CREF Accounts, TIAA Real Estate Account and TIAA-CREF Funds - All Share Classes
Standard Deviation, Sharpe Ratio, Alpha, Beta and R-Squared
For the period ending 12/31/2016
All statistics were calculated using net of fees monthly returns. The alpha, beta, r-squared and the risk-adjusted versions of these statistics were calculated using our Funds' official benchmarks.
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
3 yr.
Ann.
Std Dev
5 yr.
Ann.
Std Dev
10 yr.
Ann.
Std Dev
3 yr.
Sharpe
Ratio
5 yr.
Sharpe
Ratio
10 yr.
Sharpe
Ratio
3 yr.
Ann.
Alpha
5 yr.
Ann.
Alpha
10 yr.
Ann.
Alpha
3 yr.
Beta
5 yr.
Beta
10 yr.
Beta
3 yr.
R-Squared
5 yr.
R-Squared
10 yr.
R-Squared
3 yr.
Ann.
Alpha
(Risk Adj)
Barclays Aggregate Bond Index
Russell 3000 Index
MSCI World Index
Russell 1000 Growth Index
Barclays TIPS 1-10 Year Index
N/A
SCA Composite Index
CREF Composite Index
2.95
11.02
11.06
12.04
4.05
0.00
6.52
11.00
2.93
10.62
11.25
11.58
4.67
0.00
6.46
11.02
3.19
15.78
17.03
16.00
6.24
0.45
9.72
16.48
0.96
0.71
0.24
0.60
0.39
N/A
0.62
0.41
0.78
1.32
0.91
1.21
0.06
N/A
1.21
1.03
1.01
0.37
0.17
0.46
0.50
N/A
0.45
0.26
0.00
-0.47
-0.99
-1.49
-0.63
N/A
-0.56
-0.78
0.16
-0.42
-0.02
-1.03
-0.55
N/A
-0.37
-0.48
-0.12
-0.40
-0.23
-0.46
-0.49
N/A
-0.21
-0.31
0.97
1.00
0.99
1.05
1.01
N/A
0.98
1.00
1.00
1.00
0.99
1.05
0.99
N/A
0.98
1.01
0.94
1.00
1.03
1.03
0.99
N/A
0.99
1.01
0.98
1.00
0.98
0.98
0.99
N/A
0.99
1.00
0.98
1.00
0.98
0.98
0.99
N/A
0.99
1.00
0.96
1.00
0.99
0.99
0.99
N/A
0.99
1.00
0.00
-0.47
-0.99
-1.49
-0.63
N/A
-0.56
-0.78
0.16
-0.42
-0.02
-1.02
-0.55
N/A
-0.37
-0.48
-0.18
-0.40
-0.21
-0.43
-0.49
N/A
-0.22
-0.30
0.96
1.00
0.99
1.05
1.01
N/A
0.98
1.00
1.00
1.00
0.99
1.05
0.99
N/A
0.98
1.01
0.95
1.00
1.03
1.02
0.99
N/A
0.99
1.01
0.98
1.00
0.98
0.98
0.99
N/A
0.99
1.00
0.98
1.00
0.98
0.98
0.99
N/A
0.99
1.00
0.96
1.00
0.99
0.99
0.99
N/A
0.99
1.00
TIAA Accounts
TIAA Separate Account VA-1
TIAA Real Estate Account
Russell 3000 Index
N/A
11.00
1.35
10.61
1.40
15.76
5.21
0.69
6.19
1.30
6.39
0.36
0.51
-0.68
NA
-0.68
NA
-0.64
NA
1.00
NA
1.00
NA
1.00
NA
1.00
NA
1.00
NA
1.00
NA
-0.68
NA
-0.68
NA
-0.64
NA
1.00
NA
1.00
NA
1.00
NA
1.00
NA
1.00
NA
1.00
NA
Retirement Share Class Funds
Bond Fund
Bond Index Fund
Bond Plus Fund
Emerging Markets Equity Fund
Emerging Markets Equity Index Fund
Equity Index Fund
Global Natural Resources Fund
Growth & Income Fund
High-Yield Fund
Inflation-Linked Bond Fund
International Equity Fund
International Equity Index Fund
International Opportunities Fund
Large-Cap Growth Fund
Large-Cap Growth Index Fund
Large-Cap Value Fund
Large-Cap Value Index Fund
Lifecycle 2010 Fund
Lifecycle 2015 Fund
Lifecycle 2020 Fund
Lifecycle 2025 Fund
Lifecycle 2030 Fund
Lifecycle 2035 Fund
Lifecycle 2040 Fund
Lifecycle 2045 Fund
Lifecycle 2050 Fund
Lifecycle 2055 Fund
Lifecycle Retirement Income Fund
Lifecycle Index 2010 Fund
Lifecycle Index 2015 Fund
Lifecycle Index 2020 Fund
Lifecycle Index 2025 Fund
Lifecycle Index 2030 Fund
Lifecycle Index 2035 Fund
Lifecycle Index 2040 Fund
Lifecycle Index 2045 Fund
Lifecycle Index 2050 Fund
Lifecycle Index 2055 Fund
Lifecycle Index Retirement Income Fund
Lifestyle Aggressive Growth Fund
Lifestyle Conservative Fund
Lifestyle Growth Fund
Lifestyle Income Fund
Lifestyle Moderate Fund
Managed Allocation Fund
Mid-Cap Growth Fund
Barclays Aggregate Bond Index
Barclays Aggregate Bond Index
Barclays Aggregate Bond Index
MSCI Emerging Markets Index
MSCI Emerging Markets Index
Russell 3000 Index
MSCI AC World Index Commodity Producers Sec. Cap. Index
S&P 500 Index
BofA ML BB-B Cash Pay Issuer Constrained Index
Barclays TIPS 1-10 Year Index
MSCI EAFE Index
MSCI EAFE Index
MSCI All Country World Index ex-USA
Russell 1000 Growth Index
Russell 1000 Growth Index
Russell 1000 Value Index
Russell 1000 Value Index
Lifecycle 2010 Fund Composite Index
Lifecycle 2015 Fund Composite Index
Lifecycle 2020 Fund Composite Index
Lifecycle 2025 Fund Composite Index
Lifecycle 2030 Fund Composite Index
Lifecycle 2035 Fund Composite Index
Lifecycle 2040 Fund Composite Index
Lifecycle 2045 Fund Composite Index
Lifecycle 2050 Fund Composite Index
Lifecycle 2055 Fund Composite Index
Lifecycle Retirement Income Fund Composite Index
Lifecycle Index 2010 Composite Benchmark
Lifecycle Index 2015 Composite Benchmark
Lifecycle Index 2020 Composite Benchmark
Lifecycle Index 2025 Composite Benchmark
Lifecycle Index 2030 Composite Benchmark
Lifecycle Index 2035 Composite Benchmark
Lifecycle Index 2040 Composite Benchmark
Lifecycle Index 2045 Composite Benchmark
Lifecycle Index 2050 Composite Benchmark
Lifecycle Index 2055 Composite Benchmark
Lifecycle Index Retirement Income Composite Benchmark
Lifestyle Aggressive Composite Benchmark
Lifestyle Conservative Composite Benchmark
Lifestyle Growth Composite Benchmark
Lifestyle Income Composite Benchmark
Lifestyle Moderate Composite Benchmark
Managed Allocation Composite Index
Russell Midcap Growth Index
2.98
3.20
2.95
14.81
16.13
11.04
18.33
11.59
6.05
3.94
13.38
12.07
12.05
12.61
11.31
12.37
10.94
5.59
6.15
6.93
7.81
8.75
9.53
10.34
10.40
10.45
10.47
5.10
5.11
5.63
6.38
7.20
8.03
8.90
9.73
9.82
9.84
9.87
4.64
11.43
5.01
9.31
2.93
7.23
7.14
