HomeMy Public PortalAboutDeferred Compensation Plan 3Q16Performance
Review
Metropolitan St. Louis Sewer
District Deferred Compensation
Plan
3rd Quarter 2016
Pavilion Advisory Group Inc.
227 W. Monroe Street, Suite 2020
Chicago, IL 60606
Phone: 312-798-3200
Fax: 312-902-1984
www.pavilioncorp.com
1 Capital Markets Review 1
2 Executive Summary 8
3 Performance Summary 11
4 Plan Assets 19
5 Manager Evaluation 22
Table Of Contents
Capital Markets Review
1
Capital Markets Rev iew
Economy
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
Chicago Fed National Acti vity In dex
0 indicates average growth level
36-month rolling average
Economic Growth Below Average
20
25
30
35
40
45
50
55
$/BarrelNo rth Amer ic an pr oduc tion potential
limit ing upper bounds near $50
U.S. Crude Oil Prices
-2 .0
-1 .5
-1 .0
-0 .5
0.0
0.5
1.0
1.5
Mo rgan Sta nley Gl obal Tra de Leading In dicator
Source: Chicago Federal Reserve Source: Bloomberg
Global Trade Contracting
Global Economies Still Searching For Growth
§Oil prices took a round-trip during the quarter to end $0.09 lower.July saw oil prices
plummet in reaction to Brexit,which was an overreaction on the downside.After
economic crash fears abated,oil prices began to rebound during August.OPEC’s
proposed crude oil production cuts again bolstered prices,prompting central banks to
raise alarms over future inflation.Even if OPEC cuts production,crude oil prices are
unlikely to substantially rise,as U.S.producers have ample spare capacity to minimize
any potential shortages.Short of a surge in global economic growth,oil prices are
unlikely to deviate markedly from current levels.
§The Federal Reserve upped its verbiage regarding interest rate hikes.Though the
pattern of Fed activity is similar to 2015,its conviction to raise rates before year-end is
not as strong.Employment figures have improved in 2016,inflation remains subdued
and growth is tepid.Economic growth has remained below average since the 2008-
2009 recession and indicators are not signaling an impending change.The Fed
continues to state that its interest rate decisions are dependent upon improving
economic conditions,which currently do not appear strong enough to justify rate hikes.
§Global trade remained weak as economies retrenched and political winds shifted away
from globalism.Commodity prices gained in the first half of 2016,though the recent
direction was lower as economies were perceived as needing additional stimuli to
combat slow growth.Abundant agricultural production further pressured prices,though
consumers have benefited from stable-to-declining food prices.
2
5.3%4.9%3.9%
8.5%
6.4%5.4%
7.8%
5.4%
9.0%10.5%
2.9%
6.6%
20.6%
7.8%
5.3%
1.7%
0.0%0.0%
32.2%
16.0%
13.0%11.6%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
3Q YTD
Capital Markets Rev iew
Equities
Developed Markets Emerging Markets
3rd Quarter and YTD 2016 World Equity Returns
10.9%
7.8%
11.4%
3.6%
18.7%
1.4%
7.6%
5.6%
17.9%
16.1%
4.6%
4.1%
3.9%
3.7%
2.9%
2.3%
0.9%
-2.6%
-2.9%
-5.6%
-5.9%
Fina ncials
Industrials
S&P 500
Materials
Cons Disc
Energy
Health Care
Cons Staples
Real Estate
Telecom
Utilities
3Q 16 YTD
3rd Quarter 2016 and YTD S&P 500 Sector Returns
3rd Quarter 2016 Saw Small Caps Outperform Growth and Cyclicals Propel Equity Markets Higher
§The S&P 500 gained 3.9%during the third quarter,bringing the year to date return to
7.8%.Information Technology was by far the strongest performing sector for the quarter
while higher yielding sectors such as Utilities,Telecom,Real Estate,and Consumer
Staples experienced a reversal from the first half of the year.Health Care eked out a
modest gain as political and regulatory pressure weighed on the sector in the months
leading up to the U.S.presidential election.
§Emerging markets returned 9.0%during the third quarter and 16.0%year to date,
outperforming both the U.S.and EAFE.Latin America continued to log gains for the year
and remains the best performing equity market year to date.Asian markets,both
developed and emerging,had the strongest performance during the quarter.
§The third quarter saw a reversal in style with growth edging out value;however,value
remains solidly ahead of growth year to date.Size was a prominent factor during the
quarter,with small-cap stocks performing significantly better than large-cap stocks.
4.6%
3.5%
9.2%8.9%
6.0%
10.0%
7.5%
15.5%
0.0%
5.0%
10.0%
15.0%
20.0%
Russell 1000 Growth Russell 1000 Value Russell 2000 Growth Russell 2000 Value
3Q16 YT D
12.5%
1.4%
12.9%
4.6%
-10.0%-5.0%0.0%5.0%10.0%15.0%20.0%25.0%
Info Tech
Fina ncials
3
Source: Barclays
Source: fred.stlouisfed.org
Capital Markets Rev iew
Fixed Income
Duration –Ad justed Excess Returns to Treasuries (bps)Trailing Five-Year Lending Rates PercentDate
2009 2010 2011 2012 2013 2014 2015 1Q16 2Q16 3Q16
Aggregat e 746 171 -114 226 93 10 -53 -4 31 68
Agenc y 288 77 -25 166 1 10 -133 23 36 44
MBS 495 225 -106 91 98 40 -5 -38 3 64
ABS 2496 169 52 246 24 53 44 16 50 26
CMBS 2960 1501 47 841 97 108 -28 58 37 91
Credit 1990 192 -322 693 226 -18 -169 18 97 155
Hi gh Y ield 5955 974 -240 1394 923 -112 -577 77 411 576
EMD (US D)3797 508 -537 1503 -32 -120 3 123 266 354
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
100.0%
LIBOR Rate (3-month USD)Federal Funds Ra te
Best Period Second Best Period Worst Period Second W ors t Period
Source: US Dept. of The Treasury
Bonds Rally as Strong Demand Overshadows Rise in Yields
§Despite hitting record lows in July,Treasury yields ended the third quarter higher across
the curve.Amid concerns following the UK’s referendum decision to leave the European
Union,the 10-year dropped to as low as 1.36%before bouncing back sharply and ending
the quarter at 1.60%.Rate volatility slowed during the second half of the quarter as U.S.
economic data signaled modest improvement through strong payroll growth.U.S.
Treasuries generated their first negative quarterly return since 2015 (-0.28%).
§In spite of higher yields across the curve,all spread sectors ended the quarter with
positive total returns and outpaced Treasuries on a duration-adjusted basis.Investment
grade credit spreads tightened 18 bps during the quarter,while high yield spreads
tightened 114 bps as the sector returned +5.6%.Strong demand from global investors
continued to benefit U.S.corporate credit as the universe of negative yielding sovereign
debt reached $11.7 trillion globally.
§Three-month LIBOR increased by 19 bps during the quarter despite an unchanged Fed
policy rate.The increase in borrowing costs,instead,resulted from the anticipation of
new money market regulations requiring a floating NAV for prime funds,which will take
effect on October 14th.
§U.S.dollar-denominated emerging market debt produced strong results (+4.0%)for the
quarter as spreads tightened solidly across all regions.Commodity producing countries
led the charge with Venezuela standing out with a +28.4%return on the quarter as energy
prices stabilized.Mexico (-3.7%)was the largest underperformer.
U.S. Treasury Yield Curve Change
Change in YieldMaturity (Years)
-0.7%
-0.5%
-0.3%
-0.1%
0.1%
0.3%
0.5%
0.7%
3Q16 1 Yr Ending 3Q16
4
53%
30%
26%
19%18%
15%14%14%
11%
8%
0%
10 %
20 %
30 %
40 %
50 %
60 %
Capital Markets Review
Hedge Funds
HFRI Index Performance | Third Quarter and Year To Date Hedge Fund Strategies Sought by Investors over the Next 12 Months
Source: Preqin
1.7%
5.8%
0.9%
2.2%
-0.3%
4.1%
5.9%
6.8%
4.2%
7.1%
9.1%
-1.1%
0.5%
0.8%
2.1%
2.4%
2.9%
3.5%
4.5%
4.6%
5.4%
5.5%
Global Macro
BC Aggregate Bond Index
Equity Market Neutral
Merger Arbitrage
Fund of Funds
Hedge Fund Composite
Convertible Arbitrage
Event Driven
Equity Hedge
MSCI All-Country World Index
Distressed Securities Q3 2016
YTD
Fund StrategyProportion of Fund SearchesPerformance Rebound Continues for Hedge Funds in Q3
§Hedge funds enjoyed a strong third quarter with all strategies except Global Macro delivering
positive returns.The overall Hedge Fund Composite (+2.9%)compared well to the MSCI All-
Country World Index which closed the quarter up (+5.4%).The Barclays Capital Aggregate
Bond Index posted a modest return of (+0.5%).Fund of Funds (+2.4%)lagged the overall
Hedge Fund Composite but nevertheless delivered a solid positive return.Assets with hedge
fund managers totaled $3.0 trillion.
§Distressed Securities (+5.5%)was the top performing strategy for the second quarter in a row
delivering excellent returns.Strong performance from energy credits across oil,natural gas and
coal drove returns.Shelf Drilling Holdings Ltd and Linn Energy LLC were two stand-out
performers.
§Equity Hedge (+4.6%)and Event Driven (+4.5%)generated strong returns as market conditions
continued to normalize and investors focused on fundamentals.Within Equity Hedge,alpha
from the long side of the portfolio rebounded strongly,more than compensating for moderate
negative alpha on the short side.Equity Hedge strategies remain popular with investors.
§Convertible Arbitrage (+3.5%)had another strong quarter while Merger Arbitrage (+2.1%)
rebounded from a small loss in Q2.Global Macro (-1.1%)was the only negative strategy with
managers struggling to make profits in choppy,low volatility markets.
§According to HFR,hedge fund assets increased by $73.5 billion through September 2016.
Redemptions increased during the quarter with net redemptions of $28 billion compared to $8.2
billion in the second quarter.The industry generated net performance gains of $84 billion for
the third quarter.
Hedge Fund Assets and Flows
Source: HFR, Inc.
-$200,000
$200,000
$600,000
$1,000,000
$1,400,000
$1,800,000
$2,200,000
$2,600,000
$3,000,000
19911993199519971999200120032005200720092011201320152016 (Q2)Assets ($MM)Net Asset Flow Estimated Assets
1.7%
-4%-2%0%2%4%6%8%10%12%14%
Fund Strategy
5
Capital Markets Review
Real Assets
Private Real Estate Returns as of Second Quarter 2016
Source: NCREIF
REIT Returns Favorable
(Periods Ended September 30, 2016)
Source: NAREIT
Private Real Estate Performs Well; Commodities Decline
3 M on.1 Yr.3 Yr s.5 Yrs.10 Yrs.
NCREI F 2.0%10.6%11.6%11.5%7.4%
Apart ment s 1.9%9.7%10.4%11.0%6.9%
Industrial 2.9%13.3%13.6%12.8%7.5%
Offi ce 1.7%9.3%10.8%10.5%7.1%
Ret ail 2.2%12.2%13.1%13.1%8.6%
East 1.7%8.6%9.5%9.7%6.6%
Midwes t 2.0%9.7%10.9%10.8%6.8%
Sout h 1.8%10.4%12.5%12.3%7.7%
West 2.5%13.0%13.3%13.0%8.2%
Qua rter YT D 5 Years
Global 1.3%10.2%12.3%
U.S.-1.4%11.8%15.9%
Europe 4.8%1.1%11.3%
Emerging Mark et s 7.6%11.5%6.3%
-40.0
-30.0
-20.0
-10.0
0.0
10.0
20.0
30.0
3Q16 YTD 1 year 3 years 5 years
GSCI
Cr ud e O il
Agricultur e
Ind ustr ial Metal s
Precious Metal s
Commodity Returns
Private Real Estate Performs Well; Commodities Decline
§Private real estate returned 2.0%during the second quarter of 2016 and 10.6%for the trailing one year
period.NCREIF reports that the quarterly return has been trending down since 2010 as property
values have risen faster than income.By sector,industrial and retail properties performed best for the
quarter.By region,the West was the strongest performer for the quarter and year.Three-and five-
year returns have been boosted by significant appreciation.Long-term,income has represented about
70%of the total return from real estate,although in recent years,appreciation has been 50%or more
of the return to real estate.Expectations are that returns will be driven primarily by income (estimated
at 5%)over the next few years,with little appreciation.
§U.S.REIT returns were negative during the third quarter (-1.2%)on concerns over higher interest
rates,although year to date returns for U.S.REITs are favorable at +11.8%.While U.S.REITs trade
near their NAV levels,cap rates are at historically low levels,so any increase in interest rates is likely
to put pressure on prices despite continuing strong fundamentals.Japanese REITs returned -1.3%
during the third quarter in local currency terms and +0.0%in U.S.dollar terms as the Yen appreciated.
