HomeMy Public PortalAbout2015 3rd Quarter ReportPerformance
Review
Metropolitan St. Louis Sewer
District Deferred Compensation
Plan
3rd Quarter 2015
Pavilion Advisory Group Inc.
227 W. Monroe Street, Suite 2020
Chicago, IL 60606
Phone: 312-798-3200
Fax: 312-902-1984
www.pavilioncorp.com
1 Executive Summary 1
2 Performance Summary 4
3 Plan Assets 12
4 Manager Evaluation 15
5 Capital Markets Review 49
Table Of Contents
Executive Summary
1
Performance Summary - September 2015
Third quarter equity, balanced and target retirement date fund returns were negative on an absolute basis due to steep declines from the equity markets. Within the
target date retirement funds, the shorter dated funds with lower allocations to equity were the best absolute performers.
Plan Assets
The investment menu provides a combination of single strategy funds and diversified portfolios including a balanced fund and target retirement date funds. The
retirement dates range from 2010 through 2060 in five year increments.
Manager Evaluation
Vanguard is a market leader and well known for its low cost market index and institutional investment funds. In October, Vanguard and Barrow Hanley
announced that Jim Barrow will be stepping down as PM of Vanguard Windsor II at the end of 2015. He has managed Barrow Hanley’s portion of Windsor II
assets (approximately 60%) since 1985. As has already been well-communicated over the past couple of years, his replacements will be David Ganucheau and
Jeff Fahrenbruch.
Third quarter performance for the active managers in the investment menu was modest in relative terms. Vanguard Windsor II returned 20 basis points better than
its benchmark as a result of favorable stock selection. Conversely Vanguard US Growth and Vanguard International Growth trailed their respective benchmarks
by 20 and 80 basis points, respectively.
Target retirement date funds approximated their respective benchmarks over longer-term periods.
Deferred Compensation Plan Executive Summary
2
Deferred Compensation Plan Executive Summary
Capital Markets Review
The Federal Reserve abstained from raising interest rates in September following market turmoil in August. Weak foreign growth prospects and a consensus tilt
toward easing among other central banks gave the Fed pause. Investors pushed back expectations for a shift in Fed policy, giving May 2016 as the earliest time
with a probability over 50% for a rise in rates.
U.S. inflation was unchanged for the last year, owing to falling energy prices. Job growth slowed in the third quarter as manufacturing and industrial sectors
trimmed outlooks for global growth. Consumer demand continued to grow, though restaurant and goods prices are expected to rise as the lowest wages rose at
large retailers and restaurants. Equity market volatility, as measured by the VIX Index, spiked during the quarter, driven by the slowing Chinese economy and
uncertainties surrounding the impact it will have on global economic growth. Additionally, devaluation of the Chinese yuan and the Fed’s decision to delay hiking
interest rates caused further uncertainty.
A move by China to weaken its currency sent shockwaves through world markets. In an attempt to stem a slowdown in exports and support an overbuilt
manufacturing base, the yuan fell 3% during August. Eroding demand from Europe and the U.S. prompted the Chinese government to undertake the monumental
process of shifting its economy more toward a consumer-based structure and promote internal demand. Although Chinese GDP growth remains above 6%, it is
enough below the past two decades’ average to cause concern. The Chinese stock market sell-off reflected weaker earnings forecasts for Chinese companies and
uncertainty over the economic shift.
Recommendations or Action Items
No recommendations at this time.
3
Performance Summary
4
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Domestic Equity Options
Vanguard 500 Index (VFINX)-6.5 (33)-5.4 (44)-0.7 (41)12.2 (37)13.2 (26)6.7 (35)
S&P 500 -6.4 (32)-5.3 (43)-0.6 (39)12.4 (34)13.3 (23)6.8 (32)
IM U.S. Large Cap Equity -7.3 -5.9 -1.7 11.6 12.0 6.1
Vanguard US Growth (VWUSX)-5.5 (35)0.1 (19)6.3 (6)15.5 (8)15.3 (8)7.2 (46)
Russell 1000 Growth Index -5.3 (28)-1.5 (41)3.2 (40)13.6 (31)14.5 (21)8.1 (21)
IM U.S. Large Cap Growth Equity -6.1 -2.0 2.5 12.8 13.1 7.1
Vanguard Windsor II (VWNFX)-8.2 (36)-7.3 (20)-4.1 (31)10.9 (51)12.1 (23)5.7 (31)
Russell 1000 Value Index -8.4 (42)-9.0 (55)-4.4 (39)11.6 (28)12.3 (18)5.7 (30)
IM U.S. Large Cap Value Equity -8.9 -8.7 -5.1 10.9 10.9 5.0
Vanguard Mid-Cap Index (VIMSX)-7.5 (24)-4.7 (44)1.6 (35)14.5 (19)13.5 (20)7.7 (28)
Vanguard Mid-Cap Index Fund Blended Benchmark -7.4 (22)-4.6 (42)1.8 (33)14.8 (15)13.7 (15)7.9 (24)
IM U.S. Mid Cap Equity -9.2 -5.5 -0.6 12.3 11.8 6.8
Vanguard Small-Cap Index (NAESX)-10.3 (38)-6.6 (35)-0.3 (50)12.3 (25)12.8 (23)7.6 (6)
Vanguard Small-Cap Index Fund Blended Benchmark -10.3 (38)-6.6 (34)-0.2 (49)12.5 (23)13.0 (21)7.7 (5)
IM U.S. Small Cap Equity -11.1 -8.2 -0.4 10.7 11.4 5.7
International Equity Option
Vanguard International Growth (VWIGX)-13.0 (64)-7.2 (56)-9.9 (55)4.8 (43)3.6 (41)4.4 (32)
MSCI AC World ex USA (Net)-12.2 (60)-8.6 (62)-12.2 (63)2.3 (65)1.8 (65)3.0 (59)
IM International Equity -11.1 -6.1 -9.2 4.0 3.0 3.4
Fixed Income Options
Vanguard Total Bond Market Index (VBMFX)1.2 (2)0.9 (13)2.6 (4)1.5 (63)2.9 (77)4.5 (69)
Vanguard Total Bond Market Index Fund Benchmark 1.2 (2)1.1 (9)2.8 (1)1.7 (57)3.1 (69)4.6 (62)
IM U.S. Broad Market Core+ Fixed Income 0.0 0.1 1.3 1.8 3.5 5.0
Vanguard Retirement Savings Trust 0.5 1.4 1.9 1.8 2.2 3.0
Ryan 3 Yr GIC Master 0.3 0.8 1.1 1.1 1.5 2.9
Performance Summary
Investment Options
As of September 30, 2015
_________________________
Returns are expressed as percentages. Returns for periods greater than one year are annualized.
Peer group percentile ranks are shown in parenthesis.
5
Performance Summary
Investment Options
As of September 30, 2015
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Equity/Fixed Income Blend Options
Vanguard Balanced Index (VBINX)-3.9 (22)-2.9 (41)0.9 (24)8.0 (25)9.2 (12)6.3 (14)
Vanguard Balanced Index Fund Benchmark -3.9 (23)-2.8 (39)0.9 (23)8.2 (20)9.3 (10)6.4 (11)
60% Equity / 40% Fixed Peer Group Median -4.7 -3.4 -0.7 7.3 7.8 5.4
Vanguard Target Retirement Income (VTINX)-2.1 (15)-1.3 (14)0.2 (11)3.6 (42)5.2 (33)5.0 (17)
Vanguard Target Income Composite Index -2.2 (16)-1.2 (12)0.3 (10)3.7 (38)5.3 (28)5.0 (16)
IM Mixed-Asset Target Alloc Consv (MF) Median -3.3 -2.4 -1.5 3.2 4.6 4.1
Vanguard Target Retirement 2010 (VTENX)-2.6 (10)-1.6 (7)0.1 (5)4.7 (20)6.2 (18)N/A
Vanguard Target 2010 Composite Index -2.6 (11)-1.6 (6)0.1 (4)4.9 (17)6.3 (14)N/A
IM Mixed-Asset Target 2010 (MF) Median -3.9 -2.9 -1.7 4.0 5.3 3.7
Vanguard Target Retirement 2015 (VTXVX)-3.9 (40)-2.6 (30)-0.7 (24)5.9 (11)7.0 (8)5.3 (4)
Vanguard Target 2015 Composite Index -4.0 (42)-2.6 (31)-0.6 (22)6.0 (8)7.1 (5)5.3 (4)
IM Mixed-Asset Target 2015 (MF) Median -4.4 -3.1 -1.8 4.5 5.7 3.6
Vanguard Target Retirement 2020 (VTWNX)-4.8 (51)-3.3 (38)-1.1 (27)6.7 (5)7.7 (7)N/A
Vanguard Target 2020 Composite Index -4.9 (53)-3.3 (38)-1.1 (25)6.9 (4)7.9 (2)N/A
IM Mixed-Asset Target 2020 (MF) Median -4.8 -3.6 -2.1 4.7 5.8 4.0
Vanguard Target Retirement 2025 (VTTVX)-5.5 (46)-3.8 (46)-1.6 (32)7.3 (14)8.2 (14)5.4 (12)
Vanguard Target 2025 Composite Index -5.7 (54)-3.9 (48)-1.6 (32)7.5 (10)8.4 (9)5.5 (8)
IM Mixed-Asset Target 2025 (MF) Median -5.6 -4.0 -2.2 6.0 7.1 4.0
Vanguard Target Retirement 2030 (VTHRX)-6.3 (46)-4.4 (43)-2.2 (26)7.9 (14)8.6 (12)N/A
Vanguard Target 2030 Composite Index -6.4 (54)-4.5 (47)-2.2 (27)8.0 (11)8.8 (7)N/A
IM Mixed-Asset Target 2030 (MF) Median -6.4 -4.5 -2.9 6.5 7.2 4.2
Vanguard Target Retirement 2035 (VTTHX)-7.1 (45)-5.0 (50)-2.8 (42)8.4 (19)9.1 (15)5.6 (16)
Vanguard Target 2035 Composite Index -7.2 (52)-5.1 (52)-2.8 (43)8.6 (14)9.3 (9)5.7 (10)
IM Mixed-Asset Target 2035 (MF) Median -7.2 -5.0 -3.1 7.2 7.9 4.3
Vanguard Target Retirement 2040 (VFORX)-7.9 (59)-5.6 (57)-3.4 (49)8.6 (16)9.2 (12)N/A
Vanguard Target 2040 Composite Index -8.0 (61)-5.7 (57)-3.3 (47)8.8 (11)9.4 (5)N/A
IM Mixed-Asset Target 2040 (MF) Median -7.8 -5.5 -3.5 7.3 7.8 4.3
_________________________
Returns are expressed as percentages. Returns for periods greater than one year are annualized.
Peer group percentile ranks are shown in parenthesis.
6
Performance Summary
Investment Options
As of September 30, 2015
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Equity/Fixed Income Blend Options (cont.)
Vanguard Target Retirement 2045 (VTIVX)-7.9 (50)-5.6 (59)-3.5 (51)8.6 (22)9.2 (17)5.7 (23)
Vanguard Target 2045 Composite Index -8.0 (52)-5.7 (61)-3.4 (49)8.8 (16)9.4 (8)5.8 (16)
IM Mixed-Asset Target 2045 (MF) Median -8.0 -5.4 -3.4 7.8 8.2 4.3
Vanguard Target Retirement 2050 (VFIFX)-7.9 (52)-5.6 (53)-3.5 (48)8.6 (21)9.2 (17)N/A
Vanguard Target 2050 Composite Index -8.0 (53)-5.7 (57)-3.4 (45)8.8 (14)9.4 (8)N/A
IM Mixed-Asset Target 2050 (MF) Median -7.9 -5.6 -3.6 7.8 8.2 4.5
Vanguard Target Retirement 2055 (VFFVX)-8.0 (49)-5.8 (64)-3.6 (54)8.6 (36)9.2 (20)N/A
Vanguard Target 2055 Composite Index -8.0 (50)-5.7 (60)-3.4 (50)8.8 (22)9.4 (11)N/A
IM Mixed-Asset Target 2055+ (MF) Median -8.0 -5.5 -3.4 8.0 8.2 N/A
Vanguard Target Retirement 2060 (VTTSX)-8.0 (48)-5.7 (64)-3.6 (54)8.5 (37)N/A N/A
Vanguard Target 2060 Composite Index -8.0 (50)-5.7 (60)-3.4 (50)8.8 (22)N/A N/A
IM Mixed-Asset Target 2055+ (MF) Median -8.0 -5.5 -3.4 8.0 8.2 N/A
Money Market Option
Vanguard Prime Money Market (VMMXX)0.0 0.0 0.0 0.0 0.0 1.4
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 1.3
_________________________
Returns are expressed as percentages. Returns for periods greater than one year are annualized.
Peer group percentile ranks are shown in parenthesis.