13.39
3.05
3.01
3.01
15.32
16.03
10.64
17.16
11.17
5.59
4.59
14.57
13.16
NA
12.34
10.88
11.75
10.60
5.81
6.43
7.22
8.08
9.00
9.80
10.43
10.45
10.49
10.47
5.19
5.22
5.76
6.52
7.34
8.15
9.03
9.67
9.73
9.73
9.75
4.66
11.49
5.17
9.42
3.13
7.34
7.24
12.95
3.28
NA
3.35
NA
NA
15.77
NA
15.00
9.05
6.24
20.42
18.74
NA
16.53
15.51
17.43
16.10
8.96
10.15
11.40
12.68
13.97
14.99
15.23
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
10.67
18.60
1.08
0.80
1.13
-0.37
-0.20
0.73
-0.17
0.63
0.72
0.36
-0.25
-0.16
-0.23
0.48
0.72
0.56
0.74
0.60
0.56
0.52
0.47
0.43
0.39
0.37
0.37
0.37
0.38
0.62
0.70
0.66
0.62
0.57
0.54
0.50
0.47
0.48
0.48
0.49
0.74
0.32
0.61
0.39
0.83
0.50
0.53
0.19
0.98
0.57
1.13
0.01
0.04
1.34
-0.04
1.25
1.17
0.04
0.54
0.48
NA
1.14
1.29
1.22
1.35
1.15
1.14
1.12
1.09
1.06
1.04
1.01
1.01
1.01
1.01
1.16
1.20
1.19
1.18
1.15
1.14
1.11
1.09
1.08
1.09
1.09
1.18
0.99
1.19
1.05
1.28
1.13
1.15
0.90
1.10
NA
1.09
NA
NA
0.38
NA
0.49
0.69
0.48
-0.01
-0.01
NA
0.43
0.47
0.27
0.29
0.43
0.38
0.34
0.30
0.27
0.26
0.27
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.38
0.33
0.40
-0.51
0.69
-3.30
-0.68
-0.28
1.45
-1.69
-0.77
-0.51
-1.55
-0.39
-1.17
-2.68
-0.31
-2.28
-0.31
-0.78
-0.86
-0.90
-1.03
-1.19
-1.24
-1.30
-1.37
-1.38
-1.38
-0.78
-0.32
-0.34
-0.31
-0.30
-0.30
-0.30
-0.30
-0.32
-0.31
-0.31
-0.35
-1.52
-0.80
-1.31
-0.51
-1.10
-0.87
-3.62
0.83
-0.48
1.32
-1.00
-0.53
-0.27
1.17
-1.23
-1.02
-0.50
1.39
0.11
NA
-1.37
-0.31
-1.47
-0.32
-0.51
-0.60
-0.62
-0.68
-0.83
-0.85
-0.89
-0.90
-0.94
-0.90
-0.42
-0.34
-0.33
-0.29
-0.28
-0.24
-0.25
-0.23
-0.27
-0.25
-0.25
-0.35
-0.62
-0.33
-0.54
-0.20
-0.41
-0.41
-2.35
0.20
NA
0.53
NA
NA
-0.25
NA
1.32
0.26
-0.53
0.04
-0.11
NA
-0.65
-0.31
-0.50
-0.28
-0.35
-0.34
-0.36
-0.37
-0.43
-0.47
-0.47
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
-0.69
-0.94
0.96
1.06
0.91
0.88
0.99
1.00
0.86
1.05
1.08
1.01
1.00
0.94
0.85
1.07
1.00
1.11
1.00
1.08
1.08
1.06
1.06
1.06
1.04
1.04
1.03
1.04
1.03
1.09
0.99
0.99
0.99
0.99
0.98
0.98
0.98
0.99
0.98
0.98
0.99
1.02
1.09
1.04
1.12
1.07
1.06
1.06
1.01
1.03
0.96
0.92
0.99
1.00
0.90
1.06
1.09
0.99
1.02
0.96
NA
1.09
1.00
1.09
1.00
1.10
1.10
1.09
1.08
1.08
1.06
1.06
1.05
1.06
1.05
1.11
0.99
0.99
0.99
0.99
0.98
0.99
0.99
0.99
0.99
0.99
0.99
1.04
1.12
1.06
1.17
1.10
1.09
1.07
0.95
NA
0.88
NA
NA
1.00
NA
0.97
0.96
1.00
1.05
1.00
NA
1.04
1.00
1.06
1.00
1.06
1.06
1.05
1.05
1.05
1.04
1.04
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
1.08
1.01
0.95
1.00
0.86
0.94
0.99
1.00
0.79
0.95
0.97
0.99
0.89
0.97
0.81
0.91
1.00
0.96
1.00
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.97
0.97
0.97
0.96
0.97
0.98
0.96
0.92
1.00
0.86
0.95
0.99
1.00
0.84
0.96
0.97
0.99
0.89
0.98
NA
0.92
1.00
0.96
1.00
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.98
0.98
0.98
0.96
0.98
0.98
0.96
0.93
NA
0.77
NA
NA
1.00
NA
0.97
0.97
0.99
0.92
0.98
NA
0.96
1.00
0.97
1.00
0.99
0.99
0.99
0.99
0.99
0.99
0.99
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.99
0.98
0.40
-0.50
0.68
-3.31
-0.69
-0.28
1.43
-1.69
-0.76
-0.51
-1.55
-0.40
-1.19
-2.67
-0.31
-2.27
-0.31
-0.77
-0.85
-0.89
-1.02
-1.18
-1.24
-1.30
-1.37
-1.38
-1.38
-0.78
-0.32
-0.34
-0.31
-0.31
-0.31
-0.30
-0.30
-0.33
-0.32
-0.32
-0.35
-1.52
-0.79
-1.31
-0.49
-1.09
-0.86
-3.61
0.83
-0.48
1.32
-1.01
-0.53
-0.27
1.16
-1.22
-1.01
-0.50
1.40
0.10
NA
-1.36
-0.31
-1.46
-0.32
-0.50
-0.59
-0.61
-0.68
-0.82
-0.85
-0.88
-0.90
-0.93
-0.90
-0.41
-0.34
-0.33
-0.29
-0.28
-0.24
-0.25
-0.23
-0.27
-0.25
-0.25
-0.35
-0.62
-0.32
-0.53
-0.19
-0.40
-0.40
-2.35
0.14
NA
0.39
NA
NA
-0.25
NA
1.30
0.24
-0.53
0.08
-0.11
NA
-0.61
-0.31
-0.45
-0.28
-0.30
-0.30
-0.32
-0.33
-0.39
-0.44
-0.44
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
-0.63
-0.92
0.96
1.06
0.90
0.88
0.99
1.00
0.86
1.05
1.08
1.01
1.00
0.94
0.85
1.07
1.00
1.11
1.00
1.08
1.08
1.06
1.06
1.06
1.04
1.04
1.03
1.04
1.03
1.09
0.99
0.99
0.99
0.99
0.98
0.98
0.98
0.99
0.98
0.98
0.99
1.02
1.09
1.04
1.12
1.07
1.06
1.06
1.01
1.03
0.96
0.92
0.99
1.00
0.90
1.06
1.09
0.99
1.02
0.96
NA
1.09
1.00
1.09
1.00
1.10
1.10
1.09
1.08
1.08
1.06
1.06
1.05
1.06
1.05
1.11
0.99
0.99
0.99
0.99
0.98
0.99
0.99
0.99
0.99
0.99
0.99
1.04
1.12
1.06
1.17
1.10
1.09
1.07
0.96
NA
0.90
NA
NA
1.00
NA
0.97
0.96
1.00
1.05
1.00
NA
1.04
1.00
1.06
1.00
1.06
1.06
1.05
1.05
1.05
1.04
1.04
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
1.08
1.01
0.95
1.00
0.86
0.94
0.99
1.00
0.79
0.95
0.97
0.99
0.89
0.97
0.81
0.91
1.00
0.96
1.00
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.97
0.97
0.97
0.95
0.97
0.98
0.96
0.92
1.00
0.86
0.95
0.99
1.00
0.84
0.96
0.97
0.99
0.89
0.98
NA
0.92
1.00
0.96
1.00
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.98
0.98
0.98
0.96
0.98
0.98
0.96
0.93
NA
0.77
NA
NA
1.00
NA
0.97
0.97
0.99
0.92
0.98
NA
0.96
1.00
0.97
1.00
0.99
0.99
0.99
0.99
0.99
0.99
0.99
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.99
0.98
Fund/Account
CREF Accounts
CREF Bond Market Account
CREF Equity Index Account
CREF Global Equities Account
CREF Growth Account
CREF Inflation-Linked Bond Account
CREF Money Market Account
CREF Social Choice Account
CREF Stock Account
Benchmark
5 yr.
Ann.
Alpha
(Risk Adj)
10 yr.
Ann.
Alpha
(Risk Adj)
3 yr.
Beta
(Risk Adj)
5 yr.
