HomeMy Public PortalAbout2011 3rd Quarter ReportDefined Contribution PlanThird Quarter 2011 Plan Executive SummaryNovember 8, 2011Kristen Colvin, CAIA, ConsultantKristin Finney-Cooke, CAIA, Senior ConsultantKristen Jackson, Senior Analyst
44%47%9%3 Month Change: Up $31 ThousandTarget Date FundsCore OptionsLifestyle FundsExecutive SummaryCAPITAL MARKETS PERFORMANCE: QUARTERBONDINDICATORDOMESTIC EQUITYINDICATORFOREIGNEQUITY INDICATOR2010 TDF INDICATOR2040 TDF INDICATOR3.8%BarCap Agg Index-13.9%S&P 500 Index-19.9%MSCIACWI ex US Index-3.9%S&P TDF 2010 Index-8.2%S&P TDF 2040 Index•Global stock markets plummeted during the quarter with Europe in crisis and slowing economic indicators•We are cautioning clients against an emotional response to market volatility, and advising patience with active managers•All stable value funds remain on “watch” at NEPC•Changes were announced to the Vanguard LifeStrategy Funds during the quarter; NEPC has issued a “hold” recommendationPLAN PERFORMANCE: QUARTERRANGE OF CORE FUND RETURNSRANGE OF TARGET DATE FUND RETURNSASSET WEIGHTED PLAN RETURN-22.3% to 4.0% -14.9% to -2.6% -11.0%Vanguard Int’l GrowthVanguard Total Bond Mkt2050 IncomeCOMMENTSPLAN ASSETS: $127 Thousand1
Market Environment2
Q3 2011: Capital Markets SummarySources: Lehman Live, Bloomberg, Wilshire* 35% LC, 10% SC, 12% Int'l, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITSQtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.World Equity BenchmarksMSCI WorldWorld-16.6% -12.2% -4.3% -0.1% -2.2%3.7%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Domestic Equity BenchmarksS&P 500Large Core-13.9% -8.7%1.1% 1.2%-1.2%2.8%Russell 1000Large Core-14.7% -9.2%0.9% 1.6%-0.9%3.3%Russell 1000 Growth Large Growth-13.1% -7.2%3.8% 4.7% 1.6% 3.0%Russell 1000 ValueLarge Value-16.2% -11.2% -1.9% -1.5% -3.5%3.4%S&P Mid Cap 400Mid Core-19.9% -13.0% -1.3%4.1% 2.2% 7.5%Russell 2000Small Core-21.9% -17.0% -3.5% -0.4% -1.0%6.1%Russell 2000 Growth Small Growth-22.2% -15.6% -1.1%2.1% 1.0% 5.5%Russell 2000 ValueSmall Value-21.5% -18.5% -6.0% -2.8% -3.1%6.5%NAREIT All Composite REIT -14.6% -5.9%1.3%-1.1% -3.0%8.6%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.International Equity BenchmarksMSCI EAFEInt'l Developed-19.0% -15.0% -9.4% -1.1% -3.5%5.0%MSCI EMEEm. Mkt. Eqty. -22.6% -21.9% -16.1%6.3% 4.9% 16.1%MSCI ACWI ex USInternational-19.8% -16.8% -10.8%0.5%-1.6%6.8%S&P EPAC SmallCap Small Cap Int'l -19.8% -14.6% -5.9%3.7%-1.6%9.8%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Domestic Fixed Income BenchmarksBarclays Aggregate Core Bonds 3.8% 6.6% 5.3% 8.0% 6.5% 5.7%Barclays High Yield High Yield -6.1% -1.4%1.8% 13.8% 7.1% 8.8%Barclays 1-10 Muni.Municipal Bond 3.8% 8.4% 3.9% 8.1% 5.0% 5.1%Barclays 1-10 TIPSInflation6.5% 8.8% 6.0% 6.5% 6.4% 6.3%90 Day T-BillCash0.0% 0.1% 0.1% 0.2% 1.5% 1.9%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Global Fixed Income BenchmarksCitigroup World Govt BondGlobal Bonds 2.4%6.5%4.6%7.7%7.5%7.4%J.P. Morgan EMBI Plus Em. Mkt. Bonds-1.2%3.8% 1.4% 11.6% 7.9% 11.0%Qtr. Ytd1 Yr.3 Yr.5 Yr.10 Yr.Diversified BenchmarkBalanced Index *Diversified-10.0% -5.5%0.2% 3.4% 1.4% 5.4%3
SectorIndex2004200520062007200820092010QTR 1AprMayJunQTR 2JulyAugSepQTR 32011Muni Bonds BC Muni (unadj) 4.5% 3.5% 4.8% 3.4%-2.5%12.9% 2.4% 0.5% 1.8% 1.7% 0.4% 3.9% 1.0% 1.7% 1.0% 3.8% 8.4%Global FICitigroup WGBI 10.4%-6.9%6.1% 11.0% 10.9% 2.6% 5.2% 0.7% 3.2%-0.1%0.2% 3.3% 2.3% 2.1%-2.0%2.4% 6.5%Core FI BC Aggregate 4.3% 2.4% 4.3% 7.0% 5.2% 5.9% 6.5% 0.4% 1.3% 1.3%-0.3%2.3% 1.6% 1.5% 0.7% 3.8% 6.6%Emerging FI BC Emerging ($US) 11.9% 12.3% 10.0% 5.2%-14.8%34.2% 12.8% 1.6% 1.4% 1.3% 0.7% 3.4% 2.0%-0.3% -4.5% -2.9%1.9%High Yield BC HY 11.1% 2.7% 11.9% 1.9%-26.2%58.2% 15.1% 3.9% 1.6% 0.5%-1.0%1.1% 1.2%-4.0% -3.3% -6.1% -1.4%Balanced Diversified* 12.8% 6.4% 15.2% 5.9%-26.9%24.8% 14.4% 3.9% 2.9%-0.6% -1.3%1.0%-0.4% -4.1% -5.8% -10.0% -5.5%Large CapS&P 500 10.9% 4.9% 15.8% 5.5%-37.0%26.5% 15.1% 5.9% 3.0%-1.1% -1.7%0.1%-2.0% -5.4% -7.0% -13.9% -8.7%Commodities DJ UBS Commodity 9.2% 21.4% 2.1% 16.2%-35.7%18.9% 16.8% 4.4% 3.5%-5.1% -5.0% -6.7%3.0% 1.0%-14.7% -11.3% -13.6%Intl. Dev.EAFE (net) 20.3% 13.5% 26.3% 11.2%-43.4%31.8% 7.8% 3.4% 6.0%-3.0% -1.3%1.6%-1.6% -9.0% -9.5% -19.0% -15.0%Small Cap Russell 2000 18.3% 4.6% 18.4%-1.6% -33.8%27.2% 26.9% 7.9% 2.6%-1.9% -2.3% -1.6% -3.6% -8.7% -11.2% -21.9% -17.0%Intl. Emerging EM (net) 25.6% 34.0% 32.2% 39.4%-53.3%78.5% 18.9% 2.1% 3.1%-2.6% -1.5% -1.1% -0.4% -8.9% -14.6% -22.6% -21.9%LC Value R1000 Value 16.5% 7.1% 22.3%-0.2% -36.8%19.7% 15.5% 6.5% 2.7%-1.1% -2.1% -0.5% -3.3% -6.2% -7.6% -16.2% -11.2%LC Growth R1000 Growth 6.3% 5.3% 9.1% 11.8%-38.4%37.2% 16.7% 6.0% 3.4%-1.1% -1.4%0.8%-1.0% -5.3% -7.4% -13.1% -7.2%Large CapRussell 1000 11.4% 6.3% 15.5% 5.8%-37.6%28.4% 16.1% 6.2% 3.0%-1.1% -1.8%0.1%-2.2% -5.8% -7.5% -14.7% -9.2%SMid Cap R2500 18.3% 8.1% 16.2% 1.4%-36.8%34.4% 26.7% 8.7% 2.9%-1.2% -2.2% -0.6% -3.8% -8.2% -10.8% -21.2% -14.9%SC GrowthR2000 Growth 14.3% 4.1% 13.4% 7.1%-38.5%34.5% 29.1% 9.2% 3.6%-2.0% -2.1% -0.6% -3.9% -8.6% -11.5% -22.2% -15.6%SC Value R2000 Value 22.3% 4.7% 23.5%-9.8% -28.9%20.6% 24.5% 6.6% 1.6%-1.8% -2.5% -2.7% -3.3% -8.8% -10.9% -21.5% -18.5%PERFORMANCE THROUGH 9/30/2011Supplemental PerformanceInvestment Market Update: As of September 30, 2011 Sources: Lehman Live, Bloomberg, Wilshire* 35% LC, 10% SC, 12% Int'l, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITS4
Economic Environment5
U.S. Stock Market Performance6
Non – U.S. Stock Market Performance7
Fixed Income Performance8
Plan Reporting9
