HomeMy Public PortalAbout2015 4th Quarter ReportPerformance
Review
Metropolitan St. Louis Sewer
District Deferred Compensation
Plan
4th 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 - December 2015
Fourth quarter equity, balanced and target retirement date fund returns were positive on an absolute basis due to relatively stronger equity markets. Within the
target date retirement funds, the longer dated funds with higher 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.Jim Barrow stepped down as PM of Vanguard
Windsor II at the end of 2015. He had managed Barrow Hanley’s portion of Windsor II assets (approximately 60%) since 1985. As had already been well-
communicated over the past couple of years, his replacements are David Ganucheau and Jeff Fahrenbruch.
Fourth quarter performance for the active managers in the investment menu were mixed. Vanguard US Growth and Vanguard International Growth outpaced their
respective benchmarks by 100 and 380 basis points, respectively. Conversely, Vanguard Windsor II returned 110 basis points less than its benchmark as a result
of poor stock selection.
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 raised interest rates 25 bps in December, placing its policy trajectory at odds with other central banks. China’s central bank lowered its
lending rate to a record low; the European Central Bank stood poised to enact further stimulus; the Bank of England stated that rate increases were not necessary
as economic uncertainty spread. The disparity between rising U.S. rates and the rest of the world sent major currencies lower versus the dollar and furthered oil’s
decline, as it is traded in USD.
The S&P finished the year strong, posting a fourth quarter return of 7.0% to end the year at 1.4%. While the market retreated slightly in the latter two months of
the quarter, strong economic data (especially in the labor market) helped push markets to near all-time highs. Non-U.S. equities finished the year mixed. In
general, the developed markets did well during the fourth quarter. European indices saw modest gains as growth finally showed signs of picking up amidst heavy
stimulus measures from the ECB.
2015 saw a large divergence between growth and value stocks. U.S. large growth stocks performed especially well versus other market segments. During periods
of weak economic growth, the growth style tends to outperform the value style. Growth stocks also performed well within non-U.S. markets.
China’s policy to force stock purchases and restrict selling temporarily boosted its stock market after a summer rout. Investors remained leery of government
directives to dictate asset prices, which detach asset prices from actual values and eventually lead to rapid selloffs if growth does not rebound to levels supporting
stock valuations. Investors remain cautious as growth prospects for 2016 continue to look weaker.
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)7.0 (34)1.2 (42)1.2 (42)15.0 (33)12.4 (24)7.2 (33)
S&P 500 7.0 (34)1.4 (41)1.4 (41)15.1 (31)12.6 (22)7.3 (30)
IM U.S. Large Cap Equity 6.3 0.0 0.0 13.8 11.1 6.5
Vanguard US Growth (VWUSX)8.3 (34)8.5 (21)8.5 (21)18.4 (15)14.3 (13)7.4 (52)
Russell 1000 Growth Index 7.3 (62)5.7 (48)5.7 (48)16.8 (37)13.5 (25)8.5 (22)
IM U.S. Large Cap Growth Equity 7.7 5.5 5.5 16.2 12.3 7.5
Vanguard Windsor II (VWNFX)4.5 (73)-3.2 (36)-3.2 (36)12.0 (56)11.0 (25)6.1 (30)
Russell 1000 Value Index 5.6 (25)-3.8 (51)-3.8 (51)13.1 (24)11.3 (18)6.2 (29)
IM U.S. Large Cap Value Equity 5.1 -3.8 -3.8 12.2 9.9 5.5
Vanguard Mid-Cap Index (VIMSX)3.4 (36)-1.5 (38)-1.5 (38)14.8 (20)11.4 (20)7.8 (28)
Vanguard Mid-Cap Index Fund Blended Benchmark 3.5 (35)-1.3 (36)-1.3 (36)15.0 (15)11.6 (15)8.0 (23)
IM U.S. Mid Cap Equity 2.8 -2.7 -2.7 12.5 9.6 6.8
Vanguard Small-Cap Index (NAESX)3.1 (50)-3.8 (35)-3.8 (35)12.4 (30)10.3 (23)7.8 (10)
Vanguard Small-Cap Index Fund Blended Benchmark 3.1 (50)-3.7 (34)-3.7 (34)12.6 (29)10.4 (20)7.9 (8)
IM U.S. Small Cap Equity 3.0 -5.0 -5.0 11.1 8.8 6.0
International Equity Option
Vanguard International Growth (VWIGX)7.0 (6)-0.7 (37)-0.7 (37)4.8 (32)3.6 (30)4.6 (26)
MSCI AC World ex USA (Net)3.2 (51)-5.7 (61)-5.7 (61)1.5 (64)1.1 (65)2.9 (56)
IM International Equity 3.3 -2.8 -2.8 3.1 2.3 3.2
Fixed Income Options
Vanguard Total Bond Market Index (VBMFX)-0.6 (59)0.3 (21)0.3 (21)1.2 (54)3.0 (78)4.4 (69)
Vanguard Total Bond Market Index Fund Benchmark -0.6 (58)0.4 (16)0.4 (16)1.4 (48)3.2 (64)4.5 (65)
IM U.S. Broad Market Core+ Fixed Income -0.5 -0.5 -0.5 1.3 3.6 4.9
Vanguard Retirement Savings Trust 0.5 1.9 1.9 1.8 2.2 3.0
Ryan 3 Yr GIC Master 0.3 1.2 1.2 1.1 1.4 2.8
Performance Summary
Investment Options
As of December 31, 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 December 31, 2015
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Equity/Fixed Income Blend Options
Vanguard Balanced Index (VBINX)3.4 (47)0.4 (18)0.4 (18)9.1 (28)8.5 (16)6.5 (13)
Vanguard Balanced Index Fund Benchmark 3.5 (41)0.6 (13)0.6 (13)9.4 (24)8.7 (12)6.6 (11)
IM Mixed-Asset Target Alloc Growth 3.3 -1.2 -1.2 7.9 6.9 5.2
Vanguard Target Retirement Income (VTINX)1.2 (33)-0.2 (7)-0.2 (7)3.7 (22)4.9 (12)5.0 (13)
Vanguard Target Income Composite Index 1.4 (24)0.1 (2)0.1 (2)3.9 (17)5.1 (11)5.0 (9)
IM Mixed-Asset Target Today 0.9 -1.5 -1.5 2.5 3.6 3.9
Vanguard Target Retirement 2010 (VTENX)1.4 (71)-0.2 (8)-0.2 (8)4.9 (28)5.6 (23)N/A
Vanguard Target 2010 Composite Index 1.6 (51)0.0 (4)0.0 (4)5.1 (22)5.7 (17)N/A
IM Mixed-Asset Target 2010 (MF) Median 1.7 -1.2 -1.2 4.3 4.9 3.8
Vanguard Target Retirement 2015 (VTXVX)2.1 (34)-0.5 (14)-0.5 (14)6.2 (10)6.3 (12)5.4 (8)
Vanguard Target 2015 Composite Index 2.4 (9)-0.2 (9)-0.2 (9)6.5 (4)6.4 (8)5.4 (7)
IM Mixed-Asset Target 2015 (MF) Median 1.9 -1.3 -1.3 4.6 5.1 4.2
Vanguard Target Retirement 2020 (VTWNX)2.7 (21)-0.7 (23)-0.7 (23)7.2 (5)6.9 (8)N/A
Vanguard Target 2020 Composite Index 3.0 (5)-0.4 (14)-0.4 (14)7.5 (4)7.1 (3)N/A
IM Mixed-Asset Target 2020 (MF) Median 2.1 -1.5 -1.5 4.9 5.1 4.1
Vanguard Target Retirement 2025 (VTTVX)3.1 (31)-0.8 (24)-0.8 (24)7.9 (10)7.2 (16)5.5 (11)
Vanguard Target 2025 Composite Index 3.4 (11)-0.6 (18)-0.6 (18)8.2 (7)7.5 (8)5.7 (7)
IM Mixed-Asset Target 2025 (MF) Median 2.6 -1.4 -1.4 6.3 6.2 4.7
Vanguard Target Retirement 2030 (VTHRX)3.5 (28)-1.0 (30)-1.0 (30)8.5 (11)7.6 (13)N/A
Vanguard Target 2030 Composite Index 3.8 (21)-0.8 (23)-0.8 (23)8.8 (7)7.9 (8)N/A
IM Mixed-Asset Target 2030 (MF) Median 3.1 -1.6 -1.6 7.0 6.2 4.3
Vanguard Target Retirement 2035 (VTTHX)3.9 (34)-1.3 (38)-1.3 (38)9.2 (14)7.9 (19)5.8 (16)
Vanguard Target 2035 Composite Index 4.3 (22)-1.0 (30)-1.0 (30)9.5 (8)8.2 (12)5.9 (10)
IM Mixed-Asset Target 2035 (MF) Median 3.5 -1.7 -1.7 7.8 6.9 4.8
Vanguard Target Retirement 2040 (VFORX)4.3 (34)-1.6 (44)-1.6 (44)9.5 (15)8.1 (13)N/A
Vanguard Target 2040 Composite Index 4.7 (11)-1.2 (36)-1.2 (36)9.9 (8)8.5 (8)N/A
IM Mixed-Asset Target 2040 (MF) Median 3.8 -1.7 -1.7 7.9 6.7 4.6
_________________________
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 December 31, 2015
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Equity/Fixed Income Blend Options (cont.)