Beta
(Risk Adj)
10 yr.
Beta
(Risk Adj)
3 yr.
R-Squared
(Risk Adj)
5 yr.
R-Squared
(Risk Adj)
10 yr.
R-Squared
(Risk Adj)
CREF Accounts, TIAA Real Estate Account and TIAA-CREF Funds - All Share Classes
Standard Deviation, Sharpe Ratio, Alpha, Beta and R-Squared
For the period ending 12/31/2016
All statistics were calculated using net of fees monthly returns. The alpha, beta, r-squared and the risk-adjusted versions of these statistics were calculated using our Funds' official benchmarks.
(1)
Fund/Account
Mid-Cap Value Fund
Money Market Fund
Real Estate Securities Fund
S&P 500 Index Fund
Short-Term Bond Fund
Small-Cap Blend Index Fund
Small-Cap Equity Fund
Social Choice Bond Fund
Social Choice Equity Fund
Benchmark
Russell Midcap Value Index
N/A
FTSE NAREIT All Equity REITs Index
S&P 500 Index
Barclays Short (1-3 Yr) Govt Credit Index
Russell 2000 Index
Russell 2000 Index
Barclays Aggregate Bond Index
Russell 3000 Index
Institutional Share Class Funds
Bond Fund
Bond Index Fund
Bond Plus Fund
Emerging Markets Equity Fund
Emerging Markets Equity Index Fund
Enhanced Intl Equity Index Fund
Enhanced Large-Cap Growth Index Fund
Enhanced Large-Cap Value Index Fund
Equity Index Fund
Global Natural Resources Fund
Growth & Income Fund
High-Yield Fund
Inflation-Linked Bond Fund
International Equity Fund
International Equity Index Fund
International Opportunities Fund
Large-Cap Growth Fund
Large-Cap Growth Index Fund
Large-Cap Value Fund
Large-Cap Value Index Fund
Lifecycle 2010 Fund
Lifecycle 2015 Fund
Lifecycle 2020 Fund
Lifecycle 2025 Fund
Lifecycle 2030 Fund
Lifecycle 2035 Fund
Lifecycle 2040 Fund
Lifecycle 2045 Fund
Lifecycle 2050 Fund
Lifecycle 2055 Fund
Lifecycle Retirement Income Fund
Lifecycle Index 2010 Fund
Lifecycle Index 2015 Fund
Lifecycle Index 2020 Fund
Lifecycle Index 2025 Fund
Lifecycle Index 2030 Fund
Lifecycle Index 2035 Fund
Lifecycle Index 2040 Fund
Lifecycle Index 2045 Fund
Lifecycle Index 2050 Fund
Lifecycle Index 2055 Fund
Lifecycle Index Retirement Income Fund
Lifestyle Aggressive Growth Fund
Lifestyle Conservative Fund
Lifestyle Income Fund
Lifestyle Growth Fund
Lifestyle Moderate Fund
Barclays Aggregate Bond Index
Barclays Aggregate Bond Index
Barclays Aggregate Bond Index
MSCI Emerging Markets Index
MSCI Emerging Markets Index
MSCI EAFE Index
Russell 1000 Growth Index
Russell 1000 Value Index
Russell 3000 Index
MSCI AC World Index Commodity Producers Sec. Cap. Index
S&P 500 Index
BofA ML BB-B Cash Pay Issuer Constrained Index
Barclays TIPS 1-10 Year Index
MSCI EAFE Index
MSCI EAFE Index
MSCI All Country World Index ex-USA
Russell 1000 Growth Index
Russell 1000 Growth Index
Russell 1000 Value Index
Russell 1000 Value Index
Lifecycle 2010 Fund Composite Index
Lifecycle 2015 Fund Composite Index
Lifecycle 2020 Fund Composite Index
Lifecycle 2025 Fund Composite Index
Lifecycle 2030 Fund Composite Index
Lifecycle 2035 Fund Composite Index
Lifecycle 2040 Fund Composite Index
Lifecycle 2045 Fund Composite Index
Lifecycle 2050 Fund Composite Index
Lifecycle 2055 Fund Composite Index
Lifecycle Retirement Income Fund Composite Index
Lifecycle Index 2010 Composite Benchmark
Lifecycle Index 2015 Composite Benchmark
Lifecycle Index 2020 Composite Benchmark
Lifecycle Index 2025 Composite Benchmark
Lifecycle Index 2030 Composite Benchmark
Lifecycle Index 2035 Composite Benchmark
Lifecycle Index 2040 Composite Benchmark
Lifecycle Index 2045 Composite Benchmark
Lifecycle Index 2050 Composite Benchmark
Lifecycle Index 2055 Composite Benchmark
Lifecycle Index Retirement Income Composite Benchmark
Lifestyle Aggressive Composite Benchmark
Lifestyle Conservative Composite Benchmark
Lifestyle Income Composite Benchmark
Lifestyle Growth Composite Benchmark
Lifestyle Moderate Composite Benchmark
(2)
(3)
(4)
(5)
(6)
3 yr.
Ann.
Std Dev
11.65
0.01
14.11
10.72
0.84
15.94
15.51
3.15
11.12
5 yr.
Ann.
Std Dev
11.00
0.01
13.41
10.33
1.04
14.56
14.31
NA
10.75
10 yr.
Ann.
Std Dev
17.42
0.46
25.17
15.24
1.70
20.09
19.87
NA
15.79
3 yr.
Sharpe
Ratio
0.64
N/A
0.81
0.79
1.17
0.42
0.54
1.26
0.61
5 yr.
Sharpe
Ratio
1.25
N/A
0.81
1.37
1.22
0.98
1.05
NA
1.23
10 yr.
Sharpe
Ratio
0.35
N/A
0.13
0.39
1.12
0.31
0.31
NA
0.37
3 yr.
Ann.
Alpha
-1.72
N/A
-0.74
-0.29
0.19
0.02
1.82
0.96
-1.40
5 yr.
Ann.
Alpha
-1.35
N/A
-0.61
-0.29
0.25
0.02
1.04
NA
-1.26
10 yr.
Ann.
Alpha
-0.32
N/A
-0.07
-0.29
0.06
-0.10
0.03
NA
-0.51
3 yr.
Beta
1.00
N/A
0.98
1.00
1.00
1.00
0.96
1.02
1.00
5 yr.
Beta
0.98
N/A
0.97
1.00
1.06
1.00
0.97
NA
1.00
10 yr.
Beta
0.95
N/A
0.96
1.00
0.88
1.00
0.98
NA
0.99
3 yr.
R-Squared
0.97
N/A
0.98
1.00
0.82
1.00
0.98
0.96
0.99
5 yr.
R-Squared
0.97
N/A
0.98
1.00
0.85
1.00
0.98
NA
0.99
10 yr.
R-Squared
0.98
N/A
0.99
1.00
0.83
1.00
0.99
NA
0.99
3 yr.
Ann.