Due Diligence & RecommendationsInvestment OptionsPerformance (Recent Quarter)Changes/Announcements (Recent Quarter)NEPC Due Diligence Committee RecommendationsPlan RecommendationsVanguard Target Retirement Funds---No action recommendedVanguard LifeStrategy Funds-YesHoldConsider AlternativesVanguard Prime Money Market---No action recommendedVanguard Retirement Savings Trust--WatchAll stable value funds remain on “watch” at NEPCVanguard Total Bond Market IndexTop Quartile--No action recommendedVanguard Balanced IndexTop Quartile--No action recommendedVanguard 500 IndexTop Quartile--No action recommendedVanguard Windsor II---No action recommendedVanguard U.S. Growth---No action recommendedVanguard Mid Cap Index---No action recommendedVanguard Small Cap Index ---No action recommendedVanguard International GrowthBottom Quartile--No action recommendedThe items below summarize the recent quarter’s performance and any changes or announcements from your Plan managers/funds. A “-” indicates there were no material announcements. A “Yes” indicates there was an announcement and a brief summary is provided separately. NEPC’s Due Diligence Committee meets every two weeks to review events as they relate to investment managers and determine if any action should be taken (by NEPC and/or by our clients). They rate events: No Action, Watch, Hold, Client Review or Terminate. NEPC’s Recommendation in view of the recent quarter’s developments (performance, manager events, and any of the longer-term trending data) is refreshed quarterly. NEPC considers ourselves to be a fiduciary, as ERISA defines the term in Section 3(21).10
Due Diligence & Recommendations – Cont’dNEPC Due Diligence Committee Recommendation KeyNo ActionInformational items have surfaced; no action is recommended.WatchIssues have surfaced to be concerned over; manager can participate in future searches, but current and prospectiveclients must be made aware of the issues.Hold Serious issues have surfaced to be concerned over; manager cannot be in future searches unless a clientspecifically requests, but current and prospective clients must be made aware of the issues.Client Review Very serious issues have surfaced with an Investment Manager; manager cannot be in future searches unless aclient specifically requests. Current clients must be advised to review the manager.Terminate We have lost all confidence in the product; manager would not be recommended for searches and clients would bediscouraged from using. The manager cannot be in future searches unless a client specifically requests. Currentclients must be advised to replace the manager.The following pages provide text commentary supporting our observations. A legend key to our recommendations is provided below.11
Changes/AnnouncementsBelow is a summary of manager changes and announcements since the issuance of our last quarterly report. Vanguard Life Strategy Funds•During the fourth quarter of 2011, the Vanguard LifeStrategy Funds will be removing two underlying active funds from their allocation, the Asset Allocation Fund and the Short-Term Investment Grade Fund. The LifeStrategy Funds will then be passive only and hold the Total Stock Market Index, Total International Stock Index, and the Total Bond Market II Index Funds. With the elimination of the Asset Allocation Fund, the LifeStrategy Funds will target a more consistent risk profile and will offer astatic stock-bond allocation. Below is a chart illustrating the current and revised allocations. As a result of this announcement, NEPC has issued a “Hold” recommendation on the funds.Vanguard Retirement Savings Trust II•All Stable Value funds remain on Watch at NEPC.Due Diligence Commentary12
Asset SummaryPeriods EndingBeginning YearBeginning QuarterEnd Quarter30-Sep-11($000)(%)($000)(%)($000)(%)Composite$0$96$127 Lifecycle Options $00%$3436%$5544%Vanguard Target Retirement Income Inv$00%$22%$33%Vanguard Target Retirement 2020 Inv$00%$00%$10%Vanguard Target Retirement 2025 Inv$00%$1616%$1915%Vanguard Target Retirement 2030 Inv$00%$33%$43%Vanguard Target Retirement 2035 Inv$00%$44%$65%Vanguard Target Retirement 2040 Inv$00%$00%$43%Vanguard Target Retirement 2045 Inv$00%$67%$1210%Vanguard Target Retirement 2050 Inv$00%$44%$65%Lifestyle Options$00%$1011%$129%Vanguard LifeStrategy Income Inv$00%$11%$11%Vanguard LifeStrategy Cnsrv Gr Inv$00%$23%$43%Vanguard LifeStrategy Moderate Gr Inv$00%$22%$22%Vanguard LifeStrategy Growth Inv$00%$55%$54%Core Options $00%$5254%$6047%Vanguard Prime Money Market Inv$00%$00%$00%Vanguard Retirement Savings Trust$00%$22%$43%Vanguard Total Bond Market Index Inv$00%$55%$86%Vanguard Balanced Index Inv$00%$56%$65%Vanguard 500 Index Investor$00%$88%$97%Vanguard Windsor II Investor$00%$22%$22%Vanguard US Growth Inv$00%$22%$21%Vanguard Mid Cap Index Inv$00%$88%$97%Vanguard Small Cap Index Inv$00%$1112%$129%Vanguard International Growth Inv$00%$89%$87%13
Performance Summary – Target Date and Lifestyle FundsNotes: Performance is net of fees and is annualized for periods longer than one year. Performance is ranked within Morningstar's style-specific universes, where "1" refers to the top percentile and "100" the bottom percentile. US OE = US open ended mutual fund.Weightin FundMorningstar UniverseLast QuarterRankYear-to-DateRankLastYearRankThreeYearsRankFiveYearsRankTenYearsRank100.0% Total Plan$12743.5% Target Date Funds$552.6% Vanguard Target Retirement Income InvUS OE Retirement Income-2.6151.2123.786.1134.611 n/a $3Vanguard Target Income Composite Index -2.6 1.3 3.8 6.1 4.5 n/a0.4% Vanguard Target Retirement 2020 InvUS OE Target Date 2016-2020-9.950-5.7470.5203.9341.816 n/a$1Vanguard Target 2020 Composite Index -9.8 -5.5 0.8 4.0 1.8 n/a14.7% Vanguard Target Retirement 2025 InvUS OE Target Date 2021-2025-11.532-7.223-0.1193.3281.124 n/a$19Vanguard Target 2025 Composite Index -11.3 -6.9 0.2 3.4 1.1 n/a3.3% Vanguard Target Retirement 2030 InvUS OE Target Date 2026-2030-13.042-8.637-0.8172.6300.415 n/a$4Vanguard Target 2030 Composite Index -12.8 -8.3 -0.5 2.7 0.5 n/a4.8% Vanguard Target Retirement 2035 InvUS OE Target Date 2031-2035-14.636-10.130-1.6192.1290.026 n/a$6Vanguard Target 2035 Composite Index -14.3 -9.7 -1.2 2.3 0.0 n/a2.9% Vanguard Target Retirement 2040 InvUS OE Target Date 2036-2040-14.933-10.428-1.9162.1250.014 n/a$4Vanguard Target 2040 Composite Index -14.6 -10.0 -1.5 2.2 0.0 n/a9.8% Vanguard Target Retirement 2045 InvUS OE Target Date 2041-2045-14.917-10.423-1.8162.127-0.128 n/a$12Vanguard Target 2045 Composite Index -14.6 -10.0 -1.5 2.2 0.0 n/a5.1% Vanguard Target Retirement 2050 InvUS OE Target Date 2050+-14.922-10.420-1.9142.125-0.11 n/a$6Vanguard Target 2050 Composite Index -14.6 -10.0 -1.5 2.2 0.0 n/a9.3% Lifestyle Funds$120.8% Vanguard LifeStrategy Income InvUS OE Conservative Allocation-2.280.882.4175.5463.9164.726$1Vanguard Income Benchmark -1.1 1.9 3.4 6.3 4.6 5.2 2.8% Vanguard LifeStrategy Cnsrv Gr InvUS OE Conservative Allocation-6.457-2.8560.9454.4692.6514.630$4Vanguard Conservative Growth Benchmark -5.3 -2.0 1.6 4.6 2.7 4.8 1.5% Vanguard LifeStrategy Moderate Gr InvUS OE Moderate Allocation-9.837-5.6350.0403.4541.4364.727$2Vanguard Moderate Growth Benchmark -8.6 -4.8 0.5 3.1 1.1 4.5 4.1% Vanguard LifeStrategy Growth InvUS OE Aggressive Allocation-13.841-9.439-1.8321.662-0.4504.336$5Vanguard Moderate Growth Benchmark -8.6 -4.8 0.5 3.1 1.1 4.5Annualized ReturnsEndingMarket Value14