7
Pe rformance Summary
Manager Compliance Checklist
As of September 30, 2015
Ma na ge rs
Vangua rd
S&P 500
Inde x
(V FINX)
Va ngua rd US
Grow th
(VWUSX)
Va ngua rd
Windsor II
(V WNFX)
Vangua rd
Mid-Ca p
Index
(V IMSX)
Va ngua rd
Small-Ca p
Inde x
(NAES X)
Vangua rd
Interna ti ona l
Grow th
(V WIGX)
Vangua rd
Total Bond
Ma rke t I nde x
(VBMFX)
Va ngua rd
Re ti re ment
Trust
Organi zati onal /Produ ct Is sues
No ma teria l c hanges to investment team +--++-++
No ma teria l o rg aniza tional changes ++++++++
Accounting or re gulatory concerns ++++++++
Cu rrently in adherence to guidelin es ++++++++
Po rt fo lio characteris tics me et s tylis tic expectations ++++++++
Re lati ve Perfor mance 1
Three-year re turn better than benchmark N/A +-N/A N/A +N/A N/A
Three-year ra nkin g better than peer group media n ++-+++-N/A
Fiv e year return better than benchmark N/A +-N/A N/A +N/A N/AFive year return better than benchmark N/A +-N/A N/A +N/A N/A
Fiv e year rankin g better than peer group median ++++++-N/A
Perfor manc e s tatus ++++++++
Summar y s tatus +-++++++
1 Manager performance is evaluated net of investment management fees.
8
Pe rformance Summary
Manager Compliance Checklist (Continued)
As of September 30, 2015
Manage rs
Vanguard
Ba lance d
Index
(V BI NX )
Vanguard
Target
Re ti re ment
Income Fund
(VTINX)
Vangua rd
Target
Re tirement
2010
(VTENX)
Vanguard
Ta rget
Re tire ment
2015
(V TXVX)
Vanguard
Ta rge t
Re ti re ment
2020
(V TWNX)
Vangua rd
Ta rge t
Re ti re ment
2025
(V TTVX)
Vanguard
Targe t
Re ti rement
2030
(V THRX)
Vangua rd
Targe t
Re tire ment
2035
(VTTHX)
Organizati onal /Produ ct Is sues
No ma terial c hanges to investment team ++++++++
No ma terial o rganiza tional changes ++++++++
Accounting or regulatory concerns ++++++++
Cu rrently in adherence to guidelin es ++++++++
Po rt fo lio characteris tics me et stylis tic expectations ++++++++
Relative Perfor mance 1
Three-year return better than benchmark N/A N/A N/A N/A N/A N/A N/A N/A
Three-year rankin g better than peer group median ++++++++
Five year return better than benchmark N/A N/A N/A N/A N/A N/A N/A N/AFive year return better than benchmark N/A N/A N/A N/A N/A N/A N/A N/A
Five year rankin g better than peer group median ++++++++
Performance status ++++++++
Summar y s tatus ++++++++
1 Manager performance is evaluated net of investment management fees.
9
Pe rformance Summary
Manager Compliance Checklist (Continued)
As of September 30, 2015
Mana gers
Vanguard
Ta rge t
Re ti re ment
2040
(V FORX)
Vangua rd
Ta rget
Re ti re ment
2045
(V TIVX)
Va ngua rd
Targe t
Re ti re ment
2050
(V FIFX)
Vangua rd
Targe t
Re ti re ment
2055
(V FFVX)
Vangua rd
Ta rget
Re ti re ment
2060
(V TTSX)
Vangua rd
Prime Mone y
Marke t Fund
(V MMXX)
Organizational /Produ ct Is sues
No ma teria l c hanges to investment team ++++++
No ma teria l o rg aniza tional changes ++++++
Accounting or regulatory concerns ++++++
Cu rre ntly in adherence to guidelin es ++++++
Po rt fo lio characteris tics me et stylis tic expectations ++++++
Re lati ve Performanc e 1
Thre e-year re turn better than benchmark N/A N/A N/A N/A N/A N/A
Thre e-year ra nkin g better than peer group median +++++N/A
Fiv e year return better than benchmark N/A N/A N/A N/A N/A N/A
1 Manager performance is evaluated net of investment management fees.
Fiv e year return better than benchmark N/A N/A N/A N/A N/A N/A
Fiv e year rankin g better than peer group median ++++N/A N/A
Performance status ++++++
Summary status ++++++
10
Manager Compliance Checklist
Third Quarter 2015
Manager
Compliance
Issue Explanation
Recommended
Ac tion Comments
Vanguard
Windsor II
Investment
Team
Changes
Vanguard and Barrow Hanley
announced that Jim Barrow will be
stepping down as PM of Windsor II at the
end of 2015. He has managed Barrow
Hanley’s portion of W indsor II assets
(approximately 60%) since 1985. As has
already been well-communicated over
the past couple of years, his
replacements will be David Ganucheau
and Jeff Fahrenbruch.
It was also announced that a second
generation PM, Tim Culler, will be
retiring in March 2016.
Hold Messrs. Ganucheau and Fahrenbruch have 19 and 18 years
of investment experience, respectively, and have managed
money for Barrow Hanley since July 2011. However,
investors are losing a great deal of experience with this
change. W e recommend holding on the to the Fund but will
observe performance and flows as the transition takes place
over the coming months.
The Barrow Hanley process is structured so that different
accounts are managed by different PMs so Mr. Culler’s
departure should not impact W indsor II.
Vanguard Investment In February 2014, Vanguard announced Hold The funds' multimanager approach and other portfolio Vanguard
U.S. Growth
Investment
Team
Changes
that the Vanguard Growth Equity Fund
merged with the Vanguard U.S. Growth
Fund. The merged fund will keep
Vanguard U.S. Growth Fund's current
sub advisors, Jackson Square,
Wellington, and William Blair, while
adding Vanguard Growth Equity Fund's
sub advisors, Baillie Gifford and
Jennison, effectively increasing the
number of advisors from 3 to 5. In May
2015, portfolio manager Ian Tabberer left
Baillie Gifford and was replaced by co-
head of North American equities, Gary
Robinson.
Hold
managers are unchanged. Pavilion will continue to monitor
the managers for further developments.
Vanguard
International
Growth
In October 2014, Charles Anniss, CFA,
replaced Greg Aldridge as portfolio
manager for the portion of the
International Growth Fund managed by
M&G Investment Management Limited
(M&G).
Hold The funds' multimanager approach and other portfolio
managers are unchanged. Pavilion will continue to monitor
the managers for further developments.
11
Plan Assets
12
Plan Summary
Deferred Compensation Plan Assets
As of September 30, 2015
Invest ment Options Investm ent Style Al location Percentage
Domestic Eq uity Funds
Vanguard 500 Index I nv US Large Cap Equit y -Core $ 6,210,078 13.1%$ (545,331)- 8.1%
Vanguard Windsor II Inv US Large Cap Equit y -Value $ 8,040,909 17.0%$ (851,576)- 9.6%
Vanguard US Growth Inv US Large Cap Equit y -Growth $ 4,354,650 9.2%$ (295,127)- 6.3%
Vanguard M id Cap Index I nv US Mid Cap Equit y -Core $ 2,512,005 5.3%$ (266,852)- 9.6%
Vanguard Small Cap Index Inv US Small Cap Equit y -Core $ 2,320,861 4.9%$ (68,246)- 2.9%
$ 23,438,504 49.5%$ (2,027,131)- 8.0%
International Equ ity Funds
Vanguard Internat ional Growth Internat ional Equity $ 1,927,767 4.1%$ (345,847)- 15.2%
$ 1,927,767 4.1%$ (345,847)- 15.2%
Fi xed I ncome/Alternative Fu nds
Vanguard T otal Bond M arket Index Inv Market Duration $ 2,500,573 5.3%$ 46,862 + 1.9%
Vanguard Retirement Savings Trust Short Durat ion $ 3,603,821 7.6%$ 457,146 + 14.5%
Vanguard Balanced Index Inv Balanced $ 3,921,578 8.3%$ (264,825)- 6.3%
$ 10,025,972 21.2%$ 239,183 + 2.4%
$ Change
From
Previous Qtr
% C hange
From
Pre vi ous Qtr
$ 10,025,972 21.2%$ 239,183 + 2.4%
Cash
Vanguard Prime M oney Market Cash $ 1,369,427 2.9%$ 148,951 + 12.2%
$ 1,369,427 2.9%$ 148,951 + 12.2%
Ta rge t Date Funds
Vanguard T arget Ret irement Income Inv Blend $ 283,857 0.6%$ (51,271)- 15.3%
Vanguard T arget Ret irement 2010 Inv Blend $ 536,994 1.1%$ (14,306)- 2.6%
Vanguard T arget Ret irement 2015 Inv Blend $ 772,557 1.6%$ (63,696)- 7.6%
Vanguard T arget Ret irement 2020 Inv Blend $ 2,079,837 4.4%$ (55,863)- 2.6%
Vanguard T arget Ret irement 2025 Inv Blend $ 2,226,341 4.7%$ (173,975)- 7.2%
Vanguard T arget Ret irement 2030 Inv Blend $ 956,926 2.0%$ (41,214)- 4.1%
Vanguard T arget Ret irement 2035 Inv Blend $ 1,075,085 2.3%$ 56,587 + 5.6%
Vanguard T arget Ret irement 2040 Inv Blend $ 606,417 1.3%$ (9,097)- 1.5%
Vanguard T arget Ret irement 2045 Inv Blend $ 551,281 1.2%$ (53,305)- 8.8%
Vanguard T arget Ret irement 2050 Inv Blend $ 252,559 0.5%$ 18,433 + 7.9%
Vanguard T arget Ret irement 2055 Inv Blend $ 30,272 0.1%$ 1,401 + 4.9%
Vanguard T arget Ret irement 2060 Inv Blend $ 21,707 0.0%$ 1,327 + 6.5%
9,393,833$ 19.8%(384,980)$ - 3.9%
Loan Fund
Loan Fund Loan Fund $ 1,176,000 2.5%$ 20,709 + 1.8%
TO TA L $ 47,331,504 100.0%$ (2,349,115)- 4.7%
13
Plan Summary
Fee Comparison Summary
As of September 30, 2015
Inv estment Option
Expe nse
Ratio
Morningstar
Cate gory
Av erage
Fe e Level
Comp arison
Group Median
eVestment
Al liance
Univ erse
Median Cate gory
Fe e Level Comp arison
Group
eVestment Alliance
Univ erse
Va nguard 500 In dex 0.17 1.11 0.92 0.15 La rg e Blend eVestment US Pa ssive La rg e Cap Equity
Va nguard US Gro wt h 0.44 1.29 0.92 0.83 La rge Gro wth La rg e Cap No Lo ad US Large Cap Gr owth
Va nguard Windsor 0.36 1.16 0.92 0.82 La rge Value La rg e Cap No Lo ad US Large Cap Va lu e
Va nguard Mid-Ca p Index 0.23 1.14 1.08 0.24 Mid Ble nd Mid Cap No Lo ad US Passive Mid Cap Equity
Va nguard Sma ll-Ca p Index 0.23 1.26 1.17 0.24 Small Ble nd Small Ca p No Load US Pas sive Sma ll Ca p Equity
Va nguard International Gr owth 0.47 1.34 1.06 1.09 Foreig n Large Gro wt h Foreign Large Cap No Lo ad ACWI ex-US Gro wt h Equity
Va nguard Total Bo nd Marke t Index 0.20 0.84 0.68 0.50 Interme diate-Term Bond Interme diate-Term Bond No Load US Co re Fixe d Income
Va nguard Retire me nt Saving Trust 0.53 N/A N/A 0.82 N/A N/A US St able Value Fixed Income
Va nguard Balanced Index 0.23 0.88 0.89 0.77 Moderate Allo cation Moderate Allo cation No Load US Ba la nced
Va nguard Target Retirement Income 0.16 0.44 0.74 0.46 Retire me nt Income Retire me nt Income No Load Li fecycle/Target Date Income
Va nguard Target Retirement 2010 0.16 0.38 0.6 0.55 Target Date 2000-2010 Target Retireme nt 2000-2010 No Lo ad Life cycle/Target Date 2010Vanguard Target Retirement 2010 0.16 0.38 0.6 0.55 Target Date 2000-2010 Target Retireme nt 2000-2010 No Lo ad Life cycle/Target Date 2010
Va nguard Target Retirement 2015 0.16 0.4 0.84 0.61 Target Date 2011-2015 Target Retireme nt 2011-2015 No Lo ad Life cycle/Target Date 2015
Va nguard Target Retirement 2020 0.16 0.44 0.76 0.62 Target Date 2016-2020 Target Retireme nt 2016-2020 No Lo ad Life cycle/Target Date 2020
Va nguard Target Retirement 2025 0.17 0.42 0.84 0.64 Target Date 2021-2025 Target Retireme nt 2021-2025 No Lo ad Life cycle/Target Date 2025
Va nguard Target Retirement 2030 0.17 0.44 0.81 0.65 Target Date 2026-2030 Target Retireme nt 2026-2030 No Lo ad Life cycle/Target Date 2030
