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TMCNet:  AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR - 10-Q - MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

[November 14, 2012]

AMERICAN BAR ASSOCIATION MEMBERS / NORTHERN TRUST COLLECTIVE TR - 10-Q - MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

(Edgar Glimpses Via Acquire Media NewsEdge) SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS Some of the statements in this Report, including, without limitation, those relating to the objectives and strategies of the investment options, constitute "Forward-Looking Statements" within the meaning of the Private Securities Litigation Reform Act of 1995. The American Bar Association Members/Northern Trust Collective Trust (the "Collective Trust") desires to take advantage of the "safe harbor" provisions of such Act and is including this special note to enable it to do so. Forward-looking statements included in this Report, or subsequently included in other publicly available documents filed with the Securities and Exchange Commission, and other publicly available statements issued or released by the Collective Trust, involve known and unknown risks, uncertainties and other factors which could cause the actual results, performance or achievements of the investment options to differ materially from the future results, performance or achievements expressed or implied by such forward-looking statements. For a description of these factors, see the descriptions of each of the investment options found in Item 1, "Business" of the Collective Trust's Annual Report on Form 10-K.



Quarter and Nine Month Period Ended September 30, 2012 Stable Asset Return Fund The Stable Asset Return Fund seeks to provide current income consistent with the preservation of principal and liquidity. The Stable Asset Return Fund invests in investment contracts, which we refer to as Traditional Investment Contracts, so-called "Synthetic GICs" with associated underlying assets, and high-quality, fixed-income instruments. Such investments may be made directly by the Fund or indirectly through its investment in other collective investment funds maintained by one or more banks, including Northern Trust Investments, Inc., which we refer to as Northern Trust Investments. Effective with the reorganization of the Stable Asset Return Fund on December 8, 2010, the benchmark for the Fund is the 3 Year Constant Maturity Treasury Yield.

For the quarter ended September 30, 2012, the Stable Asset Return Fund experienced a total return, net of expenses, of 0.36%. By comparison, the 3 Year Constant Maturity Treasury Yield produced an investment record of 0.09% for the same period. The 3 Year Constant Maturity Treasury Yield does not include an allowance for the fees that an investor would pay for investing in the instruments that comprise that benchmark or for fund expenses. For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 1.03%. By comparison, the 3 Year Constant Maturity Treasury Yield produced an investment record of 0.29% for the same period.

The Stable Asset Return Fund outperformed the 3 Year Constant Maturity Treasury Yield for the quarter ended September 30, 2012. Outperformance was primarily driven by an overweight to corporate bonds, commercial mortgage backed securities, asset backed securities and residential mortgage backed securities.

The positioning in U.S. TIPS was also positive as inflation expectations increased following the Federal Reserve's announcement of "Quantitative Easing" 3 measures to encourage economic growth and reduce unemployment. Market to book value increased modestly from 103.4 to 103.9 during the quarter reflecting the strong performance of the underlying bond portfolios.

The Stable Asset Return Fund outperformed the 3 Year Constant Maturity Treasury Yield for the nine month period ended September 30, 2012. Outperformance was primarily driven by an overweight to corporate bonds, commercial mortgage backed securities, asset backed securities and residential mortgage backed securities.

Bond Core Plus Fund The Bond Core Plus Fund seeks to achieve, over an extended period of time, total returns comparable or superior to broad measures of the domestic bond market.

The Bond Core Plus Fund invests its assets in a diversified portfolio of fixed-income securities.

For the quarter ended September 30, 2012, the Bond Core Plus Fund, which is advised with the assistance of Pacific Investment Management Company LLC, experienced a total return, net of expenses, of 2.33%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 1.58% for the same period. For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 6.54%, compared to an investment record of 3.99% for the benchmark for the same period. The Barclays Capital U.S. Aggregate Bond Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

The Bond Core Plus Fund outperformed the Barclays Capital U.S. Aggregate Bond Index for the quarter ended September 30, 2012. Exposure to both U.S. TIPS and an overweight to the financial sector were positive for the quarter.

The Bond Core Plus Fund outperformed the Barclays Capital U.S. Aggregate Bond Index for the nine month period ended September 30, 2012. Exposure to falling interest rates in Australia, U.S. TIPS, and municipal bonds all added to relative performance.

230 -------------------------------------------------------------------------------- Table of Contents Large Cap Equity Fund The Large Cap Equity Fund seeks to outperform, over extended periods of time, broad measures of the U.S. stock market. The Fund invests primarily in common stocks and other equity-type securities of larger-capitalization U.S. companies with market capitalizations, at the time of purchase, of greater than $1 billion.

For the quarter ended September 30, 2012, the Large Cap Equity Fund experienced a total return, net of expenses, of 6.10%. By comparison, the Russell 1000 ® Index produced an investment record of 6.31% for the same period. For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 15.78%, compared to an investment record of 16.28% for the benchmark for the same period. The Russell 1000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The Large Cap Equity Fund uses a "multi-manager" approach whereby the Fund's assets are allocated to two or more Investment Advisors, in percentages determined at the discretion of Northern Trust Investments. Each Investment Advisor acts independently from the others and uses its own distinct investment style in recommending securities. Each Investment Advisor must operate within the constraints of the Fund's investment objective, strategies and restrictions and subject to the general supervision of Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended September 30, 2012, the portion of the Large Cap Equity Fund advised with the assistance of Columbus Circle Investors (approximately 22% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared. Outperformance was primarily driven by strong stock selection in the technology and materials sectors, as investors increasingly focused on fundamental variables and rewarded larger-capitalization companies exhibiting higher growth rates.

For the quarter ended September 30, 2012, the portion of the Large Cap Equity Fund advised with the assistance of C.S. McKee, L.P. (approximately 29% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. Outperformance was driven by strong stock selection in the industrials and consumer discretionary sectors.

For the quarter ended September 30, 2012, the portion of the Large Cap Equity Fund advised with the assistance of Delaware Investment Advisers (approximately 26% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. Investments in consumer staples were the largest detractors from relative performance as two of five holdings in the sector experienced negative returns. The portfolio's generally more defensive positioning was also a detractor from performance.

For the quarter ended September 30, 2012, the portion of the Large Cap Equity Fund advised with the assistance of Jennison Associates LLC (approximately 19% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared. Stock selection in the consumer discretionary and healthcare sectors were the primary contributors to the underperformance.

For the nine month period ended September 30, 2012, the portion of the Large Cap Equity Fund advised with the assistance of Columbus Circle Investors (approximately 22% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared.

Outperformance was primarily driven by strong stock selection in the technology and materials sectors, as investors increasingly focused on fundamental variables and rewarded larger-capitalization companies exhibiting higher growth rates.

For the nine month period ended September 30, 2012, the portion of the Large Cap Equity Fund advised with the assistance of C.S. McKee, L.P. (approximately 29% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. Stock selection in the financials and utilities sectors were the primary drivers of outperformance. In particular, insurance giant Allstate was up over 47% for the period.

For the nine month period ended September 30, 2012, the portion of the Large Cap Equity Fund advised with the assistance of Delaware Investment Advisers (approximately 26% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. As was the case in the third quarter, the largest drag on relative performance came in consumer staples where stock selection and the portfolio's overweight allocation detracted from returns.

For the nine month period ended September 30, 2012, the portion of the Large Cap Equity Fund advised with the assistance of Jennison Associates LLC (approximately 19% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared. Strong stock selection in information technology and consumer staples drove outperformance.

231 -------------------------------------------------------------------------------- Table of Contents Small-Mid Cap Equity Fund The Small-Mid Cap Equity Fund seeks to outperform, over extended periods of time, broad measures of the U.S. stock market. The Fund invests primarily in common stocks and other equity-type securities of small- to medium-capitalization U.S. companies with market capitalizations, at the time of purchase, of between $100 million and $20 billion.

For the quarter ended September 30, 2012, the Small-Mid Cap Equity Fund experienced a total return, net of expenses, of 4.76%. By comparison, the Russell 2500™ Index produced an investment record of 5.57% for the same period.

For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 11.51%, compared to an investment record of 14.33% for the benchmark for the same period. The Russell 2500 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The Small-Mid Cap Equity Fund uses a "multi-manager" approach whereby the Fund's assets are allocated to two or more Investment Advisors, in percentages determined at the discretion of Northern Trust Investments. Each Investment Advisor acts independently from the others and uses its own distinct investment style in recommending securities. Each Investment Advisor must operate within the constraints of the Fund's investment objective, strategies and restrictions and subject to the general supervision of Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Denver Investment Advisors LLC (d/b/a Denver Investments) (approximately 15% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. The sectors where relative performance was weakest included basic materials, consumer staples and more interest-rate sensitive securities.

For the quarter ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Lombardia Capital Partners, LLC (approximately 15% as of September 30, 2012) positively contributed to the performance of the Fund, but underperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared.

Underperformance was driven by negative stock selection in five of ten sectors, with financials, materials and consumer staples performing poorly.

For the quarter ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Frontier Capital Management Co. LLC (approximately 10% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared.

Underperformance during the third quarter was driven by weak stock selection in the consumer discretionary, technology and materials sectors.