Performance Summary – Core FundsNotes: Performance is net of fees and is annualized for periods longer than one year. Performance is ranked within Morningstar's style-specific universes, where "1" refers to the top percentile and "100" the bottom percentile. US OE = US open ended mutual fund. Effective June 1,2010, Vanguard International Growth Fund changed their benchmark from MSCI EAFE to MSCI AC World Ex USA. Weightin FundMorningstar UniverseLast QuarterRankYear-to-DateRankLastYearRankThreeYearsRankFiveYearsRankTenYearsRank100.0% Total Plan$1273.8% Capital Preservation Funds$50.4% Vanguard Prime Money Market InvUS Money Market Taxable0.0 0.0 0.1 0.4 2.0 2.1 $0BofAML US Treasury Bill 3 Mon 0.0 0.1 0.1 0.2 1.7 2.0 3.4% Vanguard Retirement Savings Trust 0.7 2.2 3.0 3.1 3.7 4.0 $4RL 3yr GIC 0.5 1.9 2.6 3.7 4.0 4.2 5.9% Fixed Income Funds$85.9% Vanguard Total Bond Market Index InvUS OE Intermediate-Term Bond4.056.675.1147.8646.5305.439$8BarCap US Agg Bond TR USD 3.8 6.6 5.3 8.0 6.5 5.7 4.6% Balanced Funds$64.6% Vanguard Balanced Index InvUS OE Moderate Allocation-7.87-3.392.974.7192.6144.824$660% S&P 500-40% BarCap Agg -7.0 -2.7 3.0 4.4 2.3 4.3 10.1% Large Cap Equity Funds$131.9% Vanguard Windsor II InvestorUS OE Large Value-14.829-9.0260.0260.135-2.5403.532$2Russell 1000 Value TR USD-16.2 -11.2 -1.9 -1.5 -3.5 3.4 6.9% Vanguard 500 Index InvestorUS OE Large Blend-13.919-8.8211.0191.229-1.3342.740$9S&P 500 TR-13.9 -8.7 1.1 1.2 -1.2 2.8 1.4% Vanguard US Growth InvUS OE Large Growth-15.449-9.4362.4262.250-0.6610.987$2Russell 1000 Growth TR USD -13.1 -7.2 3.8 4.7 1.6 3.0 16.1% Small/Mid Cap Equity Funds$216.7% Vanguard Mid Cap Index InvUS OE Mid-Cap Blend-19.128-12.627-0.8234.5160.4437.119$9MSCI US Mid Cap 450 GR USD -19.1 -12.5 -0.6 4.7 0.5 7.3 9.4% Vanguard Small Cap Index InvUS OE Small Blend-21.447-15.540-2.4362.5250.6237.130$12MSCI US Small Cap 1750 GR USD -21.4 -15.5 -2.3 2.5 0.6 7.6 6.6% International Equity Funds$86.6% Vanguard International Growth InvUS OE Foreign Large Blend-22.381-18.668-12.7680.816-1.2146.215$8MSCI AC World Ex USA NR USD -19.9 -16.8 -10.8 0.5 -1.6 6.8 Annualized ReturnsEndingMarket Value15
Appendix16
Vanguard Target Retirement Income Inv
VTINX
Vanguard Target Income Composite Index
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 2.0 4.0 6.0 8.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0 Vanguard Target Retirement Income Inv
Vanguard Target Income Composite Index
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev12 03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
0.0
5.0
10.0
15.0
20.0
Vanguard Target Retirement Income Inv Vanguard Target Income Composite Index
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return12 03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-10.0
-5.0
0.0
5.0
10.0
15.0
Vanguard Target Retirement Income Inv Vanguard Target Income Composite Index
Top 10 Holdings
Portfolio Date: 9/30/2011
Broad
Category
Return
Qtr
Return
YTD
Portfolio
Weighting %
Vanguard Total Bond Market II Idx Inv
Vanguard Total Stock Mkt Idx Inv
Vanguard Inflation-Protected Secs Inv
Vanguard Total Intl Stock Index Inv
Vanguard Prime Money Market Inv
CMT Market Liquidity Rate
Fixed Income 4.0 6.6 44.6
Equity -15.3 -9.9 21.4
Fixed Income 4.8 10.4 19.8
Equity -20.9 -18.0 9.2
Money Market 0.0 0.0 5.0
0.0
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard Target Retirement Income Inv
Vanguard Target Income Composite Index
6.8 35 3.3 48 6.4 56 8.2 1 -10.9 6 14.3 80 9.4 42
6.9 3.4 6.5 8.1 -11.4 14.3 9.4
Source: Morningstar Direct 17
Vanguard Target Retirement 2025 Inv
VTTVX
Vanguard Target 2025 Composite Index
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4 Vanguard Target Retirement 2025 Inv
Vanguard Target 2025 Composite Index
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev12 03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
0.0
5.0
10.0
15.0
20.0
25.0
30.0
Vanguard Target Retirement 2025 Inv Vanguard Target 2025 Composite Index
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return12 03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
Vanguard Target Retirement 2025 Inv Vanguard Target 2025 Composite Index
Top 10 Holdings
Portfolio Date: 9/30/2011
Broad
Category
Return
Qtr
Return
YTD
Portfolio
Weighting %
Vanguard Total Stock Mkt Idx Inv
Vanguard Total Bond Market II Idx Inv
Vanguard Total Intl Stock Index Inv
CMT Market Liquidity Rate
Equity -15.3 -9.9 51.8
Fixed Income 4.0 6.6 25.7
Equity -20.9 -18.0 22.4
0.0
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard Target Retirement 2025 Inv
Vanguard Target 2025 Composite Index
10.1 1 5.4 94 13.2 45 7.6 41 -30.1 15 24.8
10.1 5.5 13.4 7.6 -30.5 25.1 13.9
78 13.8 37
Source: Morningstar Direct 18
Vanguard Target Retirement 2035 Inv
VTTHX
Vanguard Target 2035 Composite Index
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 4.0 8.0 12.0 16.0 20.0 24.0
-0.1
0.0
0.1
0.2
0.3 Vanguard Target Retirement 2035 Inv
Vanguard Target 2035 Composite Index
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev12 03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
5.0
10.0
15.0
20.0
25.0
30.0
Vanguard Target Retirement 2035 Inv Vanguard Target 2035 Composite Index
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return12 03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-22.5
-15.0
-7.5
0.0
7.5
15.0
22.5
Vanguard Target Retirement 2035 Inv Vanguard Target 2035 Composite Index
Top 10 Holdings
Portfolio Date: 9/30/2011
Broad
Category
Return
Qtr
Return
YTD
Portfolio
Weighting %
Vanguard Total Stock Mkt Idx Inv
Vanguard Total Intl Stock Index Inv