Va nguard Target Retirement 2035 0.18 0.43 0.88 0.65 Target Date 2031-2035 Target Retireme nt 3031-2035 No Lo ad Life cycle/Target Date 2035
Va nguard Target Retirement 2040 0.18 0.46 0.86 0.67 Target Date 2036-2040 Target Retireme nt 2036-2040 No Lo ad Life cycle/Target Date 2040
Va nguard Target Retirement 2045 0.18 0.44 0.94 0.67 Target Date 2041-2045 Target Retireme nt 2041-2045 No Lo ad Life cycle/Target Date 2045
Va nguard Target Retirement 2050 0.18 0.44 0.84 0.67 Target Date 2046-2050 Target Retireme nt 2046-2050 No Lo ad Life cycle/Target Date 2050
Va nguard Target Retirement 2055 0.18 0.38 0.87 0.46 Target Date 2051+Target Retireme nt 2051+ No Lo ad Life cycle/Target Date 2055
Va nguard Target Retirement 2060 0.18 0.38 0.87 N/A Target Date 2051+Target Retireme nt 2051+ No Lo ad N/A
Va nguard Prime Money Marke t 0.16 0.14 N/A 0.19 Money Marke t Taxable N/A US Cash Management
14
Manager Evaluation
15
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard 500 Index Fund (VFINX)-6.5 -5.4 -0.7 12.2 13.2 6.7 13.5 32.2 15.8 2.0 14.9 26.5 -37.0 5.4 15.6 4.8
S&P 500 -6.4 -5.3 -0.6 12.4 13.3 6.8 13.7 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9
IM U.S. Large Cap Equity -7.3 -5.9 -1.7 11.6 12.0 6.1 11.0 32.6 15.3 -1.3 13.4 28.1 -37.8 6.8 13.1 5.3
Vanguard 500 Index Fund (VFINX) Rank 33 44 41 37 26 35 16 56 43 20 34 58 41 59 31 58
Vanguard 500 Index Fund (VFINX)S&P 500
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
-0.2
-0.4Return (%)12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard 500 Index Fund (VFINX)13.2 12.8 13.3 -0.1 1.0 1.0 0.0 -11.9 7.0 0.0 39y 1m
S&P 500 13.3 12.8 13.5 0.0 1.0 1.1 0.0 N/A 6.9 0.0 39y 1m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.8 -1.1 0.0 20.0 39y 1m
Manager Evaluation
Vanguard 500 Index Fund (VFINX) vs. S&P 500
As of September 30, 2015
16
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)126,629 126,635
Median Mkt. Cap ($M)17,000 16,986
Price/Earnings ratio 18.0 18.0
Price/Book ratio 3.0 3.0
5 Yr. EPS Growth Rate (%)11.7 11.2
Current Yield (%)2.3 2.3
Debt to Equity 1.2 1.2
Number of Stocks 504 505
Beta (5 Years, Monthly)1.00 1.00
Consistency (5 Years, Monthly)1.67 1.00
Sharpe Ratio (5 Years, Monthly)1.14 1.15
Information Ratio (5 Years, Monthly)-10.38 -
Up Market Capture (5 Years, Monthly)99.55 -
Down Market Capture (5 Years, Monthly)100.44 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 3.7 3.7 0.0 -11.7
Microsoft Corp 2.1 2.1 0.0 0.9
Exxon Mobil Corp 1.8 1.8 0.0 -9.8
Johnson & Johnson 1.5 1.5 0.0 -3.5
General Electric Co 1.5 1.5 0.0 -4.2
Wells Fargo & Co 1.4 1.4 0.0 -8.1
Berkshire Hathaway Inc 1.3 1.4 -0.1 -4.2
JPMorgan Chase & Co 1.3 1.3 0.0 -9.4
Facebook Inc 1.2 1.2 0.0 4.8
AT&T Inc 1.2 1.2 0.0 -7.0
% of Portfolio 17.2 17.3
Distribution of Market Capitalization (%)
Vanguard 500 Index Fund (VFINX)S&P 500
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil
50.3
32.4
16.8
0.6
50.3
32.4
16.8
0.6
Sector Weights (%)
Vanguard 500 Index Fund (VFINX)S&P 500
0.0 5.0 10.0 15.0 20.0 25.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.1
2.4
2.8
20.4
10.1
14.7
16.5
6.9
9.9
13.1
3.1
2.4
2.8
20.4
10.1
14.7
16.5
6.9
9.9
13.1
Manager Evaluation
Vanguard 500 Index Fund (VFINX) vs. S&P 500
As of September 30, 2015
17
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2010 - Sep - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Windsor II (VWNFX)-8.2 -7.3 -4.1 10.9 12.1 5.7 11.2 30.7 16.7 2.7 10.6 27.1 -36.7 2.2 18.2 7.0
Russell 1000 Value Index -8.4 -9.0 -4.4 11.6 12.3 5.7 13.5 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 7.1
IM U.S. Large Cap Value Equity -8.9 -8.7 -5.1 10.9 10.9 5.0 10.9 32.5 15.3 -2.4 12.8 24.3 -36.9 1.5 17.8 5.2
Vanguard Windsor II (VWNFX) Rank 36 20 31 51 23 31 45 76 31 15 85 29 48 44 45 30
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15 11.8
12.0
12.2
12.4
12.6
Return (%)12.6 12.9 13.2 13.5 13.8 14.1 14.4
Risk (Standard Deviation %)
Russell 1000 Value Index
Vanguard Windsor II (VWNFX)
Average Active Weight
0.0 8.0 16.0-8.0-16.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-2.7
0.2
0.3
-2.4
2.0
-1.1
4.9
-6.8
-5.5
1.9
6.2
3.1
Allocation
(Total: 0.6)
0.0 0.5 1.0-0.5-1.0
-0.4
0.0
0.0
0.2
0.0
0.0
-0.1
-0.1
0.5
0.1
0.0
0.3
Stock
(Total: 0.5)
0.0 0.7 1.4-0.7-1.4
-0.2
0.0
0.0
0.0
0.2
0.4
0.1
-0.7
-0.1
0.6
0.2
0.0
Vanguard Windsor II (VWNFX)
0.0 0.6 1.2 1.8-0.6-1.2-1.8
-0.6
0.0
0.0
0.2
0.2
0.4
0.0
-0.8
0.4
0.7
0.2
0.3
Manager Evaluation
Vanguard Windsor II (VWNFX) vs. Russell 1000 Value Index
As of September 30, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
18
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)103,259 99,799
Median Mkt. Cap ($M)20,235 7,056
Price/Earnings ratio 14.9 15.9
Price/Book ratio 2.4 2.0
5 Yr. EPS Growth Rate (%)7.5 5.3
Current Yield (%)2.8 2.8
Debt to Equity 1.4 1.0
Number of Stocks 254 689
Beta (5 Years, Monthly)0.96 1.00
Consistency (5 Years, Monthly)48.33 1.00
Sharpe Ratio (5 Years, Monthly)1.04 1.02
Information Ratio (5 Years, Monthly)-0.10 -
Up Market Capture (5 Years, Monthly)97.71 -
Down Market Capture (5 Years, Monthly)96.90 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Microsoft Corp 3.1 1.6 1.5 0.9
JPMorgan Chase & Co 3.1 2.4 0.7 -9.4
Medtronic PLC 2.9 1.0 1.9 -9.2
Wells Fargo & Co 2.7 2.5 0.1 -8.1
Pfizer Inc 2.6 2.1 0.5 -5.6
Citigroup Inc 2.4 1.6 0.8 -10.1
Philip Morris International Inc 2.3 0.7 1.7 0.2
PNC Financial Services Group Inc.2.3 0.5 1.8 -6.3
Bank of America Corp 2.1 1.7 0.4 -8.2
Target Corp 2.1 0.5 1.6 -3.0
% of Portfolio 25.5 14.6
Distribution of Market Capitalization (%)
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil
41.7
29.5
22.5
6.3
45.2
36.4
15.0
3.4
Sector Weights (%)
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0.0 8.0 16.0 24.0 32.0 40.0
Other
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.5
2.6
2.7
0.5
14.1
9.8
16.8
22.9
8.7
9.7
11.8
6.4
2.5
2.7
11.3
10.0
11.6
30.3
12.9
7.0
5.4
Manager Evaluation
Vanguard Windsor II (VWNFX) vs. Russell 1000 Value Index
As of September 30, 2015
*Manager characteristics are updated through 06/30/2015 as current quarter data was not available at the time of report production.
19
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2010 - Sep - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard US Growth (VWUSX)-5.5 0.1 6.3 15.5 15.3 7.2 13.1 35.5 18.4 -0.7 11.5 35.0 -37.8 10.1 1.8 11.2
Russell 1000 Growth Index -5.3 -1.5 3.2 13.6 14.5 8.1 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3
IM U.S. Large Cap Growth Equity -6.1 -2.0 2.5 12.8 13.1 7.1 10.5 34.1 14.9 -1.7 15.1 35.0 -39.8 13.8 6.7 5.7
Vanguard US Growth (VWUSX) Rank 35 19 6 8 8 46 22 36 18 38 80 51 30 77 85 17
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15 12.8
13.6
14.4
15.2
16.0
16.8
Return (%)12.0 12.6 13.2 13.8 14.4 15.0 15.6 16.2
Risk (Standard Deviation %)
Russell 1000 Growth Index
Vanguard US Growth (VWUSX)
Average Active Weight
0.0 8.0 16.0-8.0-16.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
0.0
-1.3
0.0
-2.6
6.1
-5.5
-1.3
2.2
3.5
-3.8
-1.1
3.7
Allocation
(Total: -0.3)
0.0 0.6 1.2-0.6-1.2
0.0
0.0
0.0
0.3
0.1
0.0
0.1
0.0
-0.7
-0.2
0.0
0.2
Stock
(Total: 0.3)
0.0 0.4 0.8-0.4-0.8
0.0
0.0
0.0
0.0
0.0
0.2
0.1
0.1
0.1
-0.4
0.2
0.0
Vanguard US Growth (VWUSX)
0.0 0.4 0.8-0.4-0.8-1.2
0.0
0.0
0.0
0.3
0.1
0.2
0.2
0.1
-0.7
-0.6
0.2
0.2
Manager Evaluation
Vanguard US Growth (VWUSX) vs. Russell 1000 Growth Index
As of September 30, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
20
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)103,460 123,670
Median Mkt. Cap ($M)20,862 8,393
Price/Earnings ratio 24.4 20.9
Price/Book ratio 4.4 5.0
5 Yr. EPS Growth Rate (%)19.3 17.7
Current Yield (%)1.1 1.6
Debt to Equity 1.0 0.7
Number of Stocks 164 642
Beta (5 Years, Monthly)1.13 1.00
Consistency (5 Years, Monthly)56.67 1.00
Sharpe Ratio (5 Years, Monthly)1.13 1.22
Information Ratio (5 Years, Monthly)0.33 -
Up Market Capture (5 Years, Monthly)108.92 -
Down Market Capture (5 Years, Monthly)112.04 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 4.0 6.4 -2.4 -11.7
MasterCard Inc 3.9 0.9 3.0 -3.4
Visa Inc 2.8 1.4 1.5 3.9
Google Inc (Class C)2.8 1.8 1.0 16.9
Celgene Corp 2.7 0.9 1.8 -6.5
Amazon.com Inc 2.6 2.0 0.6 17.9
Allergan PLC 2.2 0.5 1.7 -10.4
Home Depot Inc. (The)2.0 1.5 0.5 4.5
Equinix Inc 2.0 0.2 1.8 8.4
Facebook Inc 2.0 2.0 0.0 4.8
% of Portfolio 26.8 17.5
Distribution of Market Capitalization (%)
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil
46.4
28.8
21.0
3.8
42.8
29.3
25.3
2.6
Sector Weights (%)
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0.0 8.0 16.0 24.0 32.0 40.0
Other
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
0.4
1.3
32.9
6.7
18.4
9.1
2.5
6.5
22.1
0.0
2.1
3.5
27.7
11.1
16.8
5.4
0.7
11.2
21.5
Manager Evaluation
Vanguard US Growth (VWUSX) vs. Russell 1000 Growth Index
As of September 30, 2015
*Manager characteristics are updated through 06/30/2015 as current quarter data was not available at the time of report production.
21
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Mid-Cap Index Fund (VIMSX)-7.5 -4.7 1.6 14.5 13.5 7.7 13.6 35.0 15.8 -2.1 25.5 40.2 -41.8 6.0 13.6 13.9
Vanguard Mid-Cap Index Fund Blended Benchmark -7.4 -4.6 1.8 14.8 13.7 7.9 13.8 35.4 16.0 -1.9 25.7 40.5 -41.8 6.2 13.7 13.9
IM U.S. Mid Cap Equity -9.2 -5.5 -0.6 12.3 11.8 6.8 8.2 35.2 15.3 -3.9 23.7 36.4 -41.7 10.0 11.0 10.3
Vanguard Mid-Cap Index Fund (VIMSX) Rank 24 44 35 19 20 28 9 53 44 36 36 35 52 67 32 16
Vanguard Mid-Cap Index Fund (VIMSX)
Vanguard Mid-Cap Index Fund Blended Benchmark
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
-0.2
-0.4Return (%)12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Mid-Cap Index Fund (VIMSX)13.5 15.6 14.0 -0.2 1.0 0.9 0.1 -3.4 9.5 0.0 17y 4m
Vanguard Mid-Cap Index Fund Blended Benchmark 13.7 15.6 14.3 0.0 1.0 0.9 0.0 N/A 9.5 0.0 17y 4m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 15.6 -0.9 0.0 30.0 17y 4m
Manager Evaluation
Vanguard Mid-Cap Index Fund (VIMSX) vs. Vanguard Mid-Cap Index Fund Blended Benchmark
As of September 30, 2015
Note: Prior to May 16, 2003, the Vanguard Mid-Cap Index was benchmarked to the S&P MidCap 400 Index. From May 16, 2003 to January 30, 2013, the Index
fund was benchmarked to the MSCI US Mid Cap 450 Index. Starting on January 31, 2013, the benchmark transitioned to the CRSP US Mid Cap Index.