Alpha
(Risk Adj)
-1.72
N/A
-0.74
-0.29
0.19
0.02
1.82
0.96
-1.40
2.98
3.21
2.95
14.75
16.08
11.59
11.44
11.10
11.01
18.30
11.60
6.13
3.93
13.38
12.07
12.10
12.64
11.31
12.40
10.90
5.59
6.10
6.88
7.81
8.71
9.59
10.39
10.46
10.44
10.52
5.10
5.09
5.60
6.38
7.21
8.07
8.88
9.75
9.81
9.84
9.82
4.67
11.40
4.99
2.94
9.22
7.24
3.06
3.02
3.03
15.30
16.02
12.89
11.20
10.89
10.62
17.15
11.18
5.64
4.58
14.59
13.15
NA
12.36
10.87
11.78
10.58
5.81
6.39
7.20
8.09
8.99
9.86
10.46
10.49
10.47
10.50
5.15
5.19
5.75
6.54
7.33
8.18
9.03
9.68
9.73
9.73
9.71
4.65
11.50
5.15
3.13
9.35
7.34
3.29
NA
3.39
NA
NA
NA
NA
NA
15.78
NA
14.97
9.08
6.21
20.42
18.75
NA
16.52
15.51
17.46
16.09
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
1.16
0.87
1.21
-0.36
-0.19
-0.14
0.73
0.65
0.75
-0.15
0.66
0.75
0.43
-0.23
-0.14
-0.21
0.50
0.74
0.58
0.77
0.64
0.61
0.56
0.50
0.46
0.42
0.39
0.39
0.40
0.40
0.68
0.76
0.72
0.65
0.61
0.56
0.53
0.50
0.50
0.51
0.52
0.80
0.35
0.67
0.93
0.43
0.53
1.07
0.65
1.20
0.02
0.06
0.54
1.24
1.26
1.37
-0.02
1.28
1.20
0.09
0.56
0.50
NA
1.17
1.32
1.24
1.38
1.20
1.19
1.16
1.13
1.09
1.06
1.03
1.03
1.04
1.04
1.22
1.25
1.24
1.21
1.19
1.17
1.14
1.11
1.11
1.12
1.12
1.24
1.02
1.25
1.37
1.08
1.16
1.18
NA
1.15
NA
NA
NA
NA
NA
0.40
NA
0.51
0.71
0.52
0.00
0.01
NA
0.45
0.49
0.28
0.31
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.63
-0.29
0.90
-3.08
-0.41
-0.11
-0.13
-1.24
0.01
1.68
-1.43
-0.61
-0.26
-1.32
-0.15
-0.91
-2.43
-0.04
-2.06
-0.03
-0.54
-0.56
-0.61
-0.77
-0.92
-1.04
-1.11
-1.12
-1.14
-1.19
-0.52
-0.06
-0.05
-0.07
-0.05
-0.09
-0.03
-0.05
-0.06
-0.06
-0.03
-0.10
-1.26
-0.54
-0.25
-1.01
-0.87
1.09
-0.24
1.55
-0.74
-0.26
0.88
-0.79
-1.16
0.00
1.41
-0.98
-0.86
-0.26
1.64
0.37
NA
-1.10
-0.04
-1.25
-0.05
-0.26
-0.31
-0.34
-0.45
-0.57
-0.67
-0.69
-0.69
-0.68
-0.68
-0.13
-0.06
-0.07
-0.06
-0.01
-0.02
0.01
0.01
0.00
-0.01
0.05
-0.08
-0.37
-0.05
0.07
-0.22
-0.15
0.44
NA
0.73
NA
NA
NA
NA
NA
0.00
NA
1.59
0.49
-0.26
0.28
0.13
NA
-0.39
-0.06
-0.27
-0.04
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.96
1.06
0.91
0.88
0.98
0.90
1.01
1.01
1.00
0.86
1.05
1.10
1.01
1.00
0.94
0.86
1.07
1.00
1.11
1.00
1.08
1.07
1.05
1.06
1.06
1.05
1.04
1.04
1.03
1.04
1.09
0.98
0.99
0.99
0.99
0.99
0.98
0.99
0.98
0.98
0.98
0.99
1.02
1.09
1.13
1.03
1.07
1.01
1.04
0.96
0.92
0.99
0.94
1.02
1.02
1.00
0.90
1.06
1.11
0.99
1.02
0.96
NA
1.09
1.00
1.09
1.00
1.10
1.10
1.08
1.08
1.08
1.07
1.06
1.06
1.05
1.06
1.10
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.98
0.99
1.04
1.12
1.17
1.06
1.10
0.95
NA
0.89
NA
NA
NA
NA
NA
1.00
NA
0.96
0.96
0.99
1.05
1.00
NA
1.04
1.00
1.07
1.00
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.95
0.99
0.87
0.94
0.99
0.96
0.99
0.99
1.00
0.79
0.95
0.97
0.99
0.89
0.97
0.81
0.91
1.00
0.96
1.00
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.99
0.97
0.97
0.96
0.97
0.97
0.92
0.99
0.85
0.95
0.99
0.97
0.99
0.99
1.00
0.84
0.96
0.98
0.99
0.89
0.98
NA
0.92
1.00
0.96
1.00
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.98
0.97
0.96
0.98
0.98
0.93
NA
0.77
NA
NA
NA
NA
NA
1.00
NA
0.97
0.97
0.99
0.92
0.98
NA
0.96
1.00
0.97
1.00
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.63
-0.29
0.89
-3.10
-0.41
-0.13
-0.13
-1.24
0.01
1.66
-1.43
-0.60
-0.26
-1.32
-0.15
-0.92
-2.43
-0.04
-2.05
-0.03
-0.53
-0.55
-0.60
-0.77
-0.92
-1.03
-1.11
-1.12
-1.13
-1.18
-0.51
-0.07
-0.06
-0.08
-0.05
-0.09
-0.03
-0.05
-0.07
-0.06
-0.03
-0.10
-1.26
-0.53
-0.23
-1.01
-0.86
(7)
(8)
5 yr.
Ann.
Alpha
(Risk Adj)
-1.35
N/A
-0.61
-0.29
0.26
0.02
1.04
NA
-1.26
10 yr.
Ann.
Alpha
(Risk Adj)
-0.35
N/A
-0.09
-0.29
-0.08
-0.11
0.01
NA
-0.51
3 yr.
Beta
(Risk Adj)
1.00
N/A
0.98
1.00
0.99
1.00
0.96
1.02
1.00
5 yr.
Beta
(Risk Adj)
0.98
N/A
0.97
1.00
1.06
1.00
0.97
NA
1.00
10 yr.
Beta
(Risk Adj)
0.95
N/A
0.96
1.00
0.91
1.00
0.98
NA
0.99
3 yr.
R-Squared
(Risk Adj)
0.97
N/A
0.98
1.00
0.82
1.00
0.98
0.96
0.99
5 yr.
R-Squared
(Risk Adj)
0.97
N/A
0.98
1.00
0.85
1.00
0.98
NA
0.99
10 yr.
R-Squared
(Risk Adj)
0.98
N/A
0.99
1.00
0.83
1.00
0.99
NA
0.99
1.09
-0.23
1.55
-0.75
-0.26
0.87
-0.79
-1.16
0.00
1.40
-0.98
-0.85
-0.26
1.64
0.37
NA
-1.10
-0.04
-1.24
-0.05
-0.25
-0.30
-0.33
-0.44
-0.57
-0.67
-0.69
-0.68
-0.67
-0.68
-0.12
-0.06
-0.07
-0.06
-0.01
-0.02
0.00
0.01
0.00
-0.01
0.05
-0.08
-0.37
-0.04
0.08
-0.22
-0.15
0.39
NA
0.59
NA
NA
NA
NA
NA
0.00
NA
1.58
0.46
-0.27
0.32
0.13
NA
-0.35
-0.06
-0.22
-0.04
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.96
1.06
0.91
0.88
0.98
0.90
1.01
1.01
1.00
0.86
1.05
1.10
1.01
1.00
0.94
0.86
1.07
1.00
1.11
1.00
1.08
1.07
1.05
1.06
1.06
1.05
1.04
1.04
1.03
1.04
1.09
0.98
0.99
0.99
0.99
0.99
0.98
0.99
0.98
0.98
0.98
0.99
1.02
1.09
1.13
1.03
1.07
1.01
1.04
0.96
0.92
0.99
0.94
1.02
1.02
1.00
0.90
1.06
1.11
0.99
1.02
0.96
NA
1.09
1.00
1.09
1.00
1.10
1.10
1.08
1.08
1.08
1.07
1.06
1.06
1.05
1.06
1.10
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.98
0.99
1.04
1.12
1.17
1.06
1.10
0.96
NA
0.91
NA
NA
NA
NA
NA
1.00
NA
0.96
0.96
0.99
1.05
1.00
NA
1.04
1.00
1.07
1.00
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.95
0.99
0.87
0.94
0.99
0.96
0.99
0.99
1.00
0.79
0.95
0.97
0.99
0.89
0.97
0.81
0.91
1.00
0.96
1.00
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.99
0.97
0.97
0.96
0.97
0.97
0.92
0.99
0.85
0.95
0.99
0.97
0.99
0.99
1.00
0.84
0.96
0.98
0.99
0.89
0.98
NA
0.92
1.00
0.96
1.00
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.98
0.97
0.96
0.98
0.98
0.93
NA
0.77
NA
NA
NA
NA
NA
1.00
NA
0.97
0.97
0.99
0.92
0.98
NA
0.96
1.00
0.97
1.00
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
CREF Accounts, TIAA Real Estate Account and TIAA-CREF Funds - All Share Classes
Standard Deviation, Sharpe Ratio, Alpha, Beta and R-Squared
For the period ending 12/31/2016
All statistics were calculated using net of fees monthly returns. The alpha, beta, r-squared and the risk-adjusted versions of these statistics were calculated using our Funds' official benchmarks.