Vanguard Total Bond Market II Idx Inv
CMT Market Liquidity Rate
Equity -15.3 -9.9 62.1
Equity -20.9 -18.0 26.8
Fixed Income 4.0 6.6 11.1
0.0
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard Target Retirement 2035 Inv
Vanguard Target 2035 Composite Index
12.0 1 6.3 94 15.2 24 7.5 47 -34.7 13 28.2 64 15.1 26
11.9 6.5 15.4 7.5 -35.1 28.5 15.2
Source: Morningstar Direct 19
Vanguard Target Retirement 2045 Inv
VTIVX
Vanguard Target 2045 Composite Index
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 4.0 8.0 12.0 16.0 20.0 24.0
-0.1
0.0
0.1
0.2
0.3 Vanguard Target Retirement 2045 Inv
Vanguard Target 2045 Composite Index
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev12 03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
5.0
10.0
15.0
20.0
25.0
30.0
Vanguard Target Retirement 2045 Inv Vanguard Target 2045 Composite Index
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return12 03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-22.5
-15.0
-7.5
0.0
7.5
15.0
22.5
Vanguard Target Retirement 2045 Inv Vanguard Target 2045 Composite Index
Top 10 Holdings
Portfolio Date: 9/30/2011
Broad
Category
Return
Qtr
Return
YTD
Portfolio
Weighting %
Vanguard Total Stock Mkt Idx Inv
Vanguard Total Intl Stock Index Inv
Vanguard Total Bond Market II Idx Inv
CMT Market Liquidity Rate
Equity -15.3 -9.9 63.2
Equity -20.9 -18.0 27.1
Fixed Income 4.0 6.6 9.7
0.0
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard Target Retirement 2045 Inv
Vanguard Target 2045 Composite Index 11.9 7.0 16.2 7.5 -35.1 28.5 15.2
12.9 1 6.9 100 16.0 46 7.5 41 -34.6 11 28.2 83 15.2 40
Source: Morningstar Direct 20
Vanguard LifeStrategy Income Inv
VASIX
Vanguard Income Custom Benchmark
Risk & Return Illustration (5 Years)ReturnStd Dev
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
0.0
1.0
2.0
3.0
4.0
5.0
6.0 Vanguard LifeStrategy Income Inv
Vanguard Income Custom Benchmark
Rolling 3 Year Risk
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
0.0
5.0
10.0
15.0
20.0
25.0
Vanguard LifeStrategy Income Inv Vanguard Income Custom Benchmark
Rolling 3 Year Return
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
Vanguard LifeStrategy Income Inv Vanguard Income Custom Benchmark
Vanguard LifeStrategy Income Inv - Asset Allocation
Portfolio Date: 6/30/2011
%
Stock 23.2
Bond 65.0
Cash 10.1
Other 1.7
Total 100.0
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard LifeStrategy Income Inv
Vanguard Income Custom Benchmark
4.1 9 0.1 21 10.8 66 6.0 49 3.2 53 7.9 49 6.7 16 -10.5 11 12.1 92 9.2 66
8.7 9.4 7.6 5.1 2.8 6.3 6.2 -5.8 11.2 8.1
Source: Morningstar Direct
21
Vanguard LifeStrategy Cnsrv Gr Inv
VSCGX
Vanguard Conservative Growth Custom Benchmark
Risk & Return Illustration (5 Years)ReturnStd Dev
0.0 2.0 4.0 6.0 8.0 10.0 12.0
0.0
1.0
2.0
3.0
4.0 Vanguard LifeStrategy Cnsrv Gr Inv
Vanguard Conservative Growth Custom Benchmark
Rolling 3 Year Risk
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
0.0
5.0
10.0
15.0
20.0
25.0
Vanguard LifeStrategy Cnsrv Gr Inv Vanguard Conservative Growth Custom Benchmark
Rolling 3 Year Return
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
Vanguard LifeStrategy Cnsrv Gr Inv Vanguard Conservative Growth Custom Benchmark
Vanguard LifeStrategy Cnsrv Gr Inv - Asset Allocation
Portfolio Date: 6/30/2011
%
Stock 42.3
Bond 47.3
Cash 9.1
Other 1.3
Total 100.0
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard LifeStrategy Cnsrv Gr Inv
Vanguard Conservative Growth Custom Benchmark
-0.1 51 -5.4 71 16.6 20 8.0 13 4.5 18 10.6 12 7.0 13 -19.5 54 17.1 75 11.1 32
6.1 7.0 11.7 6.7 3.6 8.6 5.9 -15.6 15.4 9.5
Source: Morningstar Direct
22
Vanguard LifeStrategy Moderate Gr Inv
VSMGX
Vanguard Moderate Growth Custom Benchmark
Risk & Return Illustration (5 Years)ReturnStd Dev
0.0 3.0 6.0 9.0 12.0 15.0 18.0
0.0
0.3
0.6
0.9
1.2
1.5
1.8 Vanguard LifeStrategy Moderate Gr Inv
Vanguard Moderate Growth Custom Benchmark
Rolling 3 Year Risk
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
0.0
5.0
10.0
15.0
20.0
25.0
Vanguard LifeStrategy Moderate Gr Inv Vanguard Moderate Growth Custom Benchmark
Rolling 3 Year Return
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
Vanguard LifeStrategy Moderate Gr Inv Vanguard Moderate Growth Custom Benchmark
Vanguard LifeStrategy Moderate Gr Inv - Asset Allocation
Portfolio Date: 6/30/2011
%
Stock 62.2
Bond 29.2
Cash 7.2
Other 1.5
Total 100.0
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard LifeStrategy Moderate Gr Inv
Vanguard Moderate Growth Custom Benchmark
-4.5 43 -10.3 36 22.4 29 10.6 25 5.7 37 13.3 17 7.4 31 -26.5 35 20.3 74 13.3 24
1.7 4.5 16.0 8.8 4.4 10.9 5.7 -23.9 18.3 11.2
Source: Morningstar Direct
23
Vanguard LifeStrategy Growth Inv
VASGX
Vanguard Growth Custom Benchmark
Risk & Return Illustration (5 Years)ReturnStd Dev
0.0 4.0 8.0 12.0 16.0 20.0 24.0
-1.2
-1.0
-0.8
-0.6
-0.4
-0.2
-0.0 Vanguard LifeStrategy Growth Inv
Vanguard Growth Custom Benchmark
Rolling 3 Year Risk
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
0.0
5.0
10.0
15.0
20.0
25.0
Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark
Rolling 3 Year Return
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark
Vanguard LifeStrategy Growth Inv - Asset Allocation
Portfolio Date: 6/30/2011
%
Stock 81.4
Bond 10.9
Cash 6.1
Other 1.5
Total 99.9
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard LifeStrategy Growth Inv
Vanguard Growth Custom Benchmark -5.7 -2.0 20.6 10.4 5.2 13.2 5.2 -32.2 22.4 12.2
-8.9 55 -15.8 73 28.5 15 12.6 26 6.9 55 16.1 10 7.5 47 -34.4 52 25.0 80 15.1 22
Source: Morningstar Direct
24
Vanguard Prime Money Market Inv
VMMXX
BofAML US Treasury Bill 3 Mon
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
0.0
0.8
1.5
2.3
3.0
3.8
4.5
5.3
Vanguard Prime Money Market Inv BofAML US Treasury Bill 3 Mon
Asset Allocation
Portfolio Date: 2/28/2011
%
Stock 0.0
Bond 6.2
Cash 93.8
Other 0.0
Total 100.0
Calendar Year Returns
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010
Vanguard Prime Money Market Inv
BofAML US Treasury Bill 3 Mon 4.4
4.2
1.8
1.7
1.1
0.9
1.3
1.1 3.0
3.1
4.9
4.8
5.1 2.8
5.0
0.5 0.1
2.1 0.2 0.1
Source: Morningstar Direct 25
Vanguard Total Bond Market Index Inv
VBMFX