22
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)11,346 11,344
Median Mkt. Cap ($M)8,421 8,507
Price/Earnings ratio 19.7 19.7
Price/Book ratio 2.9 2.9
5 Yr. EPS Growth Rate (%)15.1 15.1
Current Yield (%)1.6 1.6
Debt to Equity -0.3 -0.3
Number of Stocks 376 368
Beta (5 Years, Monthly)1.02 1.00
Consistency (5 Years, Monthly)33.33 1.00
Sharpe Ratio (5 Years, Monthly)1.03 1.07
Information Ratio (5 Years, Monthly)-0.32 -
Up Market Capture (5 Years, Monthly)100.24 -
Down Market Capture (5 Years, Monthly)102.31 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
AvalonBay Communities Inc.0.8 0.8 0.0 10.2
Chipotle Mexican Grill Inc 0.7 0.7 0.0 19.1
Electronic Arts Inc.0.7 0.7 0.0 1.9
Fiserv Inc.0.7 0.7 0.0 4.6
Ross Stores Inc 0.7 0.7 0.0 0.0
Hartford Financial Services Group Inc. (The)0.6 0.6 0.0 10.6
Fidelity National Information Services Inc 0.6 0.6 0.0 9.0
Cerner Corp 0.6 0.6 0.0 -13.2
Incyte Corp 0.6 0.6 0.0 5.9
ConAgra Foods Inc.0.6 0.6 0.0 -6.8
% of Portfolio 6.6 6.6
Distribution of Market Capitalization (%)
Vanguard Mid-Cap Index Fund (VIMSX)
CRSP U.S. Mid Cap TR Index
0.0
50.0
100.0
150.0
$20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil
6.7
88.4
4.96.7
88.4
4.9
Sector Weights (%)
Vanguard Mid-Cap Index Fund (VIMSX)
CRSP U.S. Mid Cap TR Index
0.0 5.0 10.0 15.0 20.0 25.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
4.8
1.1
6.1
16.1
12.4
9.9
18.8
5.4
5.9
19.6
4.8
1.1
6.1
16.1
12.4
9.9
18.8
5.4
5.9
19.6
Manager Evaluation
Vanguard Mid-Cap Index Fund (VIMSX) vs. CRSP U.S. Mid Cap TR Index
As of September 30, 2015
23
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Small-Cap Index Fund (NAESX)-10.3 -6.6 -0.3 12.3 12.8 7.6 7.4 37.6 18.0 -2.8 27.7 36.1 -36.1 1.2 15.6 7.4
Vanguard Small-Cap Index Fund Blended Benchmark -10.3 -6.6 -0.2 12.5 13.0 7.7 7.5 37.8 18.2 -2.8 27.8 36.1 -36.2 1.2 15.8 7.5
IM U.S. Small Cap Equity -11.1 -8.2 -0.4 10.7 11.4 5.7 3.8 38.3 14.6 -3.7 25.7 28.5 -38.3 -1.4 13.0 5.4
Vanguard Small-Cap Index Fund (NAESX) Rank 38 35 50 25 23 6 8 55 19 42 29 26 41 39 35 28
Vanguard Small-Cap Index Fund (NAESX)
Vanguard Small-Cap Index Fund Blended Benchmark
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
0.4
-0.2
-0.4Return (%)12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Small-Cap Index Fund (NAESX)12.8 17.6 13.8 -0.1 1.0 0.8 0.0 -3.1 11.1 10.0 47y 8m
Vanguard Small-Cap Index Fund Blended Benchmark 13.0 17.6 13.9 0.0 1.0 0.8 0.0 N/A 11.0 0.0 47y 8m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 17.6 -0.8 0.0 30.0 47y 8m
Manager Evaluation
Vanguard Small-Cap Index Fund (NAESX) vs. Vanguard Small-Cap Index Fund Blended Benchmark
As of September 30, 2015
Note: Prior to May 16, 2003, the Vanguard Small-Cap Index was benchmarked to the Russell 2000 Index. From May 16, 2003 to January 30, 2013, the Index
fund was benchmarked to the MSCI US Small Cap 1750 Index. Starting on January 31, 2013, the benchmark transitioned to the CRSP US Small Cap Index.
24
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)3,282 3,281
Median Mkt. Cap ($M)1,635 1,645
Price/Earnings ratio 18.6 18.6
Price/Book ratio 2.4 2.4
5 Yr. EPS Growth Rate (%)12.7 12.7
Current Yield (%)1.7 1.7
Debt to Equity 1.6 1.6
Number of Stocks 1,509 1,497
Beta (5 Years, Monthly)1.01 1.00
Consistency (5 Years, Monthly)28.33 1.00
Sharpe Ratio (5 Years, Monthly)0.88 0.92
Information Ratio (5 Years, Monthly)-0.51 -
Up Market Capture (5 Years, Monthly)99.85 -
Down Market Capture (5 Years, Monthly)102.29 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
JetBlue Airways Corp 0.3 0.3 0.0 24.1
Goodyear Tire & Rubber Co 0.3 0.3 0.0 -2.5
AGL Resources Inc.0.3 0.3 0.0 32.5
HCC Insurance Holdings Inc.0.3 0.3 0.0 1.2
Global Payments Inc.0.3 0.3 0.0 10.9
Mednax Inc 0.3 0.3 0.0 3.6
Spirit Aerosystems Holdings Inc 0.3 0.3 0.0 -12.3
Arthur J. Gallagher & Co.0.3 0.3 0.0 -12.0
Cablevision Systems Corp 0.3 0.3 0.0 36.4
Duke Realty Corp 0.3 0.3 0.0 3.5
% of Portfolio 2.8 2.8
Distribution of Market Capitalization (%)
Vanguard Small-Cap Index (NAESX)
CRSP U.S. Small Cap TR Index
0.0
25.0
50.0
75.0
100.0
$5 Bil - $20 Bil $0 - $5 Bil
19.8
80.2
19.8
80.2
Sector Weights (%)
Vanguard Small-Cap Index (NAESX)
CRSP U.S. Small Cap TR Index
0.0 6.0 12.0 18.0 24.0 30.0 36.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
4.4
0.3
4.7
16.9
14.2
11.7
26.3
3.2
3.4
14.8
4.4
0.3
4.7
16.9
14.2
11.7
26.4
3.2
3.4
14.8
Manager Evaluation
Vanguard Small-Cap Index (NAESX) vs. CRSP U.S. Small Cap TR Index
As of September 30, 2015
25
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2010 - Sep - 2015)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard International Growth (VWIGX)-13.0 -7.2 -9.9 4.8 3.6 4.4 -5.6 22.9 20.0 -13.7 15.7 41.6 -44.9 16.0 26.0 14.9
MSCI AC World ex USA (Net)-12.2 -8.6 -12.2 2.3 1.8 3.0 -3.9 15.3 16.8 -13.7 11.2 41.4 -45.5 16.7 26.7 16.6
IM International Equity -11.1 -6.1 -9.2 4.0 3.0 3.4 -4.5 17.4 18.6 -14.9 12.9 36.3 -46.0 13.2 26.2 15.7
Vanguard International Growth (VWIGX) Rank 64 56 55 43 41 32 62 23 36 39 36 39 44 40 53 55
Vanguard International Growth (VWIGX)MSCI AC World ex USA (Net)
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15 -2.0
0.0
2.0
4.0
6.0
Return (%)13.3 14.0 14.7 15.4 16.1 16.8 17.5 18.2
Risk (Standard Deviation %)
MSCI AC World ex USA (Net)
Vanguard International Growth (VWIGX)
Average Active Weight
0.0 8.0 16.0-8.0-16.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Cash
-3.1
-1.6
-2.2
8.2
1.9
-0.7
-3.4
-4.2
-4.1
7.3
1.9
Allocation
(Total: 0.3)
0.0 0.4 0.8-0.4-0.8
-0.2
0.0
0.2
-0.1
0.0
0.0
0.1
0.3
-0.4
0.1
0.2
Stock
(Total: -1.4)
0.0 0.8 1.6-0.8-1.6
0.0
-0.3
0.2
-0.8
-0.8
0.0
-0.5
0.1
-0.1
0.8
0.0
0.0 0.7 1.4 2.1-0.7-1.4-2.1
-0.1
-0.3
0.4
-0.9
-0.8
0.0
-0.5
0.4
-0.4
0.8
0.2
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of September 30, 2015
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
26
Total Attribution
0.0 0.3 0.6 0.9 1.2 1.5-0.3-0.6-0.9-1.2-1.5-1.8
Pacific
Other
North America
Middle East
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-0.9
0.1
0.7
0.1
-0.2
-0.8
-0.1
0.1
0.1
-0.4
0.2
Performance Attribution
Average Active Weight
0.0 5.0 10.0-5.0-10.0-15.0
Pacific
Other
North America
Middle East
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
Cash
-6.6
0.1
-2.7
0.6
0.8
3.4
4.2
-0.8
-2.6
1.6
1.9
Allocation
(Total: 0.6)
0.0 0.2 0.4-0.2-0.4-0.6
0.1
0.0
0.0
0.0
-0.2
0.1
0.2
0.1
0.1
-0.1
0.2
Stock
(Total: -1.8)
0.0 0.6 1.2 1.8-0.6-1.2-1.8
-1.0
0.1
0.6
0.1
0.0
-0.9
-0.3
0.0
0.0
-0.4
0.0
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
1 Quarter Ending September 30, 2015
27
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)54,325 49,876
Median Mkt. Cap ($M)18,328 6,508
Price/Earnings ratio 16.5 14.1
Price/Book ratio 2.8 2.2
5 Yr. EPS Growth Rate (%)12.6 9.3
Current Yield (%)1.9 3.4
Debt to Equity 1.3 1.4
Number of Stocks 170 1,843
Beta (5 Years, Monthly)1.05 1.00
Consistency (5 Years, Monthly)51.67 1.00
Sharpe Ratio (5 Years, Monthly)0.30 0.19
Information Ratio (5 Years, Monthly)0.58 -
Up Market Capture (5 Years, Monthly)106.43 -
Down Market Capture (5 Years, Monthly)96.90 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Tencent Holdings LTD 3.3 0.5 2.8 -16.4
AIA Group Ltd 3.2 0.4 2.8 -20.7
Industria De Diseno Textil Inditex SA 3.1 0.2 2.8 2.8
Amazon.com Inc 2.8 0.0 2.8 17.9
Fiat Chrysler Automobiles NV 2.5 0.1 2.4 -11.6
Baidu Inc 2.3 0.0 2.3 -31.0
Alibaba Group Holding Ltd 2.0 0.0 2.0 -28.3
Softbank Group Corp 1.8 0.3 1.5 -22.1
Svenska Handelsbanken 1.7 0.1 1.6 -2.0
Arm Holdings PLC 1.7 0.1 1.5 -11.7
% of Portfolio 24.2 1.8
Distribution of Market Capitalization (%)
Vanguard International Growth (VWIGX)
MSCI AC World ex USA (Net)
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil
21.5
37.8
32.1
8.6
22.6
39.4
30.9
7.1
Sector Weights (%)
Vanguard International Growth (VWIGX)
MSCI AC World ex USA (Net)
0.0 8.0 16.0 24.0 32.0 40.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.6
5.3
15.4
11.3
8.4
25.0
2.1
7.3
21.6
3.6
5.2
6.7
7.4
11.1
9.6
27.3
6.3
10.9
12.0
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of September 30, 2015
*Manager characteristics are updated through 06/30/2015 as current quarter data was not available at the time of report production.