(1)
(2)
(3)
(4)
(5)
(6)
(7)
(8)
3 yr.
Ann.
Std Dev
7.17
13.36
11.65
0.04
14.09
10.73
0.80
15.97
15.50
3.19
11.12
3.58
5 yr.
Ann.
Std Dev
7.25
12.94
10.99
0.03
13.39
10.36
1.05
14.58
14.30
NA
10.75
3.83
10 yr.
Ann.
Std Dev
10.71
18.60
17.42
0.48
25.18
15.25
1.70
20.09
19.91
NA
15.76
4.81
3 yr.
Sharpe
Ratio
0.57
0.21
0.66
N/A
0.83
0.81
1.54
0.43
0.55
1.32
0.64
0.75
5 yr.
Sharpe
Ratio
1.18
0.92
1.28
N/A
0.83
1.40
1.45
1.00
1.07
NA
1.25
0.50
10 yr.
Sharpe
Ratio
0.41
0.34
0.37
N/A
0.14
0.40
1.28
0.32
0.33
NA
0.38
0.62
3 yr.
Ann.
Alpha
-0.64
-3.36
-1.49
N/A
-0.49
-0.05
0.48
0.26
2.09
1.16
-1.15
-0.80
5 yr.
Ann.
Alpha
-0.19
-2.09
-1.10
N/A
-0.34
-0.06
0.51
0.25
1.30
NA
-1.00
-0.85
10 yr.
Ann.
Alpha
-0.45
-0.69
-0.07
N/A
0.16
-0.05
0.31
0.14
0.27
NA
-0.24
-0.88
3 yr.
Beta
1.07
1.06
1.00
N/A
0.98
1.00
0.95
1.00
0.96
1.04
1.00
0.89
5 yr.
Beta
1.09
1.07
0.98
N/A
0.97
1.00
1.06
1.00
0.97
NA
1.00
0.93
10 yr.
Beta
1.08
1.01
0.95
N/A
0.96
1.00
0.88
1.00
0.98
NA
0.99
0.98
3 yr.
R-Squared
0.98
0.96
0.97
N/A
0.98
1.00
0.81
1.00
0.98
0.97
0.99
0.97
5 yr.
R-Squared
0.98
0.96
0.97
N/A
0.98
1.00
0.83
1.00
0.98
NA
0.99
0.96
10 yr.
R-Squared
0.99
0.98
0.98
N/A
0.99
1.00
0.83
1.00
0.99
NA
0.99
0.96
3 yr.
Ann.
Alpha
(Risk Adj)
-0.64
-3.36
-1.49
N/A
-0.50
-0.05
0.48
0.26
2.08
1.16
-1.15
-0.81
Barclays Aggregate Bond Index
Barclays Aggregate Bond Index
Barclays Aggregate Bond Index
MSCI Emerging Markets Index
MSCI Emerging Markets Index
Russell 3000 Index
MSCI AC World Index Commodity Producers Sec. Cap. Index
S&P 500 Index
BofA ML BB-B Cash Pay Issuer Constrained Index
Barclays TIPS 1-10 Year Index
MSCI EAFE Index
MSCI All Country World Index ex-USA
Russell 1000 Growth Index
Russell 1000 Value Index
Retirement Income Fund Composite Index
Lifestyle Aggressive Composite Benchmark
Lifestyle Conservative Composite Benchmark
Lifestyle Growth Composite Benchmark
Lifestyle Income Composite Benchmark
Lifestyle Moderate Composite Benchmark
Managed Allocation Composite Index
Russell Midcap Growth Index
Russell Midcap Value Index
N/A
FTSE NAREIT All Equity REITs Index
Barclays Short (1-3 Yr) Govt Credit Index
Russell 2000 Index
Barclays Aggregate Bond Index
Russell 3000 Index
Barclays 10 Year Municipal Bond Index
2.98
3.20
2.95
14.79
16.07
11.06
18.32
11.60
6.05
3.92
13.30
12.08
12.67
12.38
5.07
11.37
4.98
9.29
2.90
7.23
7.15
13.39
11.66
0.00
14.12
0.82
15.47
3.10
11.14
3.53
3.05
3.03
3.02
15.32
16.01
10.65
17.16
11.17
5.58
4.55
14.54
NA
12.37
11.76
5.16
11.50
5.14
9.40
3.12
7.32
7.23
12.95
11.00
0.00
13.41
1.03
14.28
NA
10.74
3.80
3.28
NA
3.37
NA
NA
15.79
NA
14.98
9.04
6.21
20.42
NA
16.52
17.44
NA
NA
NA
NA
NA
NA
10.68
18.61
17.42
0.48
25.18
1.68
19.90
NA
15.79
4.79
1.06
0.78
1.09
-0.39
-0.21
0.72
-0.17
0.63
0.72
0.35
-0.26
-0.25
0.47
0.55
0.63
0.32
0.61
0.39
0.83
0.50
0.54
0.19
0.64
N/A
0.81
1.13
0.53
1.26
0.61
0.68
0.96
0.54
1.09
0.00
0.03
1.33
-0.04
1.24
1.16
0.02
0.54
NA
1.13
1.21
1.17
0.99
1.19
1.04
1.28
1.12
1.15
0.89
1.25
N/A
0.80
1.17
1.05
NA
1.22
0.43
1.11
NA
1.08
NA
NA
0.39
NA
0.49
0.69
0.48
-0.01
NA
0.43
0.27
NA
NA
NA
NA
NA
NA
0.39
0.33
0.35
N/A
0.13
1.16
0.31
NA
0.37
0.58
0.36
-0.58
0.57
-3.48
-0.83
-0.33
1.30
-1.76
-0.80
-0.57
-1.63
-1.32
-2.76
-2.34
-0.76
-1.58
-0.82
-1.35
-0.51
-1.13
-0.86
-3.68
-1.78
N/A
-0.80
0.19
1.76
0.93
-1.42
-1.01
0.78
-0.59
1.22
-1.15
-0.68
-0.34
1.01
-1.29
-1.05
-0.56
1.33
NA
-1.49
-1.56
-0.37
-0.69
-0.34
-0.57
-0.20
-0.42
-0.39
-2.43
-1.41
N/A
-0.69
0.22
0.96
NA
-1.27
-1.10
0.23
NA
0.49
NA
NA
-0.23
NA
1.33
0.31
-0.50
0.00
NA
-0.67
-0.52
NA
NA
NA
NA
NA
NA
-0.62
-0.96
-0.31
N/A
-0.08
0.11
0.00
NA
-0.46
-1.04
0.96
1.05
0.91
0.88
0.98
1.00
0.86
1.05
1.08
1.00
0.99
0.86
1.07
1.11
1.08
1.02
1.09
1.04
1.11
1.07
1.06
1.06
1.00
N/A
0.98
0.94
0.96
1.01
1.01
0.88
1.00
1.04
0.96
0.92
0.98
1.00
0.90
1.06
1.09
0.98
1.02
NA
1.09
1.09
1.10
1.04
1.12
1.06
1.16
1.09
1.09
1.07
0.98
N/A
0.97
1.03
0.97
NA
1.00
0.92
0.95
NA
0.89
NA
NA
1.00
NA
0.96
0.96
0.99
1.05
NA
1.04
1.07
NA
NA
NA
NA
NA
NA
1.08
1.01
0.95
N/A
0.96
0.88
0.98
NA
0.99
0.98
0.95
1.00
0.87
0.94
0.99
1.00
0.79
0.95
0.97
0.99
0.89
0.81
0.91
0.96
0.98
0.97
0.97
0.97
0.96
0.97
0.98
0.96
0.97
N/A
0.98
0.76
0.98
0.97
0.99
0.96
0.91
1.00
0.85
0.95
0.99
1.00
0.84
0.96
0.97
0.99
0.89
NA
0.93
0.96
0.98
0.98
0.97
0.98
0.96
0.98
0.98
0.96
0.97
N/A
0.98
0.82
0.98
NA
0.99
0.96
0.93
NA
0.77
NA
NA
1.00
NA
0.97
0.97
0.99
0.92
NA
0.96
0.97
NA
NA
NA
NA
NA
NA
0.99
0.98
0.98
N/A
0.99
0.84
0.99
NA
0.99
0.96
0.36
-0.58
0.57
-3.49
-0.84
-0.32
1.29
-1.75
-0.79
-0.57
-1.64
-1.34
-2.75
-2.33
-0.75
-1.58
-0.81
-1.34
-0.49
-1.12
-0.86
-3.67
-1.78
N/A
-0.80
0.18
1.75
0.93
-1.42
-1.03
0.78
-0.58
1.21
-1.16
-0.68
-0.34
1.01
-1.29
-1.04
-0.57
1.33
NA
-1.49
-1.55
-0.37
-0.69
-0.33
-0.57
-0.19
-0.41
-0.39
-2.42
-1.41
N/A
-0.69
0.23
0.96
NA
-1.27
-1.11
0.18
NA
0.35
NA
NA
-0.24
NA
1.31
0.28
-0.51
0.04
NA
-0.63
-0.47
NA
NA
NA
NA
NA
NA
-0.56
-0.94
-0.34
N/A
-0.11
-0.02
-0.02
NA
-0.46
-1.05
0.96
1.05
0.91
0.88
0.98
1.00
0.86
1.05
1.08
1.00
0.99
0.86
1.07
1.11
1.08
1.02
1.09
1.04
1.11
1.07
1.06
1.06
1.00
N/A
0.98
0.93
0.96
1.01
1.01
0.88
1.00
1.04
0.96
0.92
0.98
1.00
0.90
1.06
1.09
0.98
1.02
NA
1.09
1.09
1.10
1.04
1.12
1.06
1.16
1.09
1.09
1.07
0.98
N/A
0.97
1.03
0.97
NA
1.00
0.92
0.96
NA
0.91
NA
NA
1.00
NA
0.96
0.96
0.99
1.05
NA
1.04
1.07
NA
NA
NA
NA
NA
NA
1.08
1.01
0.95
N/A
0.96
0.90
0.98
NA
0.99
0.98
0.95
1.00
0.87
0.94
0.99
1.00
0.79
0.95
0.97
0.99
0.89
0.81
0.91
0.96
0.98
0.97
0.97
0.97
0.96
0.97
0.98
0.96
0.97
N/A
0.98
0.76
0.98
0.97
0.99
0.96
