow Grth 9.05 Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 10.5 10.1 10.9 10.0 Software 4.6 4.4 5.0 4.4 Media 2.6 2.5 3.9 3.5 Telecom 5.1 6.3 4.2 4.0 Health Care 12.1 12.5 12.9 13.4 Cons Svcs 8.6 8.6 8.6 8.5 Bus Svcs 4.6 3.3 4.7 3.6 Financial 16.1 15.2 19.2 19.0 Cons Goods 10.0 10.9 8.3 9.3 Materials 11.1 10.8 10.9 11.8 Energy 11.0 11.8 8.1 9.2 Utilities 3.7 3.7 3.2 3.2 Morningstar Fixed Income Style BoxTM as of 9/30/2009 Short Int Long High Med Low Avg Eff Duration 4.30 Avg Eff Maturity 6.70 Avg Credit Quality AAA Avg Wtd Coupon 5.12 Avg Wtd Price 106.60 Fixed Income Statistics as of 9/30/2009 Avg Eff Duration 4.30 Avg Wtd Coupon 5.12 Avg Eff Maturity 6.70 Avg Wtd Price 106.60 Avg Credit Quality AAA Data provided by Morningstar 17 Morningstar DirectSM | Print Date: 1/15/2010 Page 1 of 1 Vanguard 500 Index Investor VFINX Currency Morningstar Category USD US OE Large Blend Benchmark 1S&P 500 TR Investment Growth as of 12/31/2009 16k 13 10 7 4 1 Growth of 10,000 10K line Inv: 10,916.11 Bmark 1: 11,002.94 Performance Quartile(within category)*( * * * * ( & ( * ( 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 21.07 -9.06 -12.02 -22.15 28.50 10.74 4.77 15.64 5.39 -37.02 26.49 Investment Return 0.03 0.05 -0.14 -0.04 -0.18 -0.14 -0.14 -0.15 -0.11 -0.02 0.02 +/- Bmark 1 37 53 37 41 28 36 60 24 51 38 54 % Rank Category Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 11.0 10.1 11.5 10.0 Software 4.4 4.4 4.7 4.4 Media 2.5 2.5 3.7 3.5 Telecom 5.4 6.3 4.4 4.0 Health Care 12.4 12.5 13.2 13.4 Cons Svcs 8.6 8.6 8.2 8.5 Bus Svcs 3.3 3.3 3.4 3.6 Financial 15.2 15.2 18.3 19.0 Cons Goods 10.9 10.9 9.0 9.3 Materials 10.7 10.8 11.7 11.8 Energy 11.8 11.8 8.7 9.2 Utilities 3.7 3.7 3.1 3.2 Equity Style Summary as of 9/30/2009 29.02 29.32 27.72 5.37 4.58 3.77 0.15 0.04 0.04 Val Core Grth Lrg Mid Sm Market Cap % Giant 50.48 Large 35.54 Mid 13.75 Small 0.23 Micro 0.00 Average Mkt Cap (mil) 41,335.66 Value Factors % Price/Earnings 16.12 Price/Book 2.06 Price/Sales 0.95 Price/Cash Flow 6.07 Dividend Yield 3.12 Growth Factors % LT Earn Grth 9.83 Historical Earn Grth -3.29 Book Val Grth -1.44 Sales Grth 7.36 Cash Flow Grth 9.50 Top 10 Holdings as of 9/30/2009 % Weighting ExxonMobil Corporation 3.51 Microsoft Corporation 2.14 General Electric Company 1.86 J.P. Morgan Chase & Co.1.84 Procter & Gamble Company 1.80 Johnson & Johnson 1.79 Apple, Inc.1.77 AT&T, Inc.1.70 International Business Machines Corp 1.67 Bank of America Corporation 1.56 Total Number of Stock Holdings 503 Total Number of Bond Holdings 2 Total Number of Holdings 506 Share Class Net Assets (mil)46,574 Data provided by Morningstar 18 Morningstar DirectSM | Print Date: 1/12/2010 Page 1 of 1 Vanguard Windsor II VWNFX Currency Morningstar Category USD US OE Large Value Benchmark 1Russell 1000 Value TR USD Investment Growth as of 12/31/2009 22k 19 16 13 10 7 Growth of 10,000 10K line Inv: 14,153.74 Bmark 1: 13,704.62 Performance Quartile(within category))& * * * & * * * ( ) 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History -5.81 16.86 -3.40 -16.86 30.08 18.31 7.01 18.25 2.23 -36.70 27.05 Investment Return -13.15 9.85 2.19 -1.34 0.05 1.82 -0.04 -4.00 2.40 0.15 7.36 +/- Bmark 1 94 14 38 35 33 7 34 50 47 53 