For the quarter ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 15% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. Sector selection was mixed while stock selection added value during the period. From a sector standpoint, an underweight to the underperforming utilities and REITs sectors had a positive impact on results.

For the quarter ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Allianz Global Investors Capital LLC (approximately 9% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared.

Stock selection in the industrials, energy and healthcare sectors were the primary detractors from relative performance.

For the quarter ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Riverbridge Partners (approximately 10% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Strong stock selection in the financials and consumer staples sectors contributed to quarterly performance.

For the quarter ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Systematic Financial Management, L.P.

(approximately 14% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. Strong stock selection within the financials sector added the most value, with the utilities and consumer discretionary sectors contributing as well.

For the quarter ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of TCW Investment Management Company (approximately 10% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared.

Stock selection in the information technology sector accounted for almost all of the outperformance.

For the nine month period ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Denver Investment Advisors LLC (d/b/a Denver Investments) (approximately 15% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. Weak stock selection in the materials and financial sectors were the primary drivers of underperformance.

232 -------------------------------------------------------------------------------- Table of Contents For the nine month period ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Lombardia Capital Partners, LLC (approximately 15% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared.

Underperformance was driven by negative stock selection in six of ten sectors, with financials, consumer staples and healthcare performing the worst.

For the nine month period ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Frontier Capital Management Co.

LLC (approximately 10% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared.

The outperformance resulted from both positive stock and sector selection. Stock selection was particularly strong within the energy, financials and healthcare sectors.

For the nine month period ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 15% as of September 30, 2012) positively contributed to the performance of the Fund, but underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared.

Underperformance was driven by an overweight to energy and underweight to the outperforming telecom and REIT sectors.

For the nine month period ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Allianz Global Investors Capital LLC (approximately 9% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared.

Stock selection in the consumer discretionary, financials, industrials and information technology sectors were the primary detractors from relative performance.

For the nine month period ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Riverbridge Partners (approximately 10% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. The largest contributors to year-to-date performance were stock selection in the information technology and consumer staples sectors and the portfolio's underweight to the underperforming energy sector.

For the nine month period ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Systematic Financial Management, L.P. (approximately 14% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. Stock Selection within the financials sector contributed the most to outperformance, while the utilities and consumer discretionary sectors contributed as well.

For the nine month period ended September 30, 2012, the portion of the Small-Mid Cap Equity Fund advised with the assistance of TCW Investment Management Company (approximately 10% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared.

Underperformance during the period was primarily the result of negative stock selection in the industrials, financials and materials sectors.

International All Cap Equity Fund The International All Cap Equity Fund seeks to provide long-term growth of capital through a diversified portfolio of primarily non-U.S. equity securities.

The Fund seeks to diversify investments broadly among developed and emerging countries and generally to have at least three different countries represented in the portfolio. The Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to broad measures of the international (non-U.S.) stock markets, through investing in a diversified portfolio of primarily (non-U.S.) stock markets.

For the quarter ended September 30, 2012, the International All Cap Equity Fund experienced a total return, net of expenses, of 8.24%. By comparison, the Morgan Stanley Capital International ("MSCI") All-Country World ("ACWI") ex-US Index produced an investment record of 7.40% for the same period. For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 11.92%, compared to an investment record of 10.4% for the benchmark for the same period. The MSCI ACWI ex-US Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The International All Cap Equity Fund uses a "multi-manager" approach whereby the Fund's assets are allocated to two or more Investment Advisors, in percentages determined at the discretion of Northern Trust Investments. Each Investment Advisor acts independently from the others and uses its own distinct investment style in recommending securities. Each Investment Advisor must operate within the constraints of the Fund's investment objective, strategies and restrictions and subject to the general supervision of Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

233 -------------------------------------------------------------------------------- Table of Contents For the quarter ended September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of Altrinsic Global Advisors, LLC (approximately 22% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the MSCI Europe, Australasia, Far East ("EAFE") Value ND Index, against which the performance of this portion of the Fund is compared. Holdings in the financial, healthcare and telecommunications sectors were the primary detractors from performance.

For the quarter ended September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of American Century Investment Management, Inc. (approximately 14% as of September 30, 2012) negatively contributed to the performance of the Fund, but outperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. Stock selection in the consumer discretionary sector, led by holdings in the specialty retail and household durables industries, was the primary driver of outperformance.

For the quarter ended September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of First State Investments International Limited (approximately 23% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the MSCI Emerging Markets ND Index, against which the performance of this portion of the Fund is compared. Outperformance was driven by stock selection in the telecommunications service sector, particularly the position in Axiata Group (Malaysia: Telecom Services), which outperformed due to its increasing ability to generate cash and issue dividends to shareholders. Stock selection in the consumer staples sector also added to performance.

For the quarter ended September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 22% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. Within sectors, an overweight to healthcare and underweight to technology and utilities bolstered returns. Stock selection was also positive in the materials, industrials and consumer discretionary sectors.

For the quarter ended September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of William Blair & Company, L.L.C.

(approximately 15% as of September 30, 2012) negatively contributed to the performance of the Fund, but outperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. Strong stock selection, particularly in European chemical and pharmaceutical companies drove performance for the quarter. Stock selection was also strong in the information technology sector.

For the nine month period ended September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of Altrinsic Global Advisors, LLC (approximately 22% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. Stock selection in the financials, consumer discretionary and industrial sectors were the primary detractors from performance.

For the period from on or about April 25, 2012 (the date on which American Century Investment Management, Inc. commenced providing investment assistance with respect to the International All Cap Equity Fund) to September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of American Century Investment Management, Inc. (approximately 14% as of September 30, 2012) negatively contributed to the performance of the Fund, but outperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. Strong stock selection and an underweight to the materials sector, led by an underweight in the metals and mining industry, bolstered relative results. Investments in the information technology sector, especially among producers of computers and peripherals, further enhanced relative gains.

For the nine month period ended September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of First State Investments International Limited (approximately 23% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the MSCI Emerging Markets ND Index, against which the performance of this portion of the Fund is compared. Outperformance was driven by stock selection in Brazil, particularly the position in Anheuser Busch-InBev (Brazil: Consumer Staples) which rose on optimism about its growth prospects. Stock selection in the telecommunication services and consumer staples also added to performance.

For the nine month period ended September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 22% as of September 30, 2012) negatively contributed to the performance of the Fund, but outperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. Within sectors, an overweight to healthcare and underweight to technology and utilities boosted returns while stock selection was positive in the materials, industrials and consumer discretionary sectors.

For the period from on or about June 11, 2012 (the date on which William Blair & Company, L.L.C. commenced providing investment assistance with respect to the International All Cap Equity Fund) to September 30, 2012, the portion of the International All Cap Equity Fund advised with the assistance of William Blair & Company, L.L.C. (approximately 14% as of September 30, 2012) negatively contributed to the performance of the Fund, but outperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. Outperformance was primarily driven by strong stock selection in materials, healthcare and information technology.

234 -------------------------------------------------------------------------------- Table of Contents Global All Cap Equity Fund The Global All Cap Equity Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to an appropriate combination of broad measures of global stock markets by investing primarily in equity securities of companies located throughout the world, including those domiciled in the U.S.

For the quarter ended September 30, 2012, the Global All Cap Equity Fund experienced a total return, net of expenses, of 7.31%. By comparison, the MSCI ACWI Index produced an investment record of 6.84% for the same period. For the period from commencement of operations on January 17, 2012 to September 30, 2012, the Global All Cap Equity Fund experienced a total return, net of expenses, of 10.6%. By comparison, the MSCI ACWI Index produced an investment record of 6.84% for the same period. The MSCI ACWI Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

For the quarter ended September 30, 2012, the segment of the Global All Cap Equity Fund which is invested through the Large Cap Equity Fund (approximately 36% as of September 30, 2012) underperformed the Russell 1000 Index. Please refer to the discussion of the investment performance of the Large Cap Equity Fund for such period, above, for a description of the performance of the Large Cap Equity Fund segment of the Global All Cap Equity Fund for such period.

For the quarter ended September 30, 2012, the segment of the Global All Cap Equity Fund which is invested through the Small-Mid Cap Equity Fund (approximately 5% as of September 30, 2012) underperformed the Russell 2500 Index. Please refer to the discussion of the investment performance of the Small-Mid Cap Equity Fund for such period, above, for a description of the performance of the Small-Mid Cap Equity Fund segment of the Global All Cap Equity Fund for such period.

For the quarter ended September 30, 2012, the segment of the Global All Cap Equity Fund which is invested through the International All Cap Equity Fund (approximately 59% as of September 30, 2012) outperformed the MSCI ACWI ex-US Index. Please refer to the discussion of the investment performance of the International All Cap Equity Fund for such period, above, for a description of the performance of the International All Cap Equity Fund segment of the Global All Cap Equity Fund for such period.

For the period beginning January 17, 2012 and ended September 30, 2012, the segment of the Global All Cap Equity Fund which is invested through the Large Cap Equity Fund (approximately 36% as of September 30, 2012) underperformed the Russell 1000 Index. Please refer to the discussion of the investment performance of the Large Cap Equity Fund for such period, above, for a description of the performance of the Large Cap Equity Fund segment of the Global All Cap Equity Fund for such period.

