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Home My Public Portal About2012 1st Quarter ReportDefined Contribution PlanFirst Quarter 2012 Plan Executive SummaryMay 1, 2012Kristin Finney-Cooke, CAIASenior ConsultantKristen Jackson, CFASenior Analyst 54%40%8%3 Month Change: Up $101 ThousandTarget Date FundsCore FundsLifestyle FundsExecutive SummaryCAPITAL MARKETS PERFORMANCE: QUARTERBONDINDICATORDOMESTIC EQUITYINDICATORFOREIGNEQUITY INDICATOR2010 TDF INDICATOR2040 TDF INDICATOR0.3%BarCap Agg Index12.6%S&P 500 Index11.2%MSCIACWI ex US Index5.3%S&P TDF 2010 Index10.7%S&P TDF 2040 Index•These materials include information on the pending 408(b)(2) and 404(a) disclosures. The new 404(a) Notice is a consideration with future fund changes–Fund changes are considered a material event and would prompt a re-issuance of the 404(a) Notice •There were no announcements from your fund managers over the quarter.•As mentioned in Q4 2011, the Vanguard Target Retirement 2005 Fund was merged with the Target Retirement Income Fund in February, 2012; the 2055 Fund was also added to the Plan.•NEPC is not recommending any changes to Plan investments at this time, either in view of the recent quarter’s developments or any of the longer-term trending data in this report.PLAN PERFORMANCE: QUARTERRANGE OF CORE FUND RETURNSRANGE OF TARGET DATE FUND RETURNSASSET WEIGHTED PLAN RETURN0.0% to 18.2% 3.9% to 11.3% 9.9%Vanguard Prime Mny MktVanguard USGrowth InvIncome 2040204520502055Prior Quarter:8.3%COMMENTSPLAN ASSETS: $295 THOUSAND1 " The regulation is effective as of July 1, 2012" The regulation requires that certain service providers ( covered service providers ) to employee pension benefit plans disclose information to assist plan fiduciaries in assessing the reasonableness of contracts or arrangements, including the reasonableness of the service providers compensation and potential conflicts of interest" Plan fiduciaries should expect to receive written fee disclosures by July 1stfrom all covered service providers Covered service providers include: consultants, attorneys, auditors, custodians, trustees, record keepers and investment managers, etc. that have a direct relationship with a plan The Department of Labor did not release a prescribed format or model disclosure for covered service providers to adopt If a covered service provider fails to submit a disclosure, or the plan fiduciary determines the disclosure is incomplete, a written request for information should be sent to the provider If a covered service provider does not disclose the requested information within 30 days following receipt of a written request, the plan fiduciary, to avoid potential liability, must report the failure to the Department of Labor" This is not an annual requirement disclosures are made once (by July 1st) unless a covered service provider s fees change, prompting a new disclosureNEPC expects to issue 408(b)(2) disclosures to our clients in the first weeks of June. Regulatory Update Fee Disclosure to Plan FiduciariesERISA section 408(b)(2)Below is information on the Department of Labor s final fee disclosure regulation under ERISA section 408(b)(2)Practical Guidance" InSPeCT " Identify qualified plans and Service Providers to which the regulation applies" Collect the disclosures" Take stock - evaluate the disclosures to determine whether all information required to be disclosed under ERISA section 408(b)(2) is providedNEPC s Role" Through our relationships with clients and as, potentially, a covered service provider, NEPC is familiar with the 408(b)(2) regulation" But, if you have questions about covered plans, covered service providers and the process you should follow, you should contact your ERISA counsel2 " The regulation is effective as of August 31, 2012" The regulation requires the disclosure of certain plan and investment-related information, including fee and expense information, to participants and beneficiaries in participant-directed plans (e.g. 401(k) plans)" In most cases, defined contribution plan record keepers are preparing the 404(a) Notices. Plan administrators are beginning to receive draft Notices from their record keepers." Most record keepers are treating this as a compliance exercise This will be an annual Notice, much like the QDIA, Summary Annual Report and other required notices The Department of Labor has issued a model Comparative Chart that can be used to satisfy the provision of investment and fee related information Generally speaking, record keepers have created template documents with limited ability to incorporate plan sponsor input or changes1" The regulation provides that participants and beneficiaries on or before the date they first have the ability to direct their investments, and at least annually thereafter, be furnished the most recent annual Notice. The Department has taken the view that virtually any change in the information (e.g. a fund change) would be a material change and that participants and beneficiaries should be notified of plan changes (implying an updated and re-issued Notice) at least 30 days, but not more than 90 days, in advance of the effective date of the change.Regulatory Update Fee Disclosure to Plan ParticipantsERISA section 404(a)(5)Below is information on the Department of Labor s final fee disclosure regulation under ERISA section 404(a)(5)NEPC s Role" Through our relationships with clients, and our expertise with defined contribution plan fees, NEPC is familiar with the 404(a)(5) regulation" We re happy to review and comment on the draft Notices. There are common questions we ve received on benchmark selectionand other items in the Notice.Practical Guidance" Do It " Disclose plan investment and fee related information, including the ability to direct investments, in the Department of