The BOJ’s yield curve steepening measures were seen as a negative for REITs.Both U.K.and
Developed Europe ex.U.K.REITs were up for the quarter,returning +2.0%and +6.2%,respectively
in U.S.dollar terms.Japanese,U.K,and European REITs all look expensive relative to their NAVs.
During the third quarter,MSCI and S&P moved REITS out of the financials sector and created an 11th
GICs sector.The REIT GICs sector represents approximately 3%of the S&P 500.
§With the exception of industrial metals,commodity markets retreated during the third quarter (-4.2%),
with the agricultural index leading the decline (-7.5%).Year to date,the Goldman Sachs Commodity
Index returned 5.3%,with precious metals (+25.0%)driving the year-to-date gain.With the exception
of precious metals during the trailing 12 months,commodity returns are negative for the trailing one-,
three-,and five-year periods as 2016’s small gains could not offset negative returns in four (2011,
2013,2014,and 2015)of the past five years.Sentiment around commodities remains mixed.Gold
has seen increased investment flows given its safe haven status.Oil prices rebounded from 2015 lows
but have been volatile depending on expectations for U.S.interest rates and supply conditions.
Source: S&P GSCI
6
Quarter
Year
To
Date
1
Year
2
Years
3
Years
5
Years
7
Years
10
Years
Domestic Equity Indices
Dow Jones Wilshire 5000 4.3 8.4 15.3 7.2 10.7 16.3 13.1 7.4
S&P 500 3.9 7.8 15.4 7.1 11.2 16.4 13.2 7.2
Russell 1000 Index 4.0 7.9 14.9 6.9 10.8 16.4 13.2 7.4
Russell 1000 Growth Index 4.6 6.0 13.8 8.3 11.8 16.6 14.1 8.8
Russell 1000 Value Index 3.5 10.0 16.2 5.4 9.7 16.2 12.3 5.9
Russell Midcap Index 4.5 10.3 14.2 6.8 9.7 16.7 14.1 8.3
Russell Midcap Growth Index 4.6 6.8 11.2 6.2 8.9 15.8 13.9 8.5
Russell Midcap Value Index 4.4 13.7 17.3 7.2 10.5 17.4 14.3 7.9
Russell 2000 Index 9.0 11.5 15.5 8.1 6.7 15.8 12.5 7.1
Russell 2000 Growth Index 9.2 7.5 12.1 8.0 6.6 16.1 13.3 8.3
Russell 2000 Value Index 8.9 15.5 18.8 8.1 6.8 15.4 11.6 5.8
International Equity Indices
MSCI EAFE 6.4 1.7 6.5 -1.4 0.5 7.4 4.2 1.8
MSCI EAFE Growth Index 5.0 2.6 9.5 2.2 2.4 8.7 6.0 3.1
MSCI EAFE Value Index 8.0 0.8 3.5 -4.9 -1.5 6.0 2.4 0.4
MSCI EAFE Small Cap 8.6 5.2 12.3 6.1 5.1 11.1 8.1 4.4
MSCI AC World Index 5.3 6.6 12.0 2.2 5.2 10.6 7.8 4.3
MSCI AC World ex US 6.9 5.8 9.3 -2.0 0.2 6.0 3.7 2.2
MSCI Emerging Markets Index 9.0 16.0 16.8 -2.9 -0.6 3.0 2.3 3.9
Fixed Income Indices
Blmbg. Barc. U.S. Aggregate 0.5 5.8 5.2 4.1 4.0 3.1 4.1 4.8
Blmbg. Barc. Intermed. U.S. Government/Credit 0.2 4.2 3.5 3.1 2.8 2.4 3.3 4.2
Blmbg. Barc. U.S. Long Government/Credit 1.2 15.7 14.7 8.7 10.1 6.3 8.2 7.8
Blmbg. Barc. U.S. Corp: High Yield 5.6 15.1 12.7 4.3 5.3 8.3 8.8 7.7
BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.2 0.3 0.1 0.1 0.1 0.1 0.9
Blmbg. Barc. U.S. TIPS 1.0 7.3 6.6 2.8 2.4 1.9 4.0 4.5
Citigroup Non-U.S. World Government Bond 0.6 14.2 12.6 2.3 1.2 0.2 1.4 3.9
JPM EMBI Global Diversified (external currency)4.0 14.8 16.2 7.5 8.2 7.8 7.9 7.7
JPM GBI-EM Global Diversified (local currency)2.7 17.1 17.1 -3.1 -2.6 0.1 2.2 5.5
Real Asset Indices
Bloomberg Commodity Index Total Return -3.9 8.9 -2.6 -15.1 -12.3 -9.4 -5.5 -5.3
Dow Jones Wilshire REIT -1.2 9.7 17.9 14.8 14.3 15.8 15.7 5.9
Capital Markets Review
Index Returns
As of September 30, 2016
(Percentage Return)
_________________________
Returns for periods greater than one year are annualized.
7
Executive Summary
8
Performance Summary - September 2016
During the third quarter, all equity, fixed income, and balanced/target date funds produced positive returns. Within the target date retirement funds most options
ranked near the median or better of their target date manager universe during the quarter.
Plan Assets
The investment menu provides a combination of single strategy funds and diversified portfolios including a balanced fund and target retirement date funds. The
retirement dates range from 2010 through 2060 in five year increments.
Manager Evaluation
Vanguard is a market leader and well known for its low cost market index and institutional investment funds.
In mid-July, Vanguard announced that M&G Investment Management will no longer serve as an advisor to the Vanguard International Growth Fund. The assets
formerly managed by M&G are being reallocated to the two remaining sub-advisors: Baillie Gifford (60%) and Schroder (40%).
Third quarter performance for active managers in the investment menu was favorable. Vanguard International Growth, Vanguard Windsor II and Vanguard US
Growth all exceeded their benchmarks. Respectively, they outperformed by 390 basis points, 60 basis points and 150 basis points.
Target retirement date funds approximated their respective benchmarks over longer-term periods.
Deferred Compensation Plan Executive Summary
9
Deferred Compensation Plan Executive Summary
Capital Markets Review
The S&P 500 gained 3.9% during the third quarter, bringing the year to date return to 7.8%. Information Technology was by far the strongest performing sector
for the quarter while higher yielding sectors such as Utilities, Telecom, Real Estate, and Consumer Staples experienced a reversal from the first half of the year.
Health Care eked out a modest gain as political and regulatory pressure weighed on the sector in the months leading up to the U.S. presidential election.
Despite hitting record lows in July, Treasury yields ended the third quarter higher across the curve. Amid concerns following the UK’s referendum decision to
leave the European Union, the 10-year dropped to as low as 1.36% before bouncing back sharply and ending the quarter at 1.60%. Rate volatility slowed during
the second half of the quarter as U.S. economic data signaled modest improvement through strong payroll growth. U.S. Treasuries generated their first negative
quarterly return since 2015 (-0.28%).
The Federal Reserve upped its verbiage regarding interest rate hikes. Though the pattern of Fed activity is similar to 2015, its conviction to raise rates before year-
end is not as strong. Employment figures have improved in 2016, inflation remains subdued and growth is tepid. Economic growth has remained below average
since the 2008-2009 recession and indicators are not signaling an impending change.
Emerging markets returned 9.0% during the third quarter and 16.0% year to date, outperforming both the U.S. and EAFE. Latin America continued to log gains
for the year and remains the best performing equity market year to date. Asian markets, both developed and emerging, had the strongest performance during the
quarter.
The third quarter saw a reversal in style with growth edging out value; however, value remains solidly ahead of growth year to date. Size was a prominent factor
during the quarter, with small-cap stocks significantly better than large-cap stocks.
Recommendations or Action Items
No recommendations at this time.
10
Performance Summary
11
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Domestic Equity Options
Vanguard 500 Index (VFINX)3.8 (64)7.7 (21)15.3 (14)11.0 (15)16.2 (20)7.1 (36)
S&P 500 3.9 (63)7.8 (20)15.4 (13)11.2 (13)16.4 (16)7.2 (33)
IM U.S. Large Cap Equity 4.3 5.5 12.0 9.1 14.9 6.5
Vanguard US Growth (VWUSX)6.1 (39)2.7 (59)11.2 (45)11.8 (17)17.2 (12)8.0 (45)
Russell 1000 Growth Index 4.6 (71)6.0 (14)13.8 (17)11.8 (16)16.6 (21)8.8 (19)
IM U.S. Large Cap Growth Equity 5.8 3.2 10.9 10.0 15.2 7.8
Vanguard Windsor II (VWNFX)4.1 (45)7.3 (44)12.1 (55)8.1 (42)14.7 (43)5.8 (36)
Russell 1000 Value Index 3.5 (64)10.0 (14)16.2 (15)9.7 (10)16.2 (10)5.9 (34)
IM U.S. Large Cap Value Equity 4.0 7.0 12.5 7.8 14.5 5.2
Vanguard Mid-Cap Index (VIMSX)5.2 (39)8.8 (37)12.5 (33)9.8 (13)16.4 (20)8.1 (27)
Vanguard Mid-Cap Index Fund Blended Benchmark 5.2 (38)8.9 (36)12.7 (31)10.0 (11)16.6 (15)8.3 (23)
IM U.S. Mid Cap Equity 4.6 7.3 10.5 7.2 14.7 7.2
Vanguard Small-Cap Index (NAESX)6.1 (86)11.4 (44)14.8 (48)7.8 (21)16.6 (24)8.3 (11)
Vanguard Small-Cap Index Fund Blended Benchmark 6.2 (85)11.5 (44)14.9 (47)7.9 (20)16.7 (23)8.4 (11)
IM U.S. Small Cap Equity 8.4 11.0 14.6 6.3 15.2 6.3
International Equity Option
Vanguard International Growth (VWIGX)10.8 (6)9.1 (34)16.7 (17)3.1 (21)9.8 (14)4.2 (24)
MSCI AC World ex USA (Net)6.9 (44)5.8 (48)9.3 (50)0.2 (59)6.0 (64)2.2 (57)
IM International Equity 6.6 5.4 9.2 0.7 7.0 2.6
Fixed Income Options
Vanguard Total Bond Market Index (VBMFX)0.4 (100)5.9 (65)5.2 (72)3.9 (53)2.9 (93)4.7 (76)
Vanguard Total Bond Market Index Fund Benchmark 0.4 (100)6.0 (64)5.3 (67)4.0 (49)3.1 (88)4.8 (66)
IM U.S. Broad Market Core+ Fixed Income 1.3 6.7 6.0 4.0 3.9 5.2
Vanguard Retirement Savings Trust 0.5 1.4 1.9 1.8 2.0 2.8
Ryan 3 Yr GIC Master 0.4 1.0 1.3 1.2 1.3 2.6
Performance Summary
Investment Options
As of September 30, 2016
_________________________
Returns are expressed as percentages. Returns for periods greater than one year are annualized.
Peer group percentile ranks are shown in parenthesis.
12
Performance Summary
Investment Options
As of September 30, 2016
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Equity/Fixed Income Blend Options
Vanguard Balanced Index (VBINX)2.8 (73)7.4 (14)11.1 (13)7.8 (9)10.9 (28)6.6 (11)
Vanguard Balanced Index Fund Benchmark 2.8 (72)7.5 (14)11.2 (10)8.0 (8)11.1 (22)6.8 (10)
IM Mixed-Asset Target Alloc Growth 3.5 6.0 9.6 5.7 10.1 5.2
Vanguard Target Retirement Income (VTINX)1.9 (61)6.3 (40)7.5 (38)4.7 (12)5.9 (25)5.3 (12)
Vanguard Target Income Composite Index (Net)2.0 (61)6.3 (39)7.8 (28)4.9 (7)6.1 (24)5.3 (6)
IM Mixed-Asset Target Today 2.2 6.1 7.2 3.7 5.3 4.2
Vanguard Target Retirement 2010 (VTENX)2.0 (74)6.3 (53)7.8 (60)5.1 (18)7.3 (47)5.2 (7)
Vanguard Target 2010 Composite Index (Net)2.1 (73)6.3 (50)8.1 (52)5.3 (9)7.4 (41)5.3 (5)
IM Mixed-Asset Target 2010 (MF) Median 2.6 6.3 8.1 4.5 7.2 3.9
Vanguard Target Retirement 2015 (VTXVX)2.8 (45)6.7 (40)9.0 (36)5.7 (7)8.6 (30)5.5 (10)
Vanguard Target 2015 Composite Index (Net)2.8 (43)6.8 (39)9.4 (22)5.9 (3)8.8 (20)5.5 (9)
IM Mixed-Asset Target 2015 (MF) Median 2.7 6.6 8.7 4.7 8.1 4.9
Vanguard Target Retirement 2020 (VTWNX)3.3 (30)7.1 (25)10.0 (12)6.2 (3)9.6 (11)5.6 (5)
Vanguard Target 2020 Composite Index (Net)3.4 (27)7.2 (24)10.4 (5)6.5 (1)9.9 (6)5.8 (2)
IM Mixed-Asset Target 2020 (MF) Median 3.0 6.7 8.8 4.5 7.8 4.2
Vanguard Target Retirement 2025 (VTTVX)3.7 (31)7.4 (20)10.7 (17)6.5 (4)10.4 (23)5.7 (10)
Vanguard Target 2025 Composite Index (Net)3.8 (29)7.3 (22)11.0 (7)6.7 (3)10.6 (18)5.8 (5)
IM Mixed-Asset Target 2025 (MF) Median 3.4 6.8 9.7 5.1 9.2 4.9
Vanguard Target Retirement 2030 (VTHRX)4.0 (33)7.4 (25)11.1 (27)6.6 (4)11.1 (17)5.6 (14)
Vanguard Target 2030 Composite Index (Net)4.1 (28)7.4 (25)11.5 (18)6.9 (3)11.3 (12)5.8 (10)
IM Mixed-Asset Target 2030 (MF) Median 3.7 6.9 10.4 5.3 9.7 4.4
Vanguard Target Retirement 2035 (VTTHX)4.4 (33)7.4 (31)11.6 (28)6.8 (6)11.8 (20)5.7 (15)
Vanguard Target 2035 Composite Index (Net)4.5 (26)7.4 (29)12.0 (16)7.0 (4)12.0 (14)5.9 (9)
IM Mixed-Asset Target 2035 (MF) Median 4.2 7.0 11.1 5.7 10.5 4.9
Vanguard Target Retirement 2040 (VFORX)4.7 (27)7.5 (28)12.1 (23)6.8 (8)12.1 (15)5.9 (14)
Vanguard Target 2040 Composite Index (Net)4.9 (20)7.5 (31)12.5 (14)7.1 (3)12.4 (8)6.0 (8)
IM Mixed-Asset Target 2040 (MF) Median 4.5 7.0 11.4 5.6 10.9 4.5
_________________________
Returns are expressed as percentages. Returns for periods greater than one year are annualized.