Vanguard Target Retirement 2045 (VTIVX)4.3 (38)-1.6 (44)-1.6 (44)9.5 (17)8.1 (21)5.9 (28)
Vanguard Target 2045 Composite Index 4.7 (13)-1.3 (37)-1.3 (37)9.9 (9)8.4 (12)6.1 (21)
IM Mixed-Asset Target 2045 (MF) Median 4.1 -1.8 -1.8 8.3 7.1 5.4
Vanguard Target Retirement 2050 (VFIFX)4.3 (41)-1.6 (46)-1.6 (46)9.5 (19)8.1 (20)N/A
Vanguard Target 2050 Composite Index 4.7 (16)-1.3 (37)-1.3 (37)9.9 (11)8.4 (11)N/A
IM Mixed-Asset Target 2050 (MF) Median 4.0 -1.8 -1.8 8.3 7.1 4.7
Vanguard Target Retirement 2055 (VFFVX)4.3 (46)-1.7 (57)-1.7 (57)9.4 (28)8.2 (28)N/A
Vanguard Target 2055 Composite Index 4.7 (21)-1.3 (39)-1.3 (39)9.9 (14)8.4 (21)N/A
IM Mixed-Asset Target 2055+ (MF) Median 4.2 -1.6 -1.6 8.6 7.5 N/A
Vanguard Target Retirement 2060 (VTTSX)4.3 (42)-1.7 (53)-1.7 (53)9.4 (27)N/A N/A
Vanguard Target 2060 Composite Index 4.7 (21)-1.3 (39)-1.3 (39)9.9 (14)N/A N/A
IM Mixed-Asset Target 2055+ (MF) Median 4.2 -1.6 -1.6 8.6 7.5 N/A
Money Market Option
Vanguard Prime Money Market (VMMXX)0.0 0.0 0.0 0.0 0.0 1.3
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.1 0.1 0.1 0.1 1.2
_________________________
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 December 31, 2015
Ma na gers
Vanguard
S&P 500
Inde x
(V FINX)
Va nguard US
Grow th
(VWUSX)
Vanguard
Windsor II
(V WNFX)
Vangua rd
Mid-Ca p
Index
(V IMSX)
Va nguard
Small-Ca p
Inde x
(NAES X)
Vangua rd
Interna tiona l
Grow th
(V WIGX)
Vangua rd
Total Bond
Marke t Inde x
(VBMFX)
Va nguard
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 regulatory concerns ++++++++
Cu rrently in adherence to guidelin es ++++++++
Po rt fo lio characteris tics me et stylis tic expectations ++++++++
Re lati ve Perfor mance 1
Three-year return better than benchmark N/A +-N/A N/A +N/A N/A
Three-year rankin g better than peer group median ++-+++-N/A
Fiv e year re turn better than benchmark N/A +-N/A N/A +N/A N/AFive year re turn better than benchmark N/A +-N/A N/A +N/A N/A
Fiv e year ra nkin 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 December 31, 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 December 31, 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
Fourth Quarter 2015
Manager
Compliance
Issue Explanation
Recommended
Ac tion Comments
Vanguard
Windsor II
Investment
Team
Changes
Jim Barrow stepped down as PM of
Windsor II at the end of 2015. He had
managed Barrow Hanley’s portion of
Windsor II assets (approximately 60%)
since 1985. As had already been well-
communicated over the past couple of
years, his replacements are 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 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.
11
Plan Assets
12
Plan Summary
Deferred Compensation Plan Assets
As of December 31, 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 $ 6,600,302 13.3%$ 390,224 + 6.3%
Vanguard Windsor II Inv US Large Cap Equit y -Value $ 8,104,711 16.4%$ 63,803 + 0.8%
Vanguard US Growth Inv US Large Cap Equit y -Growth $ 4,857,609 9.8%$ 502,959 + 11.5%
Vanguard M id Cap Index I nv US Mid Cap Equit y -Core $ 2,624,550 5.3%$ 112,545 + 4.5%
Vanguard Small Cap Index Inv US Small Cap Equit y -Core $ 2,424,519 4.9%$ 103,658 + 4.5%
$ 24,611,692 49.7%$ 1,173,189 + 5.0%
International Equ ity Funds
Vanguard Internat ional Growth Internat ional Equity $ 2,028,576 4.1%$ 100,808 + 5.2%
$ 2,028,576 4.1%$ 100,808 + 5.2%
Fi xed I ncome/Alternative Fu nds
Vanguard T otal Bond M arket Index Inv Market Duration $ 2,654,549 5.4%$ 153,976 + 6.2%
Vanguard Retirement Savings Trust Short Durat ion $ 3,619,703 7.3%$ 15,882 + 0.4%
Vanguard Balanced Index Inv Balanced $ 4,025,918 8.1%$ 104,339 + 2.7%
$ 10,300,170 20.8%$ 274,198 + 2.7%
$ Change
From
Previous Qtr
% C hange
From
Pre vi ous Qtr
$ 10,300,170 20.8%$ 274,198 + 2.7%
Cash
Vanguard Prime M oney Market Cash $ 1,693,619 3.4%$ 324,192 + 23.7%
$ 1,693,619 3.4%$ 324,192 + 23.7%
Ta rge t Date Funds
Vanguard T arget Ret irement Income Inv Blend $ 294,180 0.6%$ 10,323 + 3.6%
Vanguard T arget Ret irement 2010 Inv Blend $ 536,227 1.1%$ (767)- 0.1%
Vanguard T arget Ret irement 2015 Inv Blend $ 679,306 1.4%$ (93,251)- 12.1%
Vanguard T arget Ret irement 2020 Inv Blend $ 2,050,649 4.1%$ (29,188)- 1.4%
Vanguard T arget Ret irement 2025 Inv Blend $ 2,392,133 4.8%$ 165,792 + 7.4%
Vanguard T arget Ret irement 2030 Inv Blend $ 1,029,532 2.1%$ 72,606 + 7.6%
Vanguard T arget Ret irement 2035 Inv Blend $ 1,149,190 2.3%$ 74,105 + 6.9%
Vanguard T arget Ret irement 2040 Inv Blend $ 666,825 1.3%$ 60,408 + 10.0%
Vanguard T arget Ret irement 2045 Inv Blend $ 613,047 1.2%$ 61,766 + 11.2%
Vanguard T arget Ret irement 2050 Inv Blend $ 291,959 0.6%$ 39,400 + 15.6%
Vanguard T arget Ret irement 2055 Inv Blend $ 39,500 0.1%$ 9,229 + 30.5%
Vanguard T arget Ret irement 2060 Inv Blend $ 26,142 0.1%$ 4,435 + 20.4%
9,768,691$ 19.7%374,857$ + 4.0%
Loan Fund
Loan Fund Loan Fund $ 1,107,049 2.2%$ (68,952)- 5.9%
TO TA L $ 49,509,796 100.0%$ 2,178,292 + 4.6%
13
Plan Summary
Fee Comparison Summary
As of December 31, 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 1.07 0.92 0.15 La rg e Blend eVestment US Pa ssive La rg e Cap Equity
Va nguard US Gro wt h 0.47 1.21 0.92 0.83 La rge Gro wth La rg e Cap No Lo ad US Large Cap Gr owth
Va nguard Windsor 0.34 1.13 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 1.2 1.07 0.24 Mid Ble nd Mid Cap No Lo ad US Passive Mid Cap Equity
Va nguard Sma ll-Ca p Index 0.23 1.25 1.16 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 1.33 1.05 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 0.85 0.67 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 0.92 0.9 0.77 Moderate Allo cation Moderate Allo cation No Load US Ba la nced
Va nguard Target Retirement Income 0.16 0.42 0.64 0.46 Retire me nt Income Retire me nt Income No Load Li fecycle/Target Date Income
Va nguard Target Retirement 2010 0.16 0.42 0.59 0.55 Target Date 2000-2010 Target Retireme nt 2000-2010 No Lo ad Life cycle/Target Date 2010Vanguard Target Retirement 2010 0.16 0.42 0.59 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 0.78 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 0.42 0.73 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 0.4 0.83 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 0.41 0.76 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 0.41 0.87 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 0.42 0.78 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 0.42 0.78 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 0.41 0.79 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 0.82 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 0.82 N/A Target Date 2051+Target Retireme nt 2051+ No Lo ad N/A
Va nguard Prime Money Marke t 0.16 0.15 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 (Jan-2011 - Dec-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)7.0 1.2 1.2 15.0 12.4 7.2 13.5 32.2 15.8 2.0 14.9 26.5 -37.0 5.4 15.6 4.8
S&P 500 7.0 1.4 1.4 15.1 12.6 7.3 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 6.3 0.0 0.0 13.8 11.1 6.5 10.9 32.6 15.3 -1.4 13.4 28.0 -37.8 6.8 13.1 5.3
Vanguard 500 Index Fund (VFINX) Rank 34 42 42 33 24 33 16 56 43 20 34 58 41 59 31 58
Vanguard 500 Index Fund (VFINX)S&P 500
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
-0.2
-0.4Return (%)3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard 500 Index Fund (VFINX)12.4 12.5 12.6 -0.1 1.0 1.0 0.0 -12.0 7.0 0.0 39y 4m
S&P 500 12.6 12.5 12.7 0.0 1.0 1.0 0.0 N/A 6.9 0.0 39y 4m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.5 -1.0 0.0 20.0 39y 4m
Manager Evaluation
Vanguard 500 Index Fund (VFINX) vs. S&P 500
As of December 31, 2015
16
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)137,458 137,342
Median Mkt. Cap ($M)17,732 17,669
Price/Earnings ratio 19.2 19.3
Price/Book ratio 3.1 3.1
5 Yr. EPS Growth Rate (%)8.3 7.9
Current Yield (%)2.2 2.2
Debt to Equity 1.6 1.6
Number of Stocks 505 504
Beta (5 Years, Monthly)1.00 1.00
Consistency (5 Years, Monthly)1.67 1.00
Sharpe Ratio (5 Years, Monthly)1.06 1.08
Information Ratio (5 Years, Monthly)-10.38 -
Up Market Capture (5 Years, Monthly)99.55 -
Down Market Capture (5 Years, Monthly)100.45 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 3.3 3.3 0.1 -4.2