Labor s prescribed new format, referred to as a 404(a) Notice " Inform participants (through a re-issued Notice) of plan changes that impact investments or fees at least 30 days but not more than 90 days in advance1 For example, as of April 15thFidelity had reportedly sent out about 8 million Notices on behalf of plan administrators. As it we understand it, Fidelity will contemplate incorporating plan sponsor comments/suggestions for next year s Notice.3 " On March 31, 2012 the US District Court for the Western District of Missouri issued a decision on Tussey v. ABB, Inc., ordering ABB Inc. to pay $35.2 million and Fidelity to pay $1.7 million in a suit over ABB s 401(k) plans. Fidelity was ABB s total benefits outsourcing service provider." The suit was one of many filed by a plaintiffs' law firm in 2006 and 2007 against fiduciaries of large 401(k) plans alleging fiduciary breach claims around, among other things, employer securities and excessive plan fees" ABB s 401(k) plans have assets of approximately $1.3 billion; the plaintiff s claims are based on breaches that occurred from December 29, 2000 " The Court determined, $13.4 million was lost by the plans due to ABB s failure to monitor record keeping fees and negotiate for rebates $21.8 million was lost by the plans due to the replacement of the Vanguard Wellington Fund with the Fidelity Freedom Funds (the Court was not satisfied the fiduciaries followed the language contained in the plans Investment Policy Statement) $1.7 million was lost by the plans because Fidelity s float process violated ERISA " The Court also ordered ABB Inc. to undertake a record keeping vendor search within 18 months; Fidelity can participate in the process but ABB Inc. can no longer use a 401(k) record keeper to provide corporate services to ABB. " We understand the ruling will be appealed. The case deals with issues concerning float, the use of mutual funds by large 401(k) plans, the practice of using revenue sharing to pay plan fees, etc. If there are early take-aways, they are ones we summarize with the simple K-I-S-S acronym in the Practical Guidance call-out box.Litigation Update Tussey v. ABBLitigationBelow is a summary of a decision in one of the 401(k) fee class action cases.NEPC s Role" Through our relationships with clients, and our expertise with defined contribution plan fees, NEPC is familiar with these class action fee lawsuits" But, if you have questions about this matter or the implications, if any, for your plans, you shouldcontact your ERISA counselPractical Guidance" KISS " 401(k) plans matter" Investment Policy Statements need to be followed" FeeSshould be known and benchmarked" Cross-Subsidization of ERISA plan expenses is prohibited4 Market Environment5 Q1 2012: Capital Markets Summary Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.World Equity BenchmarksMSCI WorldWorld11.6%0.6%20.2%-0.7%4.7%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.Domestic Equity BenchmarksS&P 500Large Core12.6%8.5%23.4%2.0%4.1%Russell 1000Large Core12.9%7.9%24.0%2.2%4.5%Russell 1000 GrowthLarge Growth14.7%11.0%25.3%5.1%4.3%Russell 1000 ValueLarge Value11.1%4.8%22.8%-0.8%4.6%S&P Mid Cap 400Mid Core13.5%2.0%28.6%4.8%7.7%Russell 2000Small Core12.4%-0.2%26.9%2.1%6.5%Russell 2000 GrowthSmall Growth13.3%0.7%28.4%4.2%6.0%Russell 2000 ValueSmall Value11.6%-1.1%25.4%0.0%6.6%NAREIT CompositeREIT10.4%10.7%40.2%-0.7%9.6%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.International Equity BenchmarksMSCI EAFEInt'l Developed10.9%-5.8%17.1%-3.5%5.7%MSCI EMEm. Mkt. Eqty.14.1%-8.8%25.1%4.7%14.1%MSCI ACWI ex-USInternational11.2%-7.2%19.1%-1.6%7.3%S&P EPAC SmallCapSmall Cap Int'l14.6%-6.0%23.2%-2.5%9.9%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.Domestic Fixed Income BenchmarksBarclays AggregateCore Bonds0.3%7.7%6.8%6.3%5.8%Barclays US High YieldHigh Yield5.3%6.5%23.9%8.1%9.2%Barclays 1-10 Yr Muni.Municipal Bond0.5%7.5%5.3%5.3%4.8%Barclays US TIPS 1-10 YrInflation1.4%8.0%7.1%6.6%6.6%BofA ML US 3-Month T-Bill Cash0.0%0.1%0.1%1.2%1.9%Qtr. 1 Yr.3 Yr.5 Yr.10 Yr.Global Fixed Income BenchmarksCitigroup WGBIGlobal Bonds-0.5%5.1%6.2%6.8%7.9%JPM EMBI+Em. Mkt. Bonds4.0%12.8%16.0%8.5%n/aQtr. 1 Yr.3 Yr.5 Yr.10 Yr.Diversified BenchmarkBalanced Index*Diversified8.2%5.2%19.1%2.9%6.0%* 35% LC, 10% SC, 12% Int'l, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITSSource: Barclays Live, eVestment Alliance and Wilshire 6 Investment Market Update: As of March 31, 2012 Sources: Lehman Live, Bloomberg, Wilshire SectorIndex200820092010QTR 1QTR 2QTR 3QTR 42011JanFebMar2012Large Cap Growth R1000 Growth-38.4%37.2% 16.7% 6.0% 0.8%-13.2%10.6% 2.6% 6.0% 4.8% 3.3% 14.7%Emerging EM (net)-53.3%78.5% 18.9% 2.1%-1.1% -22.5%4.4%-18.4%11.3% 6.0%-3.3%14.1%Small Cap Growth R2000 Growth-38.5%34.5% 29.1% 9.2%-0.6% -22.3%15.0%-2.9%7.5% 3.3% 2.0% 13.3%SMID Cap R2500-36.8%34.4% 26.7% 8.7%-0.6% -21.2%14.6%-2.5%6.7% 3.7% 2.2% 13.0%Large Cap Russell 1000-37.6%28.4% 16.1% 6.2% 0.1%-14.8%11.8% 1.5% 4.9% 4.4% 3.1% 12.9%Large Cap S&P 500-37.0%26.5% 15.1% 5.9% 0.1%-13.8%11.8% 2.1% 4.5% 4.3% 3.3% 12.6%Small Cap Russell 2000-33.8%27.2% 26.9% 7.9%-1.6% -21.9%15.5%-4.2%7.1% 2.4% 2.6% 12.4%Small Cap Value R2000 Value-28.9%20.6% 24.5% 6.6%-2.7% -21.4%16.0%-5.5%6.6% 1.5% 3.1% 11.6%Large Cap Value R1000 Value-36.8%19.7% 15.5% 6.5%-0.5% -16.2%13.1% 0.4% 3.8% 4.0% 3.0% 11.1%Int. Equity EAFE (net)-43.4%31.8% 7.8% 3.4% 1.6%-19.0%3.3%-12.1%5.3% 5.7%-0.5%10.9%REITS Wilshire REIT-39.2%28.6% 28.6% 6.7% 3.9%-5.0%15.4% 9.2% 6.5%-1.1%5.2% 10.8%Diversified Diversified*-23.3%17.5% 12.6% 3.6% 1.1%-8.7%6.7% 2.0% 4.0% 2.6% 1.3% 8.2%Emerging FI BC Emerging ($US)-14.8%34.2% 12.8% 1.6% 3.4%-2.9%4.9% 7.0% 2.3% 2.7% 0.4% 5.5%High Yield BC HY-26.2%58.2% 15.1% 3.9% 1.1%-6.1%6.5% 5.0% 3.0% 2.4%-0.1%5.3%Muni BondsBC Muni (unadj)-2.5%12.9% 2.4% 0.5% 3.9% 3.8% 