Peer group percentile ranks are shown in parenthesis.
13
Performance Summary
Investment Options
As of September 30, 2016
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years
Equity/Fixed Income Blend Options (cont.)
Vanguard Target Retirement 2045 (VTIVX)4.8 (35)7.5 (30)12.2 (25)6.9 (11)12.1 (20)5.9 (16)
Vanguard Target 2045 Composite Index (Net)5.0 (27)7.5 (30)12.6 (12)7.1 (5)12.4 (14)6.0 (13)
IM Mixed-Asset Target 2045 (MF) Median 4.6 7.1 11.5 5.9 11.4 4.9
Vanguard Target Retirement 2050 (VFIFX)4.8 (41)7.5 (34)12.1 (31)6.9 (12)12.1 (21)5.9 (1)
Vanguard Target 2050 Composite Index (Net)5.0 (29)7.5 (32)12.6 (16)7.1 (4)12.4 (13)6.0 (1)
IM Mixed-Asset Target 2050 (MF) Median 4.6 7.0 11.5 5.8 11.4 4.4
Vanguard Target Retirement 2055 (VFFVX)4.8 (46)7.5 (31)12.1 (35)6.8 (23)12.1 (35)N/A
Vanguard Target 2055 Composite Index (Net)5.0 (33)7.5 (30)12.6 (17)7.1 (8)12.4 (25)N/A
IM Mixed-Asset Target 2055+ (MF) Median 4.8 7.0 11.7 6.0 11.7 N/A
Vanguard Target Retirement 2060 (VTTSX)4.8 (47)7.5 (32)12.1 (34)6.8 (22)N/A N/A
Vanguard Target 2060 Composite Index (Net)5.0 (33)7.5 (30)12.6 (17)7.1 (8)N/A N/A
IM Mixed-Asset Target 2055+ (MF) Median 4.8 7.0 11.7 6.0 11.7 N/A
Money Market Option
Vanguard Prime Money Market (VMMXX)0.1 0.3 0.4 0.1 0.1 1.0
BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.2 0.3 0.1 0.1 0.9
_________________________
Returns are expressed as percentages. Returns for periods greater than one year are annualized.
Peer group percentile ranks are shown in parenthesis.
14
Pe rformance Summary
Manager Compliance Checklist
As of September 30, 2016
Ma na gers
Vanguard
S&P 500
Inde x
(V FINX)
Va nguard US
Grow th
(VWUSX)
Va nguard
Windsor II
(V WNFX)
Vangua rd
Mid-Ca p
Index
(V IMSX)
Va nguard
Small-Ca p
Inde x
(NAES X)
Vangua rd
Interna tiona l
Grow th
(V WIGX)
Vangua rd
Total Bond
Marke t Inde x
(VBMFX)
Vangua rd
Re ti re ment
Trust
Organi zati onal /Produ ct Is sues
No ma teria l c hanges to investment team +++++-++
No ma teria l o rg aniza tional changes ++++++++
Accounting or regulatory concerns ++++++++
Cu rrently in adherence to guidelin es ++++++++
Po rt fo lio characteris tics me et stylis tic expectations ++++++++
Re lati ve Perfor mance 1
Three-year return better than benchmark N/A In-Line -N/A N/A +N/A +
Three-year rankin g better than peer group median ++++++-N/A
Fiv e year re turn better than benchmark N/A +-N/A N/A +N/A +Fiv e year re turn better than benchmark N/A +-N/A N/A +N/A +
Fiv e year ra nkin g better than peer group median ++++++-N/A
Perfor manc e s tatus ++++++++
Summar y s tatus ++++++++
1 Manager performance is evaluated net of investment management fees.
15
Pe rformance Summary
Manager Compliance Checklist (Continued)
As of September 30, 2016
Manage rs
Vanguard
Ba lance d
Index
(V BI NX )
Vanguard
Target
Re ti re ment
Income Fund
(VTINX)
Vangua rd
Target
Re tirement
2010
(VTENX)
Vanguard
Ta rget
Re tire ment
2015
(V TXVX)
Vanguard
Ta rge t
Re ti re ment
2020
(V TWNX)
Vangua rd
Ta rge t
Re ti re ment
2025
(V TTVX)
Vanguard
Targe t
Re ti rement
2030
(V THRX)
Vangua rd
Targe t
Re tire ment
2035
(VTTHX)
Organizati onal /Produ ct Is sues
No ma terial c hanges to investment team ++++++++
No ma terial o rganiza tional changes ++++++++
Accounting or regulatory concerns ++++++++
Cu rrently in adherence to guidelin es ++++++++
Po rt fo lio characteris tics me et stylis tic expectations ++++++++
Relative Perfor mance 1
Three-year return better than benchmark N/A N/A N/A N/A N/A N/A N/A N/A
Three-year rankin g better than peer group median ++++++++
Five year return better than benchmark N/A N/A N/A N/A N/A N/A N/A N/AFive year return better than benchmark N/A N/A N/A N/A N/A N/A N/A N/A
Five year rankin g better than peer group median ++++++++
Performance status ++++++++
Summar y s tatus ++++++++
1 Manager performance is evaluated net of investment management fees.
16
Pe rformance Summary
Manager Compliance Checklist (Continued)
As of September 30, 2016
Mana gers
Vanguard
Ta rge t
Re ti re ment
2040
(V FORX)
Vangua rd
Ta rget
Re ti re ment
2045
(V TIVX)
Va ngua rd
Targe t
Re ti re ment
2050
(V FIFX)
Vangua rd
Targe t
Re ti re ment
2055
(V FFVX)
Vangua rd
Ta rget
Re ti re ment
2060
(V TTSX)
Vangua rd
Prime Mone y
Marke t Fund
(V MMXX)
Organizational /Produ ct Is sues
No ma teria l c hanges to investment team ++++++
No ma teria l o rg aniza tional changes ++++++
Accounting or regulatory concerns ++++++
Cu rre ntly in adherence to guidelin es ++++++
Po rt fo lio characteris tics me et stylis tic expectations ++++++
Re lati ve Performanc e 1
Thre e-year re turn better than benchmark N/A N/A N/A N/A N/A N/A
Thre e-year ra nkin g better than peer group median +++++N/A
Fiv e year return better than benchmark N/A N/A N/A N/A N/A N/A
1 Manager performance is evaluated net of investment management fees.
Fiv e year return better than benchmark N/A N/A N/A N/A N/A N/A
Fiv e year rankin g better than peer group median ++++N/A N/A
Performance status ++++++
Summary status ++++++
17
Manager Compliance Checklist
Third Quarter 2016
Manager
Compliance
Issue Explanation
Recommended
Ac tion Comments
Vanguard
International
Growth
Investment
Team
Changes
On July 15, 2016, Vanguard announced
that M&G Investment Management will
no longer serve as an advisor to the
Vanguard International Growth Fund.
Hold The assets formerly managed by M&G were reallocated to
the two remaining sub-advisors: Baillie Gifford (60%) and
Schroder (40%).In June 2016, Charles Anniss, who was the
appointed fund manager of the International Growth mandate
managed on behalf of Vanguard, decided to leave M&G after
16 years to pursue another career opportunity.Vanguard
funds’ boards of trustees determined that it was in their
clients’ best interest to remove M&G as an advisor for the
Vanguard International Growth Fund.
Pavilion believes that the removal of M&G as a subadvisor
was a good decision and recommends clients maintain their
allocations to the Fund.