For the period beginning January 17, 2012 and ended September 30, 2012, the segment of the Global All Cap Equity Fund which is invested through the Small-Mid Cap Equity Fund (approximately 5% as of September 30, 2012) underperformed the Russell 2500 Index. Please refer to the discussion of the investment performance of the Small-Mid Cap Equity Fund for such period, above, for a description of the performance of the Small-Mid Cap Equity Fund segment of the Global All Cap Equity Fund for such period.

For the period beginning January 17, 2012 and ended September 30, 2012, the segment of the Global All Cap Equity Fund which is invested through the International All Cap Equity Fund (approximately 59% as of September 30, 2012) outperformed the MSCI ACWI ex-US Index. Please refer to the discussion of the investment performance of the International All Cap Equity Fund for such period, above, for a description of the performance of the International All Cap Equity Fund segment of the Global All Cap Equity Fund for such period.

Bond Index Fund The Bond Index Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the Barclays Capital U.S. Aggregate Bond Index by investing generally in securities included in such Index. The Barclays Capital U.S. Aggregate Bond Index is representative of the domestic investment-grade bond market as included in such Index.

For the quarter ended September 30, 2012, the Bond Index Fund experienced a total return, net of expenses, of 1.34%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 1.58% for the same period. For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 3.34%, compared to an investment record of 3.99% for the benchmark for the same period. The Barclays Capital U.S. Aggregate Bond Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Bond Index Fund for the quarter and nine month period ended September 30, 2012 was consistent with the Barclays Capital U.S. Aggregate Bond Index after taking expenses into account.

Large Cap Index Equity Fund The Large Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the S&P 500®by investing generally in securities included in such Index. The S&P 500 represents approximately 75% of the U.S. equity market based on market capitalization.

235 -------------------------------------------------------------------------------- Table of Contents For the quarter ended September 30, 2012, the Large Cap Index Equity Fund experienced a total return, net of expenses, of 6.16%. By comparison, the S&P 500 produced an investment record of 6.35% for the same period. For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 15.82%, compared to an investment record of 16.44% for the benchmark for the same period. The S&P 500 does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Large Cap Index Equity Fund for the quarter and nine month period ended September 30, 2012 was consistent with the S&P 500 after taking expenses into account.

All Cap Index Equity Fund The All Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the Russell 3000® Index by investing generally in securities included in such Index. The Russell 3000 Index represents approximately 98% of the U.S. equity market based on market capitalization.

For the quarter ended September 30, 2012, the All Cap Index Equity Fund experienced a total return, net of expenses, of 6.03%. By comparison, the Russell 3000 Index produced an investment record of 6.23% for the same period.

For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 15.42%, compared to an investment record of 16.13% for the benchmark for the same period. The Russell 3000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the All Cap Index Equity Fund for the quarter and nine month period ended September 30, 2012 was consistent with the Russell 3000 Index after taking expenses into account.

Mid Cap Index Equity Fund The Mid Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the S&P MidCap 400® by investing generally in securities included in such Index. The S&P MidCap 400 includes 400 companies and represents approximately 7% of the U.S. equity market based on market capitalization.

For the quarter ended September 30, 2012, the Mid Cap Index Equity Fund experienced a total return, net of expenses, of 5.26%. By comparison, the S&P MidCap 400 produced an investment record of 5.44% for the same period. For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 13.17%, compared to an investment record of 13.77% for the benchmark for the same period. The S&P MidCap 400 does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Mid-Cap Index Equity Fund for the quarter and nine month period ended September 30, 2012 was consistent with the S&P MidCap 400 after taking expenses into account.

Small Cap Index Equity Fund The Small Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the Russell 2000®Index by investing generally in securities included in such Index. The Russell 2000 Index is comprised of the approximately 2,000 companies in the Russell 3000 Index with the smallest market capitalization and represents approximately 10% of the Russell 3000 Index total market capitalization.

For the quarter ended September 30, 2012, the Small Cap Index Equity Fund experienced a total return, net of expenses, of 5.02%. By comparison, the Russell 2000 Index produced an investment record of 5.25% for the same period.

For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 13.56%, compared to an investment record of 14.23% for the benchmark for the same period. The Russell 2000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Small Cap Index Equity Fund for the quarter and nine month period ended September 30, 2012 was consistent with the Russell 2000 Index after taking expenses into account.

International Index Equity Fund The investment objective of the International Index Equity Fund is to replicate, after taking into account Fund expenses, the total rate of return of the MSCI ACWI ex-US Index by investing generally in securities included in such Index.

The MSCI ACWI ex-US Index consists of approximately 1,870 securities in 44 markets, with securities of emerging markets representing approximately 24% of the Index.

For the quarter ended September 30, 2012, the International Index Equity Fund experienced a total return, net of expenses, of 6.66%. By comparison, the MSCI ACWI ex-US Index produced an investment record of 7.40% for the same period. For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 9.80%, compared to an investment record of 10.40% for the benchmark for the same period. The MSCI ACWI ex-US Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

236 -------------------------------------------------------------------------------- Table of Contents The performance of the International Index Equity Fund for the quarter and nine month period ended September 30, 2012 was consistent with the MSCI ACWI ex-US Index after taking expenses and fair value adjustments into account.

Real Asset Return Fund The investment objective of the Real Asset Return Fund is to provide capital appreciation in excess of inflation as measured by the All Items Less Food and Energy Consumer Price Index for All Urban Consumers for the U.S. City Average, 1982-84 = 100 through investment in a diversified portfolio of primarily Treasury Inflation Protected Securities, commodity futures and real estate investment trusts.

The Fund seeks to achieve its objective by investing indirectly in various indices or other collective investment funds maintained by State Street Bank and Trust Company, which we refer to as State Street Bank. During the quarter ended September 30, 2012, these funds were comprised of the SSgA/Tuckerman REIT Index Non-Lending Series Fund, the SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund and the SSgA Dow Jones UBS-Commodity IndexSM Non-Lending Series Fund.

The composite benchmark for the Real Asset Return Fund is the composite performance of the benchmarks for the three underlying asset classes to which the Real Asset Return Fund allocates assets. During the quarter ended September 30, 2012, the composite benchmark for the Real Asset Return Fund included the Dow Jones U.S. Select REIT Index, the Dow Jones-UBS Commodity Index and the Barclays Capital U.S. Treasury Inflation Protected Securities Index and was weighted based on the Fund's target allocations to the asset classes to which these underlying benchmarks relate.

For the quarter ended September 30, 2012, the Fund experienced a total return, net of expenses, of 3.18%. By comparison, the composite benchmark produced an investment record of 3.35% for the same period. For the nine month period ended September 30, 2012, the Fund experienced a total return, net of expenses, of 7.61%, compared to an investment record of 8.39% for the composite benchmark for the same period. None of the indices comprising the composite benchmark includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of the Real Asset Return Fund for the quarter and nine month period ended September 30, 2012 was consistent with its composite benchmark after taking expenses into account.

Alternative Alpha Fund The Alternative Alpha Fund seeks to efficiently deliver exposure to a broad set of liquid asset classes by investing in a diversified portfolio of securities and instruments. These include Treasury Inflation Protected Securities, which we refer to as U.S. TIPS, other fixed-income securities, and a wide array of major liquid asset classes, including global developed and emerging market equities, global nominal and inflation linked-government bonds, emerging market bonds, mortgage-backed securities, corporate and sovereign debt, the credit spreads of mortgage-backed securities, developed and emerging market currencies, commodities and derivatives with the objective of providing long-term total returns in excess of the yield on cash-equivalent investments.

For the quarter ended September 30, 2012, the Alternative Alpha Fund experienced a total return, net of expenses, of 4.26%. By comparison, a combination of Standard & Poor's 500 Index and Barclays Capital U.S. Aggregate Bond Index, each weighted 50%, produced an investment record of 3.54% for the same period. For the period from commencement of operations on January 17, 2012 to September 30, 2012, the Alternative Alpha Fund experienced a total return, net of expenses, of 5.30%. By comparison, the combination benchmark produced an investment record of 8.46% for the same period. The Standard & Poor's 500 Index and the Barclays Capital U.S. Aggregate Bond Index do not include an allowance for the fees that an investor would pay for investing in the securities that comprise the indices or for fund expenses.

The Alternative Alpha Fund's assets are invested indirectly through allocation to the commingled investment vehicles managed by different Investment Advisors in percentages determined at the discretion of Northern Trust Investments.

Income and gains attributable to the assets allocated to the commingled investment vehicle of each Investment Advisor to the Fund remain allocated to that vehicle unless and until reallocated by Northern Trust Investments, and any differences in relative investment performance of the investment vehicles can change the percentage of total assets of the Fund comprising each portion of the Fund.

For the quarter ended September 30, 2012, the portion of the Alternative Alpha Fund invested in the AQR Risk Parity Fund (approximately 40% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the 60% Standard & Poor's 500 Index/40% Barclays Capital U.S.