97 % Rank Category Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 9.3 3.2 3.8 2.7 Software 3.7 0.6 1.5 1.3 Media 1.7 4.9 2.2 4.1 Telecom 4.4 6.2 4.2 7.2 Health Care 13.5 8.7 9.2 6.1 Cons Svcs 5.8 4.8 5.5 4.4 Bus Svcs 1.0 2.6 2.9 2.0 Financial 17.6 25.4 24.9 32.1 Cons Goods 10.0 6.8 11.9 9.6 Materials 15.9 11.7 12.3 11.0 Energy 11.3 18.3 12.7 13.1 Utilities 5.9 6.7 8.8 6.3 Equity Style Summary as of 9/30/2009 37.42 27.53 25.29 7.02 1.53 0.61 0.02 0.57 0.02 Val Core Grth Lrg Mid Sm Market Cap % Giant 50.17 Large 39.97 Mid 9.26 Small 0.59 Micro 0.01 Average Mkt Cap (mil) 40,456.21 Value Factors % Price/Earnings 14.51 Price/Book 1.80 Price/Sales 0.95 Price/Cash Flow 5.67 Dividend Yield 4.04 Growth Factors % LT Earn Grth 10.16 Historical Earn Grth -6.60 Book Val Grth -3.64 Sales Grth 6.76 Cash Flow Grth 8.77 Top 10 Holdings as of 9/30/2009 % Weighting CMT Market Liquidity Rate 3.35 J.P. Morgan Chase & Co.3.34 International Business Machines Corp 3.12 Wells Fargo Company 2.77 Hewlett-Packard Company 2.70 Microsoft Corporation 2.67 Bristol-Myers Squibb Company 2.60 Philip Morris International Inc 2.46 Imperial Tobacco Group PLC ADR 2.45 Occidental Petroleum Corporation 2.34 Total Number of Stock Holdings 256 Total Number of Bond Holdings 1 Total Number of Holdings 261 Share Class Net Assets (mil)21,043 Data provided by Morningstar 19 Morningstar DirectSM | Print Date: 1/8/2010 Page 1 of 1 Vanguard US Growth Inv VWUSX Currency Morningstar Category USD US OE Large Growth Benchmark 1Russell 1000 Growth TR USD Investment Growth as of 12/31/2009 22k 18 14 10 6 2 Growth of 10,000 10K line Inv: 6,040.29 Bmark 1: 8,866.22 Performance Quartile(within category))) ) ) ( ( & ) ( * * 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 22.28 -20.17 -31.70 -35.80 26.10 7.03 11.15 1.77 10.15 -37.82 34.95 Investment Return -10.88 2.26 -11.27 -7.92 -3.65 0.73 5.89 -7.31 -1.66 0.62 -2.25 +/- Bmark 1 82 79 85 92 58 55 18 88 68 28 47 % Rank Category Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 22.7 16.6 20.6 15.4 Software 3.6 8.4 7.2 8.1 Media 1.1 0.7 4.9 2.6 Telecom 6.0 5.7 1.6 3.2 Health Care 11.3 15.7 22.6 20.1 Cons Svcs 11.5 12.7 8.8 12.7 Bus Svcs 3.6 5.2 3.1 4.6 Financial 13.9 5.4 13.7 7.8 Cons Goods 5.8 14.1 5.2 10.3 Materials 11.1 10.4 8.6 10.7 Energy 9.4 4.2 3.2 3.7 Utilities 0.0 0.9 0.4 0.8 Equity Style Summary as of 9/30/2009 6.25 20.71 65.41 0.48 0.00 7.16 0.00 0.00 0.00 Val Core Grth Lrg Mid Sm Market Cap % Giant 58.25 Large 34.11 Mid 7.64 Small 0.00 Micro 0.00 Average Mkt Cap (mil) 46,443.77 Value Factors % Price/Earnings 20.30 Price/Book 2.58 Price/Sales 1.54 Price/Cash Flow 8.85 Dividend Yield 1.31 Growth Factors % LT Earn Grth 12.67 Historical Earn Grth 3.41 Book Val Grth 11.23 Sales Grth 12.70 Cash Flow Grth 17.63 Top 10 Holdings as of 9/30/2009 % Weighting Apple, Inc.6.00 Google, Inc.5.64 Goldman Sachs Group, Inc.4.24 J.P. Morgan Chase & Co.3.78 Hewlett-Packard Company 3.70 Schlumberger, Ltd.3.56 Qualcomm, Inc.3.50 CMT Market Liquidity Rate 3.02 Gilead Sciences, Inc.2.63 Intel Corporation 2.56 Total Number of Stock Holdings 84 Total Number of Bond Holdings 1 Total Number of Holdings 87 Share Class Net Assets (mil)3,074 Data provided by Morningstar 20 