0.91
1.00
0.85
0.95
0.99
1.00
0.84
0.96
0.97
0.99
0.89
NA
0.93
0.96
0.98
0.98
0.97
0.98
0.96
0.98
0.98
0.96
0.97
N/A
0.98
0.82
0.98
NA
0.99
0.96
0.93
NA
0.77
NA
NA
1.00
NA
0.97
0.97
0.99
0.92
NA
0.96
0.97
NA
NA
NA
NA
NA
NA
0.99
0.98
0.98
N/A
0.99
0.83
0.99
NA
0.99
0.96
Barclays Aggregate Bond Index
Barclays Aggregate Bond Index
Barclays Aggregate Bond Index
MSCI Emerging Markets Index
MSCI Emerging Markets Index
Russell 3000 Index
MSCI AC World Index Commodity Producers Sec. Cap. Index
S&P 500 Index
BofA ML BB-B Cash Pay Issuer Constrained Index
Barclays TIPS 1-10 Year Index
MSCI EAFE Index
MSCI EAFE Index
MSCI All Country World Index ex-USA
Russell 1000 Growth Index
Russell 1000 Value Index
Lifecycle 2010 Fund Composite Index
Lifecycle 2015 Fund Composite Index
Lifecycle 2020 Fund Composite Index
Lifecycle 2025 Fund Composite Index
Lifecycle 2030 Fund Composite Index
Lifecycle 2035 Fund Composite Index
Lifecycle 2040 Fund Composite Index
Lifecycle 2045 Fund Composite Index
Lifecycle 2050 Fund Composite Index
Lifecycle 2055 Fund Composite Index
2.92
3.21
2.99
14.76
16.18
11.03
18.35
11.62
6.09
3.95
13.39
12.06
12.08
12.64
12.39
5.59
6.10
6.92
7.80
8.72
9.58
10.39
10.42
10.41
10.48
3.04
3.03
3.06
15.30
16.09
10.64
17.16
11.18
5.63
4.60
14.57
13.15
NA
12.37
11.77
5.82
6.37
7.23
8.11
8.97
9.83
10.44
10.47
10.46
10.50
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
1.13
0.82
1.15
-0.37
-0.20
0.74
-0.16
0.64
0.74
0.39
-0.24
-0.16
-0.23
0.49
0.57
0.61
0.58
0.53
0.49
0.44
0.40
0.37
0.38
0.39
0.38
1.02
0.60
1.14
0.01
0.05
1.35
-0.03
1.26
1.18
0.05
0.55
0.49
NA
1.15
1.23
1.17
1.16
1.13
1.11
1.08
1.05
1.02
1.02
1.02
1.02
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.54
-0.45
0.74
-3.25
-0.55
-0.16
1.58
-1.63
-0.68
-0.41
-1.44
-0.30
-1.07
-2.56
-2.18
-0.68
-0.72
-0.81
-0.90
-1.05
-1.16
-1.24
-1.25
-1.24
-1.30
0.96
-0.39
1.38
-0.89
-0.42
-0.19
1.27
-1.15
-0.96
-0.41
1.51
0.21
NA
-1.25
-1.39
-0.43
-0.44
-0.52
-0.60
-0.70
-0.78
-0.81
-0.82
-0.81
-0.84
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.94
1.06
0.92
0.88
0.99
1.00
0.86
1.05
1.09
1.01
1.00
0.94
0.86
1.07
1.11
1.08
1.07
1.06
1.06
1.06
1.05
1.04
1.04
1.03
1.04
1.00
1.04
0.97
0.92
0.99
1.00
0.90
1.06
1.10
0.99
1.02
0.96
NA
1.09
1.09
1.11
1.09
1.09
1.08
1.08
1.07
1.06
1.06
1.05
1.06
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.95
0.99
0.87
0.94
0.99
1.00
0.79
0.95
0.97
0.99
0.89
0.97
0.81
0.91
0.96
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.92
0.99
0.85
0.95
0.99
1.00
0.84
0.96
0.97
1.00
0.89
0.98
NA
0.92
0.96
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.54
-0.44
0.73
-3.26
-0.55
-0.16
1.56
-1.63
-0.67
-0.41
-1.44
-0.31
-1.08
-2.56
-2.17
-0.67
-0.72
-0.80
-0.89
-1.05
-1.16
-1.24
-1.24
-1.23
-1.30
0.96
-0.39
1.37
-0.90
-0.42
-0.19
1.26
-1.15
-0.95
-0.41
1.51
0.20
NA
-1.25
-1.38
-0.42
-0.43
-0.52
-0.59
-0.69
-0.77
-0.80
-0.82
-0.80
-0.84
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.94
1.06
0.92
0.88
0.99
1.00
0.86
1.05
1.09
1.01
1.00
0.94
0.86
1.07
1.11
1.08
1.07
1.06
1.06
1.06
1.05
1.04
1.04
1.03
1.04
1.00
1.04
0.97
0.92
0.99
1.00
0.90
1.06
1.10
0.99
1.02
0.96
NA
1.09
1.09
1.11
1.09
1.09
1.08
1.08
1.07
1.06
1.06
1.05
1.06
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
0.95
0.99
0.87
0.94
0.99
1.00
0.79
0.95
0.97
0.99
0.89
0.97
0.81
0.91
0.96
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.92
0.99
0.85
0.95
0.99
1.00
0.84
0.96
0.97
1.00
0.89
0.98
NA
0.92
0.96
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
0.98
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
Fund/Account
Managed Allocation Fund
Mid-Cap Growth Fund
Mid-Cap Value Fund
Money Market Fund
Real Estate Securities Fund
S&P 500 Index Fund
Short-Term Bond Fund
Small-Cap Blend Index Fund
Small-Cap Equity Fund
Social Choice Bond Fund
Social Choice Equity Fund
Tax-Exempt Bond Fund
Benchmark
Managed Allocation Composite Index
Russell Midcap Growth Index
Russell Midcap Value Index
N/A
FTSE NAREIT All Equity REITs Index
S&P 500 Index
Barclays Short (1-3 Yr) Govt Credit Index
Russell 2000 Index
Russell 2000 Index
Barclays Aggregate Bond Index
Russell 3000 Index
Barclays 10 Year Municipal Bond Index
Retail Share Class Funds
Bond Fund
Bond Index Fund
Bond Plus Fund
Emerging Markets Equity Fund
Emerging Markets Equity Index Fund
Equity Index Fund
Global Natural Resources Fund
Growth & Income Fund
High-Yield Fund
Inflation-Linked Bond Fund
International Equity Fund
International Opportunities Fund
Large-Cap Growth Fund
Large-Cap Value Fund
Lifecycle Retirement Income Fund
Lifestyle Aggressive Growth Fund
Lifestyle Conservative Fund
Lifestyle Growth Fund
Lifestyle Income Fund
Lifestyle Moderate Fund
Managed Allocation Fund
Mid-Cap Growth Fund
Mid-Cap Value Fund
Money Market Fund
Real Estate Securities Fund
Short-Term Bond Fund
Small-Cap Equity Fund
Social Choice Bond Fund
Social Choice Equity Fund
Tax-Exempt Bond Fund
Premier Share Class Funds
Bond Fund
Bond Index Fund
Bond Plus Fund
Emerging Markets Equity Fund
Emerging Markets Equity Index Fund
Equity Index Fund
Global Natural Resources Fund
Growth & Income Fund
High-Yield Fund
Inflation-Linked Bond Fund
International Equity Fund
International Equity Index Fund
International Opportunities Fund
Large-Cap Growth Fund
Large-Cap Value Fund
Lifecycle 2010 Fund
Lifecycle 2015 Fund
Lifecycle 2020 Fund
Lifecycle 2025 Fund
Lifecycle 2030 Fund
Lifecycle 2035 Fund
Lifecycle 2040 Fund
Lifecycle 2045 Fund
Lifecycle 2050 Fund
Lifecycle 2055 Fund
5 yr.