Microsoft Corp 2.5 2.5 0.0 26.2
Exxon Mobil Corp 1.8 1.8 0.0 5.8
General Electric Co 1.6 1.6 0.0 24.4
Johnson & Johnson 1.6 1.6 0.0 10.8
Amazon.com Inc 1.4 1.5 0.0 32.0
Wells Fargo & Co 1.4 1.4 0.0 6.6
JPMorgan Chase & Co 1.4 1.4 0.0 9.1
Facebook Inc 1.3 1.3 0.0 16.4
Berkshire Hathaway Inc 1.3 1.4 -0.1 1.3
% of Portfolio 17.6 17.7
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
51.6
32.4
15.6
0.4
51.4
32.5
15.6
0.4
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
3.0
2.4
2.8
20.9
10.1
15.1
16.5
6.5
10.0
12.7
3.0
2.4
2.8
20.7
10.0
15.2
16.5
6.5
10.1
12.9
Manager Evaluation
Vanguard 500 Index Fund (VFINX) vs. S&P 500
As of December 31, 2015
17
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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)4.5 -3.2 -3.2 12.0 11.0 6.1 11.2 30.7 16.7 2.7 10.6 27.1 -36.7 2.2 18.2 7.0
Russell 1000 Value Index 5.6 -3.8 -3.8 13.1 11.3 6.2 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 5.1 -3.8 -3.8 12.2 9.9 5.5 10.9 32.7 15.3 -2.3 12.6 24.1 -36.8 1.7 17.9 5.3
Vanguard Windsor II (VWNFX) Rank 73 36 36 56 25 30 43 77 29 15 84 28 50 46 46 30
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 10.5
10.8
11.1
11.4
11.7
Return (%)12.3 12.6 12.9 13.2 13.5 13.8 14.1
Risk (Standard Deviation %)
Russell 1000 Value Index
Vanguard Windsor II (VWNFX)
Average Active Weight
0.0 10.0 20.0-10.0-20.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
-3.8
0.2
0.5
-2.2
2.8
-0.2
5.2
-7.4
-4.2
2.7
6.4
Allocation
(Total: 0.3)
0.0 0.3 0.6-0.3-0.6
0.2
0.0
0.0
-0.1
0.1
0.0
0.1
0.0
0.2
0.0
-0.3
Stock
(Total: -1.1)
0.0 0.4-0.4-0.8
0.0
0.0
0.0
0.0
0.1
-0.3
-0.4
-0.2
0.1
0.0
-0.3
Vanguard Windsor II (VWNFX)
0.0 0.4 0.8-0.4-0.8-1.2
0.2
0.0
0.0
-0.1
0.2
-0.3
-0.3
-0.2
0.4
0.0
-0.6
Manager Evaluation
Vanguard Windsor II (VWNFX) vs. Russell 1000 Value Index
As of December 31, 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)113,132 109,988
Median Mkt. Cap ($M)19,576 7,068
Price/Earnings ratio 15.8 16.9
Price/Book ratio 2.5 2.0
5 Yr. EPS Growth Rate (%)5.2 3.9
Current Yield (%)2.7 2.7
Debt to Equity 1.4 1.2
Number of Stocks 260 691
Beta (5 Years, Monthly)0.96 1.00
Consistency (5 Years, Monthly)46.67 1.00
Sharpe Ratio (5 Years, Monthly)0.95 0.95
Information Ratio (5 Years, Monthly)-0.15 -
Up Market Capture (5 Years, Monthly)97.27 -
Down Market Capture (5 Years, Monthly)96.98 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Medtronic PLC 3.2 1.1 2.1 15.5
JPMorgan Chase & Co 3.2 2.5 0.7 9.1
Microsoft Corp 3.0 2.0 1.0 26.2
Bank of America Corp 2.7 1.8 0.9 8.3
Pfizer Inc 2.7 2.0 0.6 3.6
Wells Fargo & Co 2.5 2.6 0.0 6.6
Philip Morris International Inc 2.4 0.7 1.7 12.1
Citigroup Inc 2.4 1.6 0.8 4.4
PNC Financial Services Group Inc.2.3 0.5 1.8 7.5
Raytheon Co.2.2 0.4 1.8 14.7
% of Portfolio 26.6 15.1
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
43.7
28.9
21.7
5.8
50.1
34.0
13.2
2.8
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
0.3
2.5
2.7
1.8
14.1
10.6
17.6
22.4
8.6
9.1
10.2
0.0
6.2
2.5
2.6
11.5
10.4
11.9
30.4
12.2
7.0
5.2
Manager Evaluation
Vanguard Windsor II (VWNFX) vs. Russell 1000 Value Index
As of December 31, 2015
19
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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)8.3 8.5 8.5 18.4 14.3 7.4 13.1 35.5 18.4 -0.7 11.5 35.0 -37.8 10.1 1.8 11.2
Russell 1000 Growth Index 7.3 5.7 5.7 16.8 13.5 8.5 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 7.7 5.5 5.5 16.2 12.3 7.5 10.5 34.1 14.9 -1.8 15.1 35.0 -39.8 13.8 6.7 5.7
Vanguard US Growth (VWUSX) Rank 34 21 21 15 13 52 22 36 19 37 80 51 30 77 85 17
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 12.0
12.8
13.6
14.4
15.2
16.0
Return (%)11.4 12.0 12.6 13.2 13.8 14.4 15.0 15.6
Risk (Standard Deviation %)
Russell 1000 Growth Index
Vanguard US Growth (VWUSX)
Average Active Weight
0.0 5.0 10.0-5.0-10.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
-1.7
0.0
-2.2
5.2
-4.4
1.6
3.7
1.9
-4.7
0.6
Allocation
(Total: -0.3)
0.0 0.4-0.4-0.8
0.0
0.0
0.0
0.0
0.1
0.1
0.0
0.0
-0.5
0.0
0.0
Stock
(Total: 0.6)
0.0 0.8 1.6-0.8-1.6
0.0
0.0
0.0
-0.1
0.7
-0.2
-0.6
0.2
-0.1
0.0
0.7
Vanguard US Growth (VWUSX)
0.0 0.6 1.2 1.8-0.6-1.2-1.8
0.0
0.0
0.0
-0.1
0.8
-0.1
-0.6
0.2
-0.6
0.0
0.7
Manager Evaluation
Vanguard US Growth (VWUSX) vs. Russell 1000 Growth Index
As of December 31, 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)121,455 133,865
Median Mkt. Cap ($M)21,576 8,546
Price/Earnings ratio 26.5 22.2
Price/Book ratio 4.8 5.4
5 Yr. EPS Growth Rate (%)14.6 12.5
Current Yield (%)0.9 1.6
Debt to Equity 0.3 2.6
Number of Stocks 156 644
Beta (5 Years, Monthly)1.10 1.00
Consistency (5 Years, Monthly)56.67 1.00
Sharpe Ratio (5 Years, Monthly)1.07 1.12
Information Ratio (5 Years, Monthly)0.31 -
Up Market Capture (5 Years, Monthly)107.90 -
Down Market Capture (5 Years, Monthly)109.45 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Google Inc (Class C)3.6 2.1 1.5 24.7
MasterCard Inc 3.6 0.9 2.7 8.2
Amazon.com Inc 3.3 2.4 0.9 32.0
Visa Inc 3.1 1.4 1.7 11.5
Apple Inc 3.1 5.7 -2.6 -4.2
Facebook Inc 3.1 2.2 0.9 16.4
Allergan PLC 2.9 0.5 2.3 15.0
Celgene Corp 2.7 0.9 1.8 10.7
Alphabet Inc 2.3 2.1 0.2 21.9
Home Depot Inc. (The)2.0 1.6 0.4 15.0
% of Portfolio 29.8 20.0
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
47.5
29.8
19.1
3.6
45.4
29.1
23.3
2.2
Sector Weights (%)
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0.0 10.0 20.0 30.0 40.0 50.0
Other
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
0.0
0.4
1.3
36.6
5.9
19.2
9.3
0.3
5.9
21.1
0.0
0.0
2.1
3.4
28.0
10.8
17.1
5.5
0.5
11.3
21.2
Manager Evaluation
Vanguard US Growth (VWUSX) vs. Russell 1000 Growth Index
As of December 31, 2015
21
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Jan-2011 - Dec-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)3.4 -1.5 -1.5 14.8 11.4 7.8 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 3.5 -1.3 -1.3 15.0 11.6 8.0 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 2.8 -2.7 -2.7 12.5 9.6 6.8 8.3 35.1 15.2 -4.0 23.7 36.1 -41.7 10.0 10.9 10.4
Vanguard Mid-Cap Index Fund (VIMSX) Rank 36 38 38 20 20 28 9 52 44 35 35 34 52 67 32 17
Vanguard Mid-Cap Index Fund (VIMSX)
Vanguard Mid-Cap Index Fund Blended Benchmark
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
-0.2
-0.4Return (%)3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Mid-Cap Index Fund (VIMSX)11.4 14.9 12.0 -0.2 1.0 0.8 0.1 -3.3 9.5 0.0 17y 7m
Vanguard Mid-Cap Index Fund Blended Benchmark 11.6 14.9 12.2 0.0 1.0 0.8 0.0 N/A 9.5 0.0 17y 7m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.9 -0.8 0.0 30.0 17y 7m
Manager Evaluation
Vanguard Mid-Cap Index Fund (VIMSX) vs. Vanguard Mid-Cap Index Fund Blended Benchmark
As of December 31, 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)11,777 11,562
Median Mkt. Cap ($M)8,697 8,834
Price/Earnings ratio 20.5 20.0
Price/Book ratio 3.0 3.0
5 Yr. EPS Growth Rate (%)12.0 12.0
Current Yield (%)1.6 1.6
Debt to Equity 3.2 3.2
Number of Stocks 369 362
Beta (5 Years, Monthly)1.02 1.00
Consistency (5 Years, Monthly)30.00 1.00
Sharpe Ratio (5 Years, Monthly)0.88 0.93
Information Ratio (5 Years, Monthly)-0.48 -
Up Market Capture (5 Years, Monthly)99.88 -
Down Market Capture (5 Years, Monthly)102.22 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
AvalonBay Communities Inc.0.8 0.4 0.4 6.0
Ross Stores Inc 0.7 0.7 0.0 11.3
Fiserv Inc.0.7 0.7 0.0 5.6
Electronic Arts Inc.0.7 0.7 0.0 1.4
Roper Technologies Inc 0.6 0.6 0.0 21.3
Cerner Corp 0.6 0.6 0.0 0.3
ConAgra Foods Inc.0.6 0.6 0.0 4.7
Hartford Financial Services Group Inc. (The)0.6 0.6 0.0 -4.6
Royal Caribbean Cruises Ltd 0.6 0.6 0.0 14.1
Equinix Inc 0.6 0.6 0.0 15.7
% of Portfolio 6.4 6.1
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
7.2
89.1
3.78.8
86.6
4.6
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
4.7
1.2
5.8
16.3
12.6
9.9
19.3
4.8
6.4
19.0
4.8
1.2
6.0
16.0
12.7
10.2
19.3
4.9
5.8
19.1
Manager Evaluation
Vanguard Mid-Cap Index Fund (VIMSX) vs. CRSP U.S. Mid Cap TR Index
As of December 31, 2015
23
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Jan-2011 - Dec-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)3.1 -3.8 -3.8 12.4 10.3 7.8 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 3.1 -3.7 -3.7 12.6 10.4 7.9 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 3.0 -5.0 -5.0 11.1 8.8 6.0 3.7 38.1 14.7 -3.8 25.7 28.7 -38.4 -1.3 13.1 5.5