Morningstar DirectSM | Print Date: 1/7/2010 Page 1 of 1 Vanguard Mid Capitalization Index VIMSX Currency Morningstar Category USD US OE Mid-Cap Blend Benchmark 1MSCI US Mid Cap 450 GR USD Investment Growth as of 12/31/2009 30k 25 20 15 10 5 Growth of 10,000 10K line Inv: 20,909.95 Bmark 1: 19,442.03 Performance Quartile(within category)*& * * ( & & * * ( & 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 15.32 18.10 -0.50 -14.61 34.14 20.35 13.93 13.60 6.02 -41.82 40.22 Investment Return -19.00 19.95 5.88 1.85 -4.91 -0.17 -0.01 -0.15 -0.17 -0.02 -0.27 +/- Bmark 1 50 18 36 41 55 19 13 46 44 69 25 % Rank Category Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 8.8 8.8 9.6 7.2 Software 5.6 5.6 5.0 5.0 Media 2.2 2.2 2.7 2.5 Telecom 2.3 2.3 1.9 3.5 Health Care 9.1 9.1 11.3 8.7 Cons Svcs 10.3 10.3 9.6 10.1 Bus Svcs 6.5 6.5 8.6 5.2 Financial 18.2 18.2 17.8 19.3 Cons Goods 9.1 9.1 7.7 9.1 Materials 13.3 13.3 9.9 13.2 Energy 8.6 8.6 9.1 9.8 Utilities 6.1 6.1 6.7 6.2 Equity Style Summary as of 9/30/2009 0.00 0.00 1.91 31.47 32.66 32.97 0.67 0.15 0.18 Val Core Grth Lrg Mid Sm Market Cap % Giant 0.00 Large 1.90 Mid 97.09 Small 1.01 Micro 0.00 Average Mkt Cap (mil) 4,472.72 Value Factors % Price/Earnings 16.94 Price/Book 1.73 Price/Sales 0.73 Price/Cash Flow 4.60 Dividend Yield 2.11 Growth Factors % LT Earn Grth 11.45 Historical Earn Grth -0.48 Book Val Grth -3.01 Sales Grth 7.36 Cash Flow Grth 7.03 Top 10 Holdings as of 9/30/2009 % Weighting Intuitive Surgical, Inc.0.59 Discover Financial Services 0.51 Hartford Financial Services Group, Inc.0.51 Marvell Technology Group, Ltd.0.50 HCP, Inc.0.49 Bunge, Ltd.0.49 Cameron International Corporation 0.48 Consol Energy, Inc.0.48 Western Digital Corporation 0.48 Life Technologies Corp 0.48 Total Number of Stock Holdings 454 Total Number of Bond Holdings 1 Total Number of Holdings 456 Share Class Net Assets (mil)6,319 Data provided by Morningstar 21 Morningstar DirectSM | Print Date: 2010-01-27 Page 1 of 1 Vanguard Small Cap Index NAESX Currency Morningstar Category USD US OE Small Blend Benchmark 1MSCI US Small Cap 1750 USD Investment Growth as of 2009-12-31 26k 22 18 14 10 6 Growth of 10,000 10K line Inv: 18,860.52 Bmark 1: 18,612.06 Performance Quartile(within category)*) ( ( * * * * * ( * 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 23.13 -2.67 3.10 -20.02 45.63 19.90 7.36 15.66 1.16 -36.07 36.12 Investment Return 2.80 -9.91 1.23 -0.51 0.33 1.36 1.25 1.33 1.16 1.11 2.11 +/- Bmark 1 32 85 73 71 36 43 42 42 30 53 26 % Rank Category Equity Style Summary as of 2009-09-30 0.00 0.00 0.16 6.52 8.21 10.34 24.02 24.60 26.16 Val Core Grth Lrg Mid Sm Market Cap % Giant 0.00 Large 0.15 Mid 24.85 Small 58.81 Micro 16.19 Average Mkt Cap (mil) 1,102.91 Value Factors % Price/Earnings 17.29 Price/Book 1.44 Price/Sales 0.66 Price/Cash Flow 4.56 Dividend Yield 2.33 Growth Factors % LT Earn Grth 12.55 Historical Earn Grth -9.22 Book Val Grth -6.27 Sales Grth -2.12 Cash Flow Grth 3.92 Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 8.4 8.4 9.2 8.0 Software 5.6 5.6 5.2 5.4 Media 2.1 2.1 1.7 2.3 Telecom 4.3 4.3 2.0 4.7 Health Care 10.8 10.8 11.8 10.6 Cons Svcs 8.5 8.5 9.6 9.3 Bus Svcs 9.3 9.3 10.3 8.9 Financial 21.1 21.1 20.6 20.9 Cons