18
Plan Assets
19
Plan Summary
Deferred Compensation Plan Assets
As of September 30, 2016
Investm ent Opti ons Investm ent S tyl e Al loca ti on Perce ntage
Dome stic Eq uity Funds
Van gu ard 500 Index I nv US Large Cap Equit y -Core $ 7,470,053 13.7%$ 283,627 + 3.9%
Van gu ard Win dsor II Inv US Large Cap Equit y -Value $ 8,594,282 15.8%$ 333,161 + 4.0%
Van gu ard US Growth Inv US Large Cap Equit y -Growth $ 4,708,512 8.7%$ 160,893 + 3.5%
Van gu ard M id Cap Index Inv US Mid Cap Equit y -Core $ 2,900,856 5.3%$ 208,681 + 7.8%
Van gu ard Small Cap Index Inv US Small Cap Equit y -Core $ 2,593,536 4.8%$ 64,265 + 2.5%
$ 26,267,239 48.3%$ 1,050,627 + 4.2%
International Equ ity Funds
Van gu ard Int ernational G row th Int ernational Equit y $ 2,171,212 4.0%$ 217,838 + 11.2%
$ 2,171,212 4.0%$ 217,838 + 11.2%
Fi xe d I ncome/Alte rnative Fu nds
Van gu ard T ot al Bond M arket Index I nv Market Durat ion $ 3,615,126 6.6%$ 483,717 + 15.4%
Van gu ard Retirement Savings Trust Sh ort Duration $ 3,704,143 6.8%$ 189,325 + 5.4%
Van gu ard Balanced Index Inv Balanced $ 4,844,467 8.9%$ (74,494)- 1.5%
$ 12,163,735 22.4%$ 598,547 + 5.2%
$ Ch ange
From
Previous Qtr
% C ha nge
From
Previous Qtr
$ 12,163,735 22.4%$ 598,547 + 5.2%
Cas h
Van gu ard Prime M oney Market Cash $ 1,711,043 3.1%$ (32,910)- 1.9%
$ 1,711,043 3.1%$ (32,910)- 1.9%
Ta rge t Date Fu nds
Van gu ard T arge t Ret ir ement Income Inv Blend $ 433,985 0.8%$ 8,331 + 2.0%
Van gu ard T arge t Ret ir ement 2010 Inv Blend $ 568,291 1.0%$ 11,114 + 2.0%
Van gu ard T arge t Ret ir ement 2015 Inv Blend $ 770,600 1.4%$ 48,168 + 6.7%
Van gu ard T arge t Ret ir ement 2020 Inv Blend $ 2,177,051 4.0%$ 99,345 + 4.8%
Van gu ard T arge t Ret ir ement 2025 Inv Blend $ 2,324,729 4.3%$ 143,202 + 6.6%
Van gu ard T arge t Ret ir ement 2030 Inv Blend $ 1,208,130 2.2%$ 77,243 + 6.8%
Van gu ard T arge t Ret ir ement 2035 Inv Blend $ 1,404,261 2.6%$ 102,761 + 7.9%
Van gu ard T arge t Ret ir ement 2040 Inv Blend $ 749,975 1.4%$ 50,452 + 7.2%
Van gu ard T arge t Ret ir ement 2045 Inv Blend $ 836,915 1.5%$ 80,347 + 10.6%
Van gu ard T arge t Ret ir ement 2050 Inv Blend $ 401,741 0.7%$ 44,677 + 12.5%
Van gu ard T arge t Ret ir ement 2055 Inv Blend $ 66,641 0.1%$ 8,348 + 14.3%
Van gu ard T arge t Ret ir ement 2060 Inv Blend $ 40,875 0.1%$ 3,658 + 9.8%
10,983,194$ 20.2%677,646$ + 6.6%
Lo an Fund
Loan Fund Loan Fund $ 1,126,281 2.1%$ (27,529)- 2.4%
TO TA L $ 54,422,705 100.0%$ 2,484,220 + 4.8%
20
Plan Summary
Fee Comparison Summary
As of September 30, 2016
Inv estment Option
Expe nse
Ratio
Morningstar
Cate gory
Av erage
Fe e Level
Comp arison
Group M edian
eVestment
Al liance
Universe
Median Cate gory
Fe e Level Comparison
Group
eVestment Alliance
Universe
Va nguard 500 In dex 0.16 1.05 0.90 0.15 La rg e Ble nd La rge Cap No Load US Pa ssive Large Ca p Equity
Va nguard US Gro wt h 0.47 1.29 0.90 0.83 La rge Gro wt h La rge Cap No Load US Large Cap Gro wt h
Va nguard Windsor 0.34 1.15 0.90 0.77 La rg e Value La rge Cap No Load US Large Cap Value
Va nguard Mid-Ca p Index 0.20 1.06 1.09 0.20 Mid Ble nd Mid Cap No Load US Passive Mid Cap Eq uity
Va nguard Sma ll-Ca p Index 0.20 1.27 1.19 0.20 Small Ble nd Small Ca p No Load US Pas sive Small Ca p Equity
Va nguard International Gr owth 0.47 1.22 1.04 1.06 Fo reign Large Gro wth Foreign Larg e Cap No Load ACWI ex-US Growt h Equity
Va nguard Total Bo nd Market Index 0.16 0.81 0.65 0.49 In terme diate-Term B ond In terme diate-Term B ond No Load US Core Fixed Income
Va nguard Retire me nt Savin g Tru st 0.53 N/A N/A 0.76 N/A N/A US St able Va lu e Fixed Income
Va nguard Balanced Index 0.22 0.88 0.88 0.79 Modera te Allo cation Moderate A llo cation No Load US Balanced
Va nguard Target Retirement Income 0.14 0.42 0.68 0.50 Re tireme nt Income Re tire me nt Income No Lo ad Lifecycle/Target Date Income
Va nguard Target Retirement 2010 0.14 0.31 0.58 0.41 Target Date 2000-2010 Target Retire me nt 2000-2010 No Lo ad Lifecycle/Target Date 2010
Va nguard Target Retirement 2015 0.14 0.33 0.75 0.50 Target Date 2011-2015 Target Retire me nt 2011-2015 No Lo ad Lifecycle/Target Date 2015
Va nguard Target Retirement 2020 0.14 0.41 0.76 0.53 Target Date 2016-2020 Target Retire me nt 2016-2020 No Lo ad Lifecycle/Target Date 2020
Va nguard Target Retirement 2025 0.15 0.38 0.76 0.58 Target Date 2021-2025 Target Retire me nt 2021-2025 No Lo ad Lifecycle/Target Date 2025Vanguard Target Retirement 2025 0.15 0.38 0.76 0.58 Target Date 2021-2025 Target Retire me nt 2021-2025 No Lo ad Lifecycle/Target Date 2025
Va nguard Target Retirement 2030 0.15 0.42 0.78 0.56 Target Date 2026-2030 Target Retire me nt 2026-2030 No Lo ad Lifecycle/Target Date 2030
Va nguard Target Retirement 2035 0.15 0.40 0.81 0.50 Target Date 2031-2035 Target Retire me nt 3031-2035 No Lo ad Lifecycle/Target Date 2035
Va nguard Target Retirement 2040 0.16 0.42 0.80 0.56 Target Date 2036-2040 Target Retire me nt 2036-2040 No Lo ad Lifecycle/Target Date 2040
Va nguard Target Retirement 2045 0.16 0.41 0.81 0.56 Target Date 2041-2045 Target Retire me nt 2041-2045 No Lo ad Lifecycle/Target Date 2045
Va nguard Target Retirement 2050 0.16 0.42 0.81 0.58 Target Date 2046-2050 Target Retire me nt 2046-2050 No Lo ad Lifecycle/Target Date 2050
Va nguard Target Retirement 2055 0.16 0.41 0.77 0.47 Target Date 2051+Target Retirement 2051+ No Lo ad Lifecycle/Target Date 2055
Va nguard Target Retirement 2060 0.16 0.36 0.77 0.39 Target Date 2051+Target Retirement 2051+ No Lo ad Lifecycle/Target Date 2060
Va nguard Prime Money Marke t 0.10 0.27 N/A 0.20 Money Market Taxable N/A US Cas h Management
Pavilio n Consulting Fee ($24,727 p er y ear)
21
Manager Evaluation
22
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard 500 Index Fund (VFINX)3.8 7.7 15.3 11.0 16.2 7.1 1.2 13.5 32.2 15.8 2.0 14.9 26.5 -37.0 5.4 15.6
S&P 500 3.9 7.8 15.4 11.2 16.4 7.2 1.4 13.7 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8
IM U.S. Large Cap Equity 4.3 5.5 12.0 9.1 14.9 6.5 0.1 10.9 32.5 15.3 -1.4 13.4 28.2 -37.9 6.8 13.0
Vanguard 500 Index Fund (VFINX) Rank 64 21 14 15 20 36 43 15 56 43 20 34 59 40 60 31
Vanguard 500 Index Fund (VFINX)S&P 500
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.1
0.2
-0.1
-0.2
-0.3Return (%)12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard 500 Index Fund (VFINX)16.2 11.0 15.6 -0.1 1.0 1.4 0.0 -10.4 5.5 1.7 40y 1m
S&P 500 16.4 11.0 15.8 0.0 1.0 1.4 0.0 N/A 5.5 0.0 40y 1m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 11.0 -1.4 0.0 31.7 40y 1m
Manager Evaluation
Vanguard 500 Index Fund (VFINX) vs. S&P 500
As of September 30, 2016
23
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)144,121 144,118
Median Mkt. Cap ($M)19,143 18,964
Price/Earnings ratio 19.7 19.7
Price/Book ratio 3.2 3.2
5 Yr. EPS Growth Rate (%)7.8 7.8
Current Yield (%)2.1 2.1
Debt to Equity 1.4 1.4
Number of Stocks 506 505
Beta (5 Years, Monthly)1.00 1.00
Consistency (5 Years, Monthly)1.67 1.00
Sharpe Ratio (5 Years, Monthly)1.42 1.43
Information Ratio (5 Years, Monthly)-10.35 -
Up Market Capture (5 Years, Monthly)99.55 -
Down Market Capture (5 Years, Monthly)100.50 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 3.3 3.3 0.0 18.9
Microsoft Corp 2.4 2.4 0.0 13.3
Exxon Mobil Corp 1.9 1.9 0.0 -6.1
Amazon.com Inc 1.8 1.8 0.0 17.0
Johnson & Johnson 1.7 1.7 0.0 -2.0
Facebook Inc 1.6 1.6 0.0 12.2
General Electric Co 1.4 1.4 0.0 -5.2
Berkshire Hathaway Inc 1.4 1.5 -0.1 -0.2
AT&T Inc 1.3 1.3 0.0 -5.0
JPMorgan Chase & Co 1.3 1.3 0.0 8.0
% of Portfolio 18.1 18.2
Distribution of Market Capitalization (%)
Vanguard 500 Index Fund (VFINX)S&P 500
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
51.1
34.1
14.3
0.4
51.1
34.1
14.4
0.4
Sector Weights (%)
Vanguard 500 Index Fund (VFINX)S&P 500
0.0 5.0 10.0 15.0 20.0 25.0 30.0
Utilities
Telecommunication Services
Real Estate
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.3
2.6
3.1
2.9
21.2
9.7
14.7
12.8
7.3
9.9
12.5
3.3
2.6
3.1
2.9
21.2
9.7
14.7
12.8
7.3
9.9
12.5
Manager Evaluation
Vanguard 500 Index Fund (VFINX) vs. S&P 500
As of September 30, 2016
24
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Windsor II (VWNFX)4.1 7.3 12.1 8.1 14.7 5.8 -3.2 11.2 30.7 16.7 2.7 10.6 27.1 -36.7 2.2 18.2
Russell 1000 Value Index 3.5 10.0 16.2 9.7 16.2 5.9 -3.8 13.5 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2
IM U.S. Large Cap Value Equity 4.0 7.0 12.5 7.8 14.5 5.2 -3.7 10.9 32.5 15.4 -2.4 12.7 24.1 -36.9 1.7 17.9
Vanguard Windsor II (VWNFX) Rank 45 44 55 42 43 36 38 44 77 31 14 83 29 48 45 48
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 12.0
14.0
16.0
18.0
Return (%)9.6 9.7 9.8 9.9 10.0 10.1 10.2 10.3
Risk (Standard Deviation %)
Russell 1000 Value Index
Vanguard Windsor II (VWNFX)
Average Active Weight
0.0 10.0 20.0-10.0-20.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
-4.1
-1.0
0.3
-0.7
4.1
1.7
7.5
-8.6
-4.0
-0.2
5.1
Allocation
(Total: 0.7)
0.0 0.4 0.8-0.4-0.8
0.4
0.1
0.0
0.0
0.4
0.0
-0.2
-0.2
0.0
0.0
0.1
Stock
(Total: -0.6)
0.0 0.6 1.2-0.6-1.2
0.0
0.0
0.0
0.1
0.2
0.0
-0.2
0.5
-0.2
-0.3
-0.6
Vanguard Windsor II (VWNFX)
0.0 0.4 0.8 1.2-0.4-0.8-1.2
0.4
0.1
0.0
0.1
0.6
0.0
-0.4
0.4
-0.1
-0.3
-0.4
Manager Evaluation
Vanguard Windsor II (VWNFX) vs. Russell 1000 Value Index
As of September 30, 2016
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
25
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)120,144 112,505
Median Mkt. Cap ($M)21,183 8,044
Price/Earnings ratio 16.5 17.0
Price/Book ratio 2.4 2.1
5 Yr. EPS Growth Rate (%)4.0 3.8
Current Yield (%)2.7 2.6
Debt to Equity 1.5 0.8
Number of Stocks 279 687
Beta (5 Years, Monthly)0.98 1.00
Consistency (5 Years, Monthly)41.67 1.00
Sharpe Ratio (5 Years, Monthly)1.28 1.39
Information Ratio (5 Years, Monthly)-0.64 -
Up Market Capture (5 Years, Monthly)96.13 -
Down Market Capture (5 Years, Monthly)103.52 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Medtronic PLC 3.4 1.2 2.2 0.6
Microsoft Corp 3.3 0.0 3.3 13.3
JPMorgan Chase & Co 3.1 2.3 0.8 8.0
Pfizer Inc 3.0 1.8 1.2 -3.0
Philip Morris International Inc 2.6 1.3 1.3 -3.4
Bank of America Corp 2.5 1.5 1.0 18.5
Raytheon Co.2.4 0.2 2.2 0.7
Johnson & Johnson 2.4 2.6 -0.2 -2.0
Wells Fargo & Co 2.3 1.9 0.4 -5.7
Merck & Co Inc.2.2 1.7 0.5 9.1
% of Portfolio 27.2 14.5
Distribution of Market Capitalization (%)
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
43.5
30.7
20.6
5.2
51.4
34.5
10.9
3.2
Sector Weights (%)
Vanguard Windsor II (VWNFX)Russell 1000 Value Index
0.0 5.0 10.0 15.0 20.0 25.0 30.0
Other
Utilities
Telecommunication Services
Real Estate
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.3
2.9
3.0
0.3
2.2
15.2
11.5
18.3
19.9
9.4
7.4
9.8
0.0
6.5
3.9
5.1
2.9
10.0
9.5
11.5
23.4
13.5
8.9
4.9
Manager Evaluation
Vanguard Windsor II (VWNFX) vs. Russell 1000 Value Index
As of September 30, 2016
_______________________________
Holdings as of June 30, 2016 as more recent data was unavailable at time of report production.