2.1% 10.7% 2.3% 0.1%-0.6%1.7%Commodities DJ UBS Commodity-35.7%18.9% 16.8% 4.4%-6.7% -11.3%0.3%-13.3%2.5% 2.7%-4.1%0.9%Long Credit BC Long Credit-3.9%16.8% 10.7% 0.6% 3.3% 9.1% 3.2% 17.1% 2.3% 1.0%-2.4%0.8%Int. Core FI BC Intermediate Agg 4.9% 6.5% 6.2% 0.5% 2.2% 2.3% 0.9% 6.0% 0.8% 0.0%-0.2%0.7%Int. Gov/Credit BC Intermediate GC 5.1% 5.2% 5.9% 0.3% 2.1% 2.4% 0.8% 5.8% 1.0%-0.1% -0.4%0.6%Gov/Credit BC 1-5 Yr Gov/Cred 5.1% 4.6% 4.1% 0.3% 1.5% 0.9% 0.4% 3.1% 0.7%-0.0% -0.1%0.5%Gov/Credit BC 1-3 Yr Gov/Cred 5.0% 3.8% 2.8% 0.2% 0.9% 0.3% 0.2% 1.6% 0.4% 0.0% 0.0% 0.4%Core FIBC Aggregate 5.2% 5.9% 6.5% 0.4% 2.3% 3.8% 1.1% 7.8% 0.9% 0.0%-0.5%0.3%Global FI Citigroup WGBI 10.9% 2.6% 5.2% 0.7% 3.3% 2.4%-0.1%6.4% 1.5%-0.9% -1.0% -0.5%Long Gov/Credit BC Long Gov/Credit 8.4% 1.9% 10.2%-0.0%3.3% 15.6% 2.6% 22.5% 1.3%-0.4% -3.0% -2.1%Treasury STRIPS BC 20+ STRIPS 59.5%-36.0%10.9%-3.7%3.7% 55.3% 2.3% 58.5%-1.3% -3.7% -6.7% -11.3%* 35% LC, 10% SC, 12% Intl, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITSPERFORMANCE THROUGH 3/31/20127 Economic Environment8 Market Environment – U.S. Equity9 U.S. Stock Market Performance10 Non – U.S. Stock Market Performance11 Fixed Income Performance12 Plan Reporting13 Due Diligence & RecommendationsInvestment OptionsPerformance (Recent Quarter)Changes/Announcements (Recent Quarter)NEPC Due Diligence Committee RecommendationsPlan RecommendationsVanguard Target Retirement Funds---No action recommendedVanguard LifeStrategy FundsBottom Quartile (Income)- Hold Consider AlternativesVanguard Prime Money Market---No action recommendedVanguard Retirement Savings Trust--WatchAll stable value funds remain on “watch” at NEPCVanguard Total Bond Market IndexBottom Quartile - - No action recommendedVanguard Balanced Index---No action recommendedVanguard Windsor II---No action recommendedVanguard 500 Index---No action recommendedVanguard U.S. GrowthTop Quartile - - No action recommendedVanguard Mid Cap Index---No action recommendedVanguard Small Cap Index ---No action recommendedVanguard International GrowthTop 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).14 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.15 Asset SummaryPeriods EndingBeginning YearBeginning QuarterEnd Quarter31-Mar-12($000)(%)($000)(%)($000)(%)Composite$194$194$295 Lifecycle Options $9549%$9549%$15954%Vanguard Target Retirement Income Inv$52%$52%$72%Vanguard Target Retirement 2015 Inv$00%$00%$00%Vanguard Target Retirement 2020 Inv$11%$11%$41%Vanguard Target Retirement 2025 Inv$2613%$2613%$3713%Vanguard Target Retirement 2030 Inv$63%$63%$114%Vanguard Target Retirement 2035 Inv$105%$105%$165%Vanguard Target Retirement 2040 Inv$105%$105%$207%Vanguard Target Retirement 2045 Inv$2412%$2412%$4114%Vanguard Target Retirement 2050 Inv$137%$137%$238%Lifestyle Options$158%$158%$196%Vanguard LifeStrategy Income Inv$11%$11%$11%Vanguard LifeStrategy Cnsrv Gr Inv$53%$53%$62%Vanguard LifeStrategy Moderate Gr Inv$31%$31%$41%Vanguard LifeStrategy Growth Inv$73%$73%$72%Core Options $8343%$8343%$11740%Vanguard Prime Money Market Inv$10%$10%$10%Vanguard Retirement Savings Trust$74%$74%$124%Vanguard Total Bond Market Index Inv$105%$105%$124%Vanguard Balanced Index Inv$74%$74%$103%Vanguard 500 Index Investor$126%$126%$207%Vanguard Windsor II Investor$42%$42%$62%Vanguard US Growth Inv$21%$21%$31%Vanguard Mid Cap Index Inv$126%$126%$176%Vanguard Small Cap Index Inv$179%$179%$238%Vanguard International Growth Inv$116%$116%$155%16 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 QuarterRankLastYearRankThreeYearsRankFiveYearsRankTenYearsRank100.0% Total Plan$29553.8% Target Date Funds$1592.2% Vanguard Target Retirement Income InvUS OE Retirement Income3.9737.1611.7805.38 n/a$7Vanguard Target Income Composite Index 4.0 7.1 11.8 5.2 n/a0.0% Vanguard Target Retirement 2015 InvUS OE Target Date 2011-20157.2445.5716.7413.614 n/a$0Vanguard Target 2015 Composite Index 7.2 5.2 16.8 3.5 n/a1.2% Vanguard Target Retirement 2020 InvUS OE Target Date 2016-20208.2425.01317.8443.210 n/a$4Vanguard Target 2020 Composite Index 8.2 5.2 18.1 3.1 n/a12.6% Vanguard Target Retirement 2025 InvUS OE Target Date 2021-20259.1424.5919.0452.716 n/a$37Vanguard Target 2025 Composite Index 9.1 4.8 19.3 2.7 n/a3.7% Vanguard Target Retirement 2030 InvUS OE Target Date 2026-203010.0444.01220.2352.216 n/a$11Vanguard Target 2030 Composite Index 10.1 4.3 20.4 2.2 n/a5.4% Vanguard Target Retirement 2035 InvUS OE Target Date 2031-203511.0423.51421.1272.024 n/a$16Vanguard Target 2035 Composite Index 11.0 3.8 21.3 2.0 n/a6.7% Vanguard Target Retirement 2040 InvUS OE Target Date 2036-204011.3473.51521.1382.112 n/a$20Vanguard Target 2040 Composite Index 11.3 3.8 21.3 2.0 n/a13.9% Vanguard Target Retirement 2045 InvUS OE Target Date 2041-204511.3573.51321.1462.025 n/a$41Vanguard Target 2045 Composite Index 11.3 3.8 21.3 2.0 n/a7.9% Vanguard Target Retirement 2050 InvUS OE Target Date 2050+11.3613.51321.1482.020 n/a$23Vanguard Target 2050 Composite Index 11.3 3.8 21.3 2.0 n/a6.4% Lifestyle Funds$190.5% Vanguard LifeStrategy Income InvUS OE Conservative Allocation2.6944.83210.1894.2365.040$1Vanguard Income Benchmark 2.9 6.5 9.8 5.1 5.8 2.2% Vanguard LifeStrategy Cnsrv Gr InvUS OE Conservative Allocation5.0564.25013.4573.4615.138$6Vanguard Conservative Growth Benchmark 5.2 5.4 12.5 3.7 5.7 1.3% Vanguard LifeStrategy Moderate Gr InvUS OE Moderate Allocation7.5684.14816.6572.7495.332$4Vanguard Moderate Growth Benchmark 7.2 5.2 15.4 2.6 5.8 2.4% Vanguard LifeStrategy Growth InvUS OE Aggressive Allocation10.1472.92819.7381.4545.032$7Vanguard Moderate Growth Benchmark 7.2 5.2 15.4 2.6 5.8Annualized ReturnsEndingMarket Value17 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 QuarterRankLastYearRankThreeYearsRankFiveYearsRankTenYearsRank100.0% Total Plan$2954.4% Capital Preservation