Vanguard Small-Cap Index Fund (NAESX) Rank 50 35 35 30 23 10 9 55 20 42 30 26 41 40 35 30
Vanguard Small-Cap Index Fund (NAESX)
Vanguard Small-Cap Index Fund Blended Benchmark
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
0.4
-0.2
-0.4Return (%)3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Small-Cap Index Fund (NAESX)10.3 16.7 11.3 -0.1 1.0 0.7 0.0 -3.3 11.1 10.0 47y 11m
Vanguard Small-Cap Index Fund Blended Benchmark 10.4 16.7 11.4 0.0 1.0 0.7 0.0 N/A 11.0 0.0 47y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 16.7 -0.7 0.0 30.0 47y 11m
Manager Evaluation
Vanguard Small-Cap Index Fund (NAESX) vs. Vanguard Small-Cap Index Fund Blended Benchmark
As of December 31, 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)3,419 3,335
Median Mkt. Cap ($M)1,682 1,716
Price/Earnings ratio 19.2 19.4
Price/Book ratio 2.4 2.4
5 Yr. EPS Growth Rate (%)12.0 11.6
Current Yield (%)1.7 1.7
Debt to Equity 1.3 1.3
Number of Stocks 1,512 1,489
Beta (5 Years, Monthly)1.01 1.00
Consistency (5 Years, Monthly)23.33 1.00
Sharpe Ratio (5 Years, Monthly)0.73 0.77
Information Ratio (5 Years, Monthly)-0.63 -
Up Market Capture (5 Years, Monthly)99.56 -
Down Market Capture (5 Years, Monthly)102.18 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Goodyear Tire & Rubber Co 0.3 0.2 0.2 11.6
Global Payments Inc.0.3 0.2 0.2 12.5
AGL Resources Inc.0.3 0.3 0.0 5.4
Ionis Pharmaceuticals Inc 0.3 0.3 0.0 53.2
Duke Realty Corp 0.3 0.3 0.0 12.5
JetBlue Airways Corp 0.3 0.3 0.0 -12.1
Signature Bank 0.3 0.3 0.0 11.5
Spirit Aerosystems Holdings Inc 0.3 0.3 0.0 3.6
Mid-America Apartment Communities Inc.0.3 0.3 0.0 12.0
Waste Connections Inc.0.3 0.3 0.0 16.2
% of Portfolio 2.8 2.5
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
19.2
80.8
20.7
79.3
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
Other
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
4.5
0.4
4.5
17.7
14.4
12.3
25.8
3.0
3.4
14.1
0.0
4.6
0.4
4.6
17.1
14.1
12.6
25.9
3.2
3.5
14.0
Manager Evaluation
Vanguard Small-Cap Index (NAESX) vs. CRSP U.S. Small Cap TR Index
As of December 31, 2015
25
Historical Performance
Buy and Hold Attribution
Risk and Return (Jan - 2011 - Dec - 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 Int. Growth (VWIGX)7.0 -0.7 -0.7 4.8 3.6 4.6 -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)3.2 -5.7 -5.7 1.5 1.1 2.9 -3.9 15.3 16.8 -13.7 11.2 41.4 -45.5 16.7 26.7 16.6
IM International Equity 3.3 -2.8 -2.8 3.1 2.3 3.2 -4.5 17.4 18.6 -14.9 12.9 36.4 -46.0 13.2 26.2 15.7
Vanguard Int. Growth (VWIGX) Rank 6 37 37 32 30 26 62 23 36 39 36 39 44 39 53 55
Vanguard Int. Growth (VWIGX)MSCI AC World ex USA (Net)
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 -3.0
0.0
3.0
6.0
9.0
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 Int. 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
-3.6
-1.6
-1.4
8.1
0.2
-1.2
-2.3
-4.1
-3.6
9.6
Allocation
(Total: 0.8)
0.0 0.3 0.6-0.3
0.1
0.0
0.0
0.4
0.0
0.0
0.0
0.2
0.0
0.1
Stock
(Total: 3.5)
0.0 2.0 4.0-2.0
0.0
0.1
0.4
1.8
0.1
0.4
-0.3
0.0
-0.2
1.3
Vanguard Int. Growth (VWIGX)
0.0 1.0 2.0 3.0 4.0-1.0-2.0
0.1
0.1
0.4
2.3
0.1
0.4
-0.3
0.1
-0.3
1.4
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of December 31, 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 0.4 0.8 1.2 1.6 2.0 2.4 2.8 3.2 3.6-0.4-0.8-1.2
Pacific
Other
North America
Middle East
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
0.0
0.0
1.2
0.0
0.0
0.2
-0.1
0.0
0.3
2.6
Performance Attribution
Average Active Weight
0.0 5.0 10.0 15.0-5.0-10.0-15.0
Pacific
Other
North America
Middle East
Frontier Markets
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
-6.0
0.4
-1.4
0.5
0.6
2.6
5.5
-1.0
-2.2
1.2
Allocation
(Total: 0.1)
0.0 0.3 0.6-0.3-0.6-0.9
-0.3
0.0
0.1
0.0
0.0
0.0
0.0
0.1
0.3
0.0
Stock
(Total: 4.2)
0.0 0.9 1.8 2.7 3.6-0.9-1.8
0.4
0.0
1.1
-0.1
0.0
0.2
-0.1
0.0
0.1
2.6
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
1 Quarter Ending December 31, 2015
27
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)64,445 51,667
Median Mkt. Cap ($M)20,321 6,742
Price/Earnings ratio 21.7 15.1
Price/Book ratio 3.3 2.3
5 Yr. EPS Growth Rate (%)10.7 7.5
Current Yield (%)1.6 3.1
Debt to Equity 1.1 2.1
Number of Stocks 160 1,858
Beta (5 Years, Monthly)1.06 1.00
Consistency (5 Years, Monthly)53.33 1.00
Sharpe Ratio (5 Years, Monthly)0.30 0.14
Information Ratio (5 Years, Monthly)0.74 -
Up Market Capture (5 Years, Monthly)108.58 -
Down Market Capture (5 Years, Monthly)95.01 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Tencent Holdings LTD 3.8 0.6 3.2 17.9
AIA Group Ltd 3.7 0.4 3.3 16.3
Amazon.com Inc 3.5 0.0 3.5 32.0
Baidu Inc 3.3 0.2 3.1 37.6
Industria De Diseno Textil Inditex SA 3.0 0.2 2.7 3.8
Alibaba Group Holding Ltd 2.7 0.2 2.5 37.8
Fiat Chrysler Automobiles NV 2.5 0.1 2.4 8.3
Softbank Group Corp 1.9 0.3 1.6 11.6
Smc Corp 1.8 0.1 1.7 21.4
Arm Holdings PLC 1.7 0.1 1.5 6.7
% of Portfolio 27.8 2.2
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
22.2
37.2
32.2
8.4
23.6
40.3
30.5
5.6
Sector Weights (%)
Vanguard International Growth (VWIGX)
MSCI AC World ex USA (Net)
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
0.0
3.2
4.9
18.1
11.1
9.5
22.0
2.2
6.2
22.7
3.5
5.2
6.4
8.3
11.2
9.6
27.1
6.0
10.8
12.2
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of December 31, 2015
28
Vanguard
International Growth
(VWIGX)
MSCI AC World ex
USA (Net)
Australia 0.7 5.0
Hong Kong 4.8 2.3
Japan 11.7 17.3
New Zealand 0.0 0.1
Singapore 0.2 0.9
Pacific 17.4 25.7
Austria 0.0 0.1
Belgium 0.0 1.1
Finland 0.5 0.7
France 5.0 7.2
Germany 7.6 6.7
Ireland 0.6 0.3
Italy 4.0 1.7
Netherlands 2.1 2.1
Portugal 0.2 0.1
Spain 5.0 2.3
EMU 24.9 22.3
Denmark 2.1 1.4
Norway 1.3 0.4
Sweden 5.5 2.1
Switzerland 5.3 6.9
United Kingdom 13.1 14.3
Europe ex EMU 27.4 25.1
Canada 1.8 5.9
United States 6.7 0.0
Israel 0.9 0.6
Middle East 0.9 0.6
Developed Markets 79.0 79.5
Vanguard
International Growth
(VWIGX)
MSCI AC World ex
USA (Net)
Brazil 0.6 1.1
Cayman Islands 0.0 0.0
Chile 0.0 0.2
Colombia 0.0 0.1
Mexico 0.3 0.9
Peru 0.1 0.1
Virgin Islands 0.0 0.0
EM Latin America 1.0 2.4
China 12.1 5.4
India 2.5 1.8
Indonesia 0.3 0.5
Korea 2.1 3.2
Malaysia 0.0 0.7
Philippines 0.0 0.3
Taiwan 1.0 2.5
Thailand 0.5 0.4
EM Asia 18.4 14.7
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 0.5 0.7
South Africa 0.2 1.4
Turkey 0.6 0.3
United Arab Emirates 0.0 0.2
EM Europe + Middle East + Africa 1.2 3.3
Emerging Markets 20.6 20.4
Frontier Markets 0.0 0.0
Cash 0.0 0.0
Other 0.3 0.0
Total 100.0 100.0
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of December 31, 2015
29
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Jan-2011 - Dec-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)-0.6 0.3 0.3 1.2 3.0 4.4 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 -0.6 0.4 0.4 1.4 3.2 4.5 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 -0.5 -0.5 -0.5 1.3 3.6 4.9 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 59 21 21 54 78 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.3
0.6
-0.3
-0.6Return (%)3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
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)3.0 2.9 3.0 -0.3 1.0 1.0 0.2 -1.5 1.4 20.0 29y
Vanguard Total Bond Market Index Fund Benchmark 3.2 2.8 3.2 0.0 1.0 1.1 0.0 N/A 1.3 0.0 29y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.8 -1.1 0.0 25.0 29y
Manager Evaluation
Vanguard Total Bond Market Index Fund (VBMFX) vs. Vanguard Total Bond Market Index Fund Benchmark
As of December 31, 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 5.8 5.8
Avg. Maturity 8.0 8.0
Avg. Quality AA+AA+
Yield To Maturity (%)2.6 2.6
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
AAAAAABBB68.7
4.9
11.8 14.6
69.7
4.0
11.7 14.6
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
24.4 21.7
37.4
4.0
12.5
0.8
23.6 21.5
37.9
4.0
12.2
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-USEmergingOtherCMBS0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
40.1
3.0
26.9
20.9
0.7
6.0
0.0 0.3 2.1
Manager Evaluation
Vanguard Total Bond Market Index (VBMFX) vs. Barclays U.S. Aggregate Float Adjusted