26
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard US Growth (VWUSX)6.1 2.7 11.2 11.8 17.2 8.0 8.5 13.1 35.5 18.4 -0.7 11.5 35.0 -37.8 10.1 1.8
Russell 1000 Growth Index 4.6 6.0 13.8 11.8 16.6 8.8 5.7 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1
IM U.S. Large Cap Growth Equity 5.8 3.2 10.9 10.0 15.2 7.8 5.5 10.5 34.0 14.9 -1.8 15.1 35.1 -39.9 13.8 6.7
Vanguard US Growth (VWUSX) Rank 39 59 45 17 12 45 19 22 35 18 36 81 52 30 77 85
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 15.6
16.2
16.8
17.4
18.0
18.6
Return (%)9.0 9.6 10.2 10.8 11.4 12.0 12.6 13.2
Risk (Standard Deviation %)
Russell 1000 Growth Index
Vanguard US Growth (VWUSX)
Average Active Weight
0.0 6.0 12.0-6.0-12.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
-0.1
-1.0
0.0
-2.1
6.4
-2.8
0.7
3.8
-0.2
-4.6
-0.1
Allocation
(Total: 0.9)
0.0 0.4 0.8-0.4-0.8
0.0
0.1
0.0
0.0
0.5
0.0
0.0
-0.1
0.0
0.4
0.0
Stock
(Total: 1.0)
0.0 0.5 1.0 1.5-0.5-1.0
0.0
0.0
0.0
-0.1
0.8
0.0
0.3
0.0
0.0
0.0
0.0
Vanguard US Growth (VWUSX)
0.0 0.5 1.0 1.5 2.0-0.5-1.0
0.0
0.1
0.0
-0.1
1.3
0.1
0.2
-0.1
0.0
0.4
0.0
Manager Evaluation
Vanguard US Growth (VWUSX) vs. Russell 1000 Growth Index
As of September 30, 2016
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
27
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)130,968 147,012
Median Mkt. Cap ($M)22,373 9,005
Price/Earnings ratio 27.9 23.3
Price/Book ratio 4.7 5.5
5 Yr. EPS Growth Rate (%)15.3 11.7
Current Yield (%)1.0 1.5
Debt to Equity 0.1 1.7
Number of Stocks 152 599
Beta (5 Years, Monthly)1.09 1.00
Consistency (5 Years, Monthly)58.33 1.00
Sharpe Ratio (5 Years, Monthly)1.29 1.39
Information Ratio (5 Years, Monthly)0.22 -
Up Market Capture (5 Years, Monthly)108.54 -
Down Market Capture (5 Years, Monthly)116.04 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Amazon.com Inc 4.1 3.1 1.0 17.0
Facebook Inc 4.0 2.7 1.3 12.2
Google Inc (Class C)3.9 2.2 1.7 12.3
Mastercard Inc 3.3 0.9 2.4 15.8
Visa Inc 3.3 1.5 1.8 11.7
Apple Inc 2.8 5.4 -2.6 18.9
Qualcomm Inc.2.6 0.2 2.4 28.9
Microsoft Corp 2.4 4.1 -1.7 13.3
Alphabet Inc 2.3 2.2 0.1 14.3
Celgene Corp 2.1 0.8 1.3 6.0
% of Portfolio 30.8 23.1
Distribution of Market Capitalization (%)
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
48.1
30.7
17.7
3.4
44.1
30.9
23.6
1.5
Sector Weights (%)
Vanguard US Growth (VWUSX)Russell 1000 Growth Index
0.0 10.0 20.0 30.0 40.0 50.0
Other
Utilities
Telecommunication Services
Real Estate
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.0
0.0
0.3
3.6
1.4
38.6
7.1
17.6
5.5
0.4
5.3
20.2
0.0
0.1
1.2
2.8
3.6
31.5
10.4
16.8
2.7
0.6
9.6
20.6
Manager Evaluation
Vanguard US Growth (VWUSX) vs. Russell 1000 Growth Index
As of September 30, 2016
_______________________________
Holdings as of June 30, 2016 as more recent data was unavailable at time of report production.
28
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Mid-Cap Index Fund (VIMSX)5.2 8.8 12.5 9.8 16.4 8.1 -1.5 13.6 35.0 15.8 -2.1 25.5 40.2 -41.8 6.0 13.6
Vanguard Mid-Cap Index Fund Blended Benchmark 5.2 8.9 12.7 10.0 16.6 8.3 -1.3 13.8 35.4 16.0 -1.9 25.7 40.5 -41.8 6.2 13.7
IM U.S. Mid Cap Equity 4.6 7.3 10.5 7.2 14.7 7.2 -2.7 8.2 35.2 15.2 -3.9 23.8 36.4 -41.6 9.9 11.0
Vanguard Mid-Cap Index Fund (VIMSX) Rank 39 37 33 13 20 27 38 9 53 43 35 36 33 53 67 32
Vanguard Mid-Cap Index Fund (VIMSX)
Vanguard Mid-Cap Index Fund Blended Benchmark
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
-0.2
-0.4Return (%)12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Mid-Cap Index Fund (VIMSX)16.4 12.3 15.9 -0.2 1.0 1.3 0.1 -3.5 6.3 13.3 18y 4m
Vanguard Mid-Cap Index Fund Blended Benchmark 16.6 12.3 16.1 0.0 1.0 1.3 0.0 N/A 6.2 0.0 18y 4m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.3 -1.3 0.0 33.3 18y 4m
Manager Evaluation
Vanguard Mid-Cap Index Fund (VIMSX) vs. Vanguard Mid-Cap Index Fund Blended Benchmark
As of September 30, 2016
Note: Prior to May 16, 2003, the Vanguard Mid-Cap Index was benchmarked to the S&P MidCap 400 Index. From May 16, 2003 to January 30, 2013, the Index
fund was benchmarked to the MSCI US Mid Cap 450 Index. Starting on January 31, 2013, the benchmark transitioned to the CRSP US Mid Cap Index.
29
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)12,807 12,806
Median Mkt. Cap ($M)9,949 9,982
Price/Earnings ratio 22.0 22.0
Price/Book ratio 3.0 3.0
5 Yr. EPS Growth Rate (%)9.1 9.1
Current Yield (%)1.5 1.5
Debt to Equity 0.3 0.3
Number of Stocks 344 341
Beta (5 Years, Monthly)1.01 1.00
Consistency (5 Years, Monthly)25.00 1.00
Sharpe Ratio (5 Years, Monthly)1.29 1.32
Information Ratio (5 Years, Monthly)-0.32 -
Up Market Capture (5 Years, Monthly)99.67 -
Down Market Capture (5 Years, Monthly)100.55 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Edwards Lifesciences Corp 0.8 0.8 0.0 20.9
Electronic Arts Inc.0.8 0.8 0.0 12.7
Equinix Inc 0.8 0.8 0.0 -6.6
Newell Brands Inc 0.8 0.8 0.0 8.8
Ross Stores Inc 0.8 0.8 0.0 13.7
Fiserv Inc.0.7 0.7 0.0 -8.5
Newmont Mining Corp 0.6 0.6 0.0 0.5
Amphenol Corp 0.6 0.6 0.0 13.5
ConAgra Foods Inc.0.6 0.6 0.0 -0.9
Concho Resources Inc 0.6 0.6 0.0 15.2
% of Portfolio 7.1 7.1
Distribution of Market Capitalization (%)
Vanguard Mid-Cap Index Fund (VIMSX)
CRSP U.S. Mid Cap TR Index
0.0
50.0
100.0
150.0
$20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
10.8
86.7
2.5
10.8
86.7
2.4
Sector Weights (%)
Vanguard Mid-Cap Index Fund (VIMSX)
CRSP U.S. Mid Cap TR Index
0.0 4.0 8.0 12.0 16.0 20.0 24.0
Utilities
Telecommunication Services
Real Estate
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
5.0
1.1
6.9
6.5
17.6
12.2
9.5
12.3
5.3
5.4
18.1
5.0
1.1
6.9
6.5
17.6
12.2
9.5
12.3
5.3
5.4
18.1
Manager Evaluation
Vanguard Mid-Cap Index Fund (VIMSX) vs. CRSP U.S. Mid Cap TR Index
As of September 30, 2016
30
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Small-Cap Index Fund (NAESX)6.1 11.4 14.8 7.8 16.6 8.3 -3.8 7.4 37.6 18.0 -2.8 27.7 36.1 -36.1 1.2 15.6
Vanguard Small-Cap Index Fund Blended Benchmark 6.2 11.5 14.9 7.9 16.7 8.4 -3.7 7.5 37.8 18.2 -2.8 27.8 36.1 -36.2 1.2 15.8
IM U.S. Small Cap Equity 8.4 11.0 14.6 6.3 15.2 6.3 -5.1 3.6 38.0 14.5 -4.0 25.7 29.1 -38.5 -1.2 13.0
Vanguard Small-Cap Index Fund (NAESX) Rank 86 44 48 21 24 11 33 10 54 18 39 30 27 40 40 35
Vanguard Small-Cap Index Fund (NAESX)
Vanguard Small-Cap Index Fund Blended Benchmark
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.2
0.4
-0.2
-0.4Return (%)12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Small-Cap Index Fund (NAESX)16.6 13.8 16.3 -0.1 1.0 1.2 0.1 -2.2 7.2 23.3 48y 8m
Vanguard Small-Cap Index Fund Blended Benchmark 16.7 13.8 16.4 0.0 1.0 1.2 0.0 N/A 7.2 0.0 48y 8m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 13.8 -1.2 0.0 33.3 48y 8m
Manager Evaluation
Vanguard Small-Cap Index Fund (NAESX) vs. Vanguard Small-Cap Index Fund Blended Benchmark
As of September 30, 2016
Note: Prior to May 16, 2003, the Vanguard Small-Cap Index was benchmarked to the Russell 2000 Index. From May 16, 2003 to January 30, 2013, the Index
fund was benchmarked to the MSCI US Small Cap 1750 Index. Starting on January 31, 2013, the benchmark transitioned to the CRSP US Small Cap Index.
31
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)3,677 3,677
Median Mkt. Cap ($M)1,941 1,948
Price/Earnings ratio 21.1 21.1
Price/Book ratio 2.5 2.5
5 Yr. EPS Growth Rate (%)10.2 10.2
Current Yield (%)1.6 1.6
Debt to Equity 0.8 0.8
Number of Stocks 1,433 1,427
Beta (5 Years, Monthly)1.01 1.00
Consistency (5 Years, Monthly)26.67 1.00
Sharpe Ratio (5 Years, Monthly)1.18 1.20
Information Ratio (5 Years, Monthly)-0.27 -
Up Market Capture (5 Years, Monthly)99.98 -
Down Market Capture (5 Years, Monthly)101.33 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Atmos Energy Corp 0.3 0.3 0.0 -7.9
Arthur J. Gallagher & Co.0.3 0.3 0.0 7.7
Westar Energy Inc.0.3 0.3 0.0 1.9
UGI Corp 0.3 0.3 0.0 0.5
Valspar Corp (The)0.3 0.3 0.0 -1.5
Regency Centers Corp.0.3 0.3 0.0 -6.9
Newfield Exploration Co 0.3 0.3 0.0 -1.6
Packaging Corp Of America 0.3 0.3 0.0 22.4
Broadridge Financial Solutions Inc 0.3 0.3 0.0 4.5
Targa Resources Corp 0.3 0.3 0.0 19.4
% of Portfolio 3.0 3.0
Distribution of Market Capitalization (%)
Vanguard Small-Cap Index (NAESX)
CRSP U.S. Small Cap TR Index
0.0
25.0
50.0
75.0
100.0
$5 Bil -
$20 Bil
$0 -
$5 Bil
24.8
75.2
24.8
75.2
Sector Weights (%)
Vanguard Small-Cap Index (NAESX)
CRSP U.S. Small Cap TR Index
0.0 4.0 8.0 12.0 16.0 20.0 24.0
Utilities
Telecommunication Services
Real Estate
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
4.3
0.4
12.3
5.5
17.1
15.0
11.1
13.8
4.9
3.4
12.2
4.3
0.4
12.3
5.5
17.1
15.0
11.1
13.8
4.9
3.4
12.2
Manager Evaluation
Vanguard Small-Cap Index (NAESX) vs. CRSP U.S. Small Cap TR Index
As of September 30, 2016
32
Historical Performance
Buy and Hold Attribution
Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Int. Growth (VWIGX)10.8 9.1 16.7 3.1 9.8 4.2 -0.7 -5.6 22.9 20.0 -13.7 15.7 41.6 -44.9 16.0 26.0
MSCI AC World ex USA (Net)6.9 5.8 9.3 0.2 6.0 2.2 -5.7 -3.9 15.3 16.8 -13.7 11.2 41.4 -45.5 16.7 26.7
IM International Equity 6.6 5.4 9.2 0.7 7.0 2.6 -2.8 -4.5 17.3 18.6 -14.9 12.9 36.4 -46.0 13.2 26.2
Vanguard Int. Growth (VWIGX) Rank 6 34 17 21 14 24 37 62 23 36 39 36 39 44 39 52
Vanguard Int. Growth (VWIGX)MSCI AC World ex USA (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 0.0
4.0
8.0
12.0
16.0
Return (%)9.8 10.5 11.2 11.9 12.6 13.3 14.0 14.7 15.4
Risk (Standard Deviation %)
MSCI AC World ex USA (Net)
Vanguard Int. Growth (VWIGX)
Average Active Weight
0.0 10.0 20.0-10.0-20.0
Utilities
Telecommunication Services
Other
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
-3.6
-1.7
0.2
-2.0
10.4
0.1
1.4
-5.8
-4.3
-4.7
10.0
Allocation
(Total: 1.6)
0.0 0.6 1.2 1.8-0.6-1.2
0.2
0.1
0.0
-0.1
0.9
0.0
-0.1
-0.1
0.2
0.2
0.4
Stock
(Total: 2.4)
0.0 0.8 1.6 2.4-0.8
0.0
0.2
0.0
-0.1
1.1
-0.2
0.5
0.1
-0.1
0.0
1.0
Vanguard Int. Growth (VWIGX)
0.0 0.9 1.8 2.7 3.6-0.9-1.8
0.2
0.3
0.0
-0.2
2.0
-0.2
0.4
0.0
0.1
0.3
1.3
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of September 30, 2016
Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading.