Ann.
Alpha
(Risk Adj)
-0.18
-2.09
-1.10
N/A
-0.35
-0.06
0.51
0.25
1.30
NA
-1.00
-0.86
10 yr.
Ann.
Alpha
(Risk Adj)
-0.39
-0.68
-0.10
N/A
0.13
-0.05
0.17
0.14
0.26
NA
-0.25
-0.89
3 yr.
Beta
(Risk Adj)
1.07
1.06
1.00
N/A
0.98
1.00
0.95
1.00
0.96
1.04
1.00
0.90
5 yr.
Beta
(Risk Adj)
1.09
1.07
0.98
N/A
0.97
1.00
1.06
1.00
0.97
NA
1.00
0.93
10 yr.
Beta
(Risk Adj)
1.08
1.01
0.95
N/A
0.96
1.00
0.91
1.00
0.98
NA
0.99
0.98
3 yr.
R-Squared
(Risk Adj)
0.98
0.96
0.97
N/A
0.98
1.00
0.81
1.00
0.98
0.97
0.99
0.97
5 yr.
R-Squared
(Risk Adj)
0.98
0.96
0.97
N/A
0.98
1.00
0.83
1.00
0.98
NA
0.99
0.96
10 yr.
R-Squared
(Risk Adj)
0.99
0.98
0.98
N/A
0.99
1.00
0.82
1.00
0.99
NA
0.99
0.96
CREF Accounts, TIAA Real Estate Account and TIAA-CREF Funds - All Share Classes
Standard Deviation, Sharpe Ratio, Alpha, Beta and R-Squared
For the period ending 12/31/2016
All statistics were calculated using net of fees monthly returns. The alpha, beta, r-squared and the risk-adjusted versions of these statistics were calculated using our Funds' official benchmarks.
(1)
Fund/Account
Lifecycle Retirement Income Fund
Lifecycle Index 2010 Fund
Lifecycle Index 2015 Fund
Lifecycle Index 2020 Fund
Lifecycle Index 2025 Fund
Lifecycle Index 2030 Fund
Lifecycle Index 2035 Fund
Lifecycle Index 2040 Fund
Lifecycle Index 2045 Fund
Lifecycle Index 2050 Fund
Lifecycle Index 2055 Fund
Lifecycle Index Retirement Income Fund
Lifestyle Aggressive Growth Fund
Lifestyle Conservative Fund
Lifestyle Growth Fund
Lifestyle Income Fund
Lifestyle Moderate Fund
Mid-Cap Growth Fund
Mid-Cap Value Fund
Money Market Fund
Real Estate Securities Fund
Short-Term Bond Fund
Small-Cap Equity Fund
Social Choice Bond Fund
Social Choice Equity Fund
Benchmark
Lifecycle Retirement Income Fund Composite Index
Lifecycle Index 2010 Composite Benchmark
Lifecycle Index 2015 Composite Benchmark
Lifecycle Index 2020 Composite Benchmark
Lifecycle Index 2025 Composite Benchmark
Lifecycle Index 2030 Composite Benchmark
Lifecycle Index 2035 Composite Benchmark
Lifecycle Index 2040 Composite Benchmark
Lifecycle Index 2045 Composite Benchmark
Lifecycle Index 2050 Composite Benchmark
Lifecycle Index 2055 Composite Benchmark
Lifecycle Index Retirement Income Composite Benchmark
Lifestyle Aggressive Composite Benchmark
Lifestyle Conservative Composite Benchmark
Lifestyle Growth Composite Benchmark
Lifestyle Income Composite Benchmark
Lifestyle Moderate Composite Benchmark
Russell Midcap Growth Index
Russell Midcap Value Index
N/A
FTSE NAREIT All Equity REITs Index
Barclays Short (1-3 Yr) Govt Credit Index
Russell 2000 Index
Barclays Aggregate Bond Index
Russell 3000 Index
LIFE Funds
Bond Fund
Growth & Income Fund
Growth Equity Fund
International Equity Fund
Large-Cap Value Fund
Money Market Fund
Real Estate Securities Fund
Small-Cap Equity Fund
Social Choice Equity Fund
Stock Index Fund
Barclays Aggregate Bond Index
S&P 500 Index
Russell 1000 Growth Index
MSCI EAFE Index
Russell 1000 Value Index
N/A
FTSE NAREIT All Equity REITs Index
Russell 2000 Index
Russell 3000 Index
Russell 3000 Index
(2)
(3)
(4)
(5)
(6)
3 yr.
Ann.
Std Dev
5.02
5.11
5.61
6.39
7.22
8.05
8.90
9.73
9.80
9.84
9.85
4.65
11.39
4.98
9.32
2.92
7.22
13.40
11.63
0.02
14.09
0.80
15.53
3.19
11.10
5 yr.
Ann.
Std Dev
5.13
5.21
5.75
6.54
7.34
8.17
9.02
9.68
9.71
9.72
9.76
4.65
11.50
5.15
9.42
3.12
7.32
12.96
10.98
0.02
13.40
1.04
14.34
NA
10.74
10 yr.
Ann.
Std Dev
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
3 yr.
Sharpe
Ratio
0.66
0.72
0.69
0.63
0.58
0.55
0.51
0.48
0.49
0.49
0.50
0.76
0.34
0.64
0.40
0.87
0.52
0.20
0.65
N/A
0.82
1.35
0.54
1.28
0.63
5 yr.
Sharpe
Ratio
1.19
1.22
1.21
1.19
1.17
1.15
1.13
1.10
1.10
1.10
1.10
1.21
1.00
1.22
1.06
1.33
1.15
0.90
1.26
N/A
0.82
1.32
1.06
NA
1.24
10 yr.
Sharpe
Ratio
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
N/A
NA
NA
NA
NA
NA
3 yr.
Ann.
Alpha
-0.60
-0.24
-0.23
-0.20
-0.23
-0.20
-0.20
-0.20
-0.20
-0.22
-0.19
-0.26
-1.38
-0.69
-1.22
-0.40
-0.94
-3.52
-1.63
N/A
-0.62
0.33
1.92
1.01
-1.29
5 yr.
Ann.
Alpha
-0.25
-0.23
-0.22
-0.19
-0.19
-0.15
-0.15
-0.14
-0.15
-0.14
-0.15
-0.24
-0.51
-0.21
-0.46
-0.07
-0.26
-2.26
-1.23
N/A
-0.50
0.38
1.12
NA
-1.13
10 yr.
Ann.
Alpha
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
N/A
NA
NA
NA
NA
NA
3 yr.
Beta
1.07
0.99
0.99
0.99
0.99
0.99
0.98
0.98
0.98
0.98
0.98
0.99
1.02
1.09
1.04
1.12
1.07
1.06
1.00
N/A
0.98
0.95
0.96
1.04
1.00
5 yr.