Aggregate Bond Index blended index against which the performance of this portion of the Fund is compared. Outperformance was driven by allocations to riskier assets such as corporate bonds, equities, and commodities. Fixed-income assets (including inflation-linked bonds) also delivered positive returns on central bank actions.

237 -------------------------------------------------------------------------------- Table of Contents For the quarter ended September 30, 2012, the portion of the Alternative Alpha Fund invested in the Wellington Trust Real Total Return Portfolio (approximately 60% as of September 30, 2012) negatively contributed to the performance of the Fund, but outperformed the Consumer Price Index Core +3%, against which the performance of this portion of the Fund is compared. Top contributors for the quarter were U.S. TIPS, emerging markets inflation-linked bonds and a long gold position in commodities. Investments in Wellington's High Yield Total Return and Global Derivatives portfolios were positive contributors to outperformance.

For the period from commencement of operations on January 17, 2012 to September 30, 2012, the portion of the Alternative Alpha Fund invested in the AQR Risk Parity Fund (approximately 40% as of September 30, 2012) positively contributed to the performance of the Fund, as well as outperformed the 60% Standard & Poor's 500 Index/40% Barclays Capital U.S. Aggregate Bond Index blended index against which the performance of this portion of the Fund is compared. Outperformance was driven by allocations to bonds and inflation linked bonds during the second quarter and riskier assets such as commodities and equities during the third quarter, leading to the outperformance since inception.

For the period from commencement of operations on January 17, 2012 to September 30, 2012, the portion of the Alternative Alpha Fund invested in the Wellington Trust Real Total Return Portfolio (approximately 60% as of September 30, 2012) negatively contributed to the performance of the Fund, as well as underperformed the Consumer Price Index Core +3%, against which the performance of this portion of the Fund is compared. The decision to diversify away from U.S. TIPS detracted from returns as did exposure to currency.

Retirement Date Funds The Retirement Date Funds provide a series of diversified investment funds, each of which is designed to correspond to a particular time horizon to retirement.

Each Retirement Date Fund has an investment strategy representing specific risk and reward characteristics that take into account the remaining time horizon to most conservative investment mix. The longer the time horizon to the year in which a Retirement Date Fund will reach its most conservative investment mix, the greater is the Retirement Date Fund's current risk and potential reward profile. The Lifetime Income Retirement Date Fund seeks to avoid significant loss of principal for investors who are considerably beyond their retirement date and is comprised primarily of bonds and shorter-term high-quality debt instruments to provide stability and income (although such Fund also has significant target equity exposure). The 2010 Retirement Date Fund currently seeks to provide a mix of long-term capital appreciation and stability of principal for participants whose retirement date occurred in or around 2010. The 2020 Retirement Date Fund currently seeks to provide a mix of long-term capital appreciation and stability of principal for participants planning to retire in or around 2020. The 2030 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around 2030 and is comprised mainly of stocks for higher growth potential. The 2040 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around 2040 and is comprised mainly of stocks for significant growth potential. The 2050 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around 2050 and is comprised mainly of stocks for significant growth potential.

The Retirement Date Funds seek to achieve their objectives by investing in various indices or other collective investment funds maintained by State Street Bank. During the quarter ended September 30, 2012, these funds included, in the case of some or all of the Retirement Date Funds and in varying allocations, the SSgA U.S. Long Government Bond Index Non-Lending Series Fund, the SSgA U.S. Bond Index Non-Lending Series Fund, the SSgA U.S. High Yield Bond Index Non-Lending Series Fund, the SSgA U.S. Short-Term Government/Credit Bond Index Non-Lending Series Fund, the SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund, the SSgA S&P 500® Index Non-Lending Series Fund, the SSgA Global Equity ex U.S. Index Non-Lending Series Fund, the SSgA S&P MidCap®Index Non-Lending Series Fund, the SSgA Russell Small/Mid Cap® Index Non-Lending Series Fund, the SSgA Dow Jones-UBS Roll Select Commodity Index(SM) Non-Lending Series Fund, the SSgA Russell Small Cap® Index Non-Lending Series Fund and the SSgA/Tuckerman Global Real Estate Securities Index Non-Lending Series Fund.

The composite benchmark for each of the Retirement Date Funds is the composite performance of respective benchmarks for the underlying asset classes to which each of the Retirement Date Funds allocates assets from time to time. During the quarter ended September 30, 2012, the respective benchmarks comprising the composite benchmarks included some or all of the Barclays Capital U.S. Long Government Bond Index, the Barclays Capital U.S. Aggregate Bond Index, the Barclays Capital U.S. High Yield Very Liquid Index, the Barclays Capital 1-3 Year Government/Credit Index, the Barclays Capital U.S. Treasury Inflation Protected Securities Index, the S&P 500, the MSCI ACWI ex-USA IMI Index, the S&P MidCap 400, the Russell 2000 Index, the FTSE EPRA/NAREIT Global Developed Liquid Index, the Russell Small-Cap Completeness Index and the Dow Jones-UBS Roll Select Commodity Index and were weighted based on each Fund's respective target allocations to the asset classes to which such benchmarks relate.

For the quarter ended September 30, 2012, the Retirement Date Funds experienced a total return, net of expenses, of 3.17% for the Lifetime Income Retirement Date Fund, 3.51% for the 2010 Retirement Date Fund, 4.60% for the 2020 Retirement Date Fund, 5.17% for the 2030 Retirement Date Fund, 5.72% for the 2040 Retirement Date Fund and 5.76% for the 2050 Retirement Date Fund. By comparison, the composite benchmark for each Retirement Date Fund produced an investment record of 3.46%, 3.78%, 4.91%, 5.48%, 6.08% and 6.08%, respectively, for the same period. None of the indices comprising the composite benchmarks include an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

238 -------------------------------------------------------------------------------- Table of Contents The performance of each Retirement Date Fund for the quarter ended September 30, 2012 was consistent with its respective composite benchmark after taking into account expenses and differences in rebalancing frequency inasmuch as each Retirement Date Fund is rebalanced to target asset allocations quarterly and its composite benchmark's component weights remain static.

For the nine month period ended September 30, 2012, the Retirement Date Funds experienced a total return, net of expenses, of 8.00% for the Lifetime Income Retirement Date Fund, 9.34% for the 2010 Retirement Date Fund, 11.66% for the 2020 Retirement Date Fund, 12.61% for the 2030 Retirement Date Fund and 13.11% for the 2040 Retirement Date Fund. For the period from commencement of operations on January 17, 2012 to September 30, 2012, the 2050 Retirement Date Fund experienced a total return, net of expense, of 10.15%. By comparison, the composite benchmark for each Retirement Date Fund produced an investment record of 8.76%, 10.05%, 12.37%, 13.28%, 13.82% and 10.73%, respectively, for the same period. None of the indices comprising the composite benchmarks include an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Retirement Date Fund for the nine month period, or such other period, ended September 30, 2012 was consistent with its respective composite benchmark after taking into account expenses and differences in rebalancing frequency inasmuch as the target asset allocations of each Retirement Date Fund is rebalanced quarterly and its composite benchmark's component weights remain static.

Target Risk Funds The Target Risk Funds provide a series of diversified investment funds each of which is designed to correspond to a particular investment risk level. Each Target Risk Fund has a different investment strategy representing different risk and reward characteristics. The Conservative Risk Fund seeks to avoid significant loss of principal and is comprised primarily of bonds and shorter-term high-quality debt instruments to provide stability and income (although such Fund also has a target equity exposure of 26%). The Moderate Risk Fund seeks to provide long-term capital appreciation and current income. The Aggressive Risk Fund seeks to provide long-term capital appreciation for participants and is comprised mainly of stocks for maximum growth potential.

The Target Risk Funds seek to achieve their objectives by investing in various indices or other collective investment funds maintained by State Street Bank.

During the quarter ended September 30, 2012, these funds included, in the case of some or all of the Target Risk Funds and in varying allocations, the SSgA Russell All Cap ® Index Non-Lending Series Fund Class A, the SSgA International Index Non-Lending Series Fund Class A, the SSgA Global Equity ex U.S. Index Non-Lending Series Fund Class A, the SSgA/Tuckerman REIT Index Non-Lending Series Fund Class A, the SSgA U.S. Bond Index Non-Lending Series Fund Class A, the SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund Class A, the NTGI Collective Short Term Investment Fund and the SSgA Dow Jones UBS-Commodity Index Non-Lending Series Fund Class A.

The composite benchmark for each of the Target Risk Funds is the composite performance of respective benchmarks for the underlying asset classes to which each of the Target Risk Funds allocates assets. During the quarter ended September 30, 2012, the respective benchmarks comprising the composite benchmarks included some or all of the Barclays Capital U.S. Aggregate Bond Index, the Barclays Capital U.S. Treasury Inflation Protected Securities Index, the Russell 3000®Index, the MSCI ACWI Ex-US Index, the Dow Jones U.S. Select REIT Index, the Barclays Capital U.S. Treasury Inflation Protected Securities, the Merrill Lynch 3-Month T-Bill and the Dow Jones UBS Commodity Index and were weighted based on each Fund's respective target allocations to the asset classes to which such underlying benchmarks relate.