As of December 31, 2015
31
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Jan-2011 - Dec-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 1.9 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 1.2 1.2 1.1 1.4 2.8 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 -0.3 0.3 0.3 0.4 1.0 2.4 0.6 0.2 2.3 1.1 3.1 5.9 -0.6 5.0 4.1 1.6
Vanguard Retirement Savings Trust Rank 3 1 1 1 5 21 5 4 48 9 54 76 23 61 34 1
Vanguard Retirement Savings Trust Ryan 3 Yr GIC Master
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.5
1.0
1.5
-0.5
-1.0Return (%)3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Retirement Savings Trust 2.2 0.2 2.1 1.0 0.8 9.0 0.1 7.5 0.0 100.0 13y
Ryan 3 Yr GIC Master 1.4 0.3 1.4 0.0 1.0 5.2 0.0 N/A 0.0 0.0 13y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.0 0.0 N/A 0.3 -5.2 0.0 0.0 13y
Manager Evaluation
Vanguard Retirement Savings Trust vs. Ryan 3 Yr GIC Master
As of December 31, 2015
32
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics (Jan-2011 - Dec-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)3.4 0.4 0.4 9.1 8.5 6.5 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 3.5 0.6 0.6 9.4 8.7 6.6 9.9 18.2 11.6 4.1 13.5 19.7 -22.0 6.3 11.1 4.9
IM Mixed-Asset Target Alloc Growth 3.3 -1.2 -1.2 7.9 6.9 5.2 6.3 19.9 12.9 -1.9 12.7 24.9 -30.7 6.4 11.7 5.5
Vanguard Balanced Index Fund (VBINX) Rank 47 18 18 28 16 13 12 72 80 3 43 84 7 55 62 63
Vanguard Balanced Index Fund (VBINX)
Vanguard Balanced Index Fund Benchmark
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.4
0.8
-0.4
-0.8Return (%)3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Balanced Index Fund (VBINX)8.5 7.4 8.5 -0.1 1.0 1.1 0.1 -1.3 3.9 25.0 23y 1m
Vanguard Balanced Index Fund Benchmark 8.7 7.5 8.7 0.0 1.0 1.2 0.0 N/A 4.0 0.0 23y 1m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 7.5 -1.2 0.0 20.0 23y 1m
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) vs. Vanguard Balanced Index Fund Benchmark
As of December 31, 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)113,124 112,249
Median Mkt. Cap ($M)1,132 825
Price/Earnings ratio 19.3 19.4
Price/Book ratio 3.0 3.0
5 Yr. EPS Growth Rate (%)8.9 10.5
Current Yield (%)2.1 2.1
Debt to Equity 1.9 1.8
Number of Stocks 3,300 3,743
Beta (5 Years, Monthly)0.58 1.00
Consistency (5 Years, Monthly)38.33 1.00
Sharpe Ratio (5 Years, Monthly)1.19 1.01
Information Ratio (5 Years, Monthly)-0.72 -
Up Market Capture (5 Years, Monthly)62.66 -
Down Market Capture (5 Years, Monthly)54.92 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 2.8 2.6 0.2 -4.2
Microsoft Corp 1.8 1.9 -0.1 26.2
Exxon Mobil Corp 1.5 1.5 0.0 5.8
General Electric Co 1.4 1.4 0.1 24.4
Johnson & Johnson 1.3 1.3 0.0 10.8
Amazon.com Inc 1.2 1.2 0.0 32.0
Wells Fargo & Co 1.2 1.2 0.0 6.6
JPMorgan Chase & Co 1.1 1.1 0.0 9.1
Berkshire Hathaway Inc 1.1 0.7 0.3 1.3
Alphabet Inc 1.0 1.0 0.0 21.9
% of Portfolio 14.4 13.9
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
42.0
27.0
19.0
12.0
42.1
27.1
18.9
11.9
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
Other
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
3.1
2.2
3.1
20.0
10.8
14.9
18.1
6.0
8.8
13.1
0.0
3.1
2.2
3.1
19.8
10.6
14.9
18.2
6.0
8.8
13.2
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) - Equity Holdings vs. CRSP U.S. Total Market TR Index
As of December 31, 2015
34
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 5.8 5.8
Avg. Maturity 8.0 8.0
Avg. Quality AA+AA+
Yield To Maturity (%)2.6 2.6
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
AAAAAABBB68.7
4.9
11.8 14.6
69.3
4.0
11.9 14.8
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 Yrs24.4 21.7
37.4
4.0
12.5
22.5 23.3
31.2
2.6
20.4
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-USEmergingOtherCMBS0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
39.8
2.9
27.3
21.0
3.0 5.0
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 December 31, 2015
35
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)1.2 -0.2 -0.2 3.7 4.9 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 1.4 0.1 0.1 3.9 5.1 5.0 5.8 6.0 8.4 5.3 9.4 14.3 -11.3 8.1 6.5 3.4
IM Mixed-Asset Target Today 0.9 -1.5 -1.5 2.5 3.6 3.9 3.9 5.3 8.9 2.8 9.5 18.2 -15.7 4.9 7.3 3.3
Vanguard Target Retirement Income (VTINX) Rank 33 7 7 22 12 13 10 37 65 8 52 82 14 1 60 47
Vanguard Target Retirement Income (VTINX)
Vanguard Target Income Composite Index
0
25
50
75
100Return Percentile Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
4.6
4.8
5.0
5.2
5.4
Return (%)3.7 3.8
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)4.9 3.8 4.8 -0.2 1.0 1.3 0.1 -1.3 1.8 30.0 12y 2m
Vanguard Target Income Composite Index 5.1 3.8 5.0 0.0 1.0 1.3 0.0 N/A 1.7 0.0 12y 2m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.8 -1.3 0.0 25.0 12y 2m
Manager Evaluation
Vanguard Target Retirement Income (VTINX) vs. Vanguard Target Income Composite Index
As of December 31, 2015
36
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)1.4 -0.2 -0.2 4.9 5.6 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 1.6 0.0 0.0 5.1 5.7 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 1.7 -1.2 -1.2 4.3 4.9 3.8 4.1 8.7 9.8 0.8 10.8 23.3 -26.0 5.9 9.4 4.3
Vanguard Target Retirement 2010 (VTENX) Rank 71 8 8 28 23 N/A 7 50 46 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
5.4
5.6
5.8
6.0
Return (%)5.3 5.4 5.5
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)5.6 5.4 5.6 -0.1 1.0 1.0 0.1 -0.9 3.0 30.0 9y 6m
Vanguard Target 2010 Composite Index 5.7 5.4 5.7 0.0 1.0 1.0 0.0 N/A 3.0 0.0 9y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.4 -1.0 0.0 30.0 9y 6m
Manager Evaluation
Vanguard Target Retirement 2010 (VTENX) vs. Vanguard Target 2010 Composite Index
As of December 31, 2015
37
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)2.1 -0.5 -0.5 6.2 6.3 5.4 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 2.4 -0.2 -0.2 6.5 6.4 5.4 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 1.9 -1.3 -1.3 4.6 5.1 4.2 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 34 14 14 10 12 8 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
6.0
6.2
6.4
6.6
Return (%)6.9 7.0
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)6.3 6.9 6.3 -0.1 1.0 0.9 0.2 -0.7 4.2 25.0 12y 2m
Vanguard Target 2015 Composite Index 6.4 7.0 6.5 0.0 1.0 0.9 0.0 N/A 4.2 0.0 12y 2m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 7.0 -0.9 0.0 30.0 12y 2m
Manager Evaluation
Vanguard Target Retirement 2015 (VTXVX) vs. Vanguard Target 2015 Composite Index
As of December 31, 2015
38
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)2.7 -0.7 -0.7 7.2 6.9 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 3.0 -0.4 -0.4 7.5 7.1 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 2.1 -1.5 -1.5 4.9 5.1 4.1 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 21 23 23 5 8 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
6.3
6.6
6.9
7.2
7.5
7.8
Return (%)8.1 8.2
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)6.9 8.1 7.0 -0.3 1.0 0.9 0.2 -1.4 5.1 20.0 9y 6m
Vanguard Target 2020 Composite Index 7.1 8.1 7.2 0.0 1.0 0.9 0.0 N/A 5.0 0.0 9y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.1 -0.9 0.0 30.0 9y 6m
Manager Evaluation
Vanguard Target Retirement 2020 (VTWNX) vs. Vanguard Target 2020 Composite Index
As of December 31, 2015
39
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)3.1 -0.8 -0.8 7.9 7.2 5.5 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 3.4 -0.6 -0.6 8.2 7.5 5.7 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 2.6 -1.4 -1.4 6.3 6.2 4.7 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 31 24 24 10 16 11 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
6.6
6.9
7.2
7.5
7.8
8.1
Return (%)9.1 9.2
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)7.2 9.2 7.4 -0.3 1.0 0.8 0.2 -1.2 5.8 30.0 12y 2m
Vanguard Target 2025 Composite Index 7.5 9.2 7.7 0.0 1.0 0.8 0.0 N/A 5.8 0.0 12y 2m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.2 -0.8 0.0 25.0 12y 2m
Manager Evaluation
Vanguard Target Retirement 2025 (VTTVX) vs. Vanguard Target 2025 Composite Index
As of December 31, 2015
40