33
Total Attribution
0.0 0.3 0.6 0.9 1.2 1.5 1.8 2.1 2.4-0.3-0.6-0.9
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
0.4
0.0
0.8
0.0
0.7
0.8
0.0
0.1
1.6
Performance Attribution
Average Active Weight
0.0 5.0 10.0-5.0-10.0-15.0
Pacific
Other
North America
Middle East
Europe ex EMU
EMU
EM Latin America
EM Europe + Middle East + Africa
EM Asia
-6.3
0.3
4.4
-0.1
1.1
1.5
-1.6
-3.2
3.9
Allocation
(Total: 0.0)
0.0 0.1 0.2 0.3 0.4-0.1-0.2-0.3
-0.1
0.0
-0.1
0.0
0.0
0.0
0.0
0.0
0.1
Stock
(Total: 4.3)
0.0 0.6 1.2 1.8 2.4-0.6-1.2
0.5
0.0
0.9
0.0
0.7
0.8
-0.1
0.1
1.4
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
1 Quarter Ending September 30, 2016
_______________________________
Holdings as of June 30, 2016 as more recent data was unavailable at time of report production.
34
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)76,776 53,164
Median Mkt. Cap ($M)21,407 6,997
Price/Earnings ratio 23.3 15.9
Price/Book ratio 3.5 2.3
5 Yr. EPS Growth Rate (%)9.8 4.3
Current Yield (%)1.7 3.1
Debt to Equity 1.3 1.0
Number of Stocks 160 1,853
Beta (5 Years, Monthly)1.04 1.00
Consistency (5 Years, Monthly)53.33 1.00
Sharpe Ratio (5 Years, Monthly)0.70 0.48
Information Ratio (5 Years, Monthly)1.05 -
Up Market Capture (5 Years, Monthly)110.66 -
Down Market Capture (5 Years, Monthly)91.89 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Tencent Holdings LTD 5.0 0.9 4.1 21.0
AIA Group Ltd 3.9 0.5 3.4 11.7
Alibaba Group Holding Ltd 3.7 0.7 3.0 33.0
Amazon.com Inc 3.5 0.0 3.5 17.0
Baidu Inc 3.2 0.3 2.9 10.2
Industria De Diseno Textil Inditex SA 3.0 0.2 2.8 11.6
Softbank Group Corp 2.3 0.4 1.9 14.8
Smc Corp 1.8 0.1 1.7 18.2
Atlas Copco AB 1.7 0.1 1.6 17.6
M3 Inc 1.6 0.0 1.6 -1.6
% of Portfolio 29.7 3.2
Distribution of Market Capitalization (%)
Vanguard International Growth (VWIGX)
MSCI AC World ex USA (Net)
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
23.8
36.6
32.0
7.6
33.6 33.8
28.7
3.9
Sector Weights (%)
Vanguard International Growth (VWIGX)
MSCI AC World ex USA (Net)
0.0 5.0 10.0 15.0 20.0 25.0 30.0
Other
Utilities
Telecommunication Services
Real Estate
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
0.2
0.0
3.5
0.1
5.2
19.6
11.1
10.2
18.6
2.3
6.5
22.6
0.0
3.4
4.9
3.5
7.5
9.6
11.7
8.6
21.6
6.6
11.1
11.4
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of September 30, 2016
_______________________________
Holdings as of June 30, 2016 as more recent data was unavailable at time of report production.
35
Vanguard
International Growth
(VWIGX)
MSCI AC World ex
USA (Net)
Australia 0.7 5.1
Hong Kong 4.8 2.4
Japan 13.2 16.7
New Zealand 0.0 0.1
Singapore 0.2 0.9
Pacific 19.0 25.2
Austria 0.0 0.1
Belgium 0.0 1.0
Finland 0.0 0.7
France 4.6 6.8
Germany 7.6 6.3
Ireland 1.0 0.4
Italy 2.8 1.3
Netherlands 2.4 2.3
Portugal 0.3 0.1
Spain 4.2 2.1
EMU 22.8 21.1
Denmark 1.9 1.2
Norway 1.3 0.5
Sweden 5.4 2.0
Switzerland 4.9 6.3
United Kingdom 9.1 13.3
Europe ex EMU 22.6 23.2
Canada 2.5 6.7
United States 8.2 0.1
Israel 1.3 0.5
Middle East 1.3 0.5
Developed Markets 76.4 76.9
Vanguard
International Growth
(VWIGX)
MSCI AC World ex
USA (Net)
Brazil 1.0 1.7
Cayman Islands 0.0 0.0
Chile 0.0 0.3
Colombia 0.0 0.1
Mexico 0.2 0.8
Peru 0.1 0.1
Virgin Islands 0.0 0.0
EM Latin America 1.4 3.0
China 14.8 6.2
India 2.0 2.0
Indonesia 0.3 0.6
Korea 2.4 3.4
Malaysia 0.0 0.6
Philippines 0.0 0.3
Taiwan 1.3 2.8
Thailand 0.6 0.5
EM Asia 21.5 16.5
Czech Republic 0.0 0.0
Egypt 0.0 0.0
Greece 0.0 0.1
Hungary 0.0 0.1
Poland 0.0 0.2
Qatar 0.0 0.2
Russia 0.4 0.8
South Africa 0.1 1.7
Turkey 0.0 0.3
United Arab Emirates 0.0 0.2
EM Europe + Middle East + Africa 0.5 3.6
Emerging Markets 23.3 23.1
Frontier Markets 0.0 0.0
Cash 0.0 0.0
Other 0.3 0.0
Total 100.0 100.0
Manager Evaluation
Vanguard International Growth (VWIGX) vs. MSCI AC World ex USA (Net)
As of September 30, 2016
_______________________________
Holdings as of June 30, 2016 as more recent data was unavailable at time of report production.
36
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Total Bond Market Index Fund (VBMFX)0.4 5.9 5.2 3.9 2.9 4.7 0.3 5.8 -2.3 4.0 7.6 6.4 5.9 5.1 6.9 4.3
Vanguard Total Bond Market Index Fund Benchmark 0.4 6.0 5.3 4.0 3.1 4.8 0.4 5.9 -2.0 4.3 7.9 6.6 5.9 5.2 7.0 4.3
IM U.S. Broad Market Core+ Fixed Income 1.3 6.7 6.0 4.0 3.9 5.2 -0.4 5.3 -1.1 8.2 6.1 8.2 14.2 -2.2 5.6 4.1
Vanguard Total Bond Market Index Fund (VBMFX) Rank 100 65 72 53 93 76 22 39 83 98 21 88 100 11 26 46
Vanguard Total Bond Market Index Fund (VBMFX)
Vanguard Total Bond Market Index Fund Benchmark
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.3
0.6
-0.3
-0.6Return (%)12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Total Bond Market Index Fund (VBMFX)2.9 2.7 2.8 -0.3 1.0 1.0 0.2 -0.9 1.5 40.0 29y 9m
Vanguard Total Bond Market Index Fund Benchmark 3.1 2.7 3.0 0.0 1.0 1.1 0.0 N/A 1.4 0.0 29y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.7 -1.1 0.0 36.7 29y 9m
Manager Evaluation
Vanguard Total Bond Market Index Fund (VBMFX) vs. Vanguard Total Bond Market Index Fund Benchmark
As of September 30, 2016
Note: Prior to January 1, 2010, the Vanguard Total Bond Market Index was benchmarked to the Barclays Aggregate Index. Starting on January 1, 2010, the
benchmark was transitioned to the Barclays Aggregate Float Adjusted Index.
37
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 6.0 5.8
Avg. Maturity 8.3 8.1
Avg. Quality AA AA+
Yield To Maturity (%)2.0 2.0
Credit Quality Distribution (%)
Vanguard Total Bond Market Index (VBMFX)
Blmbg. Barc. U.S. Aggregate Float Adjusted
0.0
25.0
50.0
75.0
100.0
AAAAAABBB67.5
5.4
11.9 15.2
67.4
4.9
12.2 15.5
Maturity Distribution (%)
Vanguard Total Bond Market Index (VBMFX)
Blmbg. Barc. U.S. Aggregate Float Adjusted
0.0
15.0
30.0
45.0
-15.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
22.7
29.1 30.5
3.9
13.8
-1.2
22.4
30.4 30.4
4.1
13.9
Sector Distribution (%)
Vanguard Total Bond Market Index (VBMFX)
Blmbg. Barc. U.S. Aggregate Float Adjusted
0.0
20.0
40.0
60.0
-20.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingOtherCMBS40.0
3.6
24.0 20.4
0.5
7.7
2.1 0.0 1.8
41.3
2.6
29.4
20.6
0.6
6.2
0.0
-2.6
1.9
Manager Evaluation
Vanguard Total Bond Market Index (VBMFX) vs. Blmbg. Barc. U.S. Aggregate Float Adjusted
As of September 30, 2016
38
Historical Performance
Comparative Performance and Rolling Return Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Quarterly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Retirement Savings Trust 0.5 1.4 1.9 1.8 2.0 2.8 1.9 1.8 1.7 2.4 2.9 2.9 3.0 4.3 4.5 4.3
Ryan 3 Yr GIC Master 0.4 1.0 1.3 1.2 1.3 2.6 1.2 1.0 1.1 1.5 2.4 3.5 4.5 4.8 4.5 3.8
IM U.S. Short Duration Fixed Income (MF) Median 0.3 1.6 1.4 1.0 1.2 2.3 0.3 0.6 0.2 2.4 1.2 3.2 6.0 -1.0 5.0 4.1
Vanguard Retirement Savings Trust Rank 31 62 29 8 18 28 1 6 4 50 9 55 77 22 61 34
Rolling 3 Years Active Return Quarterly Active Return
0.0
0.7
1.4
-0.7
-1.4Active Return (%)3/03 6/04 9/05 12/06 3/08 6/09 9/10 12/11 3/13 6/14 9/15 9/16 0.0
0.8
1.6
2.4
3.2
Return (%)0.1 0.2
Risk (Standard Deviation %)
Ryan 3 Yr GIC Master
Vanguard Retirement Savings Trust
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Retirement Savings Trust 2.0 0.2 1.9 0.5 1.1 10.8 0.1 9.5 0.0 100.0 13y 9m
Ryan 3 Yr GIC Master 1.3 0.1 1.2 0.0 1.0 8.9 0.0 N/A 0.0 0.0 13y 9m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.0 0.0 N/A 0.1 -8.9 0.0 0.0 13y 9m
Manager Evaluation
Vanguard Retirement Savings Trust vs. Ryan 3 Yr GIC Master
As of September 30, 2016
39
Historical Performance
Three Year Rolling Percentile Ranking Relative Performance
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Balanced Index Fund (VBINX)2.8 7.4 11.1 7.8 10.9 6.6 0.4 9.8 17.9 11.3 4.1 13.1 20.1 -22.2 6.2 11.0
Vanguard Balanced Index Fund Benchmark 2.8 7.5 11.2 8.0 11.1 6.8 0.6 9.9 18.2 11.6 4.1 13.5 19.7 -22.0 6.3 11.1
IM Mixed-Asset Target Alloc Growth 3.5 6.0 9.6 5.7 10.1 5.2 -1.2 6.3 19.8 13.0 -1.9 12.7 24.9 -30.7 6.4 11.7
Vanguard Balanced Index Fund (VBINX) Rank 73 14 13 9 28 11 18 12 71 80 3 43 84 7 55 62
Vanguard Balanced Index Fund (VBINX)
Vanguard Balanced Index Fund Benchmark
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
Cumulative Annualized Over/Under Relative Performance
Over/Under Performance
0.0
0.4
0.8
-0.4
-0.8Return (%)12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Balanced Index Fund (VBINX)10.9 6.8 10.5 -0.2 1.0 1.6 0.1 -1.4 3.2 35.0 23y 10m
Vanguard Balanced Index Fund Benchmark 11.1 6.8 10.7 0.0 1.0 1.6 0.0 N/A 3.2 0.0 23y 10m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 6.8 -1.6 0.0 25.0 23y 10m
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) vs. Vanguard Balanced Index Fund Benchmark
As of September 30, 2016
Note: Prior to June 1, 2005, the Vanguard Balanced Index was benchmarked to 60% DJ U.S. Total Stock Market Index/40% LB Aggregate Bond Index. From
June 1, 2005 to December 31, 2009, the Index fund was benchmarked to 60% MSCI US Broad Market Index/40% BC Aggregate Index. From January 1, 2010
to January 14, 2013, the Index fund was benchmarked to 60% MSCI US Broad Market Index/40% BC Aggregate Float Adjusted Index. Starting January 15,
2013, the benchmark transitioned to 60% CRSP US Total Market Index/40% BC Aggregate Float Adjusted Index.