Funds$130.2% Vanguard Prime Money Market InvUS Money Market Taxable0.0 0.0 0.1 1.4 1.9 $1BofAML US Treasury Bill 3 Mon 0.0 0.1 0.1 1.2 1.9 4.2% Vanguard Retirement Savings TrustStable Value0.7 2.9 2.9 3.4 3.9 $12RL 3yr GIC 0.4 2.1 3.2 3.8 3.9 4.0% Fixed Income Funds$124.0% Vanguard Total Bond Market Index InvUS OE Intermediate-Term Bond0.2927.6256.6846.1425.547$12BarCap US Agg Bond TR USD 0.3 7.7 6.8 6.2 5.8 3.2% Balanced Funds$103.2% Vanguard Balanced Index InvUS OE Moderate Allocation7.7637.9717.4414.4115.622$1060% S&P 500-40% BarCap Agg 7.6 8.6 16.9 4.1 5.1 9.6% Large Cap Equity Funds$282.0% Vanguard Windsor II InvestorUS OE Large Value12.4338.41323.0200.6325.022$6Russell 1000 Value TR USD11.1 4.8 22.8 -0.8 4.6 6.7% Vanguard 500 Index InvestorUS OE Large Blend12.5508.41923.3221.9314.037$20S&P 500 TR12.6 8.5 23.4 2.0 4.1 0.9% Vanguard US Growth InvUS OE Large Growth18.21710.91922.6503.6472.683$3Russell 1000 Growth TR USD 14.7 11.0 25.3 5.1 4.3 13.6% Small/Mid Cap Equity Funds$405.7% Vanguard Mid Cap Index InvUS OE Mid-Cap Blend13.3382.62428.7222.9397.226$17MSCI US Mid Cap 450 GR USD 13.4 2.8 29.0 3.0 7.7 7.9% Vanguard Small Cap Index InvUS OE Small Blend12.9300.94130.2173.6247.529$23MSCI US Small Cap 1750 GR USD 13.0 0.9 30.3 3.6 7.9 4.9% International Equity Funds$154.9% Vanguard International Growth InvUS OE Foreign Large Blend13.913-4.72521.570.0126.915$15MSCI ACWI Ex USA NR USD 11.2 -7.2 19.1 -1.6 7.3 Annualized ReturnsEndingMarket Value18 Appendix19 Vanguard Target Retirement Income Inv VTINX Vanguard Target Income Composite Index Risk & Return Illustration (3 Years) Time Period: 4/1/2009 to 3/31/2012 ReturnStd Dev 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 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 12 2012 030.0 5.0 10.0 15.0 20.0 25.0 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 12 2012 03-10.0 -5.0 0.0 5.0 10.0 15.0 20.0 Vanguard Target Retirement Income Inv Vanguard Target Income Composite Index Top 10 Holdings Portfolio Date: 12/31/2011 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 0.2 0.2 45.1 Equity 12.9 12.9 21.1 Fixed Income 0.8 0.8 19.8 Equity 11.9 11.9 9.0 Money Market 0.0 0.0 4.9 0.1 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 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 5.2 9 6.9 3.4 6.5 8.1 -11.4 14.3 9.4 5.3 Source: Morningstar Direct 20 Vanguard Target Retirement 2015 Inv VTXVX Vanguard Target 2015 Composite Index Risk & Return Illustration (3 Years) Time Period: 4/1/2009 to 3/31/2012 ReturnStd Dev 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 Vanguard Target Retirement 2015 Inv Vanguard Target 2015 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 12 2012 030.0 5.0 10.0 15.0 20.0 25.0 30.0 Vanguard Target Retirement 2015 Inv Vanguard Target 2015 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 12 2012 03-15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 Vanguard Target Retirement 2015 Inv Vanguard Target 2015 Composite Index Top 10 Holdings Portfolio Date: 12/31/2011 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 Vanguard Inflation-Protected Secs Inv CMT Market Liquidity Rate Equity 12.9 12.9 40.2 Fixed Income 0.2 0.2 40.0 Equity 11.9 11.9 16.7 Fixed Income 0.7 0.7 2.9 0.0 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard Target Retirement 2015 Inv Vanguard Target 2015 Composite Index 9.0 12 4.9 44 11.4 30 7.5 23 -24.1 15 21.3 76 12.5 34 1.7 19 9.1 5.0 11.5 7.5 -24.4 21.4 12.6 1.5 Source: Morningstar Direct 21 Vanguard Target Retirement 2025 Inv VTTVX Vanguard Target 2025 Composite Index Risk & Return Illustration (3 Years) Time Period: 4/1/2009 to 3/31/2012 ReturnStd Dev 0.0 3.0 6.0 9.0 12.0 15.0 18.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 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 12 2012 030.0 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 12 2012 03-15.0 -7.5 0.0 7.5 15.0 22.5 Vanguard Target Retirement 2025 Inv Vanguard Target 2025 Composite Index Top 10 Holdings Portfolio Date: 12/31/2011 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 12.9 12.9 51.2 Fixed Income 0.2 0.2 27.5 Equity 11.9 11.9 21.2 0.1 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 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 78 13.8 37 -0.4 16 10.1 5.5 13.4 7.6 -30.5 25.1 13.9 0.0 Source: Morningstar Direct 22 Vanguard Target Retirement 2035 Inv VTTHX Vanguard Target 2035 Composite Index Risk & Return Illustration (3 Years) Time Period: 4/1/2009 to 3/31/2012 ReturnStd Dev 0.0 4.0 8.0 12.0 16.0 20.0 24.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 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 12 2012 035.0 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 12 2012 03-22.5 -15.0 -7.5 0.0 7.5 15.0 22.5 30.0 Vanguard Target Retirement 2035 Inv Vanguard Target 2035 Composite Index Top 10 Holdings Portfolio Date: 12/31/2011 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 12.9 12.9 61.7 Equity 11.9 11.9 26.0 Fixed Income 0.2 0.2 12.3 0.1 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 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 -2.2 19 11.9 6.5 15.4 7.5 -35.1 28.5 15.2 -1.9 Source: Morningstar Direct 23 Vanguard Target Retirement 2045 Inv VTIVX Vanguard Target 2045 Composite Index Risk & Return Illustration (3 Years) Time Period: 4/1/2009 to 3/31/2012 ReturnStd Dev 0.0 4.0 8.0 12.0 16.0 20.0 24.