The Cesàro function spaces Ces p = [C, L p ], 1 ≤ p ≤ ∞, have received renewed attention in recent years. Many properties of [C, L p ] are known. Less is known about [C, X] when the Cesàro operator takes its values in a rearrangement invariant (r.i.) space X other than L p . In this paper we study the spaces [C, X] via the methods of vector measures and vector integration. These techniques allow us to identify the absolutely continuous part of [C, X] and the Fatou completion of [C, X]; to show that [C, X] is never reflexive and never r.i.; to identify when [C, X] is weakly sequentially complete, when it is isomorphic to an AL-space, and when it has the Dunford-Pettis property. The same techniques are used to analyze the operator C : [C, X] → X; it is never compact but, it can be completely continuous.