Goods 9.2 9.2 5.8 8.0 Materials 11.8 11.8 14.2 12.2 Energy 5.0 5.0 5.4 5.3 Utilities 3.9 3.9 4.1 4.4 Region Exposure as of 2009-09-30 % Greater Asia 0.28 Japan 0.00 Australasia 0.00 Asia Developed 0.05 Asia Emerging 0.23 Americas 99.44 North America 98.92 Latin America 0.52 Greater Europe 0.28 United Kingdom 0.00 Europe Developed 0.20 Europe Emerging 0.06 Africa/Middle East 0.02 Data provided by Morningstar 22 Morningstar DirectSM | Print Date: 1/12/2010 Page 1 of 1 Vanguard International Growth Inv VWIGX Currency Morningstar Category USD US OE Foreign Large Blend Benchmark 1MSCI EAFE NR USD Investment Growth as of 12/31/2009 25k 20 15 10 5 0 Growth of 10,000 10K line Inv: 16,124.42 Bmark 1: 14,268.55 Performance Quartile(within category))& * ( * * * * & ( ( 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009-12 History 26.34 -8.60 -18.92 -17.79 34.45 18.95 15.00 25.92 15.98 -44.94 41.63 Investment Return -0.63 5.57 2.53 -1.85 -4.14 -1.29 1.47 -0.42 4.81 -1.56 9.85 +/- Bmark 1 82 11 28 62 39 30 39 37 22 62 64 % Rank Category Equity Style Summary as of 9/30/2009 25.99 25.22 37.64 3.08 2.85 4.62 0.22 0.05 0.33 Val Core Grth Lrg Mid Sm Market Cap % Giant 58.79 Large 30.08 Mid 10.54 Small 0.59 Micro 0.00 Average Mkt Cap (mil) 29,022.14 Value Factors % Price/Earnings 16.11 Price/Book 1.74 Price/Sales 0.91 Price/Cash Flow 7.91 Dividend Yield 3.86 Growth Factors % LT Earn Grth 8.78 Historical Earn Grth -15.55 Book Val Grth -18.24 Sales Grth -22.20 Cash Flow Grth -43.22 Historical Equity Sectors 1999-10-31 to 2009-09-30 100% 75 50 25 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Most Recent %Average % Subject B1 Subject B1 Hardware 2.2 1.2 4.5 1.4 Software 2.1 0.9 1.2 1.0 Media 0.6 1.3 3.4 2.1 Telecom 5.4 7.0 6.9 9.3 Health Care 6.2 8.2 7.3 8.1 Cons Svcs 10.4 4.9 7.6 5.6 Bus Svcs 4.8 3.8 5.7 4.3 Financial 23.0 26.7 21.8 26.0 Cons Goods 18.3 16.9 16.2 16.3 Materials 15.2 15.2 16.4 12.9 Energy 10.1 8.4 6.0 8.2 Utilities 1.7 5.4 3.0 4.9 Region Exposure as of 9/30/2009 % Greater Asia 31.92 Japan 14.40 Australasia 3.93 Asia Developed 8.07 Asia Emerging 5.53 Americas 9.99 North America 1.36 Latin America 8.64 Greater Europe 58.08 United Kingdom 18.56 Europe Developed 35.61 Europe Emerging 0.55 Africa/Middle East 3.36 Data provided by Morningstar 23 Appendix •NEPC uses as a data source the plan’s custodian bank or service•NEPC uses, as a data source, the plan s custodian bank or service provider for asset balances, calculation of accruals, transfers, exchanges and contribution deferral information. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within. • This report is provided as a management aid for the client’s internal use only. Fund performance contained in this report does not constitute a recommendation by NEPC. • Information in this report on fund returns, market indices and security characteristics is received from sources external to NEPC. While efforts are made to ensure that this external data is accurate, NEPC cannot accept responsibility for errors that may occur. • (c) Morningstar 2008. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) p;()y p,p ;() is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is no guarantee of future results. 24