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 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 12 2012 035.0 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 12 2012 03-22.5 -15.0 -7.5 0.0 7.5 15.0 22.5 30.0 Vanguard Target Retirement 2045 Inv Vanguard Target 2045 Composite Index Top 10 Holdings Portfolio Date: 12/31/2011 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 12.9 12.9 62.9 Equity 11.9 11.9 26.9 Fixed Income 0.2 0.2 10.1 0.1 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard Target Retirement 2045 Inv Vanguard Target 2045 Composite Index 12.9 1 6.9 100 16.0 46 7.5 41 -34.6 11 28.2 83 15.2 40 -2.5 14 11.9 7.0 16.2 7.5 -35.1 28.5 15.2 -2.1 Source: Morningstar Direct 24 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 Dev2005 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 12 2012 030.0 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 Return2005 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 12 2012 03-10.0 -5.0 0.0 5.0 10.0 15.0 20.0 Vanguard LifeStrategy Income Inv Vanguard Income Custom Benchmark Asset Allocation Portfolio Date: 12/31/2011 % Stock 19.8 Bond 76.3 Cash 3.4 Other 0.5 Total 100.0 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard LifeStrategy Income Inv Vanguard Income Custom Benchmark 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 3.8 15 9.4 7.6 5.1 2.8 6.3 6.2 -5.8 11.2 8.1 5.1 Source: Morningstar Direct 25 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 5.0 Vanguard LifeStrategy Cnsrv Gr Inv Vanguard Conservative Growth Custom Benchmark Rolling 3 Year Risk Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Std Dev2005 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 12 2012 030.0 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 Return2005 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 12 2012 03-10.0 -5.0 0.0 5.0 10.0 15.0 20.0 Vanguard LifeStrategy Cnsrv Gr Inv Vanguard Conservative Growth Custom Benchmark Asset Allocation Portfolio Date: 12/31/2011 % Stock 39.5 Bond 57.3 Cash 2.6 Other 0.5 Total 100.0 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard LifeStrategy Cnsrv Gr Inv Vanguard Conservative Growth Custom Benchmark -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 1.8 48 7.0 11.7 6.7 3.6 8.6 5.9 -15.6 15.4 9.5 2.6 Source: Morningstar Direct 26 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 0.5 1.0 1.5 2.0 2.5 3.0 Vanguard LifeStrategy Moderate Gr Inv Vanguard Moderate Growth Custom Benchmark Rolling 3 Year Risk Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Std Dev2005 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 12 2012 030.0 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 Return2005 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 12 2012 03-15.0 -7.5 0.0 7.5 15.0 22.5 Vanguard LifeStrategy Moderate Gr Inv Vanguard Moderate Growth Custom Benchmark Asset Allocation Portfolio Date: 12/31/2011 % Stock 59.0 Bond 37.5 Cash 2.8 Other 0.7 Total 100.0 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard LifeStrategy Moderate Gr Inv Vanguard Moderate Growth Custom Benchmark -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 0.3 45 4.5 16.0 8.8 4.4 10.9 5.7 -23.9 18.3 11.2 1.4 Source: Morningstar Direct 27 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 0.0 0.3 0.6 0.9 1.2 1.5 1.8 Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark Rolling 3 Year Risk Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Std Dev2005 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 12 2012 030.0 5.0 10.0 15.0 20.0 25.0 30.0 Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark Rolling 3 Year Return Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Return2005 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 12 2012 03-22.5 -15.0 -7.5 0.0 7.5 15.0 22.5 30.0 Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark Asset Allocation Portfolio Date: 12/31/2011 % Stock 79.1 Bond 19.1 Cash 1.2 Other 0.6 Total 100.0 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard LifeStrategy Growth Inv Vanguard Growth Custom Benchmark -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 -2.3 34 -2.0 20.6 10.4 5.2 13.2 5.2 -32.2 22.4 12.2 -1.2 Source: Morningstar Direct 28 Vanguard Prime Money Market Inv VMMXX BofAML 3M US Treasury Note TR USD Rolling Returns (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Return2005 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 12 2012 030.0 0.8 1.5 2.3 3.0 3.8 4.5 5.3 Vanguard Prime Money Market Inv BofAML 3M US Treasury Note TR USD 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 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 Vanguard Prime Money Market Inv BofAML 3M US Treasury Note TR USD 3.8 -0.9 1.3 3.0 4.8 4.9 2.2 0.2 0.2 0.1 1.7 0.9 1.1 3.0 4.9 5.1 2.8 0.5 0.1 0.0 Source: Morningstar Direct 29 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 2003 2004 2005 2006 2007 2008 2009 2010 2011 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 Bond 6.25% US Treasury Note 1.375% US Treasury Note 1.875% US Treasury Note 1% Gnma Ii 30yr Tba Jan US Treasury Note 1.875% US Treasury Bond 4.5% US Treasury Note 2.75% MUTUAL FUND - MONEY MARKET 4.11 BOND - GOV'T/TREASURY 1.25 BOND - GOV'T/TREASURY 0.93 BOND - GOV'T/TREASURY 0.79 BOND - GOV'T/TREASURY 0.75 BOND - GOV'T/TREASURY 0.70 BOND - GOV'T AGENCY PASS-THRU 0.63 BOND - GOV'T/TREASURY 0.63 BOND - GOV'T/TREASURY 0.57 BOND - GOV'T/TREASURY 0.54 Asset Allocation Portfolio Date: 12/31/2011 % Stock 0.0 Bond 94.2 Cash 5.8 Other 0.1 Total 100.0 Fixed Income Statistics Portfolio Date: 12/31/2011 Morningstar Fixed Income Style Box™High Med Low Ltd Mod Ext Fixed-Income Stats Average Eff Duration 5.0 Average Eff Maturity 7.2 Average Coupon 4.3 Average Price 111.5 Average Credit Quality AA Credit Quality Breakdown Portfolio Date: 12/31/2011 Fund Index AAA % AA % A % BBB % BB % B % Below B % Not Rated % Yield to Maturity 73.8 5.18 11.19 9.79 0.00 0.00 0.06 0.00 1.98 3.1 74.55 11.56 8.62 0.30 0.00 0.00 1.87 2.05 Source: Morningstar Direct 30 Vanguard Total Bond Market Index Inv VBMFX BarCap US Agg Bond TR USD Risk & Return Characteristics (5 Years) Time Period: 4/1/2007 to 3/31/2012 Fund Index R2 Alpha Beta Std Dev Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation 3.53.6 100.098.8 100.0105.7 -0.5 0.00.2 99.6 -0.2 1.0 1.4 1.0 100.0 0.0 1.0 1.5 1.0 Risk & Return Illustration (5 Years) Time Period: 4/1/2007 to 3/31/2012 ReturnStd Dev 0.0 1.0 2.0 3.0 4.