40
Portfolio Characteristics
Portfolio Benchmark
Wtd. Avg. Mkt. Cap ($M)118,644 118,667
Median Mkt. Cap ($M)1,196 930
Price/Earnings ratio 20.0 20.0
Price/Book ratio 3.0 3.0
5 Yr. EPS Growth Rate (%)8.1 8.1
Current Yield (%)2.0 2.0
Debt to Equity 1.2 1.2
Number of Stocks 3,254 3,596
Beta (5 Years, Monthly)0.59 1.00
Consistency (5 Years, Monthly)35.00 1.00
Sharpe Ratio (5 Years, Monthly)1.55 1.39
Information Ratio (5 Years, Monthly)-1.10 -
Up Market Capture (5 Years, Monthly)63.06 -
Down Market Capture (5 Years, Monthly)56.08 -
Top Ten Equity Holdings
Portfolio
Weight
(%)
Benchmark
Weight
(%)
Active
Weight
(%)
Quarterly
Return
(%)
Apple Inc 2.6 2.6 0.0 18.9
Microsoft Corp 1.9 1.9 0.0 13.3
Exxon Mobil Corp 1.6 1.6 0.0 -6.1
Amazon.com Inc 1.5 1.5 0.0 17.0
Johnson & Johnson 1.4 1.4 0.0 -2.0
Facebook Inc 1.3 1.3 0.0 12.2
General Electric Co 1.2 1.2 0.0 -5.2
Berkshire Hathaway Inc 1.1 0.8 0.3 -0.2
JPMorgan Chase & Co 1.1 1.1 0.0 8.0
AT&T Inc 1.1 1.1 0.0 -5.0
% of Portfolio 14.8 14.5
Distribution of Market Capitalization (%)
Vanguard Balanced Index Fund (VBINX) - Equity Holdings
CRSP U.S. Total Market TR Index
0.0
15.0
30.0
45.0
60.0
>$75 Bil $20 Bil -
$75 Bil
$5 Bil -
$20 Bil
$0 -
$5 Bil
42.0
28.3
18.0
11.7
42.0
28.3
18.0
11.7
Sector Weights (%)
Vanguard Balanced Index Fund (VBINX) - Equity Holdings
CRSP U.S. Total Market TR Index
0.0 5.0 10.0 15.0 20.0 25.0
Utilities
Telecommunication Services
Real Estate
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
3.3
2.4
4.4
3.3
20.5
10.4
14.3
13.2
6.7
8.8
12.7
3.3
2.4
4.4
3.3
20.5
10.4
14.3
13.2
6.7
8.8
12.7
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) - Equity Holdings vs. CRSP U.S. Total Market TR Index
As of September 30, 2016
41
Portfolio Characteristics
Portfolio Benchmark
Effective Duration 6.0 5.8
Avg. Maturity 8.3 8.1
Avg. Quality AA AA+
Yield To Maturity (%)2.0 2.0
Credit Quality Distribution (%)
Vanguard Balanced Index Fund (VBINX) - Fixed Income Holdings
Blmbg. Barc. U.S. Aggregate Float Adjusted
0.0
25.0
50.0
75.0
100.0
AAAAAABBB67.5
5.4
11.9 15.2
67.1
4.8
12.4 15.7
Maturity Distribution (%)
Vanguard Balanced Index Fund (VBINX) - Fixed Income Holdings
Blmbg. Barc. U.S. Aggregate Float Adjusted
0.0
15.0
30.0
45.0
< 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0
22.7
29.1 30.5
3.9
13.8
1.3
22.6
30.1 28.6
4.0
13.4
Sector Distribution (%)
Vanguard Balanced Index Fund (VBINX) - Fixed Income Holdings
Blmbg. Barc. U.S. Aggregate Float Adjusted
0.0
15.0
30.0
45.0
60.0
TreasuriesAgenciesCreditMBSABSNon-USEmergingOtherCMBS40.0
3.6
24.0
20.4
0.5
7.7
2.1 0.0 1.8
40.0
2.4
28.5
20.4
2.7 5.0
0.0 1.0 0.0
Manager Evaluation
Vanguard Balanced Index Fund (VBINX) - Fixed Income Holdings vs. Blmbg. Barc. U.S. Aggregate Float Adjusted
As of September 30, 2016
42
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement Income (VTINX)1.9 6.3 7.5 4.7 5.9 5.3 -0.2 5.5 5.9 8.2 5.2 9.4 14.3 -10.9 8.2 6.4
Vanguard Target Income Composite Index (Net)2.0 6.3 7.8 4.9 6.1 5.3 0.1 5.8 6.0 8.4 5.3 9.4 14.3 -11.3 8.1 6.5
IM Mixed-Asset Target Today 2.2 6.1 7.2 3.7 5.3 4.2 -1.4 3.9 5.4 8.9 2.8 9.5 18.1 -16.0 4.9 7.3
Vanguard Target Retirement Income (VTINX) Rank 61 40 38 12 25 12 7 10 38 67 8 53 82 10 1 60
Vanguard Target Retirement Income (VTINX)
Vanguard Target Income Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
5.6
5.8
6.0
6.2
6.4
Return (%)3.3 3.4
Risk (Standard Deviation %)
Vanguard Target Income Composite Index (Net)
Vanguard Target Retirement Income (VTINX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement Income (VTINX)5.9 3.9 5.8 -0.1 1.0 1.5 0.3 -0.6 1.9 43.3 12y 11m
Vanguard Target Income Composite Index (Net)6.1 3.9 5.9 0.0 1.0 1.5 0.0 N/A 1.9 0.0 12y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.9 -1.5 0.0 30.0 12y 11m
Manager Evaluation
Vanguard Target Retirement Income (VTINX) vs. Vanguard Target Income Composite Index (Net)
As of September 30, 2016
43
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2010 (VTENX)2.0 6.3 7.8 5.1 7.3 5.2 -0.2 5.9 9.1 10.1 3.4 11.4 19.3 -20.7 7.7 N/A
Vanguard Target 2010 Composite Index (Net)2.1 6.3 8.1 5.3 7.4 5.3 0.0 6.1 9.3 10.2 3.3 11.5 19.3 -20.9 7.7 N/A
IM Mixed-Asset Target 2010 2.6 6.3 8.1 4.5 7.2 3.9 -1.2 4.1 8.7 9.8 0.8 10.8 23.3 -26.0 5.9 9.4
Vanguard Target Retirement 2010 (VTENX) Rank 74 53 60 18 47 7 8 7 50 46 6 35 81 21 8 N/A
Vanguard Target Retirement 2010 (VTENX)
Vanguard Target 2010 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
7.0
7.2
7.4
7.6
7.8
Return (%)4.1 4.2 4.3
Risk (Standard Deviation %)
Vanguard Target 2010 Composite Index (Net)
Vanguard Target Retirement 2010 (VTENX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2010 (VTENX)7.3 4.9 7.1 -0.1 1.0 1.5 0.3 -0.4 2.4 48.3 10y 3m
Vanguard Target 2010 Composite Index (Net)7.4 4.9 7.2 0.0 1.0 1.5 0.0 N/A 2.4 0.0 10y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.9 -1.5 0.0 28.3 10y 3m
Manager Evaluation
Vanguard Target Retirement 2010 (VTENX) vs. Vanguard Target 2010 Composite Index (Net)
As of September 30, 2016
44
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2015 (VTXVX)2.8 6.7 9.0 5.7 8.6 5.5 -0.5 6.6 13.0 11.4 1.7 12.5 21.3 -24.1 7.5 11.4
Vanguard Target 2015 Composite Index (Net)2.8 6.8 9.4 5.9 8.8 5.5 -0.2 6.8 13.3 11.5 1.6 12.5 21.2 -24.4 7.6 11.5
IM Mixed-Asset Target 2015 2.7 6.6 8.7 4.7 8.1 4.9 -1.3 4.4 10.3 10.8 -0.1 11.5 25.3 -29.3 6.1 10.3
Vanguard Target Retirement 2015 (VTXVX) Rank 45 40 36 7 30 10 13 4 23 36 24 33 76 18 22 32
Vanguard Target Retirement 2015 (VTXVX)
Vanguard Target 2015 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
8.4
8.6
8.8
9.0
Return (%)5.2 5.3
Risk (Standard Deviation %)
Vanguard Target 2015 Composite Index (Net)
Vanguard Target Retirement 2015 (VTXVX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2015 (VTXVX)8.6 6.2 8.4 0.0 1.0 1.4 0.4 -0.4 3.1 48.3 12y 11m
Vanguard Target 2015 Composite Index (Net)8.8 6.3 8.5 0.0 1.0 1.4 0.0 N/A 3.2 0.0 12y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 6.3 -1.4 0.0 30.0 12y 11m
Manager Evaluation
Vanguard Target Retirement 2015 (VTXVX) vs. Vanguard Target 2015 Composite Index (Net)
As of September 30, 2016
45
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2020 (VTWNX)3.3 7.1 10.0 6.2 9.6 5.6 -0.7 7.1 15.8 12.3 0.6 13.1 23.1 -27.0 7.5 N/A
Vanguard Target 2020 Composite Index (Net)3.4 7.2 10.4 6.5 9.9 5.8 -0.4 7.4 16.2 12.5 1.0 13.3 23.3 -27.4 7.6 N/A
IM Mixed-Asset Target 2020 3.0 6.7 8.8 4.5 7.8 4.2 -1.4 4.7 11.8 11.5 -0.4 12.3 26.0 -31.8 6.3 12.0
Vanguard Target Retirement 2020 (VTWNX) Rank 30 25 12 3 11 5 24 1 19 37 33 37 71 22 34 N/A
Vanguard Target Retirement 2020 (VTWNX)
Vanguard Target 2020 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
9.6
9.9
10.2
Return (%)6.0 6.1 6.2
Risk (Standard Deviation %)
Vanguard Target 2020 Composite Index (Net)
Vanguard Target Retirement 2020 (VTWNX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2020 (VTWNX)9.6 7.2 9.4 -0.1 1.0 1.3 0.4 -0.5 3.7 38.3 10y 3m
Vanguard Target 2020 Composite Index (Net)9.9 7.3 9.6 0.0 1.0 1.3 0.0 N/A 3.8 0.0 10y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 7.3 -1.3 0.0 31.7 10y 3m
Manager Evaluation
Vanguard Target Retirement 2020 (VTWNX) vs. Vanguard Target 2020 Composite Index (Net)
As of September 30, 2016
46
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2025 (VTTVX)3.7 7.4 10.7 6.5 10.4 5.7 -0.8 7.2 18.1 13.3 -0.4 13.8 24.8 -30.1 7.6 13.2
Vanguard Target 2025 Composite Index (Net)3.8 7.3 11.0 6.7 10.6 5.8 -0.6 7.4 18.5 13.4 0.1 13.9 25.2 -30.4 7.6 13.4
IM Mixed-Asset Target 2025 3.4 6.8 9.7 5.1 9.2 4.9 -1.4 5.2 15.9 13.0 -2.0 13.4 28.9 -35.0 7.2 13.1
Vanguard Target Retirement 2025 (VTTVX) Rank 31 20 17 4 23 10 24 4 24 45 18 39 80 16 45 49
Vanguard Target Retirement 2025 (VTTVX)
Vanguard Target 2025 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
10.0
10.2
10.4
10.6
10.8
11.0
Return (%)6.7 6.8 6.9
Risk (Standard Deviation %)
Vanguard Target 2025 Composite Index (Net)
Vanguard Target Retirement 2025 (VTTVX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2025 (VTTVX)10.4 8.1 10.2 -0.1 1.0 1.3 0.5 -0.4 4.2 45.0 12y 11m
Vanguard Target 2025 Composite Index (Net)10.6 8.2 10.4 0.0 1.0 1.3 0.0 N/A 4.3 0.0 12y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.2 -1.3 0.0 30.0 12y 11m
Manager Evaluation
Vanguard Target Retirement 2025 (VTTVX) vs. Vanguard Target 2025 Composite Index (Net)
As of September 30, 2016
47
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2030 (VTHRX)4.0 7.4 11.1 6.6 11.1 5.6 -1.0 7.2 20.5 14.2 -1.3 14.4 26.7 -32.9 7.5 N/A
Vanguard Target 2030 Composite Index (Net)4.1 7.4 11.5 6.9 11.3 5.8 -0.8 7.5 20.9 14.3 -0.9 14.6 27.0 -33.3 7.6 N/A
IM Mixed-Asset Target 2030 3.7 6.9 10.4 5.3 9.7 4.4 -1.6 5.2 17.9 13.7 -2.6 13.6 28.8 -36.4 6.5 13.6
Vanguard Target Retirement 2030 (VTHRX) Rank 33 25 27 4 17 14 30 6 28 40 23 34 73 17 40 N/A
Vanguard Target Retirement 2030 (VTHRX)
Vanguard Target 2030 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
10.8
11.0
11.2
11.4
11.6
Return (%)7.5 7.6 7.7
Risk (Standard Deviation %)
Vanguard Target 2030 Composite Index (Net)