28
Vanguard
International Growth
(VWIGX)
MSCI AC World ex
USA (Net)
Australia 1.3 4.7
Hong Kong 5.3 3.7
Japan 11.6 16.4
New Zealand 0.0 0.1
Singapore 0.2 0.9
Pacific 18.4 25.9
Austria 0.0 0.1
Belgium 0.0 1.0
Finland 0.5 0.6
France 5.4 7.0
Germany 6.9 6.4
Ireland 1.3 0.3
Italy 5.0 1.8
Netherlands 2.0 2.3
Portugal 0.3 0.1
Spain 6.4 2.5
EMU 27.9 22.1
Denmark 1.7 1.3
Norway 1.4 0.4
Sweden 5.5 2.2
Switzerland 5.9 7.1
United Kingdom 13.9 14.9
Europe ex EMU 28.4 25.9
Canada 1.9 6.4
United States 3.1 0.0
Israel 0.9 0.5
Middle East 0.9 0.5
Developed Markets 80.6 80.9
Vanguard
International Growth
(VWIGX)
MSCI AC World ex
USA (Net)
Brazil 0.7 1.3
Cayman Islands 0.0 0.0
Chile 0.0 0.3
Colombia 0.0 0.1
Mexico 0.3 1.0
Peru 0.7 0.1
Virgin Islands 0.0 0.0
EM Latin America 1.7 2.7
China 9.2 3.2
India 2.6 1.8
Indonesia 0.2 0.4
Korea 1.8 3.2
Malaysia 0.0 0.6
Philippines 0.0 0.3
Taiwan 1.0 2.6
Thailand 0.6 0.5
EM Asia 15.4 12.7
Czech Republic 0.0 0.0
Egypt 0.0 0.0
Greece 0.0 0.1
Hungary 0.0 0.1
Poland 0.0 0.3
Qatar 0.0 0.2
Russia 0.6 0.8
South Africa 0.2 1.6
Turkey 0.6 0.3
United Arab Emirates 0.0 0.2
EM Europe + Middle East + Africa 1.4 3.6
Emerging Markets 18.4 18.9
Frontier Markets 0.6 0.0
Cash 0.0 0.0
Other 0.4 0.2
Total 100.0 100.0
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of September 30, 2015
29
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Total Bond Market Index Fund (VBMFX)1.2 0.9 2.6 1.5 2.9 4.5 5.8 -2.3 4.0 7.6 6.4 5.9 5.1 6.9 4.3 2.4
Vanguard Total Bond Market Index Fund Benchmark 1.2 1.1 2.8 1.7 3.1 4.6 5.9 -2.0 4.3 7.9 6.6 5.9 5.2 7.0 4.3 2.4
IM U.S. Broad Market Core+ Fixed Income 0.0 0.1 1.3 1.8 3.5 5.0 5.4 -1.1 8.2 6.2 8.2 14.2 -2.2 5.6 4.0 1.8
Vanguard Total Bond Market Index Fund (VBMFX) Rank 2 13 4 63 77 69 41 84 98 19 88 100 11 25 45 25
Vanguard Total Bond Market Index Fund (VBMFX)
Vanguard Total Bond Market Index Fund Benchmark
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.3
0.6
-0.3
-0.6Return (%)12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Total Bond Market Index Fund (VBMFX)2.9 3.0 2.8 -0.3 1.0 0.9 0.2 -1.4 1.5 25.0 28y 9m
Vanguard Total Bond Market Index Fund Benchmark 3.1 2.9 3.0 0.0 1.0 1.0 0.0 N/A 1.4 0.0 28y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.9 -1.0 0.0 25.0 28y 9m
Manager Evaluation
Vanguard Total Bond Market Index Fund (VBMFX) vs. Vanguard Total Bond Market Index Fund Benchmark
As of September 30, 2015
Note: Prior to January 1, 2010, the Vanguard Total Bond Market Index was benchmarked to the Barclays Aggregate Index. Starting on January 1, 2010, the
benchmark was transitioned to the Barclays Aggregate Float Adjusted Index.
30
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.7 5.7
Avg. Maturity 7.9 7.9
Avg. Quality AA+AA+
Yield To Maturity (%)2.3 2.3
Credit Quality Distribution (%)
Vanguard Total Bond Market Index (VBMFX)
Barclays U.S. Aggregate Float Adjusted
0.0
25.0
50.0
75.0
100.0
AAAAAABBB68.5
4.9
12.8 13.8
70.0
3.9
12.4 13.7
Maturity Distribution (%)
Vanguard Total Bond Market Index (VBMFX)
Barclays U.S. Aggregate Float Adjusted
0.0
15.0
30.0
45.0
60.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
25.2
21.6
37.0
3.8
12.4
1.6
24.5
20.3
37.5
4.0
12.1
Sector Distribution (%)
Vanguard Total Bond Market Index (VBMFX)
Barclays U.S. Aggregate Float Adjusted
0.0
15.0
30.0
45.0
60.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingOtherCMBS40.6
4.1
22.5 20.5
0.6
7.3
2.3 0.0 2.1
40.5
3.0
26.2
20.4
0.7
6.3
0.0 0.6 2.3
Manager Evaluation
Vanguard Total Bond Market Index (VBMFX) vs. Barclays U.S. Aggregate Float Adjusted
As of September 30, 2015
31
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Retirement Savings Trust 0.5 1.4 1.9 1.8 2.2 3.0 1.8 1.7 2.4 2.9 2.9 3.0 4.3 4.5 4.3 4.1
Ryan 3 Yr GIC Master 0.3 0.8 1.1 1.1 1.5 2.9 1.0 1.1 1.5 2.4 3.5 4.5 4.8 4.5 3.8 3.2
IM U.S. Short Duration Fixed Income 0.0 0.5 0.5 0.6 1.0 2.5 0.6 0.2 2.3 1.2 3.1 5.9 -0.7 5.0 4.1 1.6
Vanguard Retirement Savings Trust Rank 8 4 3 3 6 23 5 4 49 9 54 76 23 62 34 1
Vanguard Retirement Savings Trust Ryan 3 Yr GIC Master
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.6
1.2
1.8
-0.6
-1.2Return (%)12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Retirement Savings Trust 2.2 0.3 2.1 1.1 0.7 8.8 0.1 5.4 0.0 95.0 12y 9m
Ryan 3 Yr GIC Master 1.5 0.3 1.5 0.0 1.0 4.7 0.0 N/A 0.0 0.0 12y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.0 0.0 N/A 0.3 -4.7 0.0 0.0 12y 9m
Manager Evaluation
Vanguard Retirement Savings Trust vs. Ryan 3 Yr GIC Master
As of September 30, 2015
32
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Balanced Index Fund (VBINX)-3.9 -2.9 0.9 8.0 9.2 6.3 9.8 17.9 11.3 4.1 13.1 20.1 -22.2 6.2 11.0 4.7
Vanguard Balanced Index Fund Benchmark -3.9 -2.8 0.9 8.2 9.3 6.4 9.9 18.2 11.6 4.1 13.5 19.7 -22.0 6.3 11.1 4.9
60% Equity / 40% Fixed Peer Group Median -4.7 -3.4 -0.7 7.3 7.8 5.4 6.6 19.2 10.7 0.8 12.3 21.6 -23.1 6.0 9.7 5.0
Vanguard Balanced Index Fund (VBINX) Rank 22 41 24 25 12 14 10 70 39 10 34 63 41 49 30 58
Vanguard Balanced Index Fund (VBINX)
Vanguard Balanced Index Fund Benchmark
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.4
0.8
-0.4
-0.8Return (%)12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Balanced Index Fund (VBINX)9.2 7.7 9.1 -0.1 1.0 1.2 0.1 -1.0 3.9 30.0 22y 10m
Vanguard Balanced Index Fund Benchmark 9.3 7.7 9.2 0.0 1.0 1.2 0.0 N/A 4.0 0.0 22y 10m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 7.7 -1.2 0.0 20.0 22y 10m
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) vs. Vanguard Balanced Index Fund Benchmark
As of September 30, 2015
Note: Prior to June 1, 2005, the Vanguard Balanced Index was benchmarked to 60% DJ U.S. Total Stock Market Index/40% LB Aggregate Bond Index. From
June 1, 2005 to December 31, 2009, the Index fund was benchmarked to 60% MSCI US Broad Market Index/40% BC Aggregate Index. From January 1, 2010
to January 14, 2013, the Index fund was benchmarked to 60% MSCI US Broad Market Index/40% BC Aggregate Float Adjusted Index. Starting January 15,
2013, the benchmark transitioned to 60% CRSP US Total Market Index/40% BC Aggregate Float Adjusted Index.
33
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)103,140 103,207
Median Mkt. Cap ($M)1,098 795
Price/Earnings ratio 18.2 18.2
Price/Book ratio 2.9 2.9
5 Yr. EPS Growth Rate (%)12.1 13.6
Current Yield (%)2.1 2.1
Debt to Equity 1.1 1.0
Number of Stocks 3,315 3,796
Beta (5 Years, Monthly)0.58 1.00
Consistency (5 Years, Monthly)36.67 1.00
Sharpe Ratio (5 Years, Monthly)1.29 1.11
Information Ratio (5 Years, Monthly)-0.81 -
Up Market Capture (5 Years, Monthly)62.34 -
Down Market Capture (5 Years, Monthly)54.38 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 3.0 3.0 0.0 -11.7
Microsoft Corp 1.6 1.5 0.0 0.9
Exxon Mobil Corp 1.5 1.5 0.0 -9.8
Johnson & Johnson 1.2 1.3 0.0 -3.5
General Electric Co 1.2 1.2 0.0 -4.2
Wells Fargo & Co 1.2 1.1 0.0 -8.1
JPMorgan Chase & Co 1.1 1.1 0.0 -9.4
Berkshire Hathaway Inc 1.1 0.8 0.3 -4.2
AT&T Inc 1.0 1.0 0.0 -7.0
Procter & Gamble Co (The)0.9 0.9 0.0 -7.3
% of Portfolio 13.7 13.4
Distribution of Market Capitalization (%)
Vanguard Balanced Index Fund (VBINX) - Equity Holdings
CRSP U.S. Total Market TR Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil
40.7
26.7
20.1
12.5
40.7
26.8
20.0
12.5
Sector Weights (%)
Vanguard Balanced Index Fund (VBINX) - Equity Holdings
CRSP U.S. Total Market TR Index
0.0 5.0 10.0 15.0 20.0 25.0
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.2
2.2
3.1
19.6
10.6
14.5
18.2
6.4
8.7
13.4
3.2
2.2
3.1
19.6
10.6
14.5
18.2
6.4
8.7
13.4
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) - Equity Holdings vs. CRSP U.S. Total Market TR Index
As of September 30, 2015
34
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.7 5.7
Avg. Maturity 7.9 7.9
Avg. Quality AA+AA+
Yield To Maturity (%)2.3 2.3
Credit Quality Distribution (%)
Vanguard Balanced Index Fund (VBINX) - Fixed Income Holdings
Barclays U.S. Aggregate Float Adjusted
0.0
25.0
50.0
75.0
100.0
AAAAAABBB68.5
4.9
12.8 13.8
69.4
3.9
12.6 14.1
Maturity Distribution (%)
Vanguard Balanced Index Fund (VBINX) - Fixed Income Holdings
Barclays U.S. Aggregate Float Adjusted
0.0
15.0
30.0
45.0
60.0
1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs25.2
21.6
37.0
3.8
12.4
23.2
19.7
24.1
4.6
28.4
Sector Distribution (%)
Vanguard Balanced Index Fund (VBINX) - Fixed Income Holdings
Barclays U.S. Aggregate Float Adjusted
0.0
15.0
30.0
45.0
60.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingOtherCMBS40.6
4.1
22.5 20.5
0.6
7.3
2.3 0.0 2.1
39.8
3.0
26.9
20.7
3.2 5.4
0.0 1.0 0.0
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) - Fixed Income Holdings vs. Barclays U.S. Aggregate Float Adjusted
As of September 30, 2015
35
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement Income (VTINX)-2.1 -1.3 0.2 3.6 5.2 5.0 5.5 5.9 8.2 5.2 9.4 14.3 -10.9 8.2 6.4 3.3
Vanguard Target Income Composite Index -2.2 -1.2 0.3 3.7 5.3 5.0 5.8 6.0 8.4 5.3 9.4 14.3 -11.3 8.1 6.5 3.4
35% Equity / 65% Fixed Peer Group Median -2.6 -1.7 0.2 4.8 5.8 4.9 5.8 10.7 8.2 2.8 9.8 16.8 -13.2 6.0 7.5 3.7
Vanguard Target Retirement Income (VTINX) Rank 26 36 52 89 72 47 55 93 50 12 58 68 34 15 73 63
Vanguard Target Retirement Income (VTINX)
Vanguard Target Income Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
5.0
5.2
5.4
5.6
Return (%)3.7 3.8 3.9
Risk (Standard Deviation %)
Vanguard Target Income Composite Index
Vanguard Target Retirement Income (VTINX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement Income (VTINX)5.2 3.8 5.1 -0.1 1.0 1.3 0.1 -1.0 1.8 35.0 11y 11m
Vanguard Target Income Composite Index 5.3 3.8 5.2 0.0 1.0 1.4 0.0 N/A 1.7 0.0 11y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.8 -1.4 0.0 25.0 11y 11m
Manager Evaluation
Vanguard Target Retirement Income (VTINX) vs. Vanguard Target Income Composite Index
As of September 30, 2015
36
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2010 (VTENX)-2.6 -1.6 0.1 4.7 6.2 N/A 5.9 9.1 10.1 3.4 11.4 19.3 -20.7 7.7 N/A N/A
Vanguard Target 2010 Composite Index -2.6 -1.6 0.1 4.9 6.3 N/A 6.1 9.3 10.2 3.3 11.5 19.3 -20.9 7.7 N/A N/A
IM Mixed-Asset Target 2010 -3.9 -2.9 -1.7 4.0 5.3 3.7 4.1 9.1 9.8 0.8 10.8 23.3 -26.0 5.9 9.4 4.3
Vanguard Target Retirement 2010 (VTENX) Rank 10 7 5 20 18 N/A 7 51 47 6 35 81 21 8 N/A N/A
Vanguard Target Retirement 2010 (VTENX)