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 Vanguard Total Bond Market Index Inv BarCap US Agg Bond TR USD Rolling Returns (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Return2005 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 12 2012 03-5.0 0.0 5.0 10.0 15.0 20.0 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 Dev2005 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 12 2012 032.0 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 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard Total Bond Market Index Inv BarCap US Agg Bond TR USD 10.3 4.1 4.3 2.4 4.3 7.0 5.2 5.9 6.5 7.8 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 7.6 15 Source: Morningstar Direct 31 Vanguard Balanced Index Inv VBINX 60% S&P 500-40% BarCap Agg Risk & Return Illustration (5 Years)ReturnStd Dev 0.0 3.0 6.0 9.0 12.0 15.0 0.0 1.0 2.0 3.0 4.0 5.0 Vanguard Balanced Index Inv 60% S&P 500-40% BarCap Agg Rolling 3 Year Risk Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Std Dev2005 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 12 2012 030.0 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 Return2005 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 12 2012 03-15.0 -7.5 0.0 7.5 15.0 22.5 Vanguard Balanced Index Inv 60% S&P 500-40% BarCap Agg Asset Allocation Portfolio Date: 12/31/2011 % Stock 58.8 Bond 38.0 Cash 2.9 Other 0.3 Total 100.0 Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard Balanced Index Inv 60% S&P 500-40% BarCap Agg -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 4.1 7 -9.8 18.5 8.3 4.0 11.1 6.2 -22.1 18.4 12.1 4.7 Source: Morningstar Direct 32 Vanguard 500 Index Investor VFINX S&P 500 TR Risk & Return Characteristics (5 Years) Time Period: 4/1/2007 to 3/31/2012 Fund Index R2 Alpha Beta Std Dev Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation 21.8 21.8 100.099.7 100.0100.1 -1.8 0.0 0.0 100.0 -0.1 1.0 0.0 1.0 100.0 0.0 1.0 0.0 1.0 Risk & Return Illustration (5 Years) Time Period: 4/1/2007 to 3/31/2012 ReturnStd Dev 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 0.0 0.4 0.8 1.2 1.6 2.0 2.4 Vanguard 500 Index Investor S&P 500 TR Rolling Risk (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Std Dev2005 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 12 2012 035.0 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 Return2005 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 12 2012 03-22.5 -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 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard 500 Index Investor S&P 500 TR -22.1 41 -22.1 28.5 28.7 28 10.9 10.7 4.9 36 15.8 4.8 5.5 60 -37.0 15.6 26.5 24 15.1 5.4 2.1 51 -37.0 38 26.5 54 14.9 31 2.0 19 Source: Morningstar Direct 33 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 12/2007 6/2008 12/2008 6/2009 12/2009 6/2010 12/2010 6/2011 12/2011 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 Attribution Total Cash Bond Missing Performance Total 7.52 9.08 13.31 16.41 -0.07 -0.23 -0.31 11.76 7.92 9.06 4.63 -0.27 0.55 0.28 12.89 12.25 5.91 5.08 -0.05 0.11 0.06 17.80 25.15 26.19 21.37 -0.70 0.82 0.12 13.65 12.55 8.54 6.81 -0.06 0.25 0.19 12.55 9.33 14.24 11.34 0.01 0.37 0.38 11.35 9.05 16.44 13.46 0.05 0.34 0.39 1.62 2.74 9.04 11.82 -0.01 -0.05 -0.05 3.00 4.59 0.68 2.73 0.14 -0.07 0.07 4.68 7.34 -2.86 -1.57 0.34 -0.07 0.27 1.25 0.00 12.11 0.01 0.00 0.01 98.05 100.00 12.54 11.12 -0.61 2.02 1.41 1.78 0.00 0.12 0.00 0.05 0.00 100.00 100.00 Market Capitalization Breakdown Portfolio Date: 12/31/2011 Fund Index Market Cap Giant % Market Cap Large % Market Cap Mid % Market Cap Small % Market Cap Micro % Average Market Cap (mil) (Long) 52.6 34.1 12.4 0.9 0.0 45,619.1 46.6 31.3 19.7 2.4 0.0 34,683.8 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 654 24.3 14.2 1.5 9.0 0.7 262 27.2 23.0 11.6 1.6 9.3 4.9 2.1 Holdings Based Style Trail (5 Years) Time Period: 4/30/2007 to 3/31/2012 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 34 Vanguard Windsor II Investor VWNFX Russell 1000 Value TR USD Risk & Return Characteristics (5 Years) Time Period: 4/1/2007 to 3/31/2012 Fund Index R2 Alpha Beta Std Dev Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation 23.3 100.0 100.0 0.0 23.0 104.0 96.6 0.4 3.4 97.9 1.4 1.0 0.0 1.0 100.0 0.0 1.0 -0.1 1.0 Risk & Return Illustration (5 Years) Time Period: 4/1/2007 to 3/31/2012 ReturnStd Dev 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 -1.1 -0.8 -0.5 -0.2 0.1 0.4 0.7 1.0 Vanguard Windsor II Investor Russell 1000 Value TR USD Rolling Risk (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Std Dev2005 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 12 2012 035.0 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 Return2005 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 12 2012 03-22.5 -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 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard Windsor II Investor Russell 1000 Value TR USD -16.9 35 -15.5 30.1 30.0 33 16.5 18.3 7.1 7 22.2 7.0 34 18.2 -0.2 50 -36.8 2.2 19.7 47 -36.7 15.5 0.4 53 27.1 28 10.6 88 2.7 24 Source: Morningstar Direct 35 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 12/2007 6/2008 12/2008 6/2009 12/2009 6/2010 12/2010 6/2011 12/2011 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 Attribution Total Cash Bond Other Missing Performance Total 17.31 14.26 18.36 16.77 0.07 0.29 0.36 3.91 12.22 8.48 6.60 0.73 0.09 0.82 8.03 10.82 8.92 2.99 0.31 0.54 0.85 5.20 4.22 17.34 15.42 0.01 0.10 0.11 8.22 10.49 14.82 14.16 0.01 0.06 0.06 8.13 12.80 13.34 12.66 0.09 0.07 0.16 40.09 28.77 23.66 23.75 1.14 -0.03 1.11 3.53 5.44 12.54 12.63 0.05 -0.01 0.03 1.89 0.84 19.06 5.02 -0.11 0.28 0.17 0.00 