For the quarter ended September 30, 2012, the Target Risk Funds experienced a total return, net of expenses, of 2.35% for the Conservative Risk Fund, 3.81% for the Moderate Risk Fund and 5.22% for the Aggressive Risk Fund. By comparison, the composite benchmark for each Target Risk Fund produced an investment record of 2.54%, 4.20% and 5.60%, respectively, for the same period.

For the nine month period ended September 30, 2012, the Target Risk Funds experienced a total return, net of expenses, of 6.14% for the Conservative Risk Fund, 9.04% for the Moderate Risk Fund and 11.33% for the Aggressive Risk Fund, compared to an investment record of 6.73%, 9.66% and 12.03%, respectively, of the respective composite benchmark for the same period. None of the indices comprising the composite benchmarks includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Target Risk Fund for the quarter and the nine month period ended September 30, 2012 was consistent with its respective composite benchmark after taking expenses into account.

Balanced Fund Certain assets contributed to the Program are held in the Balanced Fund.

However, the Collective Trust no longer offers Units in the Balanced Fund and Northern Trust intends to terminate the Balanced Fund.

The Balanced Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to an appropriate combination of broad measures of the domestic stock and bond markets. The Fund invests in publicly traded common stocks, other equity-type securities, medium- to long-term debt securities with varying maturities and money market instruments.

239 -------------------------------------------------------------------------------- Table of Contents For the quarter ended September 30, 2012, the Balanced Fund experienced a total return, net of expenses, of 4.54%. By comparison, a combination of the Russell 1000 Index and the Barclays Capital U.S. Aggregate Bond Index, weighted 60%/40%, respectively, produced an investment record of 4.41% for the same period. For the nine month period ended September 30, 2012, the Balanced Fund experienced a total return, net of expenses, of 11.90%, as compared to an investment record of 11.37% for the benchmark for the period. The Russell 1000 Index and the Barclays Capital U.S. Aggregate Bond Index do not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Indices or for fund expenses.

For the quarter ended September 30, 2012, the equity segment of the Balanced Fund, which is invested through the Large Cap Equity Fund, underperformed the Russell 1000 Index. For the nine month period ended September 30, 2012, the equity segment of the Balanced Fund, which is invested through the Large Cap Equity Fund, underperformed the Russell 1000 Index. Refer to a discussion of the investment performance of the Large Cap Equity Fund, above, for a description of the performance of the equity segment of the Balanced Fund for such periods.

For the quarter ended September 30, 2012, the debt segment of the Balanced Fund, which is invested through the Bond Core Plus Fund, outperformed the Barclays Capital U.S. Aggregate Bond Index. For the nine month period ended September 30, 2012, the debt segment of the Balanced Fund, which is invested through the Bond Core Plus Fund, outperformed the Barclays Capital U.S. Aggregate Bond Index.

Refer to a discussion of the investment performance of the Bond Core Plus Fund, above, for a description of the performance of the debt segment of the Balanced Fund for such periods.

Quarter and Nine Month Period Ended September 30, 2011 Stable Asset Return Fund The Stable Asset Return Fund seeks to provide current income consistent with the preservation of principal and liquidity. The Stable Asset Return Fund invests in investment contracts, which we refer to as Traditional Investment Contracts, so-called "Synthetic GICs" with associated underlying assets, and high-quality, fixed-income instruments. Such investments may be made directly by the Fund or indirectly through its investment in other collective investment funds maintained by one or more banks, including Northern Trust Investments, Inc., which we refer to as Northern Trust Investments. Effective with the reorganization of the Stable Asset Return Fund on December 8, 2010, the benchmark for the Fund is the 3 Year Constant Maturity Treasury Yield.

For the quarter ended September 30, 2011, the Stable Asset Return Fund experienced a total return, net of expenses, of 0.28%. By comparison, the 3 Year Constant Maturity Treasury Yield produced an investment record of 0.12% for the same period. The 3 Year Constant Maturity Treasury Yield does not include an allowance for the fees that an investor would pay for investing in the instruments that comprise that benchmark or for fund expenses. Further, the 70% Ryan Labs Three Year GIC Index / 30% iMoneyNet MFR Prime Institutional Money Market Fund Average produced an investment record of 0.40% for the period. The Ryan Labs Three Year GIC Index portion of the combination benchmark does not include an allowance for the fees that an investor would pay for investing in the instruments that comprise that benchmark or for fund expenses. For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of 0.81%. By comparison, the 3 Year Constant Maturity Treasury Yield produced an investment record of 0.64% for the same period while the 70% Ryan Labs Three Year GIC Index / 30% iMoneyNet MFR Prime Institutional Money Market Fund Average produced an investment record of 1.36% for the period.

The Stable Asset Return Fund outperformed the 3 Year Constant Maturity Treasury Yield but underperformed the 70% Ryan Labs Three Year GIC Index / 30% iMoneyNet MFR Prime Institutional Money Market Fund Average (the historical benchmark prior to the reorganization of the Fund in December 2010) for the quarter ended September 30, 2011. The Fund's market to book value ratio increased slightly during the quarter from 102.0% to 102.8%, reflecting strong performance in the underlying fixed-income bond portfolios. Security selection emphasizing defensive, high-quality securities relative to the benchmark, particularly in corporates, was beneficial. However, the overweight in sectors that trade at a yield spread over Treasury/agency securities and the corresponding underweight in Treasury/agency securities detracted from performance during the quarter as U.S. Government securities were top performers. The credit quality of the underlying bond portfolios remained high, with 78.8% of the securities rated U.S. Treasury/agency or AAA.

The Stable Asset Return Fund outperformed the 3 Year Constant Maturity Treasury Yield but underperformed the 70% Ryan Labs Three Year GIC Index / 30% iMoneyNet MFR Prime Institutional Money Market Fund Average for the nine month period ended September 30, 2011. The underlying portfolio's slightly longer-than-benchmark duration positioning improved performance, as yields reached historical lows. A flight to safety experienced in fixed-income markets during the second and third quarter sparked a rally in Treasurys, and consequently the underlying portfolio's allocations to sectors that trade at a yield spread over Treasury/agency securities have underperformed on a relative basis. The Fund's crediting rate of 1.98% as of September 30, 2011 may experience modest downward pressure going forward as reinvestment rates remain near historic lows.

Bond Core Plus Fund The Bond Core Plus Fund seeks to achieve a total return from current income and capital appreciation by investing primarily in a diversified portfolio of fixed-income securities.

240 -------------------------------------------------------------------------------- Table of Contents For the quarter ended September 30, 2011, the Bond Core Plus Fund, which is advised with the assistance of Pacific Investment Management Company LLC, experienced a total return, net of expenses, of 2.90%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 3.82% for the same period. For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of 5.15%, compared to an investment record of 6.65% for the benchmark for the same period. The Barclays Capital U.S. Aggregate Bond Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Index or for fund expenses.

The Bond Core Plus Fund underperformed the Barclays Capital U.S. Aggregate Bond Index for the quarter ended September 30, 2011. Such underperformance was primarily caused by an overweight to the financial sector, falling interest rates, sovereign debt concerns in Europe and an underweight to Treasurys. The Bond Core Plus Fund underperformed the Barclays Capital U.S. Aggregate Bond Index for the nine month period ended September 30, 2011. The underperformance was driven by falling interest rates and the sovereign debt concerns in Europe as well as an underweight to Treasurys.

Large Cap Equity Fund The Large Cap Equity Fund seeks to outperform, over extended periods of time, broad measures of the U.S. stock market. The Fund invests primarily in common stocks and other equity-type securities of larger-capitalization U.S. companies with market capitalizations, at the time of purchase, of greater than $1 billion.

For the quarter ended September 30, 2011, the Large Cap Equity Fund experienced a total return, net of expenses, of -14.28%. By comparison, the Russell 1000® Index produced an investment record of -14.68% for the same period. For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of -8.41%, compared to an investment record of -9.25% for the benchmark for the same period. The Russell 1000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The Large Cap Equity Fund uses a "multi-manager" approach whereby the Fund's assets are allocated to two or more Investment Advisors, in percentages determined at the discretion of Northern Trust Investments. Each Investment Advisor acts independently from the others and uses its own distinct investment style in recommending securities. Each Investment Advisor must operate within the constraints of the Fund's investment objective, strategies and restrictions and subject to the general supervision of Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended September 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Columbus Circle Investors (approximately 22% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared. The final week of the quarter accounted for virtually all of the underperformance due primarily to the European debt crisis. In addition, poor stock selection within the energy, technology and healthcare sectors contributed to the underperformance during the quarter.

For the quarter ended September 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of C.S. McKee, L.P. (approximately 29% as of September 30, 2011) negatively contributed to the performance of the Fund, but outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. The primary drivers of outperformance came from the financial and technology sectors. Within the financial sector, a large underweight to the sector, combined with strong individual stock selection, accounted for the majority of outperformance.

For the quarter ended September 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Delaware Investment Advisers (approximately 26% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. The outperformance was primarily driven by strong stock selection as well as an underweight to the financial sector. Relative performance was also aided by an overweight to the healthcare sector.