Vanguard Target 2010 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
6.1
6.2
6.3
6.4
6.5
Return (%)5.5 5.6 5.7
Risk (Standard Deviation %)
Vanguard Target 2010 Composite Index
Vanguard Target Retirement 2010 (VTENX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2010 (VTENX)6.2 5.6 6.2 0.0 1.0 1.1 0.1 -0.7 3.0 35.0 9y 3m
Vanguard Target 2010 Composite Index 6.3 5.6 6.3 0.0 1.0 1.1 0.0 N/A 3.0 0.0 9y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.6 -1.1 0.0 30.0 9y 3m
Manager Evaluation
Vanguard Target Retirement 2010 (VTENX) vs. Vanguard Target 2010 Composite Index
As of September 30, 2015
37
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2015 (VTXVX)-3.9 -2.6 -0.7 5.9 7.0 5.3 6.6 13.0 11.4 1.7 12.5 21.3 -24.1 7.5 11.4 4.9
Vanguard Target 2015 Composite Index -4.0 -2.6 -0.6 6.0 7.1 5.3 6.8 13.3 11.5 1.6 12.5 21.2 -24.4 7.6 11.5 5.0
IM Mixed-Asset Target 2015 -4.4 -3.1 -1.8 4.5 5.7 3.6 4.4 10.4 10.8 -0.2 11.5 25.4 -29.3 6.1 10.4 4.7
Vanguard Target Retirement 2015 (VTXVX) Rank 40 30 24 11 8 4 4 22 35 23 33 77 17 25 32 41
Vanguard Target Retirement 2015 (VTXVX)
Vanguard Target 2015 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
6.9
7.0
7.1
7.2
Return (%)7.1 7.2 7.3
Risk (Standard Deviation %)
Vanguard Target 2015 Composite Index
Vanguard Target Retirement 2015 (VTXVX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2015 (VTXVX)7.0 7.2 7.1 0.0 1.0 1.0 0.1 -0.5 4.2 30.0 11y 11m
Vanguard Target 2015 Composite Index 7.1 7.2 7.1 0.0 1.0 1.0 0.0 N/A 4.2 0.0 11y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 7.2 -1.0 0.0 30.0 11y 11m
Manager Evaluation
Vanguard Target Retirement 2015 (VTXVX) vs. Vanguard Target 2015 Composite Index
As of September 30, 2015
38
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2020 (VTWNX)-4.8 -3.3 -1.1 6.7 7.7 N/A 7.1 15.8 12.3 0.6 13.1 23.1 -27.0 7.5 N/A N/A
Vanguard Target 2020 Composite Index -4.9 -3.3 -1.1 6.9 7.9 N/A 7.4 16.2 12.5 1.0 13.3 23.3 -27.4 7.6 N/A N/A
IM Mixed-Asset Target 2020 -4.8 -3.6 -2.1 4.7 5.8 4.0 4.7 12.0 11.5 -0.5 12.3 25.9 -32.0 6.2 12.3 5.9
Vanguard Target Retirement 2020 (VTWNX) Rank 51 38 27 5 7 N/A 1 18 37 33 36 71 22 33 N/A N/A
Vanguard Target Retirement 2020 (VTWNX)
Vanguard Target 2020 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
7.4
7.6
7.8
8.0
8.2
Return (%)8.3 8.4
Risk (Standard Deviation %)
Vanguard Target 2020 Composite Index
Vanguard Target Retirement 2020 (VTWNX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2020 (VTWNX)7.7 8.4 7.7 -0.2 1.0 0.9 0.2 -1.2 5.1 25.0 9y 3m
Vanguard Target 2020 Composite Index 7.9 8.4 7.9 0.0 1.0 0.9 0.0 N/A 5.0 0.0 9y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.4 -0.9 0.0 30.0 9y 3m
Manager Evaluation
Vanguard Target Retirement 2020 (VTWNX) vs. Vanguard Target 2020 Composite Index
As of September 30, 2015
39
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2025 (VTTVX)-5.5 -3.8 -1.6 7.3 8.2 5.4 7.2 18.1 13.3 -0.4 13.8 24.8 -30.1 7.6 13.2 5.4
Vanguard Target 2025 Composite Index -5.7 -3.9 -1.6 7.5 8.4 5.5 7.4 18.5 13.4 0.1 13.9 25.2 -30.4 7.6 13.4 5.6
IM Mixed-Asset Target 2025 -5.6 -4.0 -2.2 6.0 7.1 4.0 5.2 15.9 13.0 -2.0 13.4 28.9 -35.0 7.2 13.1 6.4
Vanguard Target Retirement 2025 (VTTVX) Rank 46 46 32 14 14 12 4 24 45 18 39 80 16 45 49 95
Vanguard Target Retirement 2025 (VTTVX)
Vanguard Target 2025 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
7.8
8.0
8.2
8.4
8.6
Return (%)9.4 9.5 9.6
Risk (Standard Deviation %)
Vanguard Target 2025 Composite Index
Vanguard Target Retirement 2025 (VTTVX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2025 (VTTVX)8.2 9.5 8.3 -0.2 1.0 0.9 0.2 -0.9 5.8 35.0 11y 11m
Vanguard Target 2025 Composite Index 8.4 9.5 8.5 0.0 1.0 0.9 0.0 N/A 5.8 0.0 11y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.5 -0.9 0.0 25.0 11y 11m
Manager Evaluation
Vanguard Target Retirement 2025 (VTTVX) vs. Vanguard Target 2025 Composite Index
As of September 30, 2015
40
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2030 (VTHRX)-6.3 -4.4 -2.2 7.9 8.6 N/A 7.2 20.5 14.2 -1.3 14.4 26.7 -32.9 7.5 N/A N/A
Vanguard Target 2030 Composite Index -6.4 -4.5 -2.2 8.0 8.8 N/A 7.5 20.9 14.3 -0.9 14.6 27.0 -33.3 7.6 N/A N/A
IM Mixed-Asset Target 2030 -6.4 -4.5 -2.9 6.5 7.2 4.2 5.2 18.0 13.7 -2.6 13.6 28.8 -36.5 6.4 13.8 7.0
Vanguard Target Retirement 2030 (VTHRX) Rank 46 43 26 14 12 N/A 5 28 40 23 34 74 16 39 N/A N/A
Vanguard Target Retirement 2030 (VTHRX)
Vanguard Target 2030 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
8.2
8.4
8.6
8.8
9.0
9.2
Return (%)10.5 10.6 10.7
Risk (Standard Deviation %)
Vanguard Target 2030 Composite Index
Vanguard Target Retirement 2030 (VTHRX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2030 (VTHRX)8.6 10.6 8.9 -0.2 1.0 0.8 0.2 -0.8 6.6 40.0 9y 3m
Vanguard Target 2030 Composite Index 8.8 10.6 9.0 0.0 1.0 0.9 0.0 N/A 6.5 0.0 9y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.6 -0.9 0.0 25.0 9y 3m
Manager Evaluation
Vanguard Target Retirement 2030 (VTHRX) vs. Vanguard Target 2030 Composite Index
As of September 30, 2015
41
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2035 (VTTHX)-7.1 -5.0 -2.8 8.4 9.1 5.6 7.2 22.8 15.2 -2.2 15.1 28.2 -34.7 7.5 15.2 6.3
Vanguard Target 2035 Composite Index -7.2 -5.1 -2.8 8.6 9.3 5.7 7.6 23.3 15.2 -1.9 15.2 28.7 -35.1 7.6 15.4 6.5
IM Mixed-Asset Target 2035 -7.2 -5.0 -3.1 7.2 7.9 4.3 5.4 20.8 14.7 -3.3 14.6 31.0 -36.1 7.5 14.0 7.2
Vanguard Target Retirement 2035 (VTTHX) Rank 45 50 42 19 15 16 9 25 42 21 29 66 13 51 28 95
Vanguard Target Retirement 2035 (VTTHX)
Vanguard Target 2035 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
8.7
9.0
9.3
9.6
Return (%)11.6 11.7 11.8 11.9
Risk (Standard Deviation %)
Vanguard Target 2035 Composite Index
Vanguard Target Retirement 2035 (VTTHX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2035 (VTTHX)9.1 11.8 9.4 -0.3 1.0 0.8 0.3 -0.7 7.5 40.0 11y 11m
Vanguard Target 2035 Composite Index 9.3 11.7 9.6 0.0 1.0 0.8 0.0 N/A 7.3 0.0 11y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 11.7 -0.8 0.0 20.0 11y 11m
Manager Evaluation
Vanguard Target Retirement 2035 (VTTHX) vs. Vanguard Target 2035 Composite Index
As of September 30, 2015
42
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2040 (VFORX)-7.9 -5.6 -3.4 8.6 9.2 N/A 7.1 24.4 15.6 -2.5 15.2 28.3 -34.5 7.5 N/A N/A
Vanguard Target 2040 Composite Index -8.0 -5.7 -3.3 8.8 9.4 N/A 7.6 24.8 15.6 -2.1 15.3 28.7 -35.1 7.6 N/A N/A
IM Mixed-Asset Target 2040 -7.8 -5.5 -3.5 7.3 7.8 4.3 5.4 21.7 14.9 -3.9 14.6 30.7 -38.1 6.5 14.9 7.7
Vanguard Target Retirement 2040 (VFORX) Rank 59 57 49 16 12 N/A 12 17 33 21 37 76 4 33 N/A N/A
Vanguard Target Retirement 2040 (VFORX)
Vanguard Target 2040 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
8.7
9.0
9.3
9.6
9.9
Return (%)12.0 12.1 12.2 12.3
Risk (Standard Deviation %)
Vanguard Target 2040 Composite Index
Vanguard Target Retirement 2040 (VFORX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2040 (VFORX)9.2 12.2 9.6 -0.3 1.0 0.8 0.2 -1.0 7.8 40.0 9y 3m
Vanguard Target 2040 Composite Index 9.4 12.1 9.8 0.0 1.0 0.8 0.0 N/A 7.6 0.0 9y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.1 -0.8 0.0 20.0 9y 3m
Manager Evaluation
Vanguard Target Retirement 2040 (VFORX) vs. Vanguard Target 2040 Composite Index
As of September 30, 2015
43
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2045 (VTIVX)-7.9 -5.6 -3.5 8.6 9.2 5.7 7.2 24.4 15.6 -2.5 15.2 28.2 -34.6 7.5 16.0 6.9
Vanguard Target 2045 Composite Index -8.0 -5.7 -3.4 8.8 9.4 5.8 7.6 24.8 15.6 -2.1 15.3 28.7 -35.1 7.6 16.2 7.1
IM Mixed-Asset Target 2045 -8.0 -5.4 -3.4 7.8 8.2 4.3 5.5 23.1 15.5 -4.0 15.0 31.1 -38.5 6.8 16.0 7.5
Vanguard Target Retirement 2045 (VTIVX) Rank 50 59 51 22 17 23 13 27 44 15 43 87 11 49 56 100
Vanguard Target Retirement 2045 (VTIVX)
Vanguard Target 2045 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
8.7
9.0
9.3
9.6
9.9
Return (%)12.0 12.1 12.2 12.3
Risk (Standard Deviation %)
Vanguard Target 2045 Composite Index
Vanguard Target Retirement 2045 (VTIVX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2045 (VTIVX)9.2 12.2 9.6 -0.2 1.0 0.8 0.2 -0.9 7.8 40.0 11y 11m
Vanguard Target 2045 Composite Index 9.4 12.1 9.8 0.0 1.0 0.8 0.0 N/A 7.7 0.0 11y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.1 -0.8 0.0 20.0 11y 11m
Manager Evaluation
Vanguard Target Retirement 2045 (VTIVX) vs. Vanguard Target 2045 Composite Index
As of September 30, 2015
44
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2050 (VFIFX)-7.9 -5.6 -3.5 8.6 9.2 N/A 7.2 24.3 15.6 -2.5 15.2 28.3 -34.6 7.5 N/A N/A
Vanguard Target 2050 Composite Index -8.0 -5.7 -3.4 8.8 9.4 N/A 7.6 24.8 15.6 -2.1 15.3 28.7 -35.1 7.6 N/A N/A
IM Mixed-Asset Target 2050 -7.9 -5.6 -3.6 7.8 8.2 4.5 5.6 23.1 15.5 -4.4 14.8 31.4 -39.1 6.6 15.5 N/A
Vanguard Target Retirement 2050 (VFIFX) Rank 52 53 48 21 17 N/A 17 31 47 14 37 92 6 25 N/A N/A
Vanguard Target Retirement 2050 (VFIFX)
Vanguard Target 2050 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
8.7
9.0
9.3
9.6
9.9
Return (%)12.0 12.1 12.2 12.3
Risk (Standard Deviation %)
Vanguard Target 2050 Composite Index
Vanguard Target Retirement 2050 (VFIFX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2050 (VFIFX)9.2 12.2 9.6 -0.3 1.0 0.8 0.2 -0.9 7.8 40.0 9y 3m
Vanguard Target 2050 Composite Index 9.4 12.1 9.8 0.0 1.0 0.8 0.0 N/A 7.7 0.0 9y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.1 -0.8 0.0 20.0 9y 3m
Manager Evaluation
Vanguard Target Retirement 2050 (VFIFX) vs. Vanguard Target 2050 Composite Index
As of September 30, 2015
45
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2010 - Sep-2015)
Historical Statistics (Oct-2010 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2055 (VFFVX)-8.0 -5.8 -3.6 8.6 9.2 N/A 7.2 24.3 15.6 -2.3 N/A N/A N/A N/A N/A N/A
Vanguard Target 2055 Composite Index -8.0 -5.7 -3.4 8.8 9.4 N/A 7.6 24.8 15.6 -2.1 N/A N/A N/A N/A N/A N/A
IM Mixed-Asset Target 2055+-8.0 -5.5 -3.4 8.0 8.2 N/A 5.4 23.3 15.6 -4.7 14.8 30.8 -40.7 N/A N/A N/A
Vanguard Target Retirement 2055 (VFFVX) Rank 49 64 54 36 20 N/A 17 38 50 1 N/A N/A N/A N/A N/A N/A
Vanguard Target Retirement 2055 (VFFVX)
Vanguard Target 2055 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
9.0
9.2
9.4
9.6
9.8
Return (%)12.0 12.1 12.2 12.3
Risk (Standard Deviation %)
Vanguard Target 2055 Composite Index