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)3.5 -1.0 -1.0 8.5 7.6 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 3.8 -0.8 -0.8 8.8 7.9 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 3.1 -1.6 -1.6 7.0 6.2 4.3 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 28 30 30 11 13 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
7.2
7.5
7.8
8.1
8.4
Return (%)10.1 10.2 10.3
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)7.6 10.2 7.9 -0.3 1.0 0.8 0.2 -1.1 6.6 35.0 9y 6m
Vanguard Target 2030 Composite Index 7.9 10.2 8.1 0.0 1.0 0.8 0.0 N/A 6.5 0.0 9y 6m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.2 -0.8 0.0 25.0 9y 6m
Manager Evaluation
Vanguard Target Retirement 2030 (VTHRX) vs. Vanguard Target 2030 Composite Index
As of December 31, 2015
41
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)3.9 -1.3 -1.3 9.2 7.9 5.8 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 4.3 -1.0 -1.0 9.5 8.2 5.9 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 3.5 -1.7 -1.7 7.8 6.9 4.8 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 34 38 38 14 19 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
7.5
7.8
8.1
8.4
8.7
Return (%)11.2 11.3 11.4
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)7.9 11.3 8.3 -0.3 1.0 0.7 0.3 -1.0 7.5 35.0 12y 2m
Vanguard Target 2035 Composite Index 8.2 11.3 8.6 0.0 1.0 0.8 0.0 N/A 7.3 0.0 12y 2m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 11.3 -0.8 0.0 20.0 12y 2m
Manager Evaluation
Vanguard Target Retirement 2035 (VTTHX) vs. Vanguard Target 2035 Composite Index
As of December 31, 2015
42
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)4.3 -1.6 -1.6 9.5 8.1 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 4.7 -1.2 -1.2 9.9 8.5 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 3.8 -1.7 -1.7 7.9 6.7 4.6 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 34 44 44 15 13 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
7.6
8.0
8.4
8.8
9.2
Return (%)11.7 11.8 11.9
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)8.1 11.8 8.5 -0.3 1.0 0.7 0.3 -1.1 7.8 35.0 9y 6m
Vanguard Target 2040 Composite Index 8.5 11.7 8.8 0.0 1.0 0.8 0.0 N/A 7.6 0.0 9y 6m
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 9y 6m
Manager Evaluation
Vanguard Target Retirement 2040 (VFORX) vs. Vanguard Target 2040 Composite Index
As of December 31, 2015
43
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)4.3 -1.6 -1.6 9.5 8.1 5.9 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 4.7 -1.3 -1.3 9.9 8.4 6.1 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 4.1 -1.8 -1.8 8.3 7.1 5.4 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 38 44 44 17 21 28 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
7.6
8.0
8.4
8.8
9.2
Return (%)11.7 11.8
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)8.1 11.8 8.5 -0.3 1.0 0.7 0.3 -1.1 7.8 35.0 12y 2m
Vanguard Target 2045 Composite Index 8.4 11.7 8.8 0.0 1.0 0.8 0.0 N/A 7.7 0.0 12y 2m
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 12y 2m
Manager Evaluation
Vanguard Target Retirement 2045 (VTIVX) vs. Vanguard Target 2045 Composite Index
As of December 31, 2015
44
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)4.3 -1.6 -1.6 9.5 8.1 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 4.7 -1.3 -1.3 9.9 8.4 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 4.0 -1.8 -1.8 8.3 7.1 4.7 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 41 46 46 19 20 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
7.6
8.0
8.4
8.8
9.2
Return (%)11.7 11.8
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)8.1 11.8 8.5 -0.3 1.0 0.7 0.3 -1.1 7.8 35.0 9y 6m
Vanguard Target 2050 Composite Index 8.4 11.7 8.8 0.0 1.0 0.8 0.0 N/A 7.7 0.0 9y 6m
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 9y 6m
Manager Evaluation
Vanguard Target Retirement 2050 (VFIFX) vs. Vanguard Target 2050 Composite Index
As of December 31, 2015
45
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Jan-2011 - Dec-2015)
Historical Statistics (Jan-2011 - Dec-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)4.3 -1.7 -1.7 9.4 8.2 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 4.7 -1.3 -1.3 9.9 8.4 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+4.2 -1.6 -1.6 8.6 7.5 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 46 57 57 28 28 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
7.8
8.1
8.4
8.7
9.0
Return (%)11.7 11.8
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)8.2 11.8 8.6 -0.3 1.0 0.7 0.3 -1.1 7.7 30.0 5y 3m
Vanguard Target 2055 Composite Index 8.4 11.7 8.8 0.0 1.0 0.8 0.0 N/A 7.7 0.0 5y 3m
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 5y 3m
Manager Evaluation
Vanguard Target Retirement 2055 (VFFVX) vs. Vanguard Target 2055 Composite Index
As of December 31, 2015
46
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2012 - Dec-2015)
Historical Statistics (Feb-2012 - Dec-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)4.3 -1.7 -1.7 9.4 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 4.7 -1.3 -1.3 9.9 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+4.2 -1.6 -1.6 8.6 7.5 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 42 53 53 27 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 Rank3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 12/15
8.1
8.4
8.7
9.0
9.3
Return (%)8.3 8.4 8.5 8.6
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 11m
Vanguard Target 2060 Composite Index 11.3 9.3 11.2 0.0 1.0 1.2 0.0 N/A 4.5 0.0 3y 11m
90 Day U.S. Treasury Bill 0.0 0.0 0.0 0.1 0.0 N/A 9.3 -1.2 0.0 18.8 3y 11m
Manager Evaluation
Vanguard Target Retirement 2060 (VTTSX) vs. Vanguard Target 2060 Composite Index
As of December 31, 2015
47
Manager Evaluation
Ta rget-Date Funds Asset Allocation
As of December 31, 2015
U.S.Equi ty 17.8%20.4%30.0%35.7%40.2%44.7%49.3%53.6%54.1%54.3%54.0%53.9%
Va nguard Total St ock M arke t Index Fu nd 17.8%20.4%30.0%35.7%40.2%44.7%49.3%53.6%54.1%54.3%54.0%53.9%
Non-U.S . Equ ity 12.0%13.5%19.1%23.1%26.4%29.3%32.4%35.3%35.8%35.6%35.9%36.0%
Va nguard Total In ternational Stock In dex F und 12.0%13.5%19.1%23.1%26.4%29.3%32.4%35.3%35.8%35.6%35.9%36.0%
Fi xe d In come 70.2%66.1%50.9%41.2%33.4%26.0%18.3%11.1%10.1%10.1%10.1%10.1%
Va nguard Total Bo nd Marke t II In dex F und 37.3%35.6%29.3%28.2%23.4%18.3%12.9%7.8%7.1%7.1%7.1%7.1%
Va nguard Total In ternational Bo nd Index Fu nd 16.0%15.1%12.9%12.1%10.0%7.7%5.4%3.3%3.0%3.0%3.0%3.0%
Va nguard Infla tion-Pro tected Securit ie s Fund 16.9%15.4%8.7%0.9%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
Capital Markets Rev iew
Economy
-4
-3
-2
-1
0
1
2
3
4
Dec-1995Dec-1996Dec-1997Dec-1998Dec-1999Dec-2000Dec-2001Dec-2002Dec-2003Dec-2004Dec-2005Dec-2006Dec-2007Dec-2008Dec-2009Dec-2010Dec-2011Dec-2012Dec-2013Dec-2014Million Barrels Per DayOil Supply -De mand Balance
So urce:Blo omberg,IEA
Levels > 0 supply outpaces dema nd
80
100
120
140
160
180
200
220
240
80
85
90
95
100
105
110
115
120
Dec-2014Jan-2015Feb-2015Mar-2015Mar-2015Apr-2015May-2015May-2015Jun-2015Jul-2015Jul-2015Aug-2015Sep-2015Sep-2015Oct-2015Nov-2015Dec-2015Dec-201512/31/14 =100 (Shanghai)12/31/14 =100 (S&P, TSX)Equity Inde x Levels
S&P 500 TSX Sha nghai
So urce:Blo omberg
Too Much Oil Now a Problem as World Growth Slows
•Oil producers worldwide maintained or grew production amidst falling crude prices.
Saudi Arabia’s attempt to lower oil prices by increasing supply went well beyond
expectations.As oil prices fell,OPEC producers increased production to maintain
cashflow,causing oil supply to outpace demand for a second consecutive year.
With global growth weakening and oil demand falling below forecasts,negative
effects rippled through industries that benefited from the once resilient oil
production industry.
•The Federal Reserve raised interest rates 25 bps in December,placing its policy
trajectory at odds with other central banks.China’s central bank lowered its
lending rate to a record low;the European Central Bank stood poised to enact
further stimulus;the Bank of England stated that rate increases were not
necessary as economic uncertainty spread.The disparity between rising U.S.
rates and the rest of the world sent major currencies lower versus the dollar and
furthered oil’s decline,as it is traded in USD.