For the quarter ended September 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Jennison Associates LLC (approximately 19% as of September 30, 2011) positively contributed to the performance of the Fund, but underperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared. The underweight positions in the three worst-performing sectors (materials, industrials, and energy) benefited relative performance, while stock selection in information technology, energy and healthcare sectors proved detrimental to performance.

For the nine month period ended September 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Columbus Circle Investors (approximately 22% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared.

The underperformance was primarily driven by poor stock selection within the technology and energy sectors.

For the nine month period ended September 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of C.S. McKee, L.P. (approximately 29% as of September 30, 2011) negatively contributed to the performance of the Fund, but outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared. An underweight to the financial sector proved to be the most significant contributor to performance. Stock selection within the healthcare sector also made significant positive contributions to performance.

241 -------------------------------------------------------------------------------- Table of Contents For the nine month period ended September 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Delaware Investment Advisers (approximately 26% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Value Index, against which the performance of this portion of the Fund is compared.

Outperformance was primarily driven by strong stock selection as well as an underweight to the financial sector.

For the nine month period ended September 30, 2011, the portion of the Large Cap Equity Fund advised with the assistance of Jennison Associates LLC (approximately 19% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 1000 Growth Index, against which the performance of this portion of the Fund is compared. Strong stock selection as well as an overweight to the consumer discretionary sector drove outperformance. Stock selection as well as an underweight to the industrials and materials sectors also contributed positively to performance.

Small-Mid Cap Equity Fund The Small-Mid Cap Equity Fund seeks to outperform, over extended periods of time, broad measures of the U.S. stock market. The Fund invests primarily in common stocks and other equity-type securities of small- to medium-capitalization U.S. companies with market capitalizations, at the time of purchase, of between $100 million and $20 billion.

For the quarter ended September 30, 2011, the Small-Mid Cap Equity Fund experienced a total return, net of expenses, of -20.76%. By comparison, the Russell 2500™ Index produced an investment record of -21.22% for the same period. For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of -14.73%, compared to an investment record of -14.87% for the benchmark for the same period. The Russell 2500 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The Small-Mid Cap Equity Fund uses a "multi-manager" approach whereby the Fund's assets are allocated to two or more Investment Advisors, in percentages determined at the discretion of Northern Trust Investments. Each Investment Advisor acts independently from the others and uses its own distinct investment style in recommending securities. Each Investment Advisor must operate within the constraints of the Fund's investment objective, strategies and restrictions and subject to the general supervision of Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Denver Investment Advisors LLC (d/b/a Denver Investments) (approximately 14% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. Positive stock selection in healthcare, consumer cyclical and basic materials sectors drove relative performance.

For the quarter ended September 30, 2011, the portion of the Small Mid-Cap Equity Fund advised with the assistance of Lombardia Capital Partners, LLC (approximately 14% as of September 30, 2011) negatively contributed to the performance of the Fund, but outperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. Stock selection was positive in eight of ten sectors, with consumer discretionary, information technology and materials driving performance.

For the quarter ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Frontier Capital Management Co. LLC (approximately 10% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared.

Relative performance was driven by positive stock selection, particularly in the consumer discretionary and healthcare sectors.

For the quarter ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 14% as of September 30, 2011) positively contributed to the performance of the Fund, but underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared. While stock selection within the financial sector added value, stock selection, particularly in the technology, consumer staples and energy sectors, detracted from overall performance.

For the quarter ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Allianz Global Investors Capital LLC (approximately 9% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared.

Stock selection, particularly in the information technology, healthcare and energy sectors, was the primary driver of the underperformance. Sector positioning, including an overweight to the energy and materials sectors also detracted from performance.

For the quarter ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Riverbridge Partners (approximately 10% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Stock selections in the healthcare sector as well as an underweight to the underperforming energy sector were the primary drivers of outperformance.

242 -------------------------------------------------------------------------------- Table of Contents For the quarter ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Systematic Financial Management, L.P.

(approximately 14% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared.

The majority of the underperformance was due to weak stock selection in the information technology and the industrials sectors.

For the quarter ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of TCW Investment Management Company (approximately 9% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared.

Stock selection in healthcare and consumer discretionary sectors were the largest detractors from relative performance.

For the nine month period ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Denver Investment Advisors LLC (d/b/a Denver Investments) (approximately 14% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. Basic materials, healthcare and consumer cyclical sectors provided the most significant contribution to performance during the period.

For the period from on or about May 10, 2011 (the date on which Lombardia Capital Partners, LLC commenced providing investment assistance with respect to the Small Mid-Cap Equity Fund) to September 30, 2011, the portion of the Small Mid-Cap Equity Fund advised with the assistance of Lombardia Capital Partners, LLC (approximately 14% as of September 30, 2011) negatively contributed to the performance of the Fund, but outperformed the Russell 2000 Value Index, against which the performance of this portion of the Fund is compared. Stock selection was positive in eight of ten sectors, with consumer discretionary, information technology and materials leading performance.

For the nine month period ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Frontier Capital Management Co.

LLC (approximately 10% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared.

Stock selection was positive in eight of ten sectors, with consumer discretionary, information technology and materials leading performance.

For the nine month period ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 14% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared.

While stock selection within the financial sector added value, stock selection, particularly in the technology, consumer staples and energy sectors, detracted from overall performance.

For the nine month period ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Allianz Global Investors Capital LLC (approximately 9% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared.

Stock selection in the healthcare and industrials sectors as well as an overweight to energy detracted from relative performance during this period.

For the nine month period ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Riverbridge Partners (approximately 10% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the Russell 2000 Growth Index, against which the performance of this portion of the Fund is compared. Stock selection within the healthcare sector as well as an underweight to the energy sector contributed to positive relative performance. Stock selection within the information technology sector also contributed to returns.

For the nine month period ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of Systematic Financial Management, L.P. (approximately 14% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the Russell Midcap Value Index, against which the performance of this portion of the Fund is compared.

Stock selection in the information technology, energy and industrials sectors was the primary contributor to underperformance. Sector allocation also detracted from performance as an underweight to utilities served as a headwind with investors seeking the perceived relative safety of these stocks against an uncertain macro-economic backdrop.

For the nine month period ended September 30, 2011, the portion of the Small-Mid Cap Equity Fund advised with the assistance of TCW Investment Management Company (approximately 9% as of September 30, 2011) positively contributed to the performance of the Fund, but underperformed the Russell Midcap Growth Index, against which the performance of this portion of the Fund is compared. Positive stock selection in the consumer staples, energy and information technology sectors was slightly offset by negative stock selection in the consumer discretionary and financial sectors during the period.

243 -------------------------------------------------------------------------------- Table of Contents International All Cap Equity Fund The International All Cap Equity Fund seeks to provide long-term growth of capital through a diversified portfolio of primarily non-U.S. equity securities.

The Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to broad measures of international (non-U.S.) stock markets.

For the quarter ended September 30, 2011, the International All Cap Equity Fund experienced a total return, net of expenses, of -19.04%. By comparison, the Morgan Stanley Capital International ("MSCI") All-Country World ("ACWI") ex-US Index produced an investment record -19.85% for the same period. For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of -14.65%, compared to an investment record of -16.80% for the benchmark for the same period. The MSCI ACWI ex-US Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The International All Cap Equity Fund uses a "multi-manager" approach whereby the Fund's assets are allocated to two or more Investment Advisors, in percentages determined at the discretion of Northern Trust Investments. Each Investment Advisor acts independently from the others and uses its own distinct investment style in recommending securities. Each Investment Advisor must operate within the constraints of the Fund's investment objective, strategies and restrictions and subject to the general supervision of Northern Trust Investments. The performance of each Investment Advisor may be measured in the context of its own investment style.

For the quarter ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Altrinsic Global Advisors, LLC (approximately 22% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI Europe, Australasia, Far East ("EAFE") Value ND Index, against which the performance of this portion of the Fund is compared. Stock selection in the financial, consumer discretionary and healthcare sectors provided the greatest positive impact on relative performance.

For the quarter ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Eagle Global Advisors LLC (approximately 14% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared.

Exposures to the financial, industrials and energy sectors were the lead detractors from performance. From a country perspective, performance was hurt by an underweight to Japan and an overweight to Germany and Canada.

For the quarter ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of First State Investments International Limited (approximately 22% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI Emerging Markets ND Index, against which the performance of this portion of the Fund is compared. Outperformance was driven by stock selection as well as an underweight position in China. Stock selection in the materials sector was also a positive contributor to performance, particularly the position in AngloGold Ashanti, a South African mining company.

For the quarter ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 23% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. While sector selection added value, overall stock selection detracted from relative performance. Though stock selection was strong in the consumer discretionary, industrials and telecommunications sectors, this was more than offset by weak selection in the materials, utilities and financial sectors.

For the quarter ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Martin Currie Inc. (approximately 15% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared. The primary negative impact on returns came from stock selection in Europe, with sector allocation essentially a neutral contributor for the quarter. Within Europe, an underweight exposure to consumer staples proved to be the greatest detractor from relative performance.

For the nine month period ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Altrinsic Global Advisors, LLC (approximately 22% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. Stock selection in the financial, consumer discretionary and healthcare sectors provided the greatest positive impact on relative performance.