BarCap US Agg Bond TR USD
Historical Sector Allocations (10 Years)
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
100.0
2002 2003 2004 2005 2006 2007 2008 2009 2010
Cash %US Govt Debt %Mortgage %
US Credit %Non-US %
Top Holdings
Detail
Holding
Type
Portfolio
Weighting %
CMT Market Liquidity Rate
US Treasury Note 0.625%
US Treasury Note 1.75%
US Treasury Bond 6.25%
US Treasury Note 1.375%
US Treasury Note 1.375%
US Treasury Note 1%
US Treasury Note 1.875%
US Treasury Note 0.375%
US Treasury Note 2.75%
Mutual Fund (MMkt)4.85
Bond - US Treasury 1.40
Bond - US Treasury 1.04
Bond - US Treasury 0.94
Bond - US Treasury 0.85
Bond - US Treasury 0.80
Bond - US Treasury 0.80
Bond - US Treasury 0.77
Bond - US Treasury 0.62
Bond - US Treasury 0.60
Asset Allocation
Portfolio Date: 6/30/2011
%
Stock 0.0
Bond 93.8
Cash 5.0
Other 1.2
Total 100.0
Fixed Income Statistics
Portfolio Date: 6/30/2011
Morningstar Fixed Income Style Box™High Med Low
Ltd Mod Ext
Fixed-Income Stats
Average Eff Duration 5.2
Average Eff Maturity 7.4
Average Coupon 4.4
Average Price 107.6
Average Credit Quality AA
Credit Quality Breakdown
Portfolio Date: 6/30/2011
Fund Index
AAA %
AA %
A %
BBB %
BB %
B %
Below B %
Not Rated %
Yield to Maturity
76.0
3.16
0.00
0.01
0.00
10.37
75.1
9.45
0.00
5.09
11.21
2.45
8.62
0.76
0.00
0.30
0.00
2.51
Source: Morningstar Direct 26
Vanguard Total Bond Market Index Inv
VBMFX
BarCap US Agg Bond TR USD
Risk & Return Characteristics (5 Years)
Time Period: 10/1/2006 to 9/30/2011
Fund Index
R2
Alpha
Beta
Std Dev
Up Capture Ratio
Down Capture Ratio
Sharpe Ratio (geo)
Information Ratio (geo)
Tracking Error
Correlation
3.5
99.7
-0.3
0.2
105.7
3.5
100.0
-0.1
99.6
1.0
1.0
1.4
100.0
1.0
0.0
100.0
1.0
1.4
0.0
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 1.0 2.0 3.0 4.0
0.0
2.0
4.0
6.0
8.0 Vanguard Total Bond Market Index Inv
BarCap US Agg Bond TR USD
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-5.0
-2.5
0.0
2.5
5.0
7.5
10.0
12.5
Vanguard Total Bond Market Index Inv BarCap US Agg Bond TR USD
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
2.0
4.0
6.0
8.0
10.0
12.0
Vanguard Total Bond Market Index Inv BarCap US Agg Bond TR USD
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard Total Bond Market Index Inv
BarCap US Agg Bond TR USD 8.4 10.3 4.1 4.3 2.4 4.3 7.0 5.2 5.9 6.5
8.4 24 8.3 56 4.0 58 4.2 38 2.4 19 4.3 35 6.9 11 5.1 10 5.9 90 6.4 73
Source: Morningstar Direct 27
Vanguard Balanced Index Inv
VBINX
60% S&P 500-40% BarCap Agg
Risk & Return Illustration (5 Years)ReturnStd Dev
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0
0.0
0.5
1.0
1.5
2.0
2.5
3.0 Vanguard Balanced Index Inv
60% S&P 500-40% BarCap Agg
Rolling 3 Year Risk
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
0.0
5.0
10.0
15.0
20.0
25.0
Vanguard Balanced Index Inv 60% S&P 500-40% BarCap Agg
Rolling 3 Year Return
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
Vanguard Balanced Index Inv 60% S&P 500-40% BarCap Agg
Vanguard Balanced Index Inv - Asset Allocation
Portfolio Date: 6/30/2011
%
Stock 58.1
Bond 37.7
Cash 3.6
Other 0.6
Total 100.0
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard Balanced Index Inv
60% S&P 500-40% BarCap Agg -3.7 -9.8 18.5 8.3 4.0 11.1 6.2 -22.1 18.4 12.1
-3.0 28 -9.5 28 19.9 49 9.3 42 4.7 56 11.0 53 6.2 49 -22.2 13 20.1 77 13.1 27
Source: Morningstar Direct
28
Vanguard 500 Index Investor
VFINX
S&P 500 TR
Risk & Return Characteristics (5 Years)
Time Period: 10/1/2006 to 9/30/2011
Fund Index
R2
Alpha
Beta
Std Dev
Up Capture Ratio
Down Capture Ratio
Sharpe Ratio (geo)
Information Ratio (geo)
Tracking Error
Correlation
20.7
-1.8
99.7
100.1
0.0
20.7
100.0
100.0
0.0
1.0
-0.1
1.0
0.0-0.1
1.0
1.0
-0.1
100.0100.0
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 4.0 8.0 12.0 16.0 20.0 24.0
-1.4
-1.2
-1.0
-0.8
-0.6
-0.4
-0.2
-0.0 Vanguard 500 Index Investor
S&P 500 TR
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
5.0
10.0
15.0
20.0
25.0
30.0
35.0
Vanguard 500 Index Investor S&P 500 TR
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-22.5
-15.0
-7.5
0.0
7.5
15.0
22.5
30.0
Vanguard 500 Index Investor S&P 500 TR
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard 500 Index Investor
S&P 500 TR -11.9 -22.1 28.7 10.9 4.9
-12.0
15.8
37
5.5
-22.1 41
-37.0
28.5
26.5
28
15.1
10.7 36 4.8 60 15.6 24 5.4 51 -37.0 38 26.5 54 14.9 31
Source: Morningstar Direct 29
Vanguard Windsor II Investor
VWNFX
Russell 1000 Value TR USD
Historical Sector Allocations (5 Years)
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
100.0
6/2007 12/2007 6/2008 12/2008 6/2009 12/2009 6/2010 12/2010 6/2011
Energy %Materials %Industrials %
Consumer Discretionary %Consumer Staples %Healthcare %
Financials %Information Technology %Telecom Services %
Utilities %
Attribution (Quarter)
Portfolio
Weights
Benchmark
Weights
Portfolio
Return
Benchmark
Return
Allocation
Effect
Selection
Effect
Active
Return
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Unclassified
Cash
Attribution Total
Bond
Equity Missing Performance
Total
7.05 8.94 -17.80 -19.02 0.05 0.09 0.14
11.01 7.43 -4.93 -4.08 0.43 -0.11 0.32
13.05 12.55 -19.90 -20.28 -0.01 0.04 0.03
18.18 26.31 -24.53 -22.83 0.56 -0.33 0.22
12.20 12.31 -8.67 -9.55 -0.01 0.11 0.10
12.11 9.15 -21.88 -21.83 -0.18 -0.02 -0.19
13.54 8.64 -10.43 -14.16 0.10 0.49 0.59
2.16 2.83 -20.71 -25.01 0.06 0.10 0.16
2.37 4.67 -3.98 -9.42 -0.15 0.11 -0.04
4.38 7.10 3.01 0.27 -0.43 0.11 -0.32
0.98 0.00 -15.35 0.01 0.00 0.01
2.81 0.00 0.01 0.44 0.00 0.44
99.84 99.93 -14.76 -16.22 0.87 0.59 1.46
0.10 0.00
0.06 0.07
100.00 100.00
Market Capitalization Breakdown
Portfolio Date: 6/30/2011
Fund Index
Market Cap Giant %
Market Cap Large %
Market Cap Mid %
Market Cap Small %
Market Cap Micro %
Average Market Cap (mil) (Long)
19.6
31.9
46.7
0.6
0.0
54.1
1.8
0.0
35,686.3
33.7
11.6
48,590.6
Portfolio Statistics
Fund Index
# of Holdings
% Asset in Top 10 Holdings
Turnover Ratio %
P/E Ratio
P/B Ratio
LT Earn Growth
Hist Earn Growth
12 Mo Yield
653
24.5
10.9
1.2
9.0
-2.7
271
26.7
29.0
13.1
1.8
9.3
5.3
2.3
Holdings Based Style Trail (5 Years)
Time Period: 10/31/2006 to 9/30/2011
Micro Small Mid Large Giant
Deep-Val Core-Val Core Core-Grth High-Grth