•China’s policy to force stock purchases and restrict selling temporarily boosted its
stock market after a summer rout.Investors remained leery of government
directives to dictate asset prices,which detach asset prices from actual values and
eventually lead to rapid selloffs if growth does not rebound to levels supporting
stock valuations.Investors remain cautious as growth prospects for 2016 continue
to look weaker.Dec-1995Dec-1996Dec-1997Dec-1998Dec-1999Dec-2000Dec-2001Dec-2002Dec-2003Dec-2004Dec-2005Dec-2006Dec-2007Dec-2008Dec-2009Dec-2010Dec-2011Dec-2012Dec-2013Dec-20140
1
2
3
4
5
6
7
8
Dec-2007Jun-2008Dec-2008Jun-2009Dec-2009Jun-2010Dec-2010Jun-2011Dec-2011Jun-2012Dec-2012Jun-2013Dec-2013Jun-2014Dec-2014Jun-2015Dec-2015PercentCe ntral Bank Inte re st Rate s
CHINA EUROZONE
JAP AN CANADA
U.S.
Source:Blo omberg
50
5.0%
7.0%
4.7%3.6%2.5%
-5.1%
9.0%
3.5%0.7%
-2.7%-5.2%-8.2%
-2.4%
1.4%
-0.8%-1.4%-2.8%
-24.2%
3.0%
-9.8%
-14.9%
-31.0%
-14.7%
-20.0%
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
4Q 15
20 15
4th Quarter and 2015 Sector Returns
Capital Markets Rev iew
Equities
4th Quarter and 2015 World Equity Returns (USD)
Developed Markets Emerging Markets
-8.4%
6.9%
6.0%
-2.5%
3.4%
6.6%
1.4%
-1.5%
10.1%
-4.8%
-21.1%
9.7%
9.2%
9.2%
8.0%
7.6%
7.6%
7.0%
6.0%
5.8%
1.1%
0.2%
-30.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10 .0%15 .0%
Materials
Healt h Care
Info Tech
Indus trials
Telecom
Cons.Staples
S&P 500
Financial s
Cons.Disc .
Utilities
Ene rgy
4Q15
2015
2015 Value vs. Growth Returns
-30.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10 .0%15 .0%
Source: Investment Metrics PARIS
Stocks Post a Strong Fourth Quarter to End the Year Flat
•The S&P finished the year strong,posting a fourth quarter return of 7.0%to end the
year at 1.4%.While the market retreated slightly in the latter two months of the
quarter,strong economic data (especially in the labor market)helped push markets
to near all-time highs.Overall,in the fourth quarter nearly all sectors posted sizable
gains,except utilities and energy,where rising rates and low oil prices dampened
gains.Energy was the worst performing sector for the year,down -21.1%,followed
by materials,which was down -8.4%.
•Non-U.S.equities finished the year mixed.In general,the developed markets did
well during the fourth quarter.European indices saw modest gains as growth finally
showed signs of picking up amidst heavy stimulus measures from the ECB.The
MSCI Pacific Index,benefiting from the BOJ’s strong monetary easing,returned 9%
for the quarter.Most emerging markets declined during the fourth quarter and year,
with both local market returns and currency depreciation contributing to losses for
U.S.investors.
•2015 saw a large divergence between growth and value stocks.U.S.large growth
stocks performed especially well versus other market segments.During periods of
weak economic growth,the growth style tends to outperform the value style.
Growth stocks also performed well within non-U.S.markets.
-1.4%
-7.5%
5.7%
-3.8%
-10 .0%
-5.0%
0.0%
5.0%
10 .0%
Russell 200 0 Gr owth Russell 200 0 Value Russell 100 0 Gr ow th Russell 100 0 Value
51
25 0
45 0
65 0
85 0
10 50
12 50
Option-Adjusted Spread (OAS)Barclays US High Yield (OAS : 6 60 )
Barclays US High Yield ex En er gy (OAS: 583)
Barclays US High Yield En er gy (OAS: 1296)
Trailing Ten-Year Credit Spreads
Source: Barclays
Source: Barclays
Duration-adjusted Excess Returns to Treasuries (bps)
Capital Markets Rev iew
Fixed Income
Best Period Second Best Period Wors t Period Second W orst Period
2009 2010 2011 2012 2013 2014 2015 4Q15
Ag gre ga te 746 171 -114 226 93 10 -53 32
Ag ency 288 77 -25 166 1 10 -133 -4
MBS 495 225 -106 91 98 40 -5 61
ABS 2496 169 52 246 24 53 44 -7
CM BS 2960 1501 47 841 97 108 -28 -28
Credit 1990 192 -322 693 226 -18 -169 50
Hi gh Yield 5955 974 -240 1394 923 -112 -577 -119
Em ergi ng 3797 508 -537 1503 -32 -120 3 200
Source: U.S. Dept of The Treasury
The Long Wait is Over, Fed Lift-Off Ensues
•Fixed income markets were turbulent during the fourth quarter as the Fed
embarked on its first rate increase since 2006,while the slowing Chinese
economy and ongoing commodity selloff pressured spread sectors.Rates
increased across the curve,particularly in the six-month to five-year segment,
while long rates rose moderately.
•The Barclays Aggregate Index returned -0.6%for the quarter and +0.5%for the
year.Investment grade corporate spreads tightened 4 bps during Q4,although
rising interest rates offset spread tightening,leading to negative total returns for
the sector (-0.6%).Within investment grade credit,financials outpaced
industrials and utilities for both the quarter and the year.High yield (-2.1%)
continued to face headwinds driven largely by commodity-related sectors such
as metals/mining (-9.5%)and energy (-12.9%),where spreads increased
nearly 300 bps during the quarter.
•MBS (-0.1%)outperformed credit during the quarter,buoyed by strong investor
demand,slowing prepayment speeds,and the Fed’s commitment to continue
its reinvestment program until the normalization of the federal funds rate is well
under way.
•Locally denominated emerging debt ended the quarter flat,although U.S.Dollar
strength drove significant negative results for the year (-14.9%).Local
sovereign bond indices for Turkey,South Africa,Columbia,and Brazil each
ended the year down more than 20%.
U.S. Treasury Yield Curve Change
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%Change in YieldMaturity (Year s)
4Q15
1 Yr E nd in g 4 Q15
52
Capital Markets Review
Hedge Funds
HFRI Index Performance –Fourth Quarter and 2015 Hedge Fund Strategy Dispersion
Macroeconomic Volatility Weighs on Hedge Fund Returns
Source: HFR Inc.
0.5%
-1.8%
-0.3%
-1.0%
3.3%
-1.2%
-3.3%
4.4%
-0.8%
-8.0%
1.9%
-0.6%
5.1%
0.6%
0.8%
2.1%
0.0%
-0.1%
1.3%
1.9%
-3.2%
0.2%
-10%-8%-6%-4%-2%0%2%4%6%8%
BC Aggrega te Bo nd Inde x
MS CI All-Co untry Wo rld I nde x
Fu nd o f Fu nds
Hed ge F und Comp os ite
Me rger Arbit rage
Glob al Mac ro
Ev ent Dri ve n
Equity Ma rket Neut ral
Equity Hedg e
Distresse d Sec urities
Convert ibl e Arbi trag e Q4
2015
2009 2010 2011 2012 2013 2014 2015
Di str essed Di str essed Multi -Strategy Re lati ve Value Long/Shor t Ma cro Multi-Strategy
28.1%12.1%4.2%10.0%14.6%6.4%0.6%
Re lati ve Value Event Driven Re lati ve Value Distressed Distressed Re lati ve Value Fund of Funds
25.8%11.9%0.1%10.3%13.6%4.5%-0.3%
Event Driven Re lati ve Value Di str essed Multi -Strategy Event Driven Multi-Strategy Re lative Value
25.0%11.4%-1.8%9.2%12.5%3.6%-0.3%
Long/Shor t Long/Shor t Event Driven Event Driven Multi -Strategy Fund of Funds Long/Shor t
24.6%10.5%-3.3%8.5%11.2%3.2%-0.8%
Multi -Strate gy Multi -Strategy Macro Long/Shor t Fund of Funds Long/Shor t Ma cro
24.6%9.3%-4.2%7.4%9.0%2.3%-1.2%
Fund of Funds Macro Fund of Funds Fund of Funds Re lati ve Value Event Driven Event Driven
11.5%8.1%-5.7%5.3%7.2%1.1%-3.3%
Macro Fund of Funds Long/Shor t Ma cro Ma cro Distressed Distr essed
4.3%5.7%-8.4%-0.2%-0.3%-1.1%-8.0%
-$100,000
$300,000
$700,000
$1,100,000
$1,500,000
$1,900,000
$2,300,000
$2,700,000
$3,100,000
Assets ($MM)Net Asset Flow Estimated Assets
Source: HFR Inc.
Macroeconomic Volatility Weighs on Hedge Fund Returns
•Hedge fund manager performance was positive across all strategies during the
fourth quarter,with the exception of event driven (-0.1%)and distressed (-3.2%).
Hedge funds (+0.8%)provided mixed results overall compared to broad market
indices,as they underperformed the MSCI All-Country World Index (+5.1%),but
outperformed the Barclays Capital Aggregate Bond Index (-0.6%).During 2015,
broad hedge fund indices provided mostly negative results (see above).
•Equity market neutral and merger arbitrage were among the top performing
strategies during the quarter,returning +1.3%and +1.9%,respectively.Both
strategies were also top performers in 2015.Equity market neutral managers
benefited from low net exposure and stock dispersion across sectors and
geographies.Merger arbitrage managers provided positive results due in part to
continued deal activity during the quarter.2015 was a record year for mergers and
acquisitions with $4.9 trillion in transactions announced,breaking the previous
record of $4.3 trillion in 2007.
•Distressed and event driven managers were the worst performing strategy during
the quarter and 2015.Distressed managers returned -8.0%in 2015.Many
managers suffered as a result of unfavorable positioning in the energy sector.
Event driven managers saw a wide dispersion in returns in 2015.
•Hedge fund assets increased by $23 billion during the fourth quarter.The rise in
assets can be attributed wholly to performance as investors redeemed
approximately $1.5 billion during the quarter,according to HFR Inc.