0.08 -0.78 0.01 0.00 0.01 0.01 0.00 15.24 0.00 0.00 0.00 96.31 99.95 18.38 14.70 2.31 1.37 3.68 2.68 0.00 0.29 0.00 0.71 0.00 0.00 0.05 100.00 100.00 Market Capitalization Breakdown Portfolio Date: 12/31/2011 Fund Index Market Cap Giant % Market Cap Large % Market Cap Mid % Market Cap Small % Market Cap Micro % Average Market Cap (mil) (Long) 26.9 49.0 23.7 0.3 0.0 28,123.9 43.9 33.0 21.8 1.3 0.0 39,704.8 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 115 31.4 89.0 18.6 3.1 15.0 17.0 0.4 585 29.2 17.2 4.1 12.2 18.4 Holdings Based Style Trail (5 Years) Time Period: 4/30/2007 to 3/31/2012 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 36 Vanguard US Growth Inv VWUSX Russell 1000 Growth TR USD Risk & Return Characteristics (5 Years) Time Period: 4/1/2007 to 3/31/2012 Fund Index R2 Alpha Beta Std Dev Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation 22.122.8 98.9 106.9 100.0 100.0 0.1 0.2 -0.4 3.3 1.0 100.0 0.0 1.0 0.0 1.0 98.0 -1.4 1.0 Risk & Return Illustration (5 Years) Time Period: 4/1/2007 to 3/31/2012 ReturnStd Dev 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 Vanguard US Growth Inv Russell 1000 Growth TR USD Rolling Risk (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Std Dev2005 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 12 2012 035.0 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 Return2005 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 12 2012 03-22.5 -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 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard US Growth Inv Russell 1000 Growth TR USD -35.8 92 26.1 -27.9 58 29.7 6.3 7.0 55 11.2 18 5.3 9.1 1.8 88 11.8 10.1 -38.4 68 37.2 16.7 -37.8 2.6 28 35.0 47 11.5 83 -0.7 36 Source: Morningstar Direct 37 Vanguard Mid Cap Index Inv VIMSX MSCI US Mid Cap 450 GR USD Risk & Return Characteristics (5 Years) Time Period: 4/1/2007 to 3/31/2012 Fund Index R2 Alpha Beta Std Dev Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation 26.0 100.0 100.0 0.0 25.9 99.5 100.2 -1.8 0.1 100.0 -0.2 1.0 0.1 1.0 100.0 0.0 1.0 0.1 1.0 Risk & Return Illustration (5 Years) Time Period: 4/1/2007 to 3/31/2012 ReturnStd Dev 0.0 5.0 10.0 15.0 20.0 25.0 30.0 0.0 1.0 2.0 3.0 4.0 Vanguard Mid Cap Index Inv MSCI US Mid Cap 450 GR USD Rolling Returns (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Return2005 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 12 2012 03-30.0 -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 Rolling Risk (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Std Dev2005 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 12 2012 030.0 7.5 15.0 22.5 30.0 37.5 45.0 Vanguard Mid Cap Index Inv MSCI US Mid Cap 450 GR USD Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard Mid Cap Index Inv MSCI US Mid Cap 450 GR USD -16.5 -14.6 39.0 41 20.5 34.1 13.9 55 13.7 20.4 6.2 19 -41.8 13.9 40.5 13 25.7 13.6 -1.9 46 6.0 44 -41.8 69 40.2 25 25.5 29 -2.1 34 Source: Morningstar Direct 38 Vanguard Small Cap Index Inv NAESX MSCI US Small Cap 1750 GR USD Risk & Return Characteristics (5 Years) Time Period: 4/1/2007 to 3/31/2012 Fund Index R2 Alpha Beta Std Dev Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation 27.527.5 100.0 100.0 99.8 99.9 -0.1 0.00.1 100.0 0.0 1.0 0.1 1.0 100.0 0.0 1.0 0.1 1.0 Risk & Return Illustration (5 Years) Time Period: 4/1/2007 to 3/31/2012 ReturnStd Dev 0.0 10.0 20.0 30.0 40.0 0.0 1.0 2.0 3.0 4.0 Vanguard Small Cap Index Inv MSCI US Small Cap 1750 GR USD Rolling Returns (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Return2005 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 12 2012 03-30.0 -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 Dev2005 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 12 2012 035.0 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 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard Small Cap Index Inv MSCI US Small Cap 1750 GR USD -20.0 71 -18.4 45.6 47.4 36 20.0 19.9 7.5 43 15.8 7.4 1.2 42 -36.2 15.7 36.1 42 27.8 1.2 -2.8 30 -36.1 53 36.1 26 27.7 25 -2.8 44 Source: Morningstar Direct 39 Vanguard International Growth Inv VWIGX MSCI ACWI 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 Attribution Total Cash Bond Other Missing Performance Total 14.12 9.09 15.92 17.68 0.42 -0.26 0.16 8.65 9.56 11.34 8.72 0.02 0.25 0.27 7.03 11.29 7.64 6.12 0.17 0.13 0.30 15.86 23.26 13.90 14.81 -0.23 -0.16 -0.39 6.16 6.55 8.08 4.75 0.00 0.23 0.23 13.44 10.57 12.92 12.68 0.07 0.03 0.10 14.12 6.32 18.12 16.82 0.51 0.18 0.69 9.64 11.92 13.65 10.15 -0.01 0.38 0.37 1.32 5.92 5.09 2.07 0.43 0.05 0.48 0.80 3.92 -1.71 6.04 0.15 -0.07 0.08 0.00 0.01 12.18 0.00 0.00 0.00 91.14 98.42 13.21 10.92 1.54 0.75 2.29 2.83 0.00 0.21 0.00 4.19 0.62 1.63 0.96 100.00 100.00 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 12/2007 6/2008 12/2008 6/2009 12/2009 6/2010 12/2010 6/2011 12/2011 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: 4/30/2007 to 3/31/2012 Micro Small Mid Large Giant Deep-Val Core-Val Core Core-Grth High-Grth Vanguard International Growth Inv MSCI ACWI 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 189 18.5 43.0 12.5 1.9 10.0 8.3 1.8 1,844 9.0 11.3 1.5 9.5 -5.2 Market Capitalization Breakdown Portfolio Date: 12/31/2011 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 % 55.8 34.3 8.8 1.1 0.0 27,130.3 80.0 20.0 53.9 34.4 11.5 0.2 0.0 24,279.8 Source: Morningstar Direct 40 Vanguard International Growth Inv VWIGX MSCI ACWI Ex USA NR USD Risk & Return Characteristics (5 Years) Time Period: 4/1/2007 to 3/31/2012 Fund Index R2 Alpha Beta Std Dev Up Capture Ratio Down Capture Ratio Sharpe Ratio (geo) Information Ratio (geo) Tracking Error Correlation 27.7 109.3 100.9 0.6 2.7 27.0 100.0 100.0 0.0 99.1 1.8 1.0 0.0 1.0 100.0 0.0 1.0 -0.1 1.0 Risk & Return Illustration (5 Years) Time Period: 4/1/2007 to 3/31/2012 