Vanguard Windsor II Investor Russell 1000 Value TR USD
Source: Morningstar Direct 30
Vanguard Windsor II Investor
VWNFX
Russell 1000 Value TR USD
Risk & Return Characteristics (5 Years)
Time Period: 10/1/2006 to 9/30/2011
Fund Index
R2
Alpha
Beta
Std Dev
Up Capture Ratio
Down Capture Ratio
Sharpe Ratio (geo)
Information Ratio (geo)
Tracking Error
Correlation
21.8
102.4
96.6
0.3
3.4
22.3
100.0
100.0
0.0
100.0
-0.2
97.6
0.9 0.0
1.0
-0.2
1.0
1.0
1.0
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0
-5.0
-4.0
-3.0
-2.0
-1.0
0.0 Vanguard Windsor II Investor
Russell 1000 Value TR USD
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
5.0
10.0
15.0
20.0
25.0
30.0
35.0
Vanguard Windsor II Investor Russell 1000 Value TR USD
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-22.5
-15.0
-7.5
0.0
7.5
15.0
22.5
30.0
Vanguard Windsor II Investor Russell 1000 Value TR USD
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard Windsor II Investor
Russell 1000 Value TR USD -5.6 -15.5 30.0 16.5 7.1 22.2
-3.4
-0.2
38
-36.8
-16.9
19.7
35
15.5
30.1 33 18.3 7 7.0 34 18.2 50 2.2 47 -36.7 53 27.1 28 10.6 88
Source: Morningstar Direct 31
Vanguard US Growth Inv
VWUSX
Russell 1000 Growth TR USD
Historical Sector Allocations (5 Years)
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
100.0
6/2007 12/2007 6/2008 12/2008 6/2009 12/2009 6/2010 12/2010 6/2011
Energy %Materials %Industrials %
Consumer Discretionary %Consumer Staples %Healthcare %
Financials %Information Technology %Telecom Services %
Utilities %
Attribution (Quarter)
Portfolio
Weights
Benchmark
Weights
Portfolio
Return
Benchmark
Return
Allocation
Effect
Selection
Effect
Active
Return
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Unclassified
Cash
Attribution Total
Bond
Unidentified
Equity Missing Performance
Total
17.73 14.16 -16.06 -11.08 0.07 -0.88 -0.80
3.87 12.06 -6.67 -4.46 -0.69 -0.10 -0.79
7.92 11.51 -30.43 -21.90 0.31 -0.70 -0.39
6.13 3.94 -16.82 -17.41 -0.09 0.04 -0.06
9.87 10.82 -14.67 -12.59 -0.01 -0.21 -0.21
8.13 12.80 -19.46 -21.91 0.42 0.21 0.63
36.57 27.47 -11.85 -7.40 0.53 -1.58 -1.05
4.05 5.95 -25.30 -24.28 0.21 -0.04 0.17
1.62 1.17 -0.29 -7.08 0.03 0.09 0.12
0.00 0.08 -0.81 -0.01 0.00 -0.01
0.01 0.00 -13.36 0.00 0.00 0.00
3.70 0.00 0.01 0.48 0.00 0.48
99.59 99.95 -15.07 -13.15 1.25 -3.17 -1.92
0.26 0.00
0.15 0.00
0.00 0.05
100.00 100.00
Market Capitalization Breakdown
Portfolio Date: 6/30/2011
Fund Index
Market Cap Giant %
Market Cap Large %
Market Cap Mid %
Market Cap Small %
Market Cap Micro %
Average Market Cap (mil) (Long)
33.2
43.6
22.4
0.0
0.8
0.0
19.8
0.0
55.4
24.7
37,260.327,529.5
Portfolio Statistics
Fund Index
# of Holdings
% Asset in Top 10 Holdings
Turnover Ratio %
P/E Ratio
P/B Ratio
LT Earn Growth
Hist Earn Growth
12 Mo Yield
118
26.9
74.0
21.9
3.5
14.4
12.1
0.7
587
28.5
14.8
3.4
11.9
11.9
Holdings Based Style Trail (5 Years)
Time Period: 10/31/2006 to 9/30/2011
Micro Small Mid Large Giant
Deep-Val Core-Val Core Core-Grth High-Grth
Vanguard US Growth Inv Russell 1000 Growth TR USD
Source: Morningstar Direct 32
Vanguard US Growth Inv
VWUSX
Russell 1000 Growth TR USD
Risk & Return Characteristics (5 Years)
Time Period: 10/1/2006 to 9/30/2011
Fund Index
R2
Alpha
Beta
Std Dev
Up Capture Ratio
Down Capture Ratio
Sharpe Ratio (geo)
Information Ratio (geo)
Tracking Error
Correlation
21.0
106.9
94.4
-0.8
2.8
20.9
100.0
100.0
0.0
1.0
100.0
0.0
98.3
1.0
-0.1
-2.1 0.0
1.0
1.0
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 4.0 8.0 12.0 16.0 20.0 24.0
-0.9
-0.4
0.1
0.6
1.1
1.6
2.1 Vanguard US Growth Inv
Russell 1000 Growth TR USD
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
5.0
10.0
15.0
20.0
25.0
30.0
35.0
Vanguard US Growth Inv Russell 1000 Growth TR USD
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-22.5
-15.0
-7.5
0.0
7.5
15.0
22.5
30.0
Vanguard US Growth Inv Russell 1000 Growth TR USD
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard US Growth Inv
Russell 1000 Growth TR USD -20.4 -27.9
-31.7
29.7
85
6.3
-35.8
5.3 9.1
92
11.8
26.1
-38.4 37.2
58
16.7
7.0 55 11.2 18 1.8 88 10.1 68 -37.8 28 35.0 47 11.5 83
Source: Morningstar Direct 33
Vanguard Mid Cap Index Inv
VIMSX
MSCI US Mid Cap 450 GR USD
Risk & Return Characteristics (5 Years)
Time Period: 10/1/2006 to 9/30/2011
Fund Index
R2
Alpha
Beta
Std Dev
Up Capture Ratio
Down Capture Ratio
Sharpe Ratio (geo)
Information Ratio (geo)
Tracking Error
Correlation
25.1
99.5
100.2
-1.8
0.1
25.1
100.0
100.0
0.0
1.0
0.0
1.0
0.0
1.0
1.0
100.0
-0.2
0.0
100.0
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0
0.0
0.1
0.2
0.3
0.4
0.5
0.6 Vanguard Mid Cap Index Inv
MSCI US Mid Cap 450 GR USD
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
0.0
7.5
15.0
22.5
30.0
37.5
45.0
Vanguard Mid Cap Index Inv MSCI US Mid Cap 450 GR USD
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-30.0
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
Vanguard Mid Cap Index Inv MSCI US Mid Cap 450 GR USD
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard Mid Cap Index Inv
MSCI US Mid Cap 450 GR USD -6.4 -16.5 39.0 20.5 13.9 13.7 6.2 -41.8 40.5 25.7
-0.5 36 -14.6 41 34.1 55 20.4 19 13.9 13 13.6 46 6.0 44 -41.8 69 40.2 25 25.5 29
Source: Morningstar Direct 34
Vanguard Small Cap Index Inv
NAESX
MSCI US Small Cap 1750 GR USD
Risk & Return Characteristics (5 Years)
Time Period: 10/1/2006 to 9/30/2011
Fund Index
R2
Alpha
Beta
Std Dev
Up Capture Ratio
Down Capture Ratio
Sharpe Ratio (geo)
Information Ratio (geo)
Tracking Error
Correlation
99.8
26.4
99.9
-0.2
0.1
26.5
100.0
100.0
0.0
0.0
100.0
1.0
1.01.0
0.0
0.0
100.0
1.0
0.0
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 5.0 10.0 15.0 20.0 25.0 30.0
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7 Vanguard Small Cap Index Inv
MSCI US Small Cap 1750 GR USD
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-30.0
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
Vanguard Small Cap Index Inv MSCI US Small Cap 1750 GR USD
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
5.0
10.0
15.0
20.0
25.0
30.0
35.0
40.0
Vanguard Small Cap Index Inv MSCI US Small Cap 1750 GR USD
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard Small Cap Index Inv
MSCI US Small Cap 1750 GR USD