Beta
1.09
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
1.04
1.12
1.07
1.16
1.09
1.07
0.98
N/A
0.97
1.04
0.97
NA
1.00
10 yr.
Beta
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
N/A
NA
NA
NA
NA
NA
3 yr.
R-Squared
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.97
0.97
0.97
0.96
0.97
0.96
0.97
N/A
0.98
0.81
0.98
0.97
0.99
5 yr.
R-Squared
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.98
0.98
0.98
0.96
0.98
0.96
0.97
N/A
0.98
0.82
0.98
NA
0.99
10 yr.
R-Squared
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
N/A
NA
NA
NA
NA
NA
3 yr.
Ann.
Alpha
(Risk Adj)
-0.59
-0.24
-0.23
-0.20
-0.23
-0.20
-0.20
-0.20
-0.20
-0.22
-0.20
-0.26
-1.38
-0.68
-1.22
-0.38
-0.94
-3.51
-1.63
N/A
-0.62
0.33
1.91
1.02
-1.28
2.93
11.62
12.70
13.37
12.35
0.04
14.25
15.53
11.12
11.03
2.99
11.19
12.45
14.61
11.75
0.03
13.50
14.32
10.75
10.63
3.24
15.04
16.57
20.57
17.51
0.48
25.23
19.92
15.81
15.77
1.12
0.65
0.50
-0.21
0.57
N/A
0.81
0.54
0.62
0.75
1.00
1.27
1.17
0.57
1.24
N/A
0.82
1.06
1.23
1.36
1.07
0.51
0.46
0.00
0.28
N/A
0.15
0.33
0.38
0.40
0.56
-1.55
-2.36
-1.01
-2.14
N/A
-0.74
1.92
-1.38
-0.04
0.86
-1.05
-1.11
1.84
-1.21
N/A
-0.43
1.17
-1.18
-0.04
0.15
1.62
-0.22
0.23
-0.30
N/A
0.30
0.35
-0.30
0.01
0.93
1.05
1.07
1.00
1.11
N/A
0.99
0.96
1.00
1.00
0.99
1.06
1.10
1.02
1.09
N/A
0.98
0.97
1.00
1.00
0.93
0.97
1.05
1.06
1.07
N/A
0.97
0.98
1.00
1.00
0.93
0.95
0.91
0.89
0.96
N/A
0.98
0.98
0.99
1.00
0.92
0.96
0.92
0.89
0.96
N/A
0.98
0.98
0.99
1.00
0.90
0.97
0.96
0.92
0.97
N/A
0.99
0.99
0.99
1.00
0.55
-1.54
-2.36
-1.01
-2.13
N/A
-0.74
1.92
-1.38
-0.04
(7)
(8)
5 yr.
Ann.
Alpha
(Risk Adj)
-0.24
-0.23
-0.22
-0.19
-0.19
-0.15
-0.15
-0.14
-0.15
-0.15
-0.15
-0.24
-0.50
-0.20
-0.45
-0.05
-0.26
-2.26
-1.23
N/A
-0.50
0.38
1.11
NA
-1.13
10 yr.
Ann.
Alpha
(Risk Adj)
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
N/A
NA
NA
NA
NA
NA
3 yr.
Beta
(Risk Adj)
1.07
0.99
0.99
0.99
0.99
0.99
0.98
0.98
0.98
0.98
0.98
0.99
1.02
1.09
1.04
1.12
1.07
1.06
1.00
N/A
0.98
0.95
0.96
1.04
1.00
5 yr.
Beta
(Risk Adj)
1.09
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
0.99
1.04
1.12
1.07
1.16
1.09
1.07
0.98
N/A
0.97
1.03
0.97
NA
1.00
10 yr.
Beta
(Risk Adj)
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
N/A
NA
NA
NA
NA
NA
3 yr.
R-Squared
(Risk Adj)
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.97
0.97
0.97
0.96
0.97
0.96
0.97
N/A
0.98
0.81
0.98
0.97
0.99
5 yr.
R-Squared
(Risk Adj)
0.98
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
1.00
0.98
0.98
0.98
0.96
0.98
0.96
0.97
N/A
0.98
0.82
0.98
NA
0.99
10 yr.
R-Squared
(Risk Adj)
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
NA
N/A
NA
NA
NA
NA
NA
0.86
-1.05
-1.11
1.84
-1.21
N/A
-0.43
1.16
-1.17
-0.04
0.07
1.61
-0.18
0.28
-0.25
N/A
0.28
0.33
-0.30
0.01
0.93
1.05
1.07
1.00
1.11
N/A
0.99
0.96
1.00
1.00
0.99
1.06
1.10
1.02
1.09
N/A
0.98
0.97
1.00
1.00
0.94
0.97
1.04
1.06
1.07
N/A
0.97
0.98
1.00
1.00
0.93
0.95
0.91
0.89
0.96
N/A
0.98
0.98
0.99
1.00
0.92
0.96
0.92
0.89
0.96
N/A
0.98
0.98
0.99
1.00
0.90
0.97
0.96
0.92
0.97
N/A
0.99
0.99
0.99
1.00
Definitions:
Disclosure
(1) Annualized Standard Deviation: Measures an investment's past volatility, based on a sample. The higher the standard deviation, the higher the volatility. It is not a measure of performance
and should be considered relative to an investment's annual returns. Please note that past standard deviation is not a predicator of future volatility or risk.
(2) Sharpe Ratio: A risk-adjusted measure calculated using standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe ratio the better the funds historical
risk adjusted performance. It uses the annualized standard deviation and the 3 month T-Bill for the risk free return.
(3) Annualized Alpha: A coefficient which measures risk-adjusted performance, factoring in the risk due to the specific security, rather than the overall market. A high value for alpha implies
that the stock or mutual fund has performed better than would have been expected given its beta (volatility). The difference between the fair and actually expected rates of return on a stock is
called the stock's alpha.
(4) Beta: A measure of the magnitude of a portfolio’s past share-price fluctuations in relations to the ups and downs of the overall market (or appropriate market index). The market (or index) is
assigned a beta of 1.00, so a portfolio with a beta of 1.20 would have seen its share price rise or fall by 12% when the overall market rose or fell by 10%.
(5) R-Squared: A measure of how much of a portfolio’s performance can be explained by the returns from the overall market (or benchmark index). If a portfolio’s total return precisely matched
that of the overall market or benchmark, its R-squared would be 1.00. If a portfolio’s return bore no relationship to the market’s returns, its R-square would be 0.
(6) Annualized Alpha (risk adj): The alpha (risk-adjusted) subtract the risk-free return (3 month T-Bill) from the returns of both the fund and benchmark. Otherwise, the formulas are the same
as in (3).
(7) Beta (risk adj): The beta (risk-adjusted) subtract the risk-free return (3 month T-Bill) from the returns of both the fund and benchmark. Otherwise, the formulas are the same as in (4).
(8) R-Square (risk adj): The R-squared (risk-adjusted) subtract the risk-free return (3 month T-Bill) from the returns of both the fund and benchmark. Otherwise, the formulas are the same as
in (5).
All statistics were calculated using 2-digit net of fees monthly returns.
Alpha, Beta, R-squared cannot be calculated for Accounts/Funds that do not have a stated benchmark, such as the CREF Money Market Account and the TIAA Real Estate
Separate Account.
The TIAA-CREF Life Money Market Fund and CREF Money Market Account are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although the Life Money Market Fund seeks to preserve the value of your investment at $1 per share, it is possible to lose money by investing
in the fund.
Investment, insurance and annuity products are not FDIC insured, are not bank guaranteed, are not deposits, are not insured by any federal government agency, are not a
condition to any banking service or activity, and may lose value.
C14982
TIAA-CREF Individual & Institutional Services, LLC and Teachers Personal Investors Services, Inc., Members FINRA, distribute securities products. For mutual fund
prospectuses, or for annuities the contract prospectus and, if applicable, the underlying funds' prospectuses visit the TIAA-CREF website at http://www1.tiaacref.org/public/prospectuses/ or call 877-518-9161.
Annuity contracts and certificates are issued by Teachers Insurance and Annuity Association of America (TIAA) and College Retirement Equities Fund (CREF), New York, NY.
Each of the foregoing is solely responsible for its own financial condition and contractual obligations.
©2017 Teachers Insurance and Annuity Association of America–College Retirement Equities Fund (TIAA-CREF), New York, NY 10017