Vanguard Target Retirement 2055 (VFFVX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2055 (VFFVX)9.2 12.2 9.6 -0.2 1.0 0.8 0.2 -0.8 7.7 35.0 5y
Vanguard Target 2055 Composite Index 9.4 12.1 9.8 0.0 1.0 0.8 0.0 N/A 7.7 0.0 5y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.1 -0.8 0.0 20.0 5y
Manager Evaluation
Vanguard Target Retirement 2055 (VFFVX) vs. Vanguard Target 2055 Composite Index
As of September 30, 2015
46
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2012 - Sep-2015)
Historical Statistics (Feb-2012 - Sep-2015)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005
Vanguard Target Retirement 2060 (VTTSX)-8.0 -5.7 -3.6 8.5 N/A N/A 7.2 24.3 N/A N/A N/A N/A N/A N/A N/A N/A
Vanguard Target 2060 Composite Index -8.0 -5.7 -3.4 8.8 N/A N/A 7.6 24.8 15.6 N/A N/A N/A N/A N/A N/A N/A
IM Mixed-Asset Target 2055+-8.0 -5.5 -3.4 8.0 8.2 N/A 5.4 23.3 15.6 -4.7 14.8 30.8 -40.7 N/A N/A N/A
Vanguard Target Retirement 2060 (VTTSX) Rank 48 64 54 37 N/A N/A 17 37 N/A N/A N/A N/A N/A N/A N/A N/A
Vanguard Target Retirement 2060 (VTTSX)
Vanguard Target 2060 Composite Index
0
25
50
75
100Return Percentile Rank12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 9/15
7.6
7.8
8.0
8.2
8.4
Return (%)8.5 8.6 8.7 8.8
Risk (Standard Deviation %)
Vanguard Target 2060 Composite Index
Vanguard Target Retirement 2060 (VTTSX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2060 (VTTSX)N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 3y 8m
Vanguard Target 2060 Composite Index 10.7 9.6 10.7 0.0 1.0 1.1 0.0 N/A 4.7 0.0 3y 8m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.6 -1.1 0.0 20.0 3y 8m
Manager Evaluation
Vanguard Target Retirement 2060 (VTTSX) vs. Vanguard Target 2060 Composite Index
As of September 30, 2015
47
Manager Evaluation
Ta rget-Date Funds Asset Allocation
As of September 30, 2015
U.S.Equi ty 18.2%20.9%29.3%35.8%40.1%44.6%49.2%53.6%54.0%54.1%53.9%54.0%
Va nguard Total St ock M arke t Index Fu nd 18.2%20.9%29.3%35.8%40.1%44.6%49.2%53.6%54.0%54.1%53.9%54.0%
Non-U.S . Equ ity 11.6%13.6%19.4%23.6%23.3%29.8%32.7%35.7%36.0%36.0%36.0%36.1%
Va nguard Total In ternational Stock In dex F und 11.6%13.6%19.4%23.6%23.3%29.8%32.7%35.7%36.0%36.0%36.0%36.1%
Fi xe d In come 70.2%65.5%51.3%40.6%36.6%25.6%18.1%10.7%10.0%9.9%10.1%9.9%
Va nguard Total Bo nd Marke t II In dex F und 37.6%35.5%30.0%28.1%26.7%18.0%12.7%7.5%7.0%6.9%7.1%6.9%
Va nguard Total In ternational Bo nd Index Fu nd 15.9%15.1%12.8%12.0%9.9%7.6%5.4%3.2%3.0%3.0%3.0%3.0%
Va nguard Infla tion-Pro tected Securit ie s Fund 16.7%14.9%8.5%0.5%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
TO TA L 100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%
Tar get
Date
2020
Tar get
Date
2025
Tar get
Date
2010
Tar get
Date
2060
Tar get
Date
2030
Tar get
Date
2035
Tar get
Date
2040
Tar get
Date
2055VanguardComponent Funds
Re ti rement
In come
Tar get
Date
2045
Tar get
Date
2050
Tar get
Date
2015
0%
10%
20%
30%
40%
50%
60%
70%
80%
U.S.Equity Non-U.S.Equity Fi xed In come
Retirement Incom e
Target Date 2010
Target Date 2015
Target Date 2020
Target Date 2025
Target Date 2030
Target Date 2035
Target Date 2040
Target Date 2045
Target Date 2050
Target Date 2055
Target Date 2060
48
Capital Markets Review
49
0.1
0.11
0.12
0.13
0.14
0.15
0.16
0.17
3/20003/20013/20023/20033/20043/20053/20063/20073/20083/20093/20103/20113/20123/20133/20143/2015$/YuanChinese Yuan We akens
Strengthening
Weakening
Source: Bloomberg
Capital Markets Rev iew
Economy
0.0 0
0.2 0
0.4 0
0.6 0
0.8 0
1.0 0
1.2 0
1.4 0
1.6 0
1.8 0
2.0 0
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27Percent
Months
Fed Rate Hik e Expectations
9/30/2013
9/30/2014
12 /31/2014
6/30/2015
9/30/2015
Source: Bloomberg
Tepid Economic Growth and Chinese Currency Moves Hurt Outlook
Current
50
55
60
65
70
75
40 00
60 00
80 00
10 00 0
12 00 0
14 00 0
16 00 0
18 00 0
10/200010/200110/200210/200310/200410/200510/200610/200710/200810/200910/201010/201110/201210/201310/2014Rail (1000s employees)Thousands EmployeesSect or Employ me nt
Ma nuf ac turing Cons truction Rail
Source:BLS
Tepid Economic Growth and Chinese Currency Moves Hurt Outlook
•A move by China to weaken its currency sent shockwaves through world markets.
In an attempt to stem a slowdown in exports and support an overbuilt
manufacturing base,the yuan fell 3%during August.Eroding demand from
Europe and the U.S.prompted the Chinese government to undertake the
monumental process of shifting its economy more toward a consumer-based
structure and promote internal demand.Although Chinese GDP growth remains
above 6%,it is enough below the past two decades’average to cause concern.
The Chinese stock market sell-off reflected weaker earnings forecasts for Chinese
companies and uncertainty over the economic shift.
•The Federal Reserve abstained from raising interest rates in September following
market turmoil in August.Weak foreign growth prospects and a consensus tilt
toward easing among other central banks gave the Fed pause.Investors pushed
back expectations for a shift in Fed policy,giving May 2016 as the earliest time
with a probability over 50%for a rise in rates.Two years ago,investors expected
the Fed to initiate rate hikes by this time,though expectations diminished as time
progressed.Whenever the Fed does begin tightening,it is expected to be a very
gradual process.
•U.S.inflation was unchanged for the last year,owing to falling energy prices.Job
growth slowed in the third quarter as manufacturing and industrial sectors trimmed
outlooks for global growth.Consumer demand continued to grow,though
restaurant and goods prices are expected to rise as the lowest wages rose at
large retailers and restaurants.
50
-9.5%
-6.4%
-8.4%-8.7%-10.2%
-13.2%-14.1%-15.4%-16.1%-17.0%-17.9%
-24.3%
-30.0%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
3rd Quarter and Year-to-Date Sector Returns
Capital Markets Rev iew
Equities
3rd Quarter 2015 World Equity Returns (USD)
Developed Markets Emerging Markets
-22.3%
-17.2%
-1.5%
-10.1%
-5.4%
-3.5%
-5.7%
-3.0%
1.7%
-1.3%
-6.8%
-19.0%
-17.3%
-11.6%
-8.1%
-7.2%
-6.8%
-6.0%
-4.8%
-4.2%
-0.9%
4.2%
-3 0.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10.0%
Energy
Mate rials
Health Care
Industrials
Russell 300 0
Telecom
Financ ials
Info Te ch
Cons. Disc.
Cons. Staples
Utilities 3Q1 5
YTD
0
5
10
15
20
25
30
35
40
45
50
VIX Volatility Inde x 10 Year Average
Historic Volatility Levels
Source: CBOE
Stocks Suffer Worst Quarterly Decline in Four Years
•The Russell 3000 Index suffered its worst quarterly decline in four years during the
third quarter,declining 7.2%.After advancing during July,U.S.stock indices
retreated significantly in August and September amid concerns over the global
economic growth outlook and uncertainty regarding U.S.monetary policy.Signs
of an economic slowdown in China,and its repercussions,weighed on investor
risk appetite.The energy and materials sectors performed the worst,hurt by
declining oil and commodity prices.Defensive sectors,such as utilities and
consumer staples,performed best with utilities the only sector experiencing
positive absolute returns.
•Non-U.S.equities fared even worse than U.S.equities.The slowdown in Chinese
economic growth was the main driver of losses;however,weakening commodity
prices,devaluation of the Chinese yuan,and uncertainty surrounding the timing of
a U.S.interest rate hike also hurt returns.Currency weakness versus the U.S.
dollar weighed on most non-U.S.equity returns.Emerging markets
underperformed developed non-U.S.equities as the impact of China’s slowdown,
falling commodity prices,and a possible rise in U.S.interest rates was more
impactful on emerging economies.
•Equity market volatility,as measured by the VIX Index,spiked during the quarter,
driven by the slowing Chinese economy and uncertainties surrounding the impact
it will have on global economic growth.Additionally,devaluation of the Chinese
yuan and the Fed’s decision to delay hiking interest rates caused further
uncertainty.
-3 0.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10.0%
51
Source: Barclays Source: Barclays
Duration-adjusted Excess Returns to Treasuries (bps) Trailing Ten-Year Credit Spreads
Capital Markets Rev iew
Fixed Income
Best Period Second Bes t Period Worst Period Second Worst Period
0
250
500
750
1000
1250
1500
1750
2000
Option-Adjusted Spread (OAS)Date
Barclays U.S. Credit
U.S. Credit 10-Year Average
Barclays U.S. HY
HY 10-Year Average
2008 2009 2010 2011 2012 2013 2014 1Q15 2Q15 3Q15
Aggre gate -710 746 171 -114 226 93 10 -9 -19 -57
Agency -110 288 77 -25 166 1 10 -3 19 146
MBS -232 495 225 -106 91 98 40 -50 5 -22
ABS -2223 2496 169 52 246 24 53 14 21 16
CMBS -3274 2960 1501 47 841 97 108 37 -31 -5
Credit -1786 1990 192 -322 693 226 -18 17 -67 -170
Hi gh Yield -3832 5955 974 -240 1394 923 -112 109 69 -631
Em erging -2842 3797 508 -537 1503 -32 -120 49 196 -441
US Treasury Yield Curve Change
Source: US Dept of The Treasury
Yields Fall and Spreads Widen as Global Slowdown Halts the Fed
•Higher quality fixed income sectors ended the quarter with modestly positive
returns as investors moved to safer assets.Market volatility spiked on China
growth concerns and the impact of a potential Fed rate lift-off.High quality and
structured products performed best as investors moved towards assets with
relatively strong liquidity.Treasury yields fell across the curve as the Federal
Reserve opted to delay a rate hike boosting results for all long duration
segments.A lack of inflationary pressure caused TIPS (-1.2%)to lag nominal
Treasuries during the quarter.
•Investment grade corporate spreads increased 24 bps,although falling interest
rates more than offset spread widening leading to a positive 0.8%return.High
yield returned -4.9%as spreads widened by 154 bps on the quarter.
Continued low energy prices and fear of rising default rates negatively
impacted high yield as the sector represents a significant portion of the high
yield market.
•Emerging markets debt registered a sharp decline.Falling commodity prices,
slower Chinese growth and the possibility of a U.S.interest rate hike drove a
widespread decline of emerging markets currencies against the U.S.dollar.
Locally denominated bonds were broadly negative with many losing more than
10%on the quarter.Brazil was a major focus as S&P downgraded the
country’s debt to non-investment grade.