3.1 73 -20.0 71 45.6 36 19.9 43 7.4 42 15.7 42 1.2 30 -36.1 53 36.1 26 27.7 25
3.2 -18.4 47.4 20.0 7.5 15.8 1.2 -36.2 36.1 27.8
Source: Morningstar Direct 35
Vanguard International Growth Inv
VWIGX
MSCI AC World Ex USA NR USD
Attribution (Quarter)
Portfolio
Weights
Benchmark
Weights
Portfolio
Return
Benchmark
Return
Allocation
Effect
Selection
Effect
Active
Return
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Unclassified
Cash
Attribution Total
Bond
Other
Equity Missing Performance
Total
15.85 9.09 -21.61 -19.90 -0.01 -0.29 -0.30
7.72 8.97 -11.08 -9.43 -0.10 -0.12 -0.23
6.82 10.77 -25.01 -22.11 0.09 -0.21 -0.12
16.18 24.00 -25.49 -23.69 0.29 -0.32 -0.02
5.63 6.46 -9.11 -10.29 -0.06 0.07 0.01
14.39 10.71 -23.04 -23.49 -0.16 0.07 -0.09
13.92 6.04 -14.87 -15.98 0.34 0.12 0.45
10.24 12.84 -29.75 -25.84 0.15 -0.42 -0.28
0.86 6.03 -6.28 -10.67 -0.46 0.03 -0.42
1.19 4.00 -13.50 -15.67 -0.12 0.03 -0.09
0.00 0.03 -23.75 0.00 0.00 0.00
3.04 0.00 0.01 0.60 0.00 0.60
95.84 98.95 -20.23 -19.75 0.57 -1.04 -0.47
0.19 0.00
2.59 0.58
1.38 0.48
100.00 100.00
Historical Country Allocations (5 Years)
0.0
10.0
20.0
30.0
40.0
50.0
60.0
70.0
80.0
90.0
100.0
6/2007 12/2007 6/2008 12/2008 6/2009 12/2009 6/2010 12/2010 6/2011
North America %Latin America %United Kingdom %
Europe dev %Europe emrg %Africa/Middle East %
Australasia %Japan %Asia dev %
Asia emrg %
Holdings Based Style Trail (5 Years)
Time Period: 12/31/2006 to 9/30/2011
Micro Small Mid Large Giant
Deep-Val Core-Val Core Core-Grth High-Grth
Vanguard International Growth Inv MSCI AC World Ex USA NR USD
Portfolio Statistics
Fund Index
# of Holdings
% Asset in Top 10 Holdings
Turnover Ratio %
P/E Ratio
P/B Ratio
LT Earn Growth
Hist Earn Growth
12 Mo Yield
1,869
9.3
10.6
1.3
2.0
694.2
194
18.8
44.0
16.5
2.2
11.9
0.7
1.9
Market Capitalization Breakdown
Portfolio Date: 6/30/2011
Fund Index
Market Cap Giant %
Market Cap Large %
Market Cap Mid %
Market Cap Small %
Market Cap Micro %
Average Market Cap
Equity Region Developed %
Equity Region Emerging %
29,382.5
78.6
21.4
0.1
11.7
32.8
0.1
55.2
12.0
53.6
0.2
34.0
0.3
27,970.8
Source: Morningstar Direct 36
Vanguard International Growth Inv
VWIGX
MSCI AC World Ex USA NR USD
Risk & Return Characteristics (5 Years)
Time Period: 10/1/2006 to 9/30/2011
Fund Index
R2
Alpha
Beta
Std Dev
Up Capture Ratio
Down Capture Ratio
Sharpe Ratio (geo)
Information Ratio (geo)
Tracking Error
Correlation
103.0
27.4
100.9
0.2
2.4
100.0
27.0
0.0
100.0
-0.1
1.0
0.5
-0.1
1.0
1.0
0.0
100.099.2
1.0
Risk & Return Illustration (5 Years)
Time Period: 10/1/2006 to 9/30/2011
ReturnStd Dev
0.0 10.0 20.0 30.0 40.0
-1.8
-1.5
-1.2
-0.9
-0.6
-0.3
-0.0 Vanguard International Growth Inv
MSCI AC World Ex USA NR USD
Rolling Returns (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Return09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
-20.0
-10.0
0.0
10.0
20.0
30.0
40.0
Vanguard International Growth Inv MSCI AC World Ex USA NR USD
Rolling Risk (3 Years)
Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile
Std Dev09 12
2005
03 06 09 12
2006
03 06 09 12
2007
03 06 09 12
2008
03 06 09 12
2009
03 06 09 12
2010
03 06 09 12
2011
03 06 09
5.0
10.0
15.0
20.0
25.0
30.0
35.0
Vanguard International Growth Inv MSCI AC World Ex USA NR USD
Calendar Year Returns
2001 Rank 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank
Vanguard International Growth Inv
MSCI AC World Ex USA NR USD -19.7
-18.9
-14.9
28
40.8
-17.8
20.9
62
16.6
34.4
26.7
39
16.7
19.0
-45.5
30
41.4
15.0
11.2
39 25.9 37 16.0 22 -44.9 62 41.6 10 15.7 8
Source: Morningstar Direct 37
" R - S q u a r e d ( R 2 ) A m e a s u r e o f h o w c l o s e t h e r e l a t i o n s h i p i s b e t w e e n a F u n d a n d i t s i n d e x b e n c h m a r k . V a l u e s c a n r a n g e f r o m 0 % t o 1 0 0 % G e n e r a l R a n g e f o r R - S q u a r e d : 7 0 - 1 0 0 % = g o o d c o r r e l a t i o n b e t w e e n t h e F u n d s r e t u r n s a n d t h e b e n c h m a r k ' s r e t u r n s 4 0 - 7 0 % = a v e r a g e c o r r e l a t i o n b e t w e e n t h e F u n d s r e t u r n s a n d t h e b e n c h m a r k ' s r e t u r n s 0 - 4 0 % = l o w c o r r e l a t i o n b e t w e e n t h e F u n d s r e t u r n s a n d t h e b e n c h m a r k ' s r e t u r n s " A l p h a - A m e a s u r e o f t h e d i f f e r e n c e b e t w e e n a F u n d s a c t u a l r e t u r n s a n d e x p e c t e d p e r f o r m a n c e , g i v e n i t s l e v e l o f r i s k a s m e a s u r e d b y b e t a " B e t a - A m e a s u r e o f a F u n d s s y s t e m a t i c r i s k t o b e n c h m a r k m o v e m e n t s . T h e b e t a o f t h e m a r k e t ( b e n c h m a r k ) i s 1 . 0 G e n e r a l R a n g e f o r B e t a : A b e t a g r e a t e r t h a n 1 . 0 i n d i c a t e s t h e F u n d s r e t u r n s a r e m o r e v o l a t i l e t h a n t h e b e n c h m a r k s A b e t a l e s s t h a n 1 . 0 i n d i c a t e s t h e F u n d s r e t u r n s a r e l e s s v o l a t i l e t h a n t h e b e n c h m a r k s A b e t a o f 1 . 0 i n d i c a t e s t h e F u n d w i l l g e n e r a t e t h e s a m e l e v e l o f r i s k a s t h e m a r k e t " S t a n d a r d D e v i a t i o n A s t a t i s t i c a l m e a s u r e m e n t o f d i s p e r s i o n a r o u n d a n a v e r a g e , w h i c h r e p r e s e n t s h o w w i d e l y a F u n d ' s r e t u r n s v a r i e d o v e r a s p e c i f i e d t i m e p e r i o d A F u n d w i t h a s t a n d a r d d e v i a t i o n o f 1 9 % a n d a m e a n r e t u r n o f 5 % o v e r 5 y e a r s i n d i c a t e s a b o u t 6 8 % o f t h e d a t a v a l u e s h a v e r a n g e d b e t w e e n - 1 4 % a n d 2 4 % ( w i t h i n o n e s t a n d a r d d e v i a t i o n o f t h e m e a n ) a n d a b o u t 9 5 % o f t h e d a t a v a l u e s h a v e r a n g e d b e t w e e n - 3 3 % a n d 4 3 % ( w i t h i n t w o s t a n d a r d d e v i a t i o n s o f t h e m e a n ) S t a n d a r d d e v i a t i o n i s a r e p r e s e n t a t i o n o f r i s k ; h i g h e r s t a n d a r d d e v i a t i o n r e p r e s e n t s g r e a t e r f l u c t u a t i o n s i n p r i c e h i s t o r i c a l l y t h a n l o w e r s t a n d a r d d e v i a t i o n G l o s s a r y o f T e r m s 3 8