For the nine month period ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Eagle Global Advisors LLC (approximately 14% as of September 30, 2011) negatively contributed to the performance of the Fund, as well as underperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared.

Exposures to the financial, industrials and energy sectors were the lead detractors from performance for the period. From a country perspective, performance was hurt by an underweight to Japan and an overweight Germany and Canada.

244 -------------------------------------------------------------------------------- Table of Contents For the nine month period ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of First State Investments International Limited (approximately 22% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI Emerging Markets ND Index, against which the performance of this portion of the Fund is compared. Outperformance was primarily driven by stock selection in the financial sector. The overweight in the telecommunications services sector contributed positively, especially China Telecom which outperformed as it continued to deliver strong results. Stock selection in Taiwan was also a positive contributor to performance.

For the nine month period ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of LSV Asset Management (approximately 23% as of September 30, 2011) positively contributed to the performance of the Fund, but underperformed the MSCI EAFE Value ND Index, against which the performance of this portion of the Fund is compared. While sector selection added value, overall stock selection detracted from relative performance. Though stock selection was strong in the consumer discretionary, industrials and telecommunications sectors, this was more than offset by weak selection in the materials, utilities and financial sectors.

For the nine month period ended September 30, 2011, the portion of the International All Cap Equity Fund advised with the assistance of Martin Currie Inc. (approximately 15% as of September 30, 2011) positively contributed to the performance of the Fund, as well as outperformed the MSCI EAFE Growth ND Index, against which the performance of this portion of the Fund is compared.

Outperformance was entirely driven by stock selection as sector allocation was negative. Stock selection was strongest in the consumer discretionary and materials sectors but was also positive in information technology, healthcare, telecommunication and energy sectors. From a country perspective, Europe made the biggest contribution, while Japan was the primary detractor from performance.

Bond Index Fund The Bond Index Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the Barclays Capital U.S. Aggregate Bond Index by investing generally in securities included in such Index. The Barclays Capital U.S. Aggregate Bond Index is representative of the domestic investment-grade bond market.

For the quarter ended September 30, 2011, the Bond Index Fund experienced a total return, net of expenses, of 3.65%. By comparison, the Barclays Capital U.S. Aggregate Bond Index produced an investment record of 3.82% for the same period. For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of 6.01%, compared to an investment record of 6.65% for the benchmark for the same period. The Barclays Capital U.S. Aggregate Bond Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Bond Index Fund for the quarter and nine month period ended September 30, 2011 was consistent with the Barclays Capital U.S. Aggregate Bond Index after taking expenses into account.

Large Cap Index Equity Fund The Large Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the S&P 500® by investing generally in securities included in such Index. The S&P 500 represents approximately 75% of the U.S. equity market based on market capitalization.

For the quarter ended September 30, 2011, the Large Cap Index Equity Fund experienced a total return, net of expenses, of -14.07%. By comparison, the S&P 500 produced an investment record of -13.87% for the same period. For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of -9.22%, compared to an investment record of -8.68% for the benchmark for the same period. The S&P 500 does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Large Cap Index Equity Fund for the quarter and nine month period ended September 30, 2011 was consistent with the S&P 500 after taking expenses into account.

All Cap Index Equity Fund The All Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the Russell 3000®Index by investing generally in securities included in such Index. The Russell 3000 Index represents approximately 98% of the U.S. equity market based on market capitalization.

For the quarter ended September 30, 2011, the All Cap Index Equity Fund experienced a total return, net of expenses, of -15.40%. By comparison, the Russell 3000 Index produced an investment record of -15.28% for the same period.

For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of -10.33%, compared to an investment record of -9.90% for the benchmark for the same period. The Russell 3000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the All Cap Index Equity Fund for the quarter and nine month period ended September 30, 2011 was consistent with the Russell 3000 Index after taking expenses into account.

245 -------------------------------------------------------------------------------- Table of Contents Mid Cap Index Equity Fund The Mid Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the S&P MidCap 400® by investing generally in securities included in such Index. The S&P MidCap 400 includes 400 companies and represents approximately 7% of the U.S. equity market based on market capitalization.

For the quarter ended September 30, 2011, the Mid Cap Index Equity Fund experienced a total return, net of expenses, of -20.07%. By comparison, the S&P MidCap 400 produced an investment record of -19.88% for the same period. For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of -13.57%, compared to an investment record of -13.02% for the benchmark for the same period. The S&P MidCap 400 does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Mid-Cap Index Equity Fund for the quarter and nine month period ended September 30, 2011 was consistent with the S&P MidCap 400 after taking expenses into account.

Small Cap Index Equity Fund The Small Cap Index Equity Fund seeks to replicate, after taking into account Fund expenses, the total rate of return of the Russell 2000®Index by investing generally in securities included in such Index. The Russell 2000 Index is comprised of the approximately 2,000 companies in the Russell 3000 Index with the smallest market capitalization and represents approximately 10% of the Russell 3000 Index total market capitalization.

For the quarter ended September 30, 2011, the Small Cap Index Equity Fund experienced a total return, net of expenses, of -22.04%. By comparison, the Russell 2000 Index produced an investment record of -21.87% for the same period.

For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of -17.51%, compared to an investment record of -17.02% for the benchmark for the same period. The Russell 2000 Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the Small Cap Index Equity Fund for the quarter and nine month period ended September 30, 2011 was consistent with the Russell 2000 Index after taking expenses into account.

International Index Equity Fund The investment objective of the International Index Equity Fund is to replicate, after taking into account Fund expenses, the total rate of return of the MSCI ACWI ex-US Index by investing generally in securities included in such Index.

The MSCI ACWI ex-US Index consists of approximately 1,870 securities in 44 markets, with securities of emerging markets representing approximately 24% of the Index.

For the quarter ended September 30, 2011, the International Index Equity Fund experienced a total return, net of expenses, of -20.77%. By comparison, the MSCI ACWI ex-US Index produced an investment record of -19.85% for the same period.

For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of -18.04%, compared to an investment record of -16.80% for the benchmark for the same period. The MSCI ACWI ex-US Index does not include an allowance for the fees that an investor would pay for investing in the securities that comprise that Index or for fund expenses.

The performance of the International Index Equity Fund for the quarter and nine month period ended September 30, 2010 was consistent with the MSCI ACWI ex-US Index after taking into account expenses and the effect of a fair value pricing adjustment made by the underlying collective investment fund in which the Fund invests. For further information regarding the International Index Equity Fund's use of fair value pricing, see the section entitled "Information with Respect to the Funds-Valuation of Units" in the Collective Trust's Annual Report on Form 10-K.

Real Asset Return Fund The investment objective of the Real Asset Return Fund is to provide capital appreciation in excess of inflation as measured by the All Items Less Food and Energy Consumer Price Index for All Urban Consumers for the U.S. City Average, 1982-84 = 100 through investment in a diversified portfolio of primarily Treasury Inflation Protected Securities, commodity futures and real estate investment trusts.

The Fund seeks to achieve its objective by investing indirectly in various index or other collective investment funds maintained by State Street Bank and Trust Company, which we refer to as State Street Bank. During the quarter ended September 30, 2011, these funds were comprised of the SSgA/Tuckerman REIT Index Non-Lending Series Fund, the SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund and the SSgA Dow Jones UBS-Commodity IndexSM Non-Lending Series Fund. The composite benchmark for the Real Asset Return Fund is the composite investment record of the benchmarks for the three underlying asset classes to which the Real Asset Return Fund allocates assets. During the quarter ended September 30, 2011, the composite benchmark for the Real Asset Return Fund was comprised of the Dow Jones U.S. Select REIT Index, the Dow Jones-UBS Commodity Index and the Barclays Capital U.S. Treasury Inflation Protected Securities Index and was weighted based on the Fund's target allocations to the asset classes to which these underlying benchmarks relate.

246 -------------------------------------------------------------------------------- Table of Contents For the quarter ended September 30, 2011, the Fund experienced a total return, net of expenses, of -4.59%. By comparison, the composite benchmark produced an investment record of -4.34% for the same period. For the nine month period ended September 30, 2011, the Fund experienced a total return, net of expenses, of 0.00%, compared to an investment record of 0.71% for the benchmark for the same period. None of the indices comprising the composite benchmark includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of the Real Asset Return Fund for the quarter and nine month period ended September 30, 2011 was consistent with its composite benchmark after taking expenses into account.

Retirement Date Funds The Retirement Date Funds provide a series of diversified investment funds each of which is designed to correspond to a particular time horizon to retirement.

Each Retirement Date Fund has an initial investment strategy representing specific risk and reward characteristics that take into account the remaining time horizon to the most conservative investment mix. The longer the time horizon to the year in which a Retirement Date Fund will reach its most conservative investment mix, the greater is the Retirement Date Fund's initial risk and potential reward profile. The Lifetime Income Retirement Date Fund seeks to avoid significant loss of principal for investors who are considerably beyond their retirement date and is comprised primarily of bonds and shorter-term high-quality debt instruments to provide stability and income (although such Fund also has a target equity exposure of 30%). The 2010 Retirement Date Fund currently seeks to provide a blend of capital appreciation and stability of principal for participants retiring in or around the year 2010.