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
0 5 10 15 20 25 30Yield to MaturityMaturity (Years)
9/30/2014 6/30/2015 9/30/2015
U.S. Treasury Yield Curve Change
52
1.1%
-6.6%
-1.1%
-1.5%
1.5%
-1.0%
-2.9%
3.3%
-2.3%
-4.0%
1.8%
1.2%
-9.3%
-3.7%
-3.9%
-1.6%
-0.6%
-5.1%
1.2%
-5.9%
-4.5%
-1.6%
-12%-10%-8%-6%-4%-2%0%2%4%6%
BC Aggregate Bond Index
MSCI All-Country World Index
Fund of Funds
Hedge Fund Composite
Merger Arbitrage
Global Macro
Event Driven
Equity Market Neutral
Equity Hedge
Distressed Securities
Convertible Arbitrage
Q3
YTD
Capital Markets Review
Hedge Funds
HFRI Index Performance –Third Quarter and YTD 2015
Cyclical vs. Defensive Exposure
Equity Market Neutral Strategies
Source: JPM Prime BrokerageNet Market Value Ratio¹Da NMV Cyc = Daily Net Market Value Cyclical Stocks, Da NMV Def = Daily Net Market Value Defensive Stocks
DA NMV Cyc/Da NMV Def = Daily Net Market Value Cyclical Stocks divided by Daily Net Market Value Defensive Stocks
¹
Source: HFR Inc.
Macroeconomic Volatility Weighs on Hedge Fund Returns
•Hedge fund manager performance was negative across all strategies during the
third quarter,with the exception of equity market neutral managers (+1.2%).Hedge
funds (-3.7%)provided mixed results compared to broad market indices as they
handily outperformed the MSCI All-Country World Index (-9.3%),but
underperformed the Barclays Capital Aggregate Bond Index (+1.2%)by a wide
margin.
•Equity hedge and event driven managers were the worst performers during the
quarter,returning -5.9%and -5.1%,respectively.Equity hedge strategies were
negatively impacted by the continued fall in commodity prices during the third
quarter,as well as the U.S.Federal Reserve’s decision to delay an increase in the
federal funds rate at their mid-September meeting.Event driven managers were
hampered by the decline in healthcare and energy stocks.Activists and distressed
managers,many of whom had significant exposure to those sectors,returned -
10.3%and -4.9%,respectively.
•Equity market neutral managers provided positive results during the quarter.These
managers benefited from net short exposure in cyclical companies,according to
JPMorgan Prime Brokerage (see chart above).
•Hedge fund assets declined by $95 billion during the third quarter.The drop in
assets can be wholly attributed to performance as investors contributed $10.5 billion
through new subscriptions during the quarter.Multi-strategy and long/short equity
managers received nearly half of the new contributions,according to HFR Inc.
Hedge Fund Assets and Flows
-$5 00,000
$0
$500,000
$1,0 00,000
$1,5 00,000
$2,0 00,000
$2,5 00,000
$3,0 00,000
Assets ($MM)Net Asset Flow Esti mated Assets
53
NCREIF 3 M on.1 Y r.3 Yr s.5 Yrs.10 Yrs.
NCREIF 3.1%13.0%11.6%12.7%8.2%
Ap artm ents 3.0%11.6%10.7%13.3%7.8%
In dus trials 3.8%14.8%12.7%13.0%8.0%
Office 3.1%12.9%10.9%11.7%8.0%
Retail 3.0%13.6%13.3%13.7%9.1%
Eas t 2.9%11.0%9.7%11.6%7.6%
Mi dwes t 3.0%12.5%11.1%11.6%7.1%
South 3.1%13.9%12.9%13.2%8.5%
West 3.4%14.5%12.9%13.9%8.9%
Capital Markets Review
Real Assets
Real Estate Returns as of Second Quarter 2015
Private Real Estate Performs Well While REITs Decline; Commodities
Source: NCREIF
6.0%5.6%5.4%5.1%4.9%
0%
5%
10 %
20 11 Q2 20 12 Q2 20 13 Q2 20 14 Q2 20 15 Q24 Qtr vs Avg Value Wtd Cap RateNCREIF Property Index (NPI) –Implied Appraisal Cap Rates Fall
Below 5% -Touching a New Low
Source: NCREIF
Private Real Estate Performs Well While REITs Decline; Commodities
Drop Once Again
•Private real estate returned 3.1%during the second quarter and 13.0%for the
trailing one year period.By sector,industrial properties experienced the best
returns for the quarter and year.By region,the West was the strongest
performing area for the quarter and year,as well as longer term.Low interest
rates and strong property fundamentals continue to push cap rates down,
contributing to appreciation.Cap rates hit a new low of 4.9%.
•During the quarter,the S&P GSCI returned -19.3%,with 23 of 24 commodities
declining in value.Energy posted the worst returns for the quarter,down 24.4%.
Gold performed best,down 5.0%Year-to-date through September,the Index
was down 19.5%-the third worst year recorded for commodities according to
S&P.Ample oil supplies,overcapacity in metals,a strong dollar and generally
weakening demand –especially from China –accounted for the market drop in
commodity prices.On a three-year basis,commodity prices are down 19.8%
annualized or approximately 50%on a cumulative basis.
•REITs rebounded a bit during the third quarter as uncertainty increased over the
potential for a rise in U.S.rates.The FTSE NAREIT All REIT Index returned
0.7%during the quarter and -4.5%year-to-date through September.Global
REITs,however,declined 3.2%during the third quarter,bringing the year-to-date
return to -4.4%.The Asia/Pacific market,which was down 12.3%,accounted for
much of the negative return for the quarter.
NCREIF Quar te r YT D 1 Year 3 Y ears
S&P GS Commodity Index -19.3%-19.5%-41.7%-19.8%
S&P GSCI Energy -24.4%-22.2%-52.4%-23.4%
S&P GSCI Oil -26.9%-27.8%-57.5%-24.5%
S&P GSCI Natural Gas -14.4%-21.2%-47.7%-19.1%
S&P GSCI In dus trial Metals -9.9%-19.2%-24.0%-14.3%
S&P GSCI Precious Me tals -5.2%-6.4%-9.3%-16.2%
S&P GSCI Ag ricultural -12.9%-13.7%-6.2%-17.2%
Commodity Returns –Periods Ended September 30, 2015
Source: Morningstar
54
$0
$2 0
$4 0
$6 0
$8 0
$1 00
$1 20
$1 40
$1 60
0
50
10 0
15 0
20 0
25 0
30 0
35 0
40 0
45 0
50 0
Aggregate Exit Value ($,Billions)# of PE-Backed Deals# of PE-Backed Exits Aggregate Exit Value
Private-Equity Backed Exit ActivityInvestment Horizon Pooled IRR (As of 6/30/15)
Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years
Early Stage VC 8.3%31.2%22.6%20.3%11.4%53.5%
Late/Expansion Stage VC 3.5%13.9%15.9%16.3%13.3%10.3%
Multi-Stage VC 5.0%22.2%19.4%16.7%10.9%12.2%
Al l Venture Capital 6.8%26.8%21.0%18.7%11.4%27.1%
Small Buyouts 3.3%5.0%11.5%14.9%17.9%14.6%
Medium Buyouts 4.6%7.0%11.7%12.4%14.2%15.4%
Large Buyouts 4.8%4.9%13.7%15.1%13.6%15.7%
Mega Buyouts 5.9%9.4%18.0%16.5%11.1%11.2%
Al l Buyouts 5.3%7.7%15.7%15.4%12.5%13.2%
Mezzanine/Sub Debt 3.6%8.5%11.3%11.8%10.7%10.0%
Distressed 1.6%4.2%13.3%12.2%10.4%11.2%
Al l Private Equity 4.6%8.2%14.9%14.7%11.9%14.0%
Capital Markets Rev iew
Pr ivate Equity
# of PE-Backed Exits Aggregate Exit Value
$0
$1 0
$2 0
$3 0
$4 0
$5 0
$6 0
$0
$2 0
$4 0
$6 0
$8 0
$1 00
$1 20
$1 40
Amount Raised by Fund Type ($, Billions)Total Raised ($,Billions)Total R aised VC Bu yout
Real Assets Secondary Funds Distressed/SS
Fundraising Slows Amid Public Market Declines
•The pooled IRR for private equity funds significantly outperformed the MSCI All
Country World Index during the second quarter and trailing one-year period
through June 30,2015.For the quarter,early stage venture funds were the top
performers while distressed strategies lagged other fund types.Venture funds
outperformed their LBO counterparts by a wide margin over the trailing one-
year period driven by strong performance within the health care and information
technology sectors,which account for a vast majority of venture investments.
•Private equity fundraising slowed considerably during the third quarter amid
investor concerns regarding global financial markets.In total,private equity
funds raised $74 billion in 3Q15,34%less than the prior quarter and the lowest
quarterly total in two and a half years.All fund types experienced a slowdown,
with the exception of distressed/special situations funds,which saw a modest
increase in total commitments from the prior quarter.
•Private equity-backed exit activity experienced only a slight decrease during
3Q15 despite a tumultuous environment for public markets.According to
Preqin,there were 397 PE-backed exits in 3Q15 with an aggregate value of
$116 billion,compared to 413 exits worth $122 billion in 2Q15.It was a mixed
bag for venture-backed liquidity events in 3Q15 as the number of IPOs fell to
13 from 29 in 2Q15,while the number of M&A deals increased from 74 to 90.
Source: ThomsonOne/Cambridge Associates database, October 2015.
Note: Data is continuously updated and is therefore subject to change.
MSCI AC World Index 0.5%1.1%14.1%12.7%7.0%6.7%
Source: Thomson Reuters, ThomsonOne database, October 2015.
Source: The 3Q 2015 Preqin Quarterly Update; Preqin Buyout Deals Analyst
Global Fundraising
55
Quarter
Year
To
Date
1
Year
2
Years
3
Years
5
Years
7
Years
10
Years
Domestic Equity Indices
Dow Jones Wilshire 5000 -6.9 -5.4 -0.4 8.4 12.4 13.1 9.8 7.0
S&P 500 -6.4 -5.3 -0.6 9.1 12.4 13.3 9.8 6.8
Russell 1000 Index -6.8 -5.2 -0.6 8.8 12.7 13.4 10.0 7.0
Russell 1000 Growth Index -5.3 -1.5 3.2 10.9 13.6 14.5 11.7 8.1
Russell 1000 Value Index -8.4 -9.0 -4.4 6.6 11.6 12.3 8.2 5.7
Russell Midcap Index -8.0 -5.8 -0.2 7.5 13.9 13.4 11.4 7.9
Russell Midcap Growth Index -8.0 -4.1 1.4 7.7 14.0 13.6 12.1 8.1
Russell Midcap Value Index -8.0 -7.7 -2.1 7.2 13.7 13.2 10.5 7.4
Russell 2000 Index -11.9 -7.7 1.2 2.6 11.0 11.7 8.6 6.5
Russell 2000 Growth Index -13.1 -5.5 4.0 3.9 12.8 13.3 10.4 7.7
Russell 2000 Value Index -10.7 -10.1 -1.6 1.2 9.2 10.2 6.8 5.3
International Equity Indices
MSCI EAFE -10.2 -5.3 -8.7 -2.4 5.6 4.0 3.8 3.0
MSCI EAFE Growth Index -8.7 -2.4 -4.7 -1.0 6.5 4.8 4.5 3.8
MSCI EAFE Value Index -11.8 -8.1 -12.6 -3.9 4.7 3.1 3.0 2.1
MSCI EAFE Small Cap -6.8 2.6 0.3 1.6 10.2 7.3 8.5 4.7
MSCI AC World Index -9.4 -7.0 -6.7 1.9 7.0 6.8 6.0 4.6
MSCI AC World ex US -12.2 -8.6 -12.2 -4.1 2.3 1.8 3.2 3.0
MSCI Emerging Markets Index -17.9 -15.5 -19.3 -8.2 -5.3 -3.6 2.6 4.3
Fixed Income Indices
Barclays U.S. Aggregate 1.2 1.1 2.9 3.4 1.7 3.1 4.8 4.6
Barcap Intermediate U.S. Government/Credit 0.9 1.8 2.7 2.4 1.4 2.4 4.2 4.2
Barclays U.S. Long Government/Credit 2.2 -2.4 3.1 7.9 2.2 6.0 8.7 6.6
Barclays US Corp: High Yield -4.9 -2.5 -3.4 1.7 3.5 6.1 10.0 7.3
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.0 0.1 0.1 0.1 1.3
Barclays U.S. TIPS -1.1 -0.8 -0.8 0.4 -1.8 2.5 3.9 4.0
Citigroup Non-U.S. World Government Bond 1.7 -4.2 -7.0 -4.1 -4.6 -1.3 1.8 2.9
JPM EMBI Global Diversified (external currency)-1.7 -0.1 -0.6 4.4 1.5 4.7 8.2 6.9
JPM GBI-EM Global Diversified (local currency)-10.5 -14.9 -19.8 -11.1 -8.7 -3.6 1.7 4.5
Real Asset Indices
Bloomberg Commodity Index Total Return -14.5 -15.8 -26.0 -16.8 -16.0 -8.9 -8.7 -5.7
Dow Jones Wilshire REIT 2.9 -3.0 11.7 12.6 10.1 12.5 7.5 6.8
Capital Markets Review
Index Returns
As of September 30, 2015
(Percentage Return)
_________________________
Returns for periods greater than one year are annualized.
56