Multiple Asset Fund (MAF)

Manager's Quarterly Commentary

• Fund Performance
• Fund Holdings

Type of Fund: Diversified multiple-asset-class fund of funds.

Objective: To attain current income and capital appreciation by investing in a broad mix of different types of investments.

Who Should Invest: Investors with relatively long time horizons who seek long-term investment growth and income from exposure to a broadly diversified portfolio composed of stocks, bonds, real estate and various other types of investments. Investors should be willing to experience some fluctuations in the value of the fund, though not as much as from holding a fund comprised exclusively of common stocks.

Investments: Prespecified mix of units of other General Board funds: 10% Inflation Protection Fund, 25% Fixed Income Fund, 45% U.S. Equity Fund and 20% International Equity Fund.

Management: Through its investment in other General Board funds, MAF participates in the management styles of more than 30 different investment management firms selected by the General Board. Additionally, through its investment in the Fixed Income Fund, MAF participates in investments managed by the General Board. Prior to 1/1/06, MAF comprised multiple asset classes that invested directly in these same assets. While having changed structurally, the underlying investments, investment managers and styles have remained essentially unchanged.

Strategy: The prespecified allocation of the underlying funds closely adheres to the long-term strategic asset allocation established by the board of directors. Market fluctuations may cause the actual MAF asset allocation to not conform to the prespecified mix. The General Board will rebalance MAF back to the prespecified mix when the actual holdings fall outside of a prespecified range. Inflation Protection Fund holdings will be rebalanced when they fall outside of a range of 8-12% of MAF; Fixed Income Fund holdings will be rebalanced when they fall outside of a range of  22-28% of MAF; U.S. Equity Fund holdings will be rebalanced when they fall outside of a range of 42-48% of MAF; and International Equity Fund holdings will be rebalanced when they fall outside of a range of 17-23% of MAF. During aberrant market conditions, the General Board may temporarily elect to suspend rebalancing back to the prespecified mix. The General Board will resume rebalancing once market conditions have improved.

The underlying funds employ a blended use of active and passive (index) strategies. Generally, MAF will have significant index exposure for large-company U.S. equity securities, and will use active management for those markets in which it is perceived that active decisions will add value.

Performance Benchmark: The fund uses a blended benchmark to measure the success of its performance. This blended benchmark consists of the individual benchmarks of MAF's underlying funds with weightings equal to the proportionate weightings of the underlying funds in MAF. Specifically, the benchmark includes the following:

Performance Objective: As stated in the General Board's Investment Policy, the performance objective for MAF is to produce a return that, on average, exceeds that of the performance benchmark by 0.8% on average per year, net of all fees, over an extended investment cycle (10 to 20 years).

Please see the Investment Funds Description for more detailed information regarding MAF.

Fund Performance¹

Fund Market Value (as of 12/31/11): $6,486,366,232

The following performance information is for that of MAF and includes its historic performance as both a balanced fund of funds and a fund with balanced asset classes. MAF's comparative benchmark data includes its current and former benchmark performance data. As of 1/1/2006, benchmark performance consists of MAF's current benchmark, and prior to 1/1/06, MAF's benchmark was a blend of the following indices: 35% Barclays Capital U.S. Universal Index, 47% Russell 3000 Index, 15% MSCI Europe, Australasia, Far East Index, and 3% MSCI Emerging Markets Free Index.

Annual Performance, Net of Fees

Compounded Annual Performance, Net of Fees (Periods Ending 12/31/11):

* On January 1, 2006, the benchmark for the Multiple Asset Fund became 45% Russell 3000 Index, 20% MSCI All Country World Index ex USA, 25% Lehman U.S. Universal Index ex-Mortgage Backed Securities, and 10% Barclays Capital U.S. Government Inflation Linked Bond Index.  On January 1, 2008, the MSCI All Country World Index ex USA was replaced with the MSCI All Country World Index ex USA IMI. In September 2008, the Lehman U.S. Universal Index ex-Mortgage Backed Securities was renamed the Barclays Capital U.S. Universal Index ex-Mortgage Backed Securities. Prior to 2006, the benchmark had been 47% Russell 3000 Index, 15% MSCI EAFE Index, 3% MSCI Emerging Markets Index, and 35% Lehman U.S. Universal Index. The benchmark data reported above are blends of the two benchmarks based on the period for which the respective benchmark applies.

** The comparison universe is derived from the Wilshire Compass Lipper “Asset Class” of “Balanced” mutual funds.

¹ Performance Notes:

1. Performance is net of all fees and expenses, which include all investment management fees, operating expenses and bank custodial fees.
2. The fund benchmark has changed several times over the past 10 years. The data shown for the fund benchmark represents the returns for the benchmark in place for the year specified.

Fund Holdings

²See Glossary for definitions of the various asset classes.

Notes: The U.S. equities allocation includes approximately $364 million in real estate partnerships. Fixed-income securities include approximately $463 million of loans for affordable housing and community development projects and approximately $513 million of international bonds denominated in foreign currencies.

Fund Holdings (as of 9/30/11): Download/view fund holdings in PDF format.

Expense Ratio: MAF will pay for all fees and espenses indirectly, as the underlying funds held by MAF will pay all fees and expenses. All expenses of the fund are deducted from the fund’s net asset value. The expenses include investment management fees, operating expenses, bank custodial fees and miscellaneous fund administration expenses. These expenses are reflected in the unit price calculated for the fund. The unit price is multiplied by the number of units held in each participant’s account to determine the total value of the participant’s holdings in the fund. MAF’s expenses in 2010 were equal to approximately 0.63% of the fund’s total assets.

Lending of Portfolio Securities: The fund seeks to earn additional income by making loans of its portfolio securities to brokers, dealers and other financial institutions. The loans will be secured at all times by cash and liquid high-grade debt obligations. As with any extension of credit, there are risks of delay in recovery and in some cases even loss of rights in the collateral should the borrower fail financially. Additionally, losses could result from the reinvestment of the cash collateral received on loaned securities.