The 2020 Retirement Date Fund currently seeks to provide a mix of long-term capital appreciation and stability of principal for participants planning to retire in or around the year 2020. The 2030 Retirement Date Fund currently seeks to provide mostly long-term capital appreciation for participants planning to retire in or around the year 2030 and is comprised mainly of stocks with higher growth potential. The 2040 Retirement Date Fund currently seeks to provide long-term capital appreciation for participants planning to retire in or around the year 2040 and is comprised mainly of stocks with significant growth potential.

The Retirement Date Funds seek to achieve their objectives by investing in various index or other collective investment funds maintained by State Street Bank. During the quarter ended September 30, 2011, these funds included, in the case of some or all of the Retirement Date Funds and in varying allocations, the SSgA U.S. Long Government Bond Index Non-Lending Series Fund, the SSgA U.S. Bond Index Non-Lending Series Fund, the SSgA U.S. High Yield Bond Index Non-Lending Series Fund, the SSgA U.S. Short-Term Government/Credit Bond Index Non-Lending Series Fund, the SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund, the SSgA S&P 500® Index Non-Lending Series Fund, the SSgA Global All Cap Equity ex U.S. Index Non-Lending Series Fund, the SSgA S&P MidCap ® Index Non-Lending Series Fund, the SSgA Russell Small Cap® Index Non-Lending Series Fund and the SSgA/Tuckerman Global Real Estate Securities Index Non-Lending Series Fund.

The composite benchmark for each of the Retirement Date Funds is the composite investment record of the respective benchmarks for the underlying asset classes to which each Retirement Date Fund allocates its assets from time to time.

During the quarter ended September 30, 2011, the respective benchmarks comprising the composite benchmarks included some or all of the Barclays Capital U.S. Long Government Bond Index, the Barclays Capital U.S. Aggregate Bond Index, the Barclays Capital U.S. High Yield Very Liquid Index, the Barclays Capital 1-3 Year Government/Credit Index, the Barclays Capital U.S. Treasury Inflation Protected Securities Index, the S&P 500, the MSCI ACWI ex-US IMI Index, the S&P MidCap 400, the Russell 2000 Index and the FTSE EPRA/NAREIT Global Developed Liquid Index and were weighted based on each Fund's respective target allocations to the asset classes to which such benchmarks relate.

For the quarter ended September 30, 2011, the Retirement Date Funds experienced a total return, net of expenses, of -4.45% for the Lifetime Income Retirement Date Fund, -3.44% for the 2010 Retirement Date Fund, -6.50% for the 2020 Retirement Date Fund, -9.62% for the 2030 Retirement Date Fund and -13.37% for the 2040 Retirement Date Fund. By comparison, the composite benchmark for each Retirement Date Fund produced an investment record of -4.15%, -3.17%, -6.17%, -9.22% and -13.00%, respectively, for the same period. None of the indices comprising the composite benchmarks includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Retirement Date Fund for the quarter ended September 30, 2011 was consistent with its respective composite benchmark after taking into account expenses.

For the nine month period ended September 30, 2011, the Retirement Date Funds experienced a total return, net of expenses, of -0.84% for the Lifetime Income Retirement Date Fund, 0.49% for the 2010 Retirement Date Fund, -2.25% for the 2020 Retirement Date Fund, -5.26% for the 2030 Retirement Date Fund and -9.08% for the 2040 Retirement Date Fund. By comparison, the composite benchmark for each Retirement Date Fund produced an investment record of -0.07%, 1.28%, -1.52%, -4.55% and -8.32%, respectively, for the same period. None of the indices comprising the composite benchmarks includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

247 -------------------------------------------------------------------------------- Table of Contents The performance of each Retirement Date Fund for the nine month period ended September 30, 2011 was consistent with its respective composite benchmark after taking into account expenses and the effect of participation in securities lending.

Target Risk Funds The Target Risk Funds provide a series of diversified investment funds each of which is designed to correspond to a particular investment risk level. Each Target Risk Fund has an investment strategy representing specific risk and reward characteristics. The Conservative Risk Fund seeks to avoid significant loss of principal and is comprised primarily of bonds and shorter-term high-quality debt instruments to provide stability and income (although such Fund also has a target equity exposure of 26%). The Moderate Risk Fund seeks to provide long-term capital appreciation and current income. The Aggressive Risk Fund seeks to provide long-term capital appreciation for participants and is comprised mainly of stocks with maximum growth potential.

The Target Risk Funds seek to achieve their objectives by investing in various index or other collective investment funds maintained by State Street Bank or an affiliate of Northern Trust Investments. During the quarter ended September 30, 2011, these funds included, in the case of some or all of the Target Risk Funds and in varying allocations, the SSgA Russell All Cap® Index Non-Lending Series Fund, the SSgA International Index Non-Lending Series Fund, the SSgA Global Equity ex U.S. Index Non-Lending Series Fund, the SSgA/Tuckerman REIT Index Non-Lending Series Fund, the SSgA U.S. Bond Index Non-Lending Series Fund, the SSgA U.S. Inflation Protected Bond Index Non-Lending Series Fund, the NTGI Collective Short Term Investment Fund and the SSgA Dow Jones UBS-Commodity Index Non-Lending Series Fund.

The composite benchmark for each of the Target Risk Funds is the composite investment record of the respective benchmarks for the underlying asset classes to which each Target Risk Fund allocates its assets. During the quarter ended September 30, 2011, the respective benchmarks comprising the composite benchmarks included some or all of the Russell 3000®Index, the MSCI EAFE Index, the MSCI ACWI Ex-US Index, the Dow Jones U.S. Select REIT Index, the Barclays Capital U.S. Aggregate Bond Index, the Barclays Capital U.S. Treasury Inflation Protected Securities, the Merrill Lynch 3-Month T-Bill Index and the Dow Jones-UBS Commodity Index and were weighted based on each Fund's respective target allocations to the asset classes to which such underlying benchmarks relate.

For the quarter ended September 30, 2011, the Target Risk Funds experienced a total return, net of expenses, of -2.09% for the Conservative Risk Fund, -8.58% for the Moderate Risk Fund and -13.78% for the Aggressive Risk Fund. By comparison, the composite benchmark for each Target Risk Fund produced an investment record of -1.78%, -8.23% and -13.38%, respectively, for the same period. For the nine month period ended September 30, 2011, the Target Risk Funds experienced a total return, net of expenses, of 1.66% for the Conservative Risk Fund, -4.69% for the Moderate Risk Fund and -9.60% for the Aggressive Risk Fund, compared to an investment record of 2.37%, -3.93% and -8.85%, respectively, of the respective composite benchmark for the same period. None of the indices comprising the composite benchmarks includes an allowance for the fees that an investor would pay for investing in the securities that comprise such indices or for fund expenses.

The performance of each Target Risk Fund for the quarter and the nine month period ended September 30, 2011 was consistent with its respective composite benchmark after taking expenses into account.

Balanced Fund Certain assets contributed to the Program are held in the Balanced Fund.

However, the Collective Trust no longer offers Units in the Balanced Fund.

The Balanced Fund seeks to achieve, over an extended period of time, total returns comparable to or superior to an appropriate combination of broad measures of the domestic stock and bond markets. The Fund invests in publicly traded common stocks, other equity-type securities, medium- to long-term debt securities with varying maturities and money market instruments.

For the quarter ended September 30, 2011, the Balanced Fund experienced a total return, net of expenses, of -7.61%. By comparison, a combination of the Russell 1000 Index and the Barclays Capital U.S. Aggregate Bond Index, weighted 60%/40%, respectively, produced an investment record of -7.56% for the same period. For the nine month period ended September 30, 2011, the Balanced Fund experienced a total return, net of expenses, of -3.00%, as compared to an investment record of -3.00% for the benchmark for the period. The Russell 1000 Index and the Barclays Capital U.S. Aggregate Bond Index do not include an allowance for the fees that an investor would pay for investing in the securities that comprise the Indices or for fund expenses.

For the quarter ended September 30, 2011, the equity segment of the Balanced Fund, which is invested through the Large Cap Equity Fund, outperformed the Russell 1000 Index. For the nine month period ended September 30, 2011, the equity segment of the Balanced Fund, which is invested through the Large Cap Equity Fund, outperformed the Russell 1000 Index. Please refer to the discussion of the investment performance of the Large Cap Equity Fund for such periods, above, for a description of the performance of the equity segment of the Balanced Fund for such periods.

248 -------------------------------------------------------------------------------- Table of Contents For the quarter ended September 30, 2011, the debt segment of the Balanced Fund, which is invested through the Bond Core Plus Fund, underperformed the Barclays Capital U.S. Aggregate Bond Index. For the nine month period ended September 30, 2011, the debt segment of the Balanced Fund, which is invested through the Bond Core Plus Fund, underperformed the Barclays Capital U.S. Aggregate Bond Index.

Please refer to a discussion of the investment performance of the Bond Core Plus Fund for such periods, above, for a description of the performance of the debt segment of the Balanced Fund for such periods.

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