ReturnStd Dev 0.0 10.0 20.0 30.0 40.0 -1.9 -1.6 -1.3 -1.0 -0.7 -0.4 -0.1 0.2 Vanguard International Growth Inv MSCI ACWI Ex USA NR USD Rolling Returns (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Return2005 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 12 2012 03-20.0 -10.0 0.0 10.0 20.0 30.0 40.0 Vanguard International Growth Inv MSCI ACWI Ex USA NR USD Rolling Risk (3 Years) Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile Std Dev2005 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 12 2012 035.0 10.0 15.0 20.0 25.0 30.0 35.0 Vanguard International Growth Inv MSCI ACWI Ex USA NR USD Calendar Year Returns 2002 Rank 2003 Rank 2004 Rank 2005 Rank 2006 Rank 2007 Rank 2008 Rank 2009 Rank 2010 Rank 2011 Rank Vanguard International Growth Inv MSCI ACWI Ex USA NR USD -17.8 62 34.4 39 19.0 30 15.0 39 25.9 37 16.0 22 -44.9 62 41.6 10 15.7 8 -13.7 47 -14.9 40.8 20.9 16.6 26.7 16.7 -45.5 41.4 11.2 -13.7 Source: Morningstar Direct 41 " R-Squared (R2) A measure of how close the relationship is between a Fund and its index benchmark. Values can range from 0% to 100%General Range for R-Squared: 70-100% = good correlation between the Fund s returns and the benchmark's returns 40-70% = average correlation between the Fund s returns and the benchmark's returns 0-40% = low correlation between the Fund s returns and the benchmark's returns" Alpha -A measure of the difference between a Fund s actual returns and expected performance, given its level of risk as measured by beta" Beta -A measure of a Fund s systematic risk to benchmark movements. The beta of the market (benchmark) is 1.0 General Range for Beta: A beta greater than 1.0 indicates the Fund s returns are more volatile than the benchmark s A beta less than 1.0 indicates the Fund s returns are less volatile than the benchmark s A beta of 1.0 indicates the Fund will generate the same level of risk as the market" Standard Deviation A statistical measurement of dispersion around an average, which represents how widely a Fund's returns varied over a specified time period A Fund with a standard deviation of 19% and a mean return of 5% over 5 years indicates about 68% of the data values have ranged between -14% and 24% (within one standard deviation of the mean) and about 95% of the data values have ranged between -33% and 43% (within two standard deviations of the mean) Standard deviation is a representation of risk; higher standard deviation represents greater fluctuations in price historically than lower standard deviation Glossary of Terms42 " Up Capture Ratio -Measures a Fund's performance in up markets relative to a benchmark. A ratio greater than 100% indicates the Fund has outperformed the benchmark during periods of rising markets." Down Capture Ratio -Measures a Fund's performance in down markets relative to a benchmark. A ratio greater than 100% indicates the Fund has underperformed the benchmark during periods of declining markets." Sharpe Ratio A risk-adjusted performance measure that uses Standard Deviation and Alpha to determine reward per unit of risk. Sharpe Ratio is used to standardize performance comparisons given different levels of risk employed across funds." Information Ratio (IR) -A risk-adjusted performance measure that calculates a ratio of Alpha over Tracking Error. A higher IR indicates greater risk-adjusted returns.General Range for Information Ratio: -0.5 to 0.5 A Fund with Alpha of 0.5% and Tracking Error of 4% would have an Information Ratio of 0.125 A Fund with Alpha of 1% and Tracking Error of 4% would have an Information Ratio of 0.25 A Fund with Alpha of 1% and Tracking Error of 8% would have an Information Ratio of 0.125 Information ratios fall in a tight range and are negative if Alpha is negative. Information ratios > 0 indicate positive risk-adjusted performance, and information ratios > 0.25 indicate strong risk-adjusted performance." Tracking Error Tracking error is the standard deviation of the differences between the Fund return and the benchmark return, i.e. the standard deviation of excess returns Tracking error is a measure of how benchmark-sensitive a Fund is Index funds generally have tracking error between 0 and 1.5% Benchmark-aware Funds generally have tracking error between 2% and 5% Benchmark-agnostic Funds generally have tracking error greater than 6%Glossary of Terms43 " Correlation -A statistical measure of how two securities (fund and benchmark) move in relation to each other. Values can range from -1.0 to +1.0 Perfect positive correlation - A coefficient of +1.0; implies a Fund and benchmark move in lockstep, up or down Perfect negative correlation A coefficient of -1.0; implies a Fund and benchmark move perfectly oppositely, up or down Zero correlation A coefficient of 0; implies that movements between the Fund and benchmark are random and the change in value of one will have no impact in the change in value of the otherGlossary of Terms44 " NEPC uses, as a data source, the plan s custodian bank or service provider for asset balances, calculation of accruals, transfers, exchanges and contribution deferral information. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within." This report is provided as a management aid for the client s internal use only. Fund performance contained in this report does not constitute a recommendation by NEPC." Information in this report on fund returns, market indices and security characteristics is received from sources external to NEPC. While efforts are made to ensure that this external data is accurate, NEPC cannot accept responsibility for errors that may occur." (c) Morningstar 2011. All Rights Reserved. For institutional use only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past financial performance is no guarantee of future results.Disclaimer45