Hedge Fund Assets and Flows
53
5.8%5.5%5.3%5.1%4.8%
0%
5%
10 %
20 11 Q3 20 12 Q3 20 13 Q3 20 14 Q3 20 15 Q34 Qtr vs Avg Value Wtd Cap RateNCREIF 3 M on.1 Y r.3 Yrs.5 Yrs.10 Yrs.
NCREIF 3.1%13.5%11.9%12.5%8.0%
Ap artm ents 2.9%12.0%10.9%12.6%7.6%
In dus trials 3.7%15.6%13.2%13.2%7.9%
Office 3.0%13.1%11.1%11.7%7.8%
Retail 3.1%14.4%13.6%13.6%9.0%
Eas t 2.6%11.5%9.9%11.2%7.4%
Mi dwes t 2.9%12.8%11.4%11.5%7.1%
South 3.1%14.2%13.2%13.0%8.3%
West 3.6%15.2%13.2%13.9%8.7%
Capital Markets Review
Real Assets
Real Estate Returns as of Third Quarter 2015
Real Estate Performs Well; Commodities Decline Dramatically
Source: NCREIF
NCREIF Property Index (NPI) –Implied Appraisal Cap Rates Touch
a New Low
Source: NCREIF
-41.5%
-16.9%
-24.5%
-11.1%
-18.3%
-45%
-40%
-35%
-30%
-25%
-20%
-15%
-10%
-5%
0%
Ene rgy Agri cu lture
In dus tria l
Me tal s
Precio us
Me tal s Li ve sto ck
Real Estate Performs Well; Commodities Decline Dramatically
•Private real estate returned 3.1%during the third quarter and 13.5%during the
trailing 12 months.By sector,industrial properties experienced the best returns
for the quarter and year.By region,the West was once again the top performing
region for the quarter,year,and longer term.For the trailing one-year period,
income and appreciation accounted for 5%and 8%of the index return,
respectively.Low interest rates and strong property fundamentals drove cap
rates down to 4.8%from 4.9%the prior quarter.
•Despite a rise in U.S.interest rates in December,U.S.REITs performed well
during the fourth quarter,with the FTSE All Equity REIT Index returning 7.7%,
bringing the year to date return to 2.8%.At year end,the Index yielded 3.8%.
U.S.REITS traded at approximately a 3%discount to NAV at December 31,
2015.The FTSE Global REIT Index returned 4.9%during the fourth quarter and
-0.4%for the year.The yield of the Global Index was 3.6%,slightly less than the
yield to U.S.REITs.
•Commodities experienced one of their worst performing years in 2015,with 22 of
24 commodities having negative returns.Energy related commodities performed
the worst,down 41.5%,while precious metals performed best,down 11.1%.
Demand concerns,particularly relating to China and a stronger U.S.dollar,
affected energy and industrial metals prices.Oversupply conditions weighed
heavily on energy prices.S&P reports that on December 22,2015,the S&P
GSCI Total Return recorded a new maximum drawdown of -80.5%from its peak
on July 3,2008.On that day,the Index reached its lowest point in more than 16
years.
S&P GSCI Returns –Al l Five Commodity Sectors Post Double
Digit Declines in 2015
Source: S&P GSCI
Source: NCREIF
54
$0
$1 00
$2 00
$3 00
$4 00
$5 00
$6 00
$7 00
$8 00
0
50 0
1,000
1,500
2,000
2,500
3,000
3,500
4,000
Aggregate Exit Value ($,Billions)# of PE-Backed Deals# o f P E-Backed Exits # o f P E-Bac ked Deals
Agg re gat e Exit Valu e Aggregat e Deal Value
Private-Equity Backed Deal & Exit ActivityInvestment Horizon Pooled IRR (As of 9/30/15)
Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years
Early Stage VC 0.1%30.6%23.2%19.6%11.3%52.7%
Late/Expansion Stage VC -0.6%11.9%16.7%14.8%12.8%10.0%
Multi-Stage VC -0.9%18.9%19.6%16.1%10.3%11.5%
Al l Venture Capital -0.3%25.1%21.4%18.0%11.1%25.5%
Small Buyouts 0.3%7.1%11.0%13.6%17.3%14.5%
Medium Buyouts -0.4%7.1%10.6%11.0%13.4%15.1%
Large Buyouts -0.9%5.0%12.3%13.0%13.1%15.5%
Mega Buyouts -0.6%10.5%15.9%14.8%10.3%11.0%
Al l Buyouts -0.6%8.4%13.9%13.7%11.8%13.0%
Mezzanine/Sub Debt 1.0%6.8%10.5%11.4%10.3%9.8%
Distressed -1.8%2.0%10.8%10.8%9.8%10.9%
Al l Private Equity -1.5%7.3%13.5%13.2%11.2%13.7%
MSCI AC World Index -9.3%-5.8%8.4%7.9%5.5%5.8%
Capital Markets Rev iew
Pr ivate Equity
Agg re gat e Exit Valu e Aggregat e Deal 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 Buyout
Real Assets Secondary Funds Distressed/SS
Fundraising & Exit Activity Slowed in 2015, Total Value of Deals Up
•The pooled IRR for private equity funds significantly outperformed the MSCI All
Country World Index during the third quarter and trailing one-year period
through 3Q15,as public equity markets experienced substantial declines
globally.For the quarter,most fund types experienced modest negative returns.
There was a narrow range of returns by fund type as mezzanine/subordinated
debt was the top performing segment (pooled IRR of 1.0%)while
turnaround/distressed funds (pooled IRR of -1.8%)were the worst performers.
•Private equity fundraising picked up during the fourth quarter of 2015 as
investor concerns were alleviated by a rebound in public equity markets.
However,total fundraising for 2015 dropped off considerably from the robust
levels seen in 2014.In total,private equity funds raised $89bn in 4Q15,14%
more than the prior quarter.For the 2015 calendar year,private equity funds
raised $359bn,representing a 13%decline from 2014.
•Private equity exit activity slowed in 2015 while private equity-backed deal
activity increased based on aggregate deal value.Deal activity in 2015 was
dominated by large deals,or those representing more than $1 billion,as those
valuations tend to be more closely tied to public equity markets.The aggregate
value of exits totaled $416bn in 2015,down from $460bn the prior year,while
deal activity reached $409bn in 2015,up from $348bn the prior year.
Source: ThomsonOne/Cambridge Associates database, January 2016.
Note: Data is continuously updated and is therefore subject to change.
MSCI AC World Index -9.3%-5.8%8.4%7.9%5.5%5.8%
Source: Thomson Reuters, ThomsonOne database, January 2016.
Source: Preqin, 2016 Private Equity-Backed Buyout Deals and Exits
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 6.4 0.7 0.7 6.5 14.7 12.1 15.0 7.4
S&P 500 7.0 1.4 1.4 7.4 15.1 12.6 14.8 7.3
Russell 1000 Index 6.5 0.9 0.9 6.9 15.0 12.4 15.1 7.4
Russell 1000 Growth Index 7.3 5.7 5.7 9.3 16.8 13.5 17.1 8.5
Russell 1000 Value Index 5.6 -3.8 -3.8 4.5 13.1 11.3 13.0 6.2
Russell Midcap Index 3.6 -2.4 -2.4 5.1 14.2 11.4 17.2 8.0
Russell Midcap Growth Index 4.1 -0.2 -0.2 5.7 14.9 11.5 18.0 8.2
Russell Midcap Value Index 3.1 -4.8 -4.8 4.5 13.4 11.3 16.2 7.6
Russell 2000 Index 3.6 -4.4 -4.4 0.1 11.7 9.2 14.0 6.8
Russell 2000 Growth Index 4.3 -1.4 -1.4 2.1 14.3 10.7 16.3 8.0
Russell 2000 Value Index 2.9 -7.5 -7.5 -1.8 9.1 7.7 11.7 5.6
International Equity Indices
MSCI EAFE 4.7 -0.8 -0.8 -2.9 5.0 3.6 7.8 3.0
MSCI EAFE Growth Index 6.7 4.1 4.1 -0.3 6.8 4.6 8.9 4.0
MSCI EAFE Value Index 2.7 -5.7 -5.7 -5.5 3.1 2.5 6.7 2.0
MSCI EAFE Small Cap 6.8 9.6 9.6 2.1 10.4 6.3 13.5 4.6
MSCI AC World Index 5.0 -2.4 -2.4 0.8 7.7 6.1 10.7 4.8
MSCI AC World ex US 3.2 -5.7 -5.7 -4.8 1.5 1.1 7.5 2.9
MSCI Emerging Markets Index 0.7 -14.9 -14.9 -8.8 -6.8 -4.8 7.5 3.6
Fixed Income Indices
Barclays U.S. Aggregate -0.6 0.5 0.5 3.2 1.4 3.2 4.1 4.5
Barcap Intermediate U.S. Government/Credit -0.7 1.1 1.1 2.1 1.1 2.6 3.4 4.0
Barclays U.S. Long Government/Credit -0.9 -3.3 -3.3 7.4 1.7 7.0 6.7 6.4
Barclays US Corp: High Yield -2.1 -4.5 -4.5 -1.1 1.7 5.0 12.8 7.0
BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.1 0.1 0.0 0.1 0.1 0.1 1.2
Barclays U.S. TIPS -0.6 -1.4 -1.4 1.1 -2.3 2.5 4.3 3.9
Citigroup Non-U.S. World Government Bond -1.4 -5.5 -5.5 -4.1 -4.3 -1.3 0.4 3.0
JPM EMBI Global Diversified (external currency)1.3 1.2 1.2 4.3 1.0 5.4 9.5 6.9
JPM GBI-EM Global Diversified (local currency)0.0 -14.9 -14.9 -10.4 -10.0 -3.5 2.4 4.3
Real Asset Indices
Bloomberg Commodity Index Total Return -10.5 -24.7 -24.7 -20.9 -17.3 -13.5 -5.5 -6.4
Dow Jones Wilshire REIT 7.5 4.2 4.2 17.2 11.8 12.4 16.8 7.3
Capital Markets Review
Index Returns
As of December 31, 2015
(Percentage Return)
_________________________
Returns for periods greater than one year are annualized.
56