Vanguard Target Retirement 2030 (VTHRX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2030 (VTHRX)11.1 9.0 10.9 0.0 1.0 1.2 0.5 -0.4 4.7 45.0 10y 3m
Vanguard Target 2030 Composite Index (Net)11.3 9.1 11.1 0.0 1.0 1.2 0.0 N/A 4.8 0.0 10y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.1 -1.2 0.0 31.7 10y 3m
Manager Evaluation
Vanguard Target Retirement 2030 (VTHRX) vs. Vanguard Target 2030 Composite Index (Net)
As of September 30, 2016
48
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2035 (VTTHX)4.4 7.4 11.6 6.8 11.8 5.7 -1.3 7.2 22.8 15.2 -2.2 15.1 28.2 -34.7 7.5 15.2
Vanguard Target 2035 Composite Index (Net)4.5 7.4 12.0 7.0 12.0 5.9 -1.0 7.6 23.3 15.2 -1.9 15.2 28.7 -35.1 7.6 15.4
IM Mixed-Asset Target 2035 4.2 7.0 11.1 5.7 10.5 4.9 -1.7 5.4 20.8 14.7 -3.3 14.6 31.0 -36.1 7.5 14.0
Vanguard Target Retirement 2035 (VTTHX) Rank 33 31 28 6 20 15 38 9 25 42 21 29 66 13 51 28
Vanguard Target Retirement 2035 (VTTHX)
Vanguard Target 2035 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
11.6
11.8
12.0
12.2
12.4
Return (%)8.2 8.3 8.4
Risk (Standard Deviation %)
Vanguard Target 2035 Composite Index (Net)
Vanguard Target Retirement 2035 (VTTHX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2035 (VTTHX)11.8 9.8 11.6 0.0 1.0 1.2 0.6 -0.3 5.2 43.3 12y 11m
Vanguard Target 2035 Composite Index (Net)12.0 9.9 11.8 0.0 1.0 1.2 0.0 N/A 5.3 0.0 12y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.9 -1.2 0.0 33.3 12y 11m
Manager Evaluation
Vanguard Target Retirement 2035 (VTTHX) vs. Vanguard Target 2035 Composite Index (Net)
As of September 30, 2016
49
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2040 (VFORX)4.7 7.5 12.1 6.8 12.1 5.9 -1.6 7.1 24.4 15.6 -2.5 15.2 28.3 -34.5 7.5 N/A
Vanguard Target 2040 Composite Index (Net)4.9 7.5 12.5 7.1 12.4 6.0 -1.2 7.6 24.8 15.6 -2.1 15.3 28.7 -35.1 7.6 N/A
IM Mixed-Asset Target 2040 4.5 7.0 11.4 5.6 10.9 4.5 -1.7 5.4 21.7 14.9 -3.9 14.6 30.7 -38.1 6.5 14.9
Vanguard Target Retirement 2040 (VFORX) Rank 27 28 23 8 15 14 44 12 17 33 21 37 76 4 33 N/A
Vanguard Target Retirement 2040 (VFORX)
Vanguard Target 2040 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
11.7
12.0
12.3
12.6
12.9
Return (%)8.7 8.8 8.9
Risk (Standard Deviation %)
Vanguard Target 2040 Composite Index (Net)
Vanguard Target Retirement 2040 (VFORX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2040 (VFORX)12.1 10.4 12.0 -0.1 1.0 1.1 0.6 -0.4 5.6 43.3 10y 3m
Vanguard Target 2040 Composite Index (Net)12.4 10.5 12.2 0.0 1.0 1.2 0.0 N/A 5.7 0.0 10y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.6 -1.2 0.0 33.3 10y 3m
Manager Evaluation
Vanguard Target Retirement 2040 (VFORX) vs. Vanguard Target 2040 Composite Index (Net)
As of September 30, 2016
50
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2045 (VTIVX)4.8 7.5 12.2 6.9 12.1 5.9 -1.6 7.2 24.4 15.6 -2.5 15.2 28.2 -34.6 7.5 16.0
Vanguard Target 2045 Composite Index (Net)5.0 7.5 12.6 7.1 12.4 6.0 -1.3 7.6 24.8 15.6 -2.1 15.3 28.7 -35.1 7.6 16.2
IM Mixed-Asset Target 2045 4.6 7.1 11.5 5.9 11.4 4.9 -1.8 5.5 23.1 15.5 -4.0 15.0 31.1 -38.5 6.8 16.0
Vanguard Target Retirement 2045 (VTIVX) Rank 35 30 25 11 20 16 44 13 27 44 15 43 87 11 49 56
Vanguard Target Retirement 2045 (VTIVX)
Vanguard Target 2045 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
11.7
12.0
12.3
12.6
12.9
Return (%)8.7 8.8 8.9 9.0
Risk (Standard Deviation %)
Vanguard Target 2045 Composite Index (Net)
Vanguard Target Retirement 2045 (VTIVX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2045 (VTIVX)12.1 10.5 12.0 -0.1 1.0 1.1 0.6 -0.4 5.6 48.3 12y 11m
Vanguard Target 2045 Composite Index (Net)12.4 10.6 12.2 0.0 1.0 1.2 0.0 N/A 5.7 0.0 12y 11m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.6 -1.2 0.0 33.3 12y 11m
Manager Evaluation
Vanguard Target Retirement 2045 (VTIVX) vs. Vanguard Target 2045 Composite Index (Net)
As of September 30, 2016
51
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2050 (VFIFX)4.8 7.5 12.1 6.9 12.1 5.9 -1.6 7.2 24.3 15.6 -2.5 15.2 28.3 -34.6 7.5 N/A
Vanguard Target 2050 Composite Index (Net)5.0 7.5 12.6 7.1 12.4 6.0 -1.3 7.6 24.8 15.6 -2.1 15.3 28.7 -35.1 7.6 N/A
IM Mixed-Asset Target 2050 4.6 7.0 11.5 5.8 11.4 4.4 -1.8 5.6 23.1 15.5 -4.4 14.8 31.4 -39.1 6.6 15.5
Vanguard Target Retirement 2050 (VFIFX) Rank 41 34 31 12 21 1 46 17 31 47 14 37 92 6 25 N/A
Vanguard Target Retirement 2050 (VFIFX)
Vanguard Target 2050 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
11.7
12.0
12.3
12.6
12.9
Return (%)8.7 8.8 8.9 9.0
Risk (Standard Deviation %)
Vanguard Target 2050 Composite Index (Net)
Vanguard Target Retirement 2050 (VFIFX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2050 (VFIFX)12.1 10.4 12.0 -0.1 1.0 1.1 0.6 -0.4 5.6 45.0 10y 3m
Vanguard Target 2050 Composite Index (Net)12.4 10.6 12.2 0.0 1.0 1.2 0.0 N/A 5.7 0.0 10y 3m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.6 -1.2 0.0 33.3 10y 3m
Manager Evaluation
Vanguard Target Retirement 2050 (VFIFX) vs. Vanguard Target 2050 Composite Index (Net)
As of September 30, 2016
52
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016)
Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2055 (VFFVX)4.8 7.5 12.1 6.8 12.1 N/A -1.7 7.2 24.3 15.6 -2.3 N/A N/A N/A N/A N/A
Vanguard Target 2055 Composite Index (Net)5.0 7.5 12.6 7.1 12.4 N/A -1.3 7.6 24.8 15.6 -2.1 N/A N/A N/A N/A N/A
IM Mixed-Asset Target 2055+4.8 7.0 11.7 6.0 11.7 N/A -1.6 5.4 23.3 15.6 -4.7 14.8 30.8 -40.7 N/A N/A
Vanguard Target Retirement 2055 (VFFVX) Rank 46 31 35 23 35 N/A 55 17 38 50 1 N/A N/A N/A N/A N/A
Vanguard Target Retirement 2055 (VFFVX)
Vanguard Target 2055 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
11.7
12.0
12.3
12.6
12.9
Return (%)8.7 8.8 8.9
Risk (Standard Deviation %)
Vanguard Target 2055 Composite Index (Net)
Vanguard Target Retirement 2055 (VFFVX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2055 (VFFVX)12.1 10.4 12.0 -0.1 1.0 1.1 0.6 -0.4 5.6 45.0 6y
Vanguard Target 2055 Composite Index (Net)12.4 10.6 12.2 0.0 1.0 1.2 0.0 N/A 5.7 0.0 6y
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.6 -1.2 0.0 33.3 6y
Manager Evaluation
Vanguard Target Retirement 2055 (VFFVX) vs. Vanguard Target 2055 Composite Index (Net)
As of September 30, 2016
53
Historical Performance
Three Year Rolling Percentile Ranking Risk and Return (Apr-2012 - Sep-2016)
Historical Statistics - Monthly Periodicity (Feb-2012 - Sep-2016)
Quarter
Year
To
Date
1
Year
3
Years
5
Years
10
Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Vanguard Target Retirement 2060 (VTTSX)4.8 7.5 12.1 6.8 N/A N/A -1.7 7.2 24.3 N/A N/A N/A N/A N/A N/A N/A
Vanguard Target 2060 Composite Index (Net)5.0 7.5 12.6 7.1 N/A N/A -1.3 7.6 24.8 15.6 N/A N/A N/A N/A N/A N/A
IM Mixed-Asset Target 2055+4.8 7.0 11.7 6.0 11.7 N/A -1.6 5.4 23.3 15.6 -4.7 14.8 30.8 -40.7 N/A N/A
Vanguard Target Retirement 2060 (VTTSX) Rank 47 32 34 22 N/A N/A 52 17 37 N/A N/A N/A N/A N/A N/A N/A
Vanguard Target Retirement 2060 (VTTSX)
Vanguard Target 2060 Composite Index (Net)
0
25
50
75
100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16
8.7
9.0
9.3
9.6
Return (%)7.7 7.8 7.9 8.0
Risk (Standard Deviation %)
Vanguard Target 2060 Composite Index (Net)
Vanguard Target Retirement 2060 (VTTSX)
Return
Standard
Deviation
Excess
Return Alpha Beta
Sharpe
Ratio
Tracking
Error
Information
Ratio
Downside
Risk Consistency
Inception
Date
Vanguard Target Retirement 2060 (VTTSX)9.8 9.7 9.8 -0.1 1.0 1.0 0.5 -0.4 5.8 46.4 4y 8m
Vanguard Target 2060 Composite Index (Net)10.1 9.8 10.1 0.0 1.0 1.0 0.0 N/A 5.9 0.0 4y 8m
90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.8 -1.0 0.0 33.9 4y 8m
Manager Evaluation
Vanguard Target Retirement 2060 (VTTSX) vs. Vanguard Target 2060 Composite Index (Net)
As of September 30, 2016
54
Manager Evaluation
Ta rget-Date Funds Asset Allocation
As of September 30, 2016
U.S.Equi ty 18.1%27.8%34.5%39.3%43.8%48.3%52.8%54.0%54.1%54.1%
Va nguard Total St ock M arke t Index Fu nd 18.1%27.8%34.5%39.3%43.8%48.3%52.8%54.0%54.1%54.1%
Non-U.S . Equ ity 12.1%18.6%22.9%24.5%29.1%32.1%35.1%36.0%36.0%35.9%
Va nguard Total In ternational St ock In dex F und 12.1%18.6%22.9%24.5%29.1%32.1%35.1%36.0%36.0%35.9%
Fi xe d In come 69.8%53.6%42.6%36.2%27.1%19.6%12.1%10.0%9.9%10.0%
Va nguard Total Bo nd Marke t II In dex F und 37.1%30.8%28.5%26.1%19.2%14.0%8.7%7.1%7.1%7.2%
Va nguard Total In ternational Bo nd Stock In dex F und 15.9%13.3%12.0%10.1%7.9%5.6%3.4%2.9%2.8%2.8%
Va nguard In fla tion-Pro tected Securit ie s Fund 16.8%9.5%2.1%0.0%0.0%0.0%0.0%0.0%0.0%0.0%
TO TA L 100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%100.0%
Vanguard C ompone nt Funds
Re ti rement
In come
Tar get
Date
2045
Tar get
Date
2050
Tar get
Date
2015
Tar get
Date
2020
Tar get
Date
2025
Tar get
Date
2030
Tar get
Date
2035
Tar get
Date
2040
Tar get
Date
2055
0%
10%
20%
30%
40%
50%
60%
70%
80%
U.S.Equity Non-U.S.Equity Fi xed In come
Re ti rem ent I nc om e
Targ et Date 2015
Targ et Date 2020
Targ et Date 2025
Targ et Date 2030
Targ et Date 2035
Targ et Date 2040
Targ et Date 2045
Targ et Date 2050
Targ et Date 2055
55