" U p C a p t u r e R a t i o - M e a s u r e s a F u n d ' s p e r f o r m a n c e i n u p m a r k e t s r e l a t i v e t o a b e n c h m a r k . A r a t i o g r e a t e r t h a n 1 0 0 % i n d i c a t e s t h e F u n d h a s o u t p e r f o r m e d t h e b e n c h m a r k d u r i n g p e r i o d s o f r i s i n g m a r k e t s . " D o w n C a p t u r e R a t i o - M e a s u r e s a F u n d ' s p e r f o r m a n c e i n d o w n m a r k e t s r e l a t i v e t o a b e n c h m a r k . A r a t i o g r e a t e r t h a n 1 0 0 % i n d i c a t e s t h e F u n d h a s u n d e r p e r f o r m e d t h e b e n c h m a r k d u r i n g p e r i o d s o f d e c l i n i n g m a r k e t s . " S h a r p e R a t i o A r i s k - a d j u s t e d p e r f o r m a n c e m e a s u r e t h a t u s e s S t a n d a r d D e v i a t i o n a n d A l p h a t o d e t e r m i n e r e w a r d p e r u n i t o f r i s k . S h a r p e R a t i o i s u s e d t o s t a n d a r d i z e p e r f o r m a n c e c o m p a r i s o n s g i v e n d i f f e r e n t l e v e l s o f r i s k e m p l o y e d a c r o s s f u n d s . " I n f o r m a t i o n R a t i o ( I R ) - A r i s k - a d j u s t e d p e r f o r m a n c e m e a s u r e t h a t c a l c u l a t e s a r a t i o o f A l p h a o v e r T r a c k i n g E r r o r . A h i g h e r I R i n d i c a t e s g r e a t e r r i s k - a d j u s t e d r e t u r n s . G e n e r a l R a n g e f o r I n f o r m a t i o n R a t i o : - 0 . 5 t o 0 . 5 A F u n d w i t h A l p h a o f 0 . 5 % a n d T r a c k i n g E r r o r o f 4 % w o u l d h a v e a n I n f o r m a t i o n R a t i o o f 0 . 1 2 5 A F u n d w i t h A l p h a o f 1 % a n d T r a c k i n g E r r o r o f 4 % w o u l d h a v e a n I n f o r m a t i o n R a t i o o f 0 . 2 5 A F u n d w i t h A l p h a o f 1 % a n d T r a c k i n g E r r o r o f 8 % w o u l d h a v e a n I n f o r m a t i o n R a t i o o f 0 . 1 2 5 I n f o r m a t i o n r a t i o s f a l l i n a t i g h t r a n g e a n d a r e n e g a t i v e i f A l p h a i s n e g a t i v e . I n f o r m a t i o n r a t i o s > 0 i n d i c a t e p o s i t i v e r i s k - a d j u s t e d p e r f o r m a n c e , a n d i n f o r m a t i o n r a t i o s > 0 . 2 5 i n d i c a t e s t r o n g r i s k - a d j u s t e d p e r f o r m a n c e . " T r a c k i n g E r r o r T r a c k i n g e r r o r i s t h e s t a n d a r d d e v i a t i o n o f t h e d i f f e r e n c e s b e t w e e n t h e F u n d r e t u r n a n d t h e b e n c h m a r k r e t u r n , i . e . t h e s t a n d a r d d e v i a t i o n o f e x c e s s r e t u r n s T r a c k i n g e r r o r i s a m e a s u r e o f h o w b e n c h m a r k - s e n s i t i v e a F u n d i s I n d e x f u n d s g e n e r a l l y h a v e t r a c k i n g e r r o r b e t w e e n 0 a n d 1 . 5 % B e n c h m a r k - a w a r e F u n d s g e n e r a l l y h a v e t r a c k i n g e r r o r b e t w e e n 2 % a n d 5 % B e n c h m a r k - a g n o s t i c F u n d s g e n e r a l l y h a v e t r a c k i n g e r r o r g r e a t e r t h a n 6 % G l o s s a r y o f T e r m s 3 9
" C o r r e l a t i o n - A s t a t i s t i c a l m e a s u r e o f h o w t w o s e c u r i t i e s ( f u n d a n d b e n c h m a r k ) m o v e i n r e l a t i o n t o e a c h o t h e r . V a l u e s c a n r a n g e f r o m - 1 . 0 t o + 1 . 0 P e r f e c t p o s i t i v e c o r r e l a t i o n - A c o e f f i c i e n t o f + 1 . 0 ; i m p l i e s a F u n d a n d b e n c h m a r k m o v e i n l o c k s t e p , u p o r d o w n P e r f e c t n e g a t i v e c o r r e l a t i o n A c o e f f i c i e n t o f - 1 . 0 ; i m p l i e s a F u n d a n d b e n c h m a r k m o v e p e r f e c t l y o p p o s i t e l y , u p o r d o w n Z e r o c o r r e l a t i o n A c o e f f i c i e n t o f 0 ; i m p l i e s t h a t m o v e m e n t s b e t w e e n t h e F u n d a n d b e n c h m a r k a r e r a n d o m a n d t h e c h a n g e i n v a l u e o f o n e w i l l h a v e n o i m p a c t i n t h e c h a n g e i n v a l u e o f t h e o t h e r G l o s s a r y o f T e r m s 4 0
" N E P C u s e s , a s a d a t a s o u r c e , t h e p l a n s c u s t o d i a n b a n k o r s e r v i c e p r o v i d e r f o r a s s e t b a l a n c e s , c a l c u l a t i o n o f a c c r u a l s , t r a n s f e r s , e x c h a n g e s a n d c o n t r i b u t i o n d e f e r r a l i n f o r m a t i o n . W h i l e N E P C h a s e x e r c i s e d r e a s o n a b l e p r o f e s s i o n a l c a r e i n p r e p a r i n g t h i s r e p o r t , w e c a n n o t g u a r a n t e e t h e a c c u r a c y o f a l l s o u r c e i n f o r m a t i o n c o n t a i n e d w i t h i n . " T h i s r e p o r t i s p r o v i d e d a s a m a n a g e m e n t a i d f o r t h e c l i e n t s i n t e r n a l u s e o n l y . F u n d p e r f o r m a n c e c o n t a i n e d i n t h i s r e p o r t d o e s n o t c o n s t i t u t e a r e c o m m e n d a t i o n b y N E P C . " I n f o r m a t i o n i n t h i s r e p o r t o n f u n d r e t u r n s , m a r k e t i n d i c e s a n d s e c u r i t y c h a r a c t e r i s t i c s i s r e c e i v e d f r o m s o u r c e s e x t e r n a l t o N E P C . W h i l e e f f o r t s a r e m a d e t o e n s u r e t h a t t h i s e x t e r n a l d a t a i s a c c u r a t e , N E P C c a n n o t a c c e p t r e s p o n s i b i l i t y f o r e r r o r s t h a t m a y o c c u r . " ( c ) M o r n i n g s t a r 2 0 1 1 . A l l R i g h t s R e s e r v e d . F o r i n s t i t u t i o n a l u s e o n l y . T h e i n f o r m a t i o n c o n t a i n e d h e r e i n : ( 1 ) i s p r o p r i e t a r y t o M o r n i n g s t a r a n d / o r i t s c o n t e n t p r o v i d e r s ; ( 2 ) m a y n o t b e c o p i e d o r d i s t r i b u t e d ; a n d ( 3 ) i s n o t w a r r a n t e d t o b e a c c u r a t e , c o m p l e t e o r t i m e l y . N e i t h e r M o r n i n g s t a r n o r i t s c o n t e n t p r o v i d e r s a r e r e s p o n s i b l e f o r a n y d a m a g e s o r l o s s e s a r i s i n g f r o m a n y u s e o f t h i s i n f o r m a t i o n . P a s t f i n a n c i a l p e r f o r m a n c e i s n o g u a r a n t e e o f f u t u r e r e s u l